| UNITED STATES SECURITIES AND EXCHANGE COMMISSION | ||
| Washington, D.C. 20549 | ||
FORM N-CSR | ||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES | ||
| Investment Company Act file number: | (811-07513) |
| 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: | October 31, 2013 |
| Date of reporting period: | November 1, 2012 — April 30, 2013 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Absolute Return
700 Fund®
Semiannual report
4 | 30 | 13
| Message from the Trustees | 1 | |
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| About the fund | 2 | |
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| Performance snapshot | 4 | |
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| Interview with your fund’s portfolio manager | 5 | |
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| Your fund’s performance | 11 | |
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| Your fund’s expenses | 13 | |
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| Terms and definitions | 15 | |
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| Other information for shareholders | 16 | |
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| Financial statements | 17 | |
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Consider these risks before investing: Our allocation of assets among permitted asset categories may hurt performance. The prices of stocks and bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including both general financial market conditions and factors related to a specific issuer or industry. You can lose money by investing in the fund. Our active trading strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Bond investments are subject to interest-rate risk, which means the prices of the fund’s bond investments are likely to fall if interest rates rise. Bond investments also are subject to credit risk, which is the risk that the issuer of the bond may default on payment of interest or principal. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds, which may be considered speculative. Unlike bonds, funds that invest in bonds have ongoing fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Our use of derivatives may increase these risks by increasing investment exposure (which may be considered leverage) or, in the case of many over-the-counter instruments, because of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund may not achieve its goal, and it is not intended to be a complete investment program. The fund’s effort to produce lower volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. In addition, under certain market conditions, the fund may accept greater volatility than would typically be the case, in order to seek its targeted return. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. REITs involve the risks of real estate investing, including declining property values. Commodities involve the risks of changes in market, political, regulatory, and natural conditions. Additional risks are listed in the fund’s prospectus.
Message from the Trustees
Dear Fellow Shareholder:
Equities around the world have generally demonstrated a positive trend in early 2013. However, after a strong 2012, fixed-income markets have been facing challenges and increased volatility in 2013.
Supportive macroeconomic data, notably better housing and employment data in the United States, and the coordinated stimulative monetary policies of central banks around the world are helping to boost equity values, although investor confidence remains tempered. Markets continue to confront a variety of macroeconomic and fiscal challenges worldwide — from budget concerns in the United States to the eurozone’s debt-related troubles.
Investor apprehension today can be linked to the heightened volatility that has challenged markets for over a decade. In this fundamentally changed environment, Putnam’s equity and fixed-income teams are focused on integrating innovative investing ideas into our more time-tested, traditional strategies. It is also important to rely on the guidance of your financial advisor, who can help ensure that your portfolio matches your individual goals and tolerance for risk.
We would like to extend a welcome to new shareholders of the fund and to thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See pages 5 and 11–12 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* Returns for the six-month period are not annualized, but cumulative.
The fund is not expected to outperform during periods of market rallies.
| 4 | Absolute Return 700 Fund |
Interview with your fund’s portfolio manager
Bob, how would you characterize market and fund performance during the period?
Equity markets performed quite well over the past six months, with major U.S. market averages such as the S&P 500 and the Dow Jones Industrial Average setting new records. Results were more mixed in the bond market. Government and plain-vanilla mortgage-backed bonds had modest gains within a range, while bonds with more credit risk generated better results.
With an absolute return strategy, we can be selective about taking market risk, and we continued to exercise this flexibility during the period. The fund’s objective is to earn a positive total return that exceeds the rate of inflation [as measured by U.S. Treasury bills] by 7% on an annualized basis over a reasonable period of time. We anticipate that the trajectory of the portfolio’s performance in the period will help the fund toward its goal, as we saw favorable results from a wide range of strategies. Volatility also remained at the low levels that the fund has historically experienced.
What were some strategies and positions you pursued in the portfolio?
The portfolio was well diversified. We had a significant position in U.S. equities that favored stocks that have historically been less volatile than the overall market. The fund also held a wide range of fixed-income positions, and a small position in commodities. Beyond
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 4/30/13. See pages 4 and 11–12 for additional fund performance information. Index descriptions can be found on page 16.
| Absolute Return 700 Fund | 5 |
these market-oriented exposures, the fund pursued a number of strategies designed to be independent of market direction.
What advantage do you see in targeting less volatile, or “low-beta,” stocks?
We regularly conduct research and analysis of historical market trends and patterns. One anomaly we have found is that low-beta stocks have historically provided better risk-adjusted returns than the overall market for longer time periods. A stock with low beta has experienced less extreme swings in performance — less movement up and down — than the average of S&P 500 Index stocks.
Looking for stocks with low-beta characteristics fits well with our overall absolute return strategy, because we place a strong emphasis on keeping volatility low and pursuing better returns on a risk-adjusted basis than investors typically experience in funds that take on greater market exposures.
The fund’s stock holdings had generally positive results, but lagged market averages during the robust rally, which is not unusual for low-beta stocks. Also, one of the fund’s largest positions, Apple, underperformed the market.
Aside from the U.S. equity holdings, it is worth noting that we had a tactical trade to gain exposure to rallying Japanese equities. This helped results in the semiannual time frame.
You mentioned “non-directional” strategies. Could you provide background on what these are and why you use them?
Non-directional describes a host of strategies that we believe can deliver positive returns regardless of the direction markets take — whether up, down, or sideways. These strategies can help reduce the fund’s overall volatility, and diversify our sources of return and contribute to our goal of greater consistent performance.
Allocations are represented as a percentage of the fund’s net assets as of 4/30/13. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
| 6 | Absolute Return 700 Fund |
Here’s an example. Currency strategies that benefit from movements in exchange rates have a low correlation with stock and bond market movements, but can generate returns for the fund. During the six-month period we are discussing, currency strategies contributed positively to our results.
Another example is our commodities position, which represented less than 10% of the portfolio in the period. We consider this position non-directional because commodities have low correlation to stock market movements. Within the commodities position we deemphasize energy, which is among the more volatile subsectors. During the semiannual period, commodities did not perform well. Our position included some exposure to gold, which dropped in value during recent months.
Overall, our non-directional strategies were among the smallest contributors to results during the period. Another weak contributor involved our non-directional strategy of implementing put and call equity index options, a type of derivative. We used this strategy to help offset the volatility of the stock holdings. During the period, with a sustained rise in the equity markets, the call options traded “in the money,” which had the effect of reducing the fund’s upside equity returns. It was a situation in which the strategy performed as designed to help reduce volatility, while also living up to one of the attributes we have sought to articulate — that the fund may underperform securities markets during a rally.
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 4/30/13. Short-term holdings, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
| Absolute Return 700 Fund | 7 |
How did fixed-income strategies perform?
Our fixed-income holdings generally posted positive results, although they were more modest than returns from stocks. The fund held some positions in government and other investment-grade bonds, which had among the weakest results, but we saw much better returns from credit-risk strategies.
As in the previous period, we continued to have a fairly large position in high-yield corporate bonds. High-yield bonds advanced, benefiting from the fact that many companies generated strong earnings and the default rate remained low. High-yield corporate bonds often follow the lead of equity markets, because many of the same fundamentals, especially earnings and revenues, influence both asset classes. In mortgage credit, non-agency residential mortgage-backed securities [RMBS] performed well thanks to continued investor demand and positive housing fundamentals. Seasoned mezzanine commercial mortgage-backed securities [CMBS] also contributed positive results.
We kept interest-rate risk at a low level, measured by duration, or price sensitivity, to interest-rate movements. This helped limit the impact of interest-rate fluctuations on the fund’s performance. While this reduced performance volatility, it was not a major contributor to returns. In seeking to manage interest-rate risk, we implement strategies with options and futures contracts, which are types of derivatives.
Interest rates are likely to continue fluctuating in a fairly narrow range. In these funds we have a large opportunity set, and we see no reason to take much risk on interest rates. With rates near historic lows, rates have much more room to rise than to fall, which means that the risks are unbalanced. At the same time, we see more attractive return opportunities in other types of fixed-income strategies.
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are represented as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
| 8 | Absolute Return 700 Fund |
What is your outlook for the fund’s strategy in the coming months?
We’re experiencing a stock market rally that is largely viewed with wariness by investors, it seems, which leaves potential for a pullback. The memories of events like the U.S. banking crisis, Europe’s debt crisis, and Japan’s 2011 earthquake-tsunami have led investors to focus on risks. During the first half of the year, some investor concerns included the fiscal cliff, the budget sequestration, and now, on the horizon, the debt ceiling. However, market fundamentals remain solid; the housing sector appears to be recovering; profits are healthy; and interest rates and inflation are low. The Fed’s bond-buying programs, which are supporting the economy and the markets, appear unlikely to change significantly for the rest of 2013. Japan has seen a surge in GDP growth, and it appears that Europe has stabilized. Meanwhile, stocks remained reasonably valued.
Looking at the fundamentals and market sentiment, we favor continuing the strategies that we have had in place during the first half of the fiscal year. One of the hallmarks of the fund is constant preparation for market volatility through broad diversification and a variety of non-directional strategies. We employ options and futures contracts, which are types of derivatives, that allow us to hedge changes in security values or to manage market risk. At the same time, we position the fund to participate in the market’s potential positive movement, primarily through the equity and credit strategies in fixed income.
Bob, thanks for reviewing the fund’s performance and strategies today.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
A word about derivatives
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use forward currency contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks by establishing a combination of long and short exposures to specific equity markets or sectors.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam may enter into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.
| Absolute Return 700 Fund | 9 |
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
Portfolio Manager Robert J. Kea is Co-Head of Global Asset Allocation at Putnam. He holds an M.B.A. from Bentley College and a B.A. from the University of Massachusetts, Amherst. A CFA charterholder, he joined Putnam in 1989 and has been in the investment industry since 1988.
In addition to Bob Kea, your fund’s portfolio managers are James A. Fetch; Joshua B. Kutin, CFA; Robert J. Schoen; and Jason R. Vaillancourt, CFA.
IN THE NEWS
The economic outlook for major industrialized nations is slowly improving, with the United States and Japan leading the way, according to a report by the Organisation for Economic Co-operation and Development (OECD). Economic expansion is also taking place in most major countries around the world, including the 17-nation eurozone, where Germany’s economy is growing and stabilization is occurring in Italy and France. Growth also is solidifying in Japan, whose new government has launched efforts to bring the country’s long-stagnant economy back to life through various stimulus efforts, and growth is picking up in China, where an economic hard landing has been avoided. The OECD sees growth weakening in India and normal, “around trend” growth taking place in Russia, Brazil, and the United Kingdom. Meanwhile, the World Trade Organization (WTO) has cut its overall 2013 forecast for global trade volume growth to 3.3% from 4.5%. Global trade grew by 2% in 2012, the second-worst figure since this economic statistic began to be tracked in 1981, according to the WTO. The worst trade figure came in 2009 during the global economic crisis.
| 10 | Absolute Return 700 Fund |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2013, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, class R5, class R6, and class Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 4/30/13
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |||||
| (inception dates) | (12/23/08) | (12/23/08) | (12/23/08) | (12/23/08) | (12/23/08) | (7/2/12) | (7/2/12) | (12/23/08) | ||||
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| Before | After | Before | After | Net | Net | Net | Net | |||||
| sales | sales | Before | After | Before | After | sales | sales | asset | asset | asset | asset | |
| charge | charge | CDSC | CDSC | CDSC | CDSC | charge | charge | value | value | value | value | |
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| Life of fund | 34.12% | 26.40% | 29.69% | 27.69% | 29.86% | 29.86% | 30.82% | 26.24% | 32.24% | 35.39% | 35.45% | 35.40% |
| Annual average | 6.98 | 5.53 | 6.16 | 5.78 | 6.19 | 6.19 | 6.37 | 5.50 | 6.63 | 7.21 | 7.22 | 7.21 |
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| 3 years | 15.37 | 8.74 | 12.85 | 9.85 | 12.83 | 12.83 | 13.52 | 9.54 | 14.39 | 16.24 | 16.29 | 16.25 |
| Annual average | 4.88 | 2.83 | 4.11 | 3.18 | 4.11 | 4.11 | 4.32 | 3.09 | 4.58 | 5.14 | 5.16 | 5.15 |
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| 1 year | 5.18 | –0.87 | 4.43 | –0.57 | 4.43 | 3.43 | 4.68 | 1.02 | 4.96 | 5.51 | 5.56 | 5.52 |
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| 6 months | 3.93 | –2.05 | 3.62 | –1.38 | 3.62 | 2.62 | 3.69 | 0.06 | 3.79 | 4.08 | 4.13 | 4.09 |
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Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class R5 and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R5 and R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
| Absolute Return 700 Fund | 11 |
Comparative index returns For periods ended 4/30/13
| BofA Merrill Lynch | Barclays | ||
| U.S. Treasury | U.S. Aggregate | ||
| Bill Index | Bond Index | S&P 500 Index | |
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| Life of fund | 0.81% | 28.31% | 103.55% |
| Annual average | 0.19 | 5.90 | 17.74 |
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| 3 years | 0.45 | 17.47 | 43.54 |
| Annual average | 0.15 | 5.51 | 12.80 |
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| 1 year | 0.14 | 3.68 | 16.89 |
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| 6 months | 0.07 | 0.90 | 14.42 |
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Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
Fund price and distribution information For the six-month period ended 4/30/13
| Distributions | Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | ||
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| Number | 1 | — | — | — | 1 | 1 | 1 | 1 | ||
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| Income | $0.012 | — | — | — | $0.003 | $0.021 | $0.026 | $0.041 | ||
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| Capital gains | — | — | — | — | — | — | — | — | ||
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| Total | $0.012 | — | — | — | $0.003 | $0.021 | $0.026 | $0.041 | ||
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| Before | After | Net | Net | Before | After | Net | Net | Net | Net | |
| sales | sales | asset | asset | sales | sales | asset | asset | asset | asset | |
| Share value | charge | charge | value | value | charge | charge | value | value | value | value |
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| 10/31/12 | $11.78 | $12.50 | $11.60 | $11.60 | $11.65 | $12.07 | $11.68 | $11.81 | $11.81 | $11.81 |
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| 4/30/13 | 12.23 | 12.98 | 12.02 | 12.02 | 12.08 | 12.52 | 12.12 | 12.27 | 12.27 | 12.25 |
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The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
Fund performance as of most recent calendar quarter
Total return for periods ended 3/31/13
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |||||
| (inception dates) | (12/23/08) | (12/23/08) | (12/23/08) | (12/23/08) | (12/23/08) | (7/2/12) | (7/2/12) | (12/23/08) | ||||
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| Before | After | Before | After | Net | Net | Net | Net | |||||
| sales | sales | Before | After | Before | After | sales | sales | asset | asset | asset | asset | |
| charge | charge | CDSC | CDSC | CDSC | CDSC | charge | charge | value | value | value | value | |
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| Life of fund | 33.79% | 26.09% | 29.37% | 27.37% | 29.53% | 29.53% | 30.49% | 25.93% | 31.92% | 34.95% | 35.12% | 34.96% |
| Annual average | 7.05 | 5.58 | 6.21 | 5.83 | 6.25 | 6.25 | 6.43 | 5.55 | 6.70 | 7.27 | 7.30 | 7.27 |
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| 3 years | 15.59 | 8.95 | 12.97 | 9.97 | 13.05 | 13.05 | 13.74 | 9.76 | 14.71 | 16.47 | 16.62 | 16.48 |
| Annual average | 4.95 | 2.90 | 4.15 | 3.22 | 4.17 | 4.17 | 4.38 | 3.15 | 4.68 | 5.21 | 5.26 | 5.22 |
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| 1 year | 5.92 | –0.17 | 5.08 | 0.08 | 5.08 | 4.08 | 5.33 | 1.65 | 5.62 | 6.17 | 6.30 | 6.18 |
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| 6 months | 3.23 | –2.70 | 2.74 | –2.26 | 2.74 | 1.74 | 2.90 | –0.70 | 3.10 | 3.30 | 3.43 | 3.31 |
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See the discussion following the Fund performance table on page 11 for information about the calculation of fund performance.
| 12 | Absolute Return 700 Fund |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Total annual operating expenses for the | ||||||||
| fiscal year ended 10/31/12 | 1.31% | 2.06% | 2.06% | 1.81% | 1.56% | 1.10%† | 1.00%† | 1.06% |
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| Annualized expense ratio for the | ||||||||
| six-month period ended 4/30/13*† | 1.26% | 2.01% | 2.01% | 1.76% | 1.51% | 1.02% | 0.92% | 1.01% |
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Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.
* Includes a decrease of 0.08% from annualizing the performance fee adjustment for the six months ended 4/30/13.
† Other expenses for class R5 and class R6 shares have been annualized. Other expenses for class A, B, C, M, R and Y shares have been restated to reflect current fees.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from November 1, 2012, to April 30, 2013. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Expenses paid per $1,000*† | $6.37 | $10.15 | $10.15 | $8.89 | $7.63 | $5.16 | $4.66 | $5.11 |
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| Ending value (after expenses) | $1,039.30 | $1,036.20 | $1,036.20 | $1,036.90 | $1,037.90 | $1,040.80 | $1,041.30 | $1,040.90 |
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* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/13. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
| Absolute Return 700 Fund | 13 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended April 30, 2013, use the following calculation method. To find the value of your investment on November 1, 2012, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Expenses paid per $1,000*† | $6.31 | $10.04 | $10.04 | $8.80 | $7.55 | $5.11 | $4.61 | $5.06 |
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| Ending value (after expenses) | $1,018.55 | $1,014.83 | $1,014.83 | $1,016.07 | $1,017.31 | $1,019.74 | $1,020.23 | $1,019.79 |
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* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/13. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
| 14 | Absolute Return 700 Fund |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.
Class R5 shares and class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current yield is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
• Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
| Absolute Return 700 Fund | 15 |
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of April 30, 2013, Putnam employees had approximately $381,000,000 and the Trustees had approximately $91,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
| 16 | Absolute Return 700 Fund |
Financial statements
A guide to financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Absolute Return 700 Fund | 17 |
The fund’s portfolio 4/30/13 (Unaudited)
| COMMON STOCKS (37.5%)* | Shares | Value |
|
| ||
| Basic materials (0.8%) | ||
| Bemis Co., Inc. | 18,100 | $712,235 |
|
| ||
| International Flavors & Fragrances, Inc. | 12,677 | 978,538 |
|
| ||
| Packaging Corp. of America | 18,900 | 898,884 |
|
| ||
| PPG Industries, Inc. | 15,043 | 2,213,427 |
|
| ||
| Sherwin-Williams Co. (The) | 10,982 | 2,010,914 |
|
| ||
| Sigma-Aldrich Corp. | 7,600 | 598,044 |
|
| ||
| 7,412,042 | ||
| Capital goods (1.2%) | ||
| Ball Corp. | 23,648 | 1,043,350 |
|
| ||
| Boeing Co. (The) | 16,200 | 1,480,842 |
|
| ||
| General Dynamics Corp. | 21,700 | 1,604,932 |
|
| ||
| Lockheed Martin Corp. | 10,523 | 1,042,724 |
|
| ||
| Northrop Grumman Corp. | 18,152 | 1,374,832 |
|
| ||
| Raytheon Co. | 24,016 | 1,474,102 |
|
| ||
| Rockwell Collins, Inc. | 9,200 | 578,864 |
|
| ||
| Roper Industries, Inc. | 7,738 | 925,852 |
|
| ||
| United Technologies Corp. | 14,900 | 1,360,221 |
|
| ||
| 10,885,719 | ||
| Communication services (1.2%) | ||
| AT&T, Inc. | 70,500 | 2,640,930 |
|
| ||
| CenturyLink, Inc. | 29,800 | 1,119,586 |
|
| ||
| IAC/InterActiveCorp. | 27,027 | 1,272,161 |
|
| ||
| SBA Communications Corp. Class A † | 7,800 | 616,122 |
|
| ||
| Verizon Communications, Inc. | 88,466 | 4,769,202 |
|
| ||
| 10,418,001 | ||
| Conglomerates (2.5%) | ||
| 3M Co. | 39,900 | 4,177,929 |
|
| ||
| Danaher Corp. | 38,200 | 2,327,908 |
|
| ||
| General Electric Co. | 68,100 | 1,517,949 |
|
| ||
| Marubeni Corp. (Japan) | 713,000 | 5,097,820 |
|
| ||
| Mitsubishi Corp. (Japan) | 266,000 | 4,769,635 |
|
| ||
| Mitsui & Co., Ltd. (Japan) | 341,400 | 4,685,779 |
|
| ||
| 22,577,020 | ||
| Consumer cyclicals (5.2%) | ||
| Advance Auto Parts, Inc. | 7,410 | 621,551 |
|
| ||
| Amazon.com, Inc. † | 16,787 | 4,260,707 |
|
| ||
| AutoZone, Inc. † | 3,075 | 1,257,952 |
|
| ||
| Dillards, Inc. Class A | 10,400 | 857,064 |
|
| ||
| Dollar General Corp. † | 16,800 | 875,112 |
|
| ||
| Dollar Tree, Inc. † | 20,442 | 972,222 |
|
| ||
| Ecolab, Inc. | 30,590 | 2,588,526 |
|
| ||
| Equifax, Inc. | 10,351 | 633,481 |
|
| ||
| Home Depot, Inc. (The) | 67,900 | 4,980,464 |
|
| ||
| Kimberly-Clark Corp. | 32,373 | 3,340,570 |
|
| ||
| Macy’s, Inc. | 13,200 | 588,720 |
|
| ||
| MasterCard, Inc. Class A | 8,500 | 4,699,905 |
|
| ||
| McGraw-Hill Cos., Inc. (The) | 21,975 | 1,189,067 |
|
| ||
| MSC Industrial Direct Co., Inc. Class A | 4,805 | 378,634 |
|
| ||
| 18 | Absolute Return 700 Fund |
| COMMON STOCKS (37.5%)* cont. | Shares | Value |
|
| ||
| Consumer cyclicals cont. | ||
| O’Reilly Automotive, Inc. † | 10,100 | $1,083,932 |
|
| ||
| Omnicom Group, Inc. | 22,345 | 1,335,561 |
|
| ||
| Paychex, Inc. | 51,800 | 1,886,038 |
|
| ||
| PetSmart, Inc. | 10,195 | 695,707 |
|
| ||
| Priceline.com, Inc. † | 3,389 | 2,358,710 |
|
| ||
| Ross Stores, Inc. | 17,400 | 1,149,618 |
|
| ||
| Scripps Networks Interactive Class A | 9,000 | 599,220 |
|
| ||
| Target Corp. | 41,454 | 2,924,994 |
|
| ||
| Time Warner, Inc. | 59,300 | 3,544,954 |
|
| ||
| Towers Watson & Co. Class A | 6,100 | 444,812 |
|
| ||
| Tractor Supply Co. | 7,300 | 782,341 |
|
| ||
| Verisk Analytics, Inc. Class A † | 12,474 | 764,531 |
|
| ||
| Viacom, Inc. Class B | 35,744 | 2,287,259 |
|
| ||
| Wal-Mart Stores, Inc. | 3,400 | 264,248 |
|
| ||
| 47,365,900 | ||
| Consumer staples (4.7%) | ||
| Altria Group, Inc. | 84,500 | 3,085,095 |
|
| ||
| Church & Dwight Co., Inc. | 13,300 | 849,737 |
|
| ||
| Coca-Cola Co. (The) | 17,700 | 749,241 |
|
| ||
| Colgate-Palmolive Co. | 25,300 | 3,021,073 |
|
| ||
| Dunkin’ Brands Group, Inc. | 9,700 | 376,457 |
|
| ||
| General Mills, Inc. | 57,500 | 2,899,150 |
|
| ||
| H.J. Heinz Co. | 31,900 | 2,310,198 |
|
| ||
| Hershey Co. (The) | 18,200 | 1,622,712 |
|
| ||
| ITOCHU Corp. (Japan) | 483,000 | 5,970,303 |
|
| ||
| JM Smucker Co. (The) | 8,500 | 877,455 |
|
| ||
| Kellogg Co. | 26,800 | 1,743,072 |
|
| ||
| Kraft Foods Group, Inc. | 16,600 | 854,734 |
|
| ||
| McDonald’s Corp. | 14,000 | 1,429,960 |
|
| ||
| Panera Bread Co. Class A † | 3,202 | 567,490 |
|
| ||
| PepsiCo, Inc. | 30,000 | 2,474,100 |
|
| ||
| Philip Morris International, Inc. | 22,933 | 2,192,165 |
|
| ||
| Procter & Gamble Co. (The) | 21,300 | 1,635,201 |
|
| ||
| Reynolds American, Inc. | 35,700 | 1,692,894 |
|
| ||
| Starbucks Corp. | 47,416 | 2,884,789 |
|
| ||
| Sumitomo Corp. (Japan) | 398,200 | 4,967,033 |
|
| ||
| 42,202,859 | ||
| Energy (3.0%) | ||
| Chevron Corp. | 61,869 | 7,548,637 |
|
| ||
| ConocoPhillips | 30,600 | 1,849,770 |
|
| ||
| Deepocean Group (Shell) (acquired 6/9/11, cost $415,869) | ||
| (Norway) ΔΔ | 28,574 | 428,610 |
|
| ||
| Diamond Offshore Drilling, Inc. | 10,400 | 718,640 |
|
| ||
| EQT Corp. | 13,000 | 976,560 |
|
| ||
| Exxon Mobil Corp. | 115,592 | 10,286,532 |
|
| ||
| Noble Energy, Inc. | 7,200 | 815,688 |
|
| ||
| Oceaneering International, Inc. | 12,100 | 849,057 |
|
| ||
| Phillips 66 | 33,000 | 2,011,350 |
|
| ||
| Spectra Energy Corp. | 41,775 | 1,317,166 |
|
| ||
| 26,802,010 | ||
| Absolute Return 700 Fund | 19 |
| COMMON STOCKS (37.5%)* cont. | Shares | Value |
|
| ||
| Financials (5.3%) | ||
| Alleghany Corp. † | 3,900 | $1,535,586 |
|
| ||
| Allied World Assurance Co. Holdings AG | 9,782 | 888,303 |
|
| ||
| American Express Co. | 26,200 | 1,792,342 |
|
| ||
| Arch Capital Group, Ltd. † | 16,300 | 864,878 |
|
| ||
| Arthur J Gallagher & Co. | 28,300 | 1,201,335 |
|
| ||
| Bank of Hawaii Corp. | 37,196 | 1,773,877 |
|
| ||
| Berkshire Hathaway, Inc. Class B † | 9,605 | 1,021,204 |
|
| ||
| BlackRock, Inc. | 4,600 | 1,225,900 |
|
| ||
| Chubb Corp. (The) | 28,829 | 2,538,970 |
|
| ||
| Cullen/Frost Bankers, Inc. | 39,300 | 2,374,112 |
|
| ||
| Discover Financial Services | 73,400 | 3,210,515 |
|
| ||
| Essex Property Trust, Inc. R | 3,400 | 533,970 |
|
| ||
| Everest Re Group, Ltd. | 11,839 | 1,598,147 |
|
| ||
| Federal Realty Investment Trust R | 5,389 | 630,567 |
|
| ||
| Health Care REIT, Inc. R | 18,500 | 1,386,945 |
|
| ||
| IntercontinentalExchange, Inc. † | 12,400 | 2,020,332 |
|
| ||
| JPMorgan Chase & Co. | 22,500 | 1,102,725 |
|
| ||
| Northern Trust Corp. | 35,900 | 1,935,728 |
|
| ||
| PartnerRe, Ltd. | 14,700 | 1,386,798 |
|
| ||
| People’s United Financial, Inc. | 220,567 | 2,902,661 |
|
| ||
| Public Storage R | 9,800 | 1,617,000 |
|
| ||
| Rayonier, Inc. R | 10,938 | 649,936 |
|
| ||
| RenaissanceRe Holdings, Ltd. | 12,850 | 1,206,487 |
|
| ||
| Simon Property Group, Inc. R | 17,600 | 3,134,031 |
|
| ||
| T. Rowe Price Group, Inc. | 37,600 | 2,726,000 |
|
| ||
| Tanger Factory Outlet Centers R | 9,300 | 345,216 |
|
| ||
| Validus Holdings, Ltd. | 26,417 | 1,019,960 |
|
| ||
| Visa, Inc. Class A | 21,800 | 3,672,427 |
|
| ||
| Wells Fargo & Co. | 28,800 | 1,093,824 |
|
| ||
| 47,389,776 | ||
| Health care (4.3%) | ||
| Abbott Laboratories | 51,770 | 1,911,348 |
|
| ||
| AbbVie, Inc. | 52,770 | 2,430,059 |
|
| ||
| AmerisourceBergen Corp. | 34,731 | 1,879,642 |
|
| ||
| Amgen, Inc. | 27,300 | 2,844,933 |
|
| ||
| Becton, Dickinson and Co. | 13,600 | 1,282,480 |
|
| ||
| Bristol-Myers Squibb Co. | 60,100 | 2,387,172 |
|
| ||
| C.R. Bard, Inc. | 12,205 | 1,212,689 |
|
| ||
| Cardinal Health, Inc. | 44,301 | 1,958,990 |
|
| ||
| Eli Lilly & Co. | 36,800 | 2,037,984 |
|
| ||
| Henry Schein, Inc. † | 13,600 | 1,229,440 |
|
| ||
| Johnson & Johnson | 21,600 | 1,840,968 |
|
| ||
| McKesson Corp. | 27,378 | 2,897,140 |
|
| ||
| Merck & Co., Inc. | 97,200 | 4,568,400 |
|
| ||
| Perrigo Co. | 4,354 | 519,911 |
|
| ||
| Pfizer, Inc. | 226,000 | 6,569,820 |
|
| ||
| 20 Absolute Return 700 Fund |
| COMMON STOCKS (37.5%)* cont. | Shares | Value |
|
| ||
| Health care cont. | ||
| Quest Diagnostics, Inc. | 22,000 | $1,239,260 |
|
| ||
| Ventas, Inc. R | 20,300 | 1,616,489 |
|
| ||
| 38,426,725 | ||
| Technology (7.6%) | ||
| Analog Devices, Inc. | 35,108 | 1,544,401 |
|
| ||
| Apple, Inc. | 81,654 | 36,152,308 |
|
| ||
| Avago Technologies, Ltd. | 36,053 | 1,152,254 |
|
| ||
| Google, Inc. Class A † | 5,396 | 4,449,380 |
|
| ||
| Harris Corp. | 12,500 | 577,500 |
|
| ||
| Honeywell International, Inc. | 46,900 | 3,449,025 |
|
| ||
| IBM Corp. | 36,874 | 7,468,460 |
|
| ||
| Intuit, Inc. | 36,842 | 2,197,257 |
|
| ||
| L-3 Communications Holdings, Inc. | 8,398 | 682,338 |
|
| ||
| Linear Technology Corp. | 35,600 | 1,299,400 |
|
| ||
| Maxim Integrated Products, Inc. | 43,200 | 1,336,176 |
|
| ||
| Microsoft Corp. | 64,489 | 2,134,586 |
|
| ||
| Motorola Solutions, Inc. | 29,800 | 1,704,560 |
|
| ||
| Texas Instruments, Inc. | 81,000 | 2,933,010 |
|
| ||
| Xilinx, Inc. | 37,500 | 1,421,625 |
|
| ||
| 68,502,280 | ||
| Transportation (0.7%) | ||
| C.H. Robinson Worldwide, Inc. | 13,500 | 801,765 |
|
| ||
| Copa Holdings SA Class A (Panama) | 3,611 | 453,469 |
|
| ||
| J. B. Hunt Transport Services, Inc. | 8,622 | 612,766 |
|
| ||
| Southwest Airlines Co. | 64,760 | 887,212 |
|
| ||
| United Parcel Service, Inc. Class B | 43,327 | 3,719,190 |
|
| ||
| 6,474,402 | ||
| Utilities and power (1.0%) | ||
| Consolidated Edison, Inc. | 42,600 | 2,711,490 |
|
| ||
| DTE Energy Co. | 34,406 | 2,507,509 |
|
| ||
| Kinder Morgan, Inc. | 32,400 | 1,266,840 |
|
| ||
| Pinnacle West Capital Corp. | 20,666 | 1,258,559 |
|
| ||
| SCANA Corp. | 28,000 | 1,517,600 |
|
| ||
| 9,261,998 | ||
| Total common stocks (cost $287,473,947) | $337,718,732 | |
| U.S. GOVERNMENT AND AGENCY | ||
| MORTGAGE OBLIGATIONS (23.0%)* | Principal amount | Value |
|
| ||
| U.S. Government Guaranteed Mortgage Obligations (0.8%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 3s, TBA, May 1, 2043 | $7,000,000 | $7,435,859 |
|
| ||
| 7,435,859 | ||
| U.S. Government Agency Mortgage Obligations (22.2%) | ||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
| 3s, TBA, May 1, 2043 | 11,000,000 | 11,459,766 |
|
| ||
| Federal National Mortgage Association Pass-Through Certificates | ||
| 3s, TBA, June 1, 2043 | 81,000,000 | 84,502,618 |
| 3s, TBA, May 1, 2043 | 99,000,000 | 103,555,544 |
|
| ||
| 199,517,928 | ||
| Total U.S. government and agency mortgage obligations (cost $204,138,477) | $206,953,787 | |
| Absolute Return 700 Fund | 21 |
| MORTGAGE-BACKED SECURITIES (13.8%)* | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations (4.2%) | ||
| Federal Home Loan Mortgage Corp. | ||
| IFB Ser. 2990, Class LB, 16.438s, 2034 | $566,596 | $792,220 |
| IFB Ser. 4098, Class MS, IO, 6.501s, 2041 | 4,521,177 | 916,895 |
| IFB Ser. 3859, Class SG, IO, 6.501s, 2039 | 5,984,419 | 659,184 |
| IFB Ser. 3727, Class PS, IO, 6.501s, 2038 | 2,533,537 | 198,602 |
| IFB Ser. 3860, Class SP, IO, 6.401s, 2040 | 3,381,615 | 476,977 |
| IFB Ser. 3856, Class PS, IO, 6.401s, 2040 | 1,250,226 | 157,883 |
| IFB Ser. 3803, Class SP, IO, 6.401s, 2038 | 1,841,362 | 138,102 |
| IFB Ser. 3861, Class PS, IO, 6.401s, 2037 | 1,472,428 | 201,031 |
| IFB Ser. 3708, Class SQ, IO, 6.351s, 2040 | 6,150,853 | 840,145 |
| IFB Ser. 3907, Class KS, IO, 6.351s, 2040 | 2,724,793 | 339,851 |
| IFB Ser. 3708, Class SA, IO, 6.251s, 2040 | 9,952,525 | 1,335,032 |
| IFB Ser. 3934, Class SA, IO, 6.201s, 2041 | 1,739,560 | 292,785 |
| IFB Ser. 3232, Class KS, IO, 6.101s, 2036 | 1,317,746 | 134,245 |
| IFB Ser. 3116, Class AS, IO, 5.901s, 2034 | 1,860,405 | 134,637 |
| IFB Ser. 3964, Class SA, IO, 5.801s, 2041 | 8,412,549 | 1,198,788 |
| IFB Ser. 3852, Class NT, 5.801s, 2041 | 2,914,279 | 3,173,359 |
| IFB Ser. 3752, Class PS, IO, 5.801s, 2040 | 2,711,945 | 348,919 |
| Ser. 3687, Class CI, IO, 5s, 2038 | 2,562,454 | 250,916 |
| Ser. 3632, Class CI, IO, 5s, 2038 | 403,347 | 18,280 |
| Ser. 3626, Class DI, IO, 5s, 2037 | 195,849 | 5,484 |
| Ser. 304, Class C27, IO, 4 1/2s, 2042 | 3,360,707 | 495,704 |
| Ser. 4122, Class TI, IO, 4 1/2s, 2042 | 2,778,890 | 352,363 |
| Ser. 3747, Class HI, IO, 4 1/2s, 2037 | 343,526 | 23,928 |
| Ser. 4116, Class MI, IO, 4s, 2042 | 5,591,714 | 721,405 |
| Ser. 4090, Class BI, IO, 4s, 2042 | 1,073,505 | 89,734 |
| Ser. 3748, Class NI, IO, 4s, 2034 | 1,118,910 | 22,356 |
| Ser. 3751, Class MI, IO, 4s, 2034 | 198,897 | 2,281 |
| Ser. 304, Class C53, IO, 4s, 2032 | 4,150,090 | 601,182 |
| Ser. 304, IO, 3 1/2s, 2027 | 2,982,335 | 318,275 |
| Ser. 304, Class C37, IO, 3 1/2s, 2027 | 2,178,446 | 250,674 |
| Ser. 4158, Class TI, IO, 3s, 2042 | 8,766,428 | 1,147,525 |
| Ser. 4165, Class TI, IO, 3s, 2042 | 7,474,908 | 964,263 |
| Ser. T-8, Class A9, IO, 0.445s, 2028 | 245,053 | 2,604 |
| Ser. T-59, Class 1AX, IO, 0.274s, 2043 | 569,468 | 7,185 |
| Ser. T-48, Class A2, IO, 0.212s, 2033 | 840,339 | 8,338 |
| FRB Ser. T-54, Class 2A, IO, zero %, 2043 | 338,573 | 53 |
|
| ||
| Federal National Mortgage Association | ||
| IFB Ser. 05-74, Class NK, 26.499s, 2035 | 89,186 | 158,650 |
| IFB Ser. 05-122, Class SE, 22.399s, 2035 | 306,446 | 466,704 |
| IFB Ser. 11-4, Class CS, 12 1/2s, 2040 | 1,784,041 | 2,181,205 |
| IFB Ser. 12-96, Class PS, IO, 6 1/2s, 2041 | 4,170,048 | 695,022 |
| IFB Ser. 12-88, Class SB, IO, 6.47s, 2042 | 4,504,742 | 680,171 |
| IFB Ser. 12-75, Class SK, IO, 6.45s, 2041 | 3,073,999 | 560,298 |
| IFB Ser. 12-75, Class KS, IO, 6.35s, 2042 | 1,978,946 | 337,984 |
| IFB Ser. 11-87, Class HS, IO, 6.3s, 2041 | 2,017,184 | 304,716 |
| IFB Ser. 404, Class S13, IO, 6.2s, 2040 | 157,310 | 22,281 |
| IFB Ser. 10-35, Class SG, IO, 6.2s, 2040 | 3,652,034 | 525,966 |
| 22 Absolute Return 700 Fund |
| MORTGAGE-BACKED SECURITIES (13.8%)* cont. | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations cont. | ||
| Federal National Mortgage Association | ||
| IFB Ser. 12-132, Class SB, IO, 6s, 2042 | $2,795,166 | $424,781 |
| IFB Ser. 12-113, Class CS, IO, 5.95s, 2041 | 2,205,387 | 402,130 |
| IFB Ser. 12-113, Class SG, IO, 5.9s, 2042 | 2,234,496 | 390,925 |
| Ser. 397, Class 2, IO, 5s, 2039 | 106,512 | 13,447 |
| Ser. 398, Class C5, IO, 5s, 2039 | 551,207 | 43,931 |
| Ser. 10-13, Class EI, IO, 5s, 2038 | 438,670 | 15,244 |
| Ser. 12-75, Class AI, IO, 4 1/2s, 2027 | 3,972,931 | 365,867 |
| Ser. 12-118, Class IO, IO, 4s, 2042 | 4,169,625 | 586,333 |
| Ser. 12-124, Class UI, IO, 4s, 2042 | 6,139,312 | 966,942 |
| Ser. 12-118, Class PI, IO, 4s, 2042 | 3,297,532 | 454,796 |
| Ser. 12-30, Class PI, IO, 4s, 2042 | 8,031,715 | 967,982 |
| Ser. 12-96, Class PI, IO, 4s, 2041 | 3,548,854 | 406,734 |
| Ser. 406, Class 2, IO, 4s, 2041 | 425,560 | 49,067 |
| Ser. 406, Class 1, IO, 4s, 2041 | 226,279 | 27,900 |
| Ser. 409, Class C16, IO, 4s, 2040 | 973,312 | 103,232 |
| Ser. 417, Class C19, IO, 3 1/2s, 2033 | 4,365,000 | 534,713 |
| Ser. 13-6, Class BI, IO, 3s, 2042 | 5,754,391 | 689,376 |
| Ser. 13-35, Class IP, IO, 3s, 2042 F | 4,064,046 | 508,438 |
| Ser. 13-23, Class PI, IO, 3s, 2041 | 5,555,787 | 628,915 |
| Ser. 03-W10, Class 1, IO, 1.3s, 2043 | 348,180 | 13,832 |
| Ser. 98-W2, Class X, IO, 0.937s, 2028 | 1,586,091 | 92,192 |
| Ser. 98-W5, Class X, IO, 0.873s, 2028 | 458,816 | 20,647 |
| Ser. 03-W1, Class 2A, IO, zero %, 2042 | 717,438 | 56 |
| Ser. 08-36, Class OV, PO, zero %, 2036 | 42,166 | 37,591 |
|
| ||
| Government National Mortgage Association | ||
| IFB Ser. 11-61, Class CS, IO, 6.481s, 2035 | 9,216,451 | 1,082,933 |
| IFB Ser. 10-26, Class QS, IO, 6.051s, 2040 | 1,838,032 | 307,868 |
| IFB Ser. 10-120, Class SB, IO, 6.001s, 2035 | 434,135 | 35,156 |
| IFB Ser. 10-20, Class SC, IO, 5.951s, 2040 | 3,846,078 | 641,603 |
| IFB Ser. 10-158, Class SA, IO, 5.851s, 2040 | 2,204,390 | 380,941 |
| IFB Ser. 10-151, Class SA, 5.851s, 2040 | 2,190,786 | 383,234 |
| IFB Ser. 10-61, Class SJ, IO, 5.85s, 2040 | 1,116,564 | 172,799 |
| IFB Ser. 11-70, Class SN, IO, 5.7s, 2041 | 1,610,000 | 409,600 |
| IFB Ser. 11-70, Class SH, IO, 5.69s, 2041 | 1,892,718 | 486,012 |
| IFB Ser. 10-42, Class DS, IO, 5.501s, 2040 | 8,160,499 | 1,183,272 |
| IFB Ser. 10-115, Class BS, IO, 5.201s, 2040 | 2,421,590 | 352,051 |
| Ser. 13-3, Class IT, IO, 5s, 2043 | 2,188,114 | 344,111 |
| Ser. 11-18, Class PI, IO, 4 1/2s, 2040 | 352,714 | 53,154 |
| Ser. 10-35, Class QI, IO, 4 1/2s, 2040 | 5,389,734 | 836,341 |
| Ser. 10-103, Class DI, IO, 4 1/2s, 2038 | 8,070,434 | 635,547 |
|
| ||
| GSMPS Mortgage Loan Trust 144A | ||
| Ser. 99-2, IO, 0.662s, 2027 | 123,362 | 1,210 |
| Ser. 98-3, IO, 0.284s, 2027 | 75,423 | 1,108 |
| Ser. 98-2, IO, 0.19s, 2027 | 66,103 | 475 |
| Ser. 98-4, IO, zero %, 2026 | 97,337 | 2,395 |
|
| ||
| Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, | ||
| 5.98s, 2045 | 931,121 | 178,077 |
|
| ||
| 37,787,160 | ||
| Absolute Return 700 Fund | 23 |
| MORTGAGE-BACKED SECURITIES (13.8%)* cont. | Principal amount | Value |
|
| ||
| Commercial mortgage-backed securities (5.5%) | ||
| Banc of America Commercial Mortgage, Inc. | ||
| Ser. 06-4, Class AJ, 5.695s, 2046 | $710,000 | $739,653 |
| Ser. 06-1, Class B, 5.49s, 2045 | 255,000 | 231,330 |
| FRB Ser. 05-5, Class D, 5.404s, 2045 | 426,000 | 420,505 |
| FRB Ser. 05-6, Class G, 5.359s, 2047 | 443,000 | 416,420 |
| Ser. 06-6, Class A2, 5.309s, 2045 | 212,332 | 214,277 |
| Ser. 07-1, Class XW, IO, 0.485s, 2049 | 3,379,466 | 31,152 |
|
| ||
| Banc of America Commercial Mortgage, Inc. 144A | ||
| FRB Ser. 08-1, Class C, 6.438s, 2051 | 584,000 | 477,946 |
| Ser. 04-2, Class G, 5.239s, 2038 | 1,000,000 | 1,050,500 |
| Ser. 04-2, Class F, 4.992s, 2038 | 650,000 | 681,850 |
| Ser. 04-4, Class XC, IO, 1.034s, 2042 | 4,109,092 | 38,962 |
| Ser. 02-PB2, Class XC, IO, 0.512s, 2035 | 1,377,353 | 12 |
|
| ||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||
| FRB Ser. 07-T28, Class AJ, 6.151s, 2042 | 315,000 | 342,563 |
| FRB Ser. 07-PW17, Class AJ, 6.082s, 2050 | 684,000 | 677,160 |
| FRB Ser. 06-PW12, Class AJ, 5.949s, 2038 | 544,000 | 566,927 |
| FRB Ser. 06-PW11, Class AJ, 5.618s, 2039 | 576,000 | 604,980 |
| Ser. 05-PWR7, Class D, 5.304s, 2041 | 431,000 | 400,356 |
| FRB Ser. 05-T20, Class C, 5.298s, 2042 | 324,000 | 313,308 |
| Ser. 05-PWR7, Class C, 5.235s, 2041 | 489,000 | 439,863 |
| Ser. 05-PWR9, Class C, 5.055s, 2042 | 281,000 | 271,558 |
|
| ||
| Bear Stearns Commercial Mortgage Securities, Inc. 144A FRB | ||
| Ser. 06-PW11, Class B, 5.618s, 2039 | 1,310,000 | 1,279,215 |
|
| ||
| Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class B, | ||
| 5.029s, 2043 | 770,000 | 724,185 |
|
| ||
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, | ||
| Class D, 5.041s, 2045 | 1,486,000 | 1,599,828 |
|
| ||
| Commercial Mortgage Trust | ||
| Ser. 07-C9, Class AJ, 5.65s, 2049 | 980,000 | 1,068,200 |
| FRB Ser. 04-LB3A, Class E, 5.524s, 2037 | 693,000 | 708,177 |
| FRB Ser. 05-LP5, Class D, 5.262s, 2043 | 359,000 | 379,114 |
|
| ||
| Commercial Mortgage Trust 144A | ||
| FRB Ser. 12-CR5, Class E, 4.479s, 2045 | 301,000 | 286,973 |
| FRB Ser. 13-CR6, Class D, 4.316s, 2046 F | 209,000 | 186,918 |
| FRB Ser. 07-C9, Class AJFL, 0.89s, 2049 | 1,013,000 | 864,697 |
|
| ||
| Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, | ||
| Class A2, 5.955s, 2039 | 200,668 | 202,185 |
|
| ||
| CS First Boston Mortgage Securities Corp. Ser. 02-CP5, Class E, | ||
| 5.339s, 2035 | 539,000 | 540,274 |
|
| ||
| CS First Boston Mortgage Securities Corp. 144A | ||
| Ser. 02-CP5, Class H, 6.326s, 2035 | 460,000 | 454,250 |
| Ser. 03-C3, Class AX, IO, 1.613s, 2038 | 1,041,101 | 40 |
|
| ||
| Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB | ||
| Ser. 11-LC2A, Class D, 5.626s, 2044 | 531,000 | 573,450 |
|
| ||
| DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, | ||
| 6.04s, 2031 | 733,189 | 740,521 |
|
| ||
| 24 Absolute Return 700 Fund |
| MORTGAGE-BACKED SECURITIES (13.8%)* cont. | Principal amount | Value |
|
| ||
| Commercial mortgage-backed securities cont. | ||
| GE Capital Commercial Mortgage Corp. | ||
| FRB Ser. 05-C4, Class AJ, 5.471s, 2045 F | $258,000 | $237,343 |
| FRB Ser. 06-C1, Class AJ, 5.47s, 2044 | 103,000 | 104,227 |
|
| ||
| GE Commercial Mortgage Corporation Trust 144A FRB | ||
| Ser. 04-C1, Class G, 5.157s, 2038 | 567,000 | 579,984 |
|
| ||
| GMAC Commercial Mortgage Securities, Inc. | ||
| FRB Ser. 03-C2, Class E, 5.614s, 2040 | 2,310,000 | 2,377,914 |
| Ser. 04-C3, Class B, 4.965s, 2041 | 233,000 | 198,341 |
|
| ||
| Greenwich Capital Commercial Funding Corp. | ||
| FRB Ser. 05-GG3, Class E, 5.087s, 2042 | 320,000 | 290,304 |
| FRB Ser. 05-GG3, Class D, 4.986s, 2042 | 532,000 | 514,255 |
|
| ||
| Greenwich Capital Commercial Funding Corp. 144A | ||
| FRB Ser. 03-C1, Class J, 5.363s, 2035 | 670,000 | 682,529 |
| Ser. 03-C1, Class G, 4.773s, 2035 | 311,000 | 310,406 |
|
| ||
| GS Mortgage Securities Corp. II | ||
| Ser. 06-GG8, Class AJ, 5.622s, 2039 | 347,000 | 341,699 |
| Ser. 05-GG4, Class B, 4.841s, 2039 | 970,000 | 971,067 |
| Ser. 05-GG4, Class AJ, 4.782s, 2039 | 313,000 | 324,571 |
|
| ||
| GS Mortgage Securities Trust FRB Ser. 04-GG2, Class D, | ||
| 5.728s, 2038 | 299,000 | 301,756 |
|
| ||
| GS Mortgage Securities Trust 144A | ||
| Ser. GC10, Class D, 4.563s, 2046 | 636,000 | 616,856 |
| Ser. 06-GG8, Class X, IO, 0.8s, 2039 | 58,501,511 | 1,129,079 |
|
| ||
| JPMorgan Chase Commercial Mortgage Securities Corp. | ||
| FRB Ser. 07-CB20, Class AJ, 6.275s, 2051 | 1,528,500 | 1,609,511 |
| FRB Ser. 06-LDP7, Class B, 6.059s, 2045 | 645,000 | 532,740 |
| FRB Ser. 04-CB9, Class B, 5.833s, 2041 | 800,000 | 830,080 |
| Ser. 07-LD12, Class A2, 5.827s, 2051 | 227,438 | 230,850 |
| Ser. 06-CB16, Class AJ, 5.623s, 2045 | 268,000 | 269,088 |
| Ser. 06-LDP6, Class AJ, 5.565s, 2043 | 497,000 | 529,206 |
| FRB Ser. 05-LDP3, Class D, 5.366s, 2042 | 555,000 | 519,702 |
| Ser. 02-C3, Class D, 5.314s, 2035 | 134,701 | 134,566 |
| Ser. 03-C1, Class D, 5.192s, 2037 | 2,244,794 | 2,289,689 |
| FRB Ser. 04-CBX, Class B, 5.021s, 2037 | 210,000 | 207,822 |
| FRB Ser. 05-LDP2, Class C, 4.911s, 2042 | 250,000 | 236,750 |
| FRB Ser. 13-C10, Class D, 4.3s, 2047 | 309,000 | 292,542 |
| Ser. 07-LDPX, Class X, IO, 0.467s, 2049 | 13,635,499 | 123,892 |
|
| ||
| JPMorgan Chase Commercial Mortgage Securities Corp. 144A | ||
| FRB Ser. 07-CB20, Class B, 6 3/8s, 2051 | 392,000 | 365,400 |
| FRB Ser. 07-CB20, Class C, 6 3/8s, 2051 | 280,000 | 262,732 |
| FRB Ser. 11-C3, Class E, 5.718s, 2046 | 262,000 | 288,069 |
| FRB Ser. 11-C5, Class D, 5.492s, 2046 | 565,000 | 631,275 |
| FRB Ser. 12-CBX, Class E, 5.362s, 2045 | 852,000 | 884,402 |
| FRB Ser. 12-LC9, Class E, 4.576s, 2047 | 447,000 | 436,415 |
|
| ||
| Key Commercial Mortgage Ser. 07-SL1, Class A2, 5.719s, 2040 | 210,895 | 206,677 |
|
| ||
| LB-UBS Commercial Mortgage Trust | ||
| FRB Ser. 06-C6, Class C, 5.482s, 2039 | 377,000 | 355,059 |
| Ser. 07-C2, Class XW, IO, 0.693s, 2040 | 2,612,601 | 45,585 |
|
| ||
| Absolute Return 700 Fund | 25 |
| MORTGAGE-BACKED SECURITIES (13.8%)* cont. | Principal amount | Value |
|
| ||
| Commercial mortgage-backed securities cont. | ||
| LB-UBS Commercial Mortgage Trust 144A | ||
| FRB Ser. 03-C8, Class J, 5.925s, 2037 | $1,000,000 | $992,900 |
| FRB Ser. 03-C8, Class K, 5.925s, 2037 | 1,441,000 | 1,452,384 |
|
| ||
| Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, | ||
| 6.458s, 2051 | 328,000 | 344,826 |
|
| ||
| Merrill Lynch/Countrywide Commercial Mortgage Trust 144A | ||
| Ser. 06-4, Class XC, IO, 0.229s, 2049 | 52,385,423 | 660,056 |
|
| ||
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| Ser. 13-C8, Class D, 4.312s, 2048 | 506,000 | 476,399 |
|
| ||
| Morgan Stanley Capital I Trust | ||
| FRB Ser. 07-T27, Class AJ, 5.816s, 2042 | 818,000 | 865,608 |
| FRB Ser. 06-HQ8, Class AJ, 5.677s, 2044 | 417,000 | 422,755 |
| Ser. 07-HQ11, Class C, 5.558s, 2044 | 322,000 | 299,460 |
| Ser. 07-HQ11, Class AJ, 5.508s, 2044 | 493,000 | 524,306 |
| Ser. 06-HQ10, Class AJ, 5.389s, 2041 | 350,000 | 317,072 |
|
| ||
| Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, | ||
| Class J, 7s, 2032 | 1,593,172 | 1,603,085 |
|
| ||
| UBS-Barclays Commercial Mortgage Trust 144A | ||
| FRB Ser. 12-C3, Class D, 5.123s, 2049 | 635,000 | 623,972 |
| FRB Ser. 12-C4, Class D, 4.652s, 2045 | 534,000 | 511,483 |
|
| ||
| Wachovia Bank Commercial Mortgage Trust Ser. 06-C24, | ||
| Class AJ, 5.658s, 2045 | 403,000 | 406,949 |
|
| ||
| Wachovia Bank Commercial Mortgage Trust 144A FRB | ||
| Ser. 05-C21, Class E, 5.414s, 2044 | 569,000 | 550,963 |
|
| ||
| WF-RBS Commercial Mortgage Trust 144A | ||
| FRB Ser. 11-C4, Class E, 5.417s, 2044 | 737,000 | 777,576 |
| FRB Ser. 12-C9, Class D, 4.963s, 2045 | 484,000 | 486,874 |
| FRB Ser. 12-C10, Class D, 4.61s, 2045 | 637,000 | 619,846 |
| FRB Ser. 13-C11, Class D, 4.325s, 2045 | 298,000 | 286,499 |
|
| ||
| 50,012,745 | ||
| Residential mortgage-backed securities (non-agency) (4.1%) | ||
| Adjustable Rate Mortgage Trust FRB Ser. 06-2, 2.685s, 2036 | 3,044,485 | 2,603,034 |
|
| ||
| American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, | ||
| zero %, 2047 F | 9,864,446 | 1,252,785 |
|
| ||
| Banc of America Funding Corp. | ||
| FRB Ser. 06-G, Class 3A3, 5 3/4s, 2036 | 360,927 | 295,960 |
| FRB Ser. 07-C, Class 07-C, 2.756s, 2036 | 2,829,852 | 2,575,166 |
| FRB Ser. 06-G, Class 2A5, 0.479s, 2036 | 2,245,413 | 1,975,964 |
|
| ||
| Barclays Capital, LLC Trust | ||
| Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 | 286,220 | 171,732 |
| Ser. 12-RR10, Class 8A2, 4s, 2036 | 599,014 | 609,497 |
| FRB Ser. 12-RR10, Class 9A2, 2.671s, 2035 | 280,000 | 232,400 |
| Ser. 12-RR10, Class 4A2, 2.639s, 2036 | 420,000 | 365,400 |
|
| ||
| Barclays Capital, LLC Trust 144A | ||
| FRB Ser. 12-RR12, Class 1A3, 13.256s, 2037 | 299,629 | 202,250 |
| FRB Ser. 12-RR11, Class 5A3, 13.052s, 2037 | 288,665 | 184,745 |
| FRB Ser. 13-RR2, Class 4A2, 9.391s, 2036 | 590,000 | 472,000 |
| FRB Ser. 13-RR2, Class 3A2, 9.04s, 2036 | 490,000 | 481,425 |
| 26 Absolute Return 700 Fund |
| MORTGAGE-BACKED SECURITIES (13.8%)* cont. | Principal amount | Value |
|
| ||
| Residential mortgage-backed securities cont. | ||
| Barclays Capital, LLC Trust 144A | ||
| Ser. 12-RR11, Class 9A2, 4s, 2037 | $458,095 | $466,111 |
| Ser. 12-RR12, Class 1A2, 4s, 2037 | 221,329 | 225,202 |
| FRB Ser. 12-RR11, Class 5A2, 4s, 2037 | 325,795 | 331,496 |
| Ser. 12-RR11, Class 11A2, 2.6s, 2036 | 1,014,172 | 674,425 |
| Ser. 09-RR7, Class 1A7, IO, 1.762s, 2046 | 15,453,792 | 695,421 |
| Ser. 09-RR7, Class 2A7, IO, 1.566s, 2047 | 25,439,594 | 1,160,045 |
|
| ||
| Bear Stearns Mortgage Funding Trust | ||
| Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 | 4,334,884 | 136,549 |
| Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 | 3,260,069 | 58,681 |
|
| ||
| Citigroup Mortgage Loan Trust, Inc. 144A | ||
| FRB Ser. 12-8, Class 1A2, 2.671s, 2035 | 1,300,000 | 1,053,000 |
| FRB Ser. 12-7, Class 12A2, 2.64s, 2036 | 3,847,314 | 2,923,959 |
|
| ||
| Countrywide Home Loans Ser. 05-15, Class A8, 5 1/2s, 2035 | 1,650,000 | 1,609,316 |
|
| ||
| JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 5A6, | ||
| 3.003s, 2035 | 2,276,133 | 2,094,042 |
|
| ||
| Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, | ||
| PO, 0.8s, 2047 | 2,339,844 | 79,087 |
|
| ||
| WAMU Mortgage Pass-Through Certificates | ||
| Ser. 05-AR8, Class X, IO, PO, 1.653s, 2045 | 7,786,282 | 462,505 |
| Ser. 05-AR11, Class X, IO, PO, 1.511s, 2045 | 17,745,348 | 1,011,485 |
| FRB Ser. 06-AR1, Class 2A1B, 1.246s, 2046 | 1,689,053 | 1,445,880 |
| FRB Ser. 06-AR1, Class 2A1C, 1.246s, 2046 | 2,171,639 | 1,270,409 |
| FRB Ser. 05-AR8, Class B1, 0.87s, 2045 | 1,397,478 | 614,890 |
| FRB Ser. 2004-AR13, Class A1B2, 0.74s, 2034 | 768,202 | 697,143 |
| FRB Ser. 05-AR11, Class A1C3, 0.71s, 2045 | 1,569,277 | 1,271,114 |
| FRB Ser. 05-AR11, Class A1C4, 0.64s, 2045 | 948,738 | 758,990 |
| FRB Ser. 05-AR17, Class A1C4, 0.6s, 2045 | 3,016,852 | 1,629,100 |
| FRB Ser. 05-AR1, Class A1B, 0.59s, 2045 | 252,488 | 214,615 |
|
| ||
| Wells Fargo Mortgage Backed Securities Trust | ||
| Ser. 07-16, Class 1A7, 6s, 2037 | 547,918 | 578,766 |
| Ser. 08-1, Class 4A1, 5 3/4s, 2038 | 376,198 | 398,782 |
| Ser. 06-6, Class 1A3, 5 3/4s, 2036 | 1,145,441 | 1,145,006 |
| Ser. 05-11, Class 2A5, 5 1/2s, 2035 | 1,770,238 | 1,834,498 |
| FRB Ser. 06-AR6, Class 7A2, 5.009s, 2036 | 664,511 | 661,188 |
|
| ||
| 36,924,063 | ||
| Total mortgage-backed securities (cost $122,230,499) | $124,723,968 | |
| CORPORATE BONDS AND NOTES (11.4%)* | Principal amount | Value |
|
| ||
| Basic materials (0.9%) | ||
| Alcoa, Inc. sr. unsec. unsub. notes 5.55s, 2017 | $196,000 | $215,186 |
|
| ||
| ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018 (France) | 85,000 | 93,108 |
|
| ||
| Atkore International, Inc. company guaranty sr. notes | ||
| 9 7/8s, 2018 | 650,000 | 715,813 |
|
| ||
| BHP Billiton Finance USA, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 5 1/2s, 2014 (Australia) | 196,000 | 205,153 |
|
| ||
| Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, | ||
| 2016 (Mexico) | 1,000,000 | 1,075,000 |
|
| ||
| Absolute Return 700 Fund | 27 |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value | |
|
| |||
| Basic materials cont. | |||
| Dow Chemical Co. (The) sr. unsec. unsub. notes 5.9s, 2015 | $325,000 | $354,098 | |
|
| |||
| E.I. du Pont de Nemours & Co. sr. unsec. notes 2.8s, 2023 | 260,000 | 266,610 | |
|
| |||
| HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 | 1,500,000 | 1,623,750 | |
|
| |||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
| company guaranty sr. notes 8 7/8s, 2018 | 1,105,000 | 1,171,300 | |
|
| |||
| Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, | |||
| 2017 (Sweden) | 500,000 | 538,125 | |
|
| |||
| Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes | |||
| 9s, 2019 (Australia) | 265,000 | 366,618 | |
|
| |||
| SGL Carbon SE company guaranty sr. sub. FRN notes | |||
| Ser. EMTN, 1.476s, 2015 (Germany) | EUR | 150,000 | 194,605 |
|
| |||
| Smurfit Kappa Acquisitions 144A company guaranty sr. notes | |||
| 4 7/8s, 2018 (Ireland) | $1,000,000 | 1,024,231 | |
|
| |||
| US Coatings Acquisition, Inc./Flash Dutch 2 BV 144A company | |||
| guaranty sr. notes 5 3/4s, 2021 (Netherlands) | 100,000 | 139,926 | |
|
| |||
| Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes | |||
| 6 1/4s, 2017 (Brazil) | 230,000 | 265,531 | |
|
| |||
| 8,249,054 | |||
| Capital goods (0.8%) | |||
| American Axle & Manufacturing, Inc. company guaranty sr. | |||
| unsec. notes 7 3/4s, 2019 | 1,750,000 | 1,986,250 | |
|
| |||
| Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019 | 115,000 | 135,224 | |
|
| |||
| Boeing Co. (The) sr. unsec. unsub. notes 3 1/2s, 2015 | 148,000 | 155,978 | |
|
| |||
| Caterpillar Financial Services Corp. sr. unsec. notes 6 1/8s, 2014 | 359,000 | 375,484 | |
|
| |||
| Deere & Co. sr. unsec. notes 6.95s, 2014 | 148,000 | 157,525 | |
|
| |||
| Dematic SA/DH Services Luxembourg Sarl 144A company | |||
| guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) | 500,000 | 546,250 | |
|
| |||
| General Cable Corp. company guaranty sr. unsec. unsub. FRN | |||
| notes 2.659s, 2015 | 125,000 | 123,438 | |
|
| |||
| KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) | 150,000 | 214,711 | |
|
| |||
| Kratos Defense & Security Solutions, Inc. company guaranty sr. | |||
| notes 10s, 2017 | 445,000 | 490,613 | |
|
| |||
| Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 | 1,155,000 | 1,189,650 | |
|
| |||
| Rexel SA 144A company guaranty sr. unsec. unsub. notes | |||
| 6 1/8s, 2019 (France) | 1,250,000 | 1,334,375 | |
|
| |||
| United Technologies Corp. sr. unsec. unsub. notes 4 7/8s, 2015 | 263,000 | 285,746 | |
|
| |||
| 6,995,244 | |||
| Communication services (1.8%) | |||
| America Movil SAB de CV company guaranty unsec. unsub. | |||
| notes 5 1/2s, 2014 (Mexico) | 196,000 | 203,541 | |
|
| |||
| AT&T, Inc. sr. unsec. unsub. notes 2 1/2s, 2015 | 1,501,000 | 1,559,272 | |
|
| |||
| Cellco Partnership/Verizon Wireless Capital, LLC sr. unsec. | |||
| unsub. notes 5.55s, 2014 | 263,000 | 272,278 | |
|
| |||
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A | |||
| company guaranty sr. notes 12s, 2015 | 750,000 | 802,500 | |
|
| |||
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A | |||
| company guaranty sr. notes 12s, 2015 | 400,000 | 428,000 | |
|
| |||
| Comcast Corp. company guaranty sr. unsec. unsub. notes | |||
| 2.85s, 2023 | 735,000 | 755,413 | |
|
| |||
| Deutsche Telekom International Finance BV company guaranty | |||
| sr. unsec. unsub. notes 5 3/4s, 2016 (Netherlands) | 263,000 | 296,409 | |
|
| |||
| 28 Absolute Return 700 Fund |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value | |
|
| |||
| Communication services cont. | |||
| DISH DBS Corp. company guaranty notes 7s, 2013 | $220,000 | $224,675 | |
|
| |||
| Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | 495,000 | 574,200 | |
|
| |||
| Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, | |||
| 2017 (United Kingdom) | 130,000 | 137,963 | |
|
| |||
| Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, | |||
| 2018 (Luxembourg) | 700,000 | 736,750 | |
|
| |||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
| notes 9 3/8s, 2019 | 1,250,000 | 1,409,375 | |
|
| |||
| Lynx I Corp. 144A sr. notes 6s, 2021 | 540,000 | 884,943 | |
|
| |||
| NII Capital Corp. company guaranty sr. unsec. unsub. | |||
| notes 10s, 2016 | 837,000 | 862,110 | |
|
| |||
| Qwest Corp. sr. unsec. unsub. notes 6 1/2s, 2017 | 290,000 | 336,188 | |
|
| |||
| Telecom Italia Capital SA company guaranty notes 5 1/4s, | |||
| 2015 (Italy) | 297,000 | 316,989 | |
|
| |||
| Telefonica Emisiones SAU company guaranty notes 6.421s, | |||
| 2016 (Spain) | 140,000 | 157,760 | |
|
| |||
| Telefonica Emisiones SAU company guaranty sr. unsec. notes | |||
| 4.949s, 2015 (Spain) | 185,000 | 194,805 | |
|
| |||
| Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, | |||
| 2024 (Luxembourg) | EUR | 115,000 | 158,999 |
|
| |||
| Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, | |||
| 2022 (Luxembourg) | $165,000 | 224,352 | |
|
| |||
| Time Warner Cable, Inc. company guaranty sr. unsec. notes | |||
| 5.85s, 2017 | 555,000 | 647,606 | |
|
| |||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
| 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) | 560,000 | 613,623 | |
|
| |||
| Verizon Communications, Inc. sr. unsec. notes 5.55s, 2016 | 846,000 | 952,683 | |
|
| |||
| Vodafone Group PLC sr. unsec. unsub. notes 5 5/8s, 2017 | |||
| (United Kingdom) | 297,000 | 344,335 | |
|
| |||
| WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
| 144A company guaranty sr. unsec. notes 10 1/4s, 2019 | 1,525,000 | 1,715,625 | |
|
| |||
| Wind Acquisition Finance SA company guaranty sr. notes | |||
| Ser. REGS, 7 3/8s, 2018 (Luxembourg) | EUR | 110,000 | 152,531 |
|
| |||
| Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
| 7 1/4s, 2018 (Luxembourg) | $420,000 | 443,100 | |
|
| |||
| Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
| 7 7/8s, 2017 | 1,000,000 | 1,167,500 | |
|
| |||
| 16,573,525 | |||
| Consumer cyclicals (1.0%) | |||
| Affinion Group, Inc. company guaranty sr. unsec. sub. notes | |||
| 11 1/2s, 2015 | 730,000 | 631,450 | |
|
| |||
| Caesars Entertainment Operating Co., Inc. sr. notes | |||
| 11 1/4s, 2017 | 1,445,000 | 1,528,088 | |
|
| |||
| Clear Channel Communications, Inc. 144A company guaranty sr. | |||
| notes 9s, 2019 | 475,000 | 475,000 | |
|
| |||
| Daimler Finance North America, LLC company guaranty | |||
| 6 1/2s, 2013 | 163,000 | 168,237 | |
|
| |||
| FelCor Lodging LP company guaranty sr. notes 10s, 2014 R | 312,000 | 346,710 | |
|
| |||
| Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016 | 163,000 | 184,176 | |
|
| |||
| ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, | |||
| 2016 (Denmark) | EUR | 600,000 | 805,974 |
|
| |||
| Absolute Return 700 Fund 29 |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| News America, Inc. company guaranty sr. unsec. notes | |||
| 4 1/2s, 2021 | $263,000 | $302,494 | |
|
| |||
| Owens Corning company guaranty sr. unsec. notes 9s, 2019 | 47,000 | 60,043 | |
|
| |||
| Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 | 200,000 | 229,500 | |
|
| |||
| ROC Finance, LLC/ROC Finance 1 Corp. 144A notes | |||
| 12 1/8s, 2018 | 800,000 | 940,000 | |
|
| |||
| RSI Home Products, Inc. 144A company guaranty notes | |||
| 6 7/8s, 2018 | 645,000 | 677,250 | |
|
| |||
| Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | 500,000 | 554,375 | |
|
| |||
| Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, | |||
| 2017 (Netherlands) | 395,000 | 449,313 | |
|
| |||
| Target Corp. sr. unsec. notes 5 3/8s, 2017 | 263,000 | 307,742 | |
|
| |||
| Time Warner, Inc. company guaranty sr. unsec. notes | |||
| 5 7/8s, 2016 | 426,000 | 496,174 | |
|
| |||
| Travelport, LLC/Travelport Holdings, Inc. 144A company | |||
| guaranty sr. unsec. unsub. notes 13 7/8s, 2016 ‡‡ | 333,500 | 335,168 | |
|
| |||
| Wal-Mart Stores, Inc. sr. unsec. unsub. notes 3.2s, 2014 | 622,000 | 640,983 | |
|
| |||
| Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 | 162,000 | 173,745 | |
|
| |||
| 9,306,422 | |||
| Consumer staples (0.6%) | |||
| Altria Group, Inc. company guaranty sr. unsec. notes | |||
| 4 1/8s, 2015 | 387,000 | 416,577 | |
|
| |||
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. | |||
| unsec. unsub. notes 4 1/8s, 2015 | 359,000 | 380,174 | |
|
| |||
| Coca-Cola Co. (The) sr. unsec. notes 1.8s, 2016 | 163,000 | 168,843 | |
|
| |||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
| notes 7 1/4s, 2016 | 590,000 | 678,500 | |
|
| |||
| CVS Corp. sr. unsec. notes 5 3/4s, 2017 | 113,000 | 133,608 | |
|
| |||
| Diageo Capital PLC company guaranty sr. unsec. unsub. notes | |||
| 5 3/4s, 2017 (United Kingdom) | 196,000 | 234,264 | |
|
| |||
| Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, | |||
| 2015 (Netherlands) | EUR | 750,000 | 1,045,356 |
|
| |||
| Kroger Co. (The) company guaranty sr. unsec. unsub. | |||
| notes 6.4s, 2017 | $163,000 | 194,678 | |
|
| |||
| Mondelez International, Inc. sr. unsec. unsub. notes 4 1/8s, 2016 | 622,000 | 677,150 | |
|
| |||
| PepsiCo, Inc. sr. unsec. unsub. notes 3.1s, 2015 | 459,000 | 480,046 | |
|
| |||
| Philip Morris International, Inc. sr. unsec. unsub. notes | |||
| 5.65s, 2018 | 196,000 | 236,072 | |
|
| |||
| Procter & Gamble Co. (The) sr. unsec. notes 3 1/2s, 2015 | 263,000 | 276,936 | |
|
| |||
| 4,922,204 | |||
| Energy (1.2%) | |||
| Anadarko Petroleum Corp. sr. notes 5.95s, 2016 | 170,000 | 195,903 | |
|
| |||
| BP Capital Markets PLC company guaranty sr. unsec. notes | |||
| 3 7/8s, 2015 (United Kingdom) | 148,000 | 156,829 | |
|
| |||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. | |||
| notes 4 1/2s, 2020 (United Kingdom) | 115,000 | 133,293 | |
|
| |||
| Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes | |||
| 8 5/8s, 2018 | 1,000,000 | 1,107,500 | |
|
| |||
| Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
| 9 1/2s, 2015 | 445,000 | 502,850 | |
|
| |||
| 30 Absolute Return 700 Fund |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value |
|
| ||
| Energy cont. | ||
| Comstock Resources, Inc. company guaranty sr. unsub. notes | ||
| 8 3/8s, 2017 | $685,000 | $730,381 |
|
| ||
| ConocoPhillips company guaranty sr. unsec. notes 4.6s, 2015 | 521,000 | 556,918 |
|
| ||
| EnCana Holdings Finance Corp. company guaranty sr. unsec. | ||
| unsub. notes 5.8s, 2014 (Canada) | 230,000 | 241,613 |
|
| ||
| Gazprom Via OAO White Nights Finance BV notes 10 1/2s, | ||
| 2014 (Russia) | 500,000 | 541,835 |
|
| ||
| Hercules Offshore, Inc. 144A company guaranty sr. notes | ||
| 7 1/8s, 2017 | 110,000 | 119,350 |
|
| ||
| Linn Energy LLC/Linn Energy Finance Corp. company guaranty | ||
| sr. unsec. notes 6 1/2s, 2019 | 1,250,000 | 1,325,000 |
|
| ||
| Peabody Energy Corp. company guaranty sr. unsec. notes | ||
| 7 3/8s, 2016 | 265,000 | 303,425 |
|
| ||
| Petroleos de Venezuela SA sr. unsec. notes 4.9s, | ||
| 2014 (Venezuela) | 1,805,000 | 1,720,075 |
|
| ||
| Quicksilver Resources, Inc. company guaranty sr. unsec. notes | ||
| 8 1/4s, 2015 | 500,000 | 512,500 |
|
| ||
| Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 | 280,000 | 299,250 |
|
| ||
| Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 | 1,500,000 | 1,593,750 |
|
| ||
| Shell International Finance BV company guaranty sr. unsec. | ||
| notes 3.1s, 2015 (Netherlands) | 459,000 | 484,732 |
|
| ||
| XTO Energy, Inc. sr. unsec. unsub. notes 6 1/4s, 2017 | 196,000 | 239,862 |
|
| ||
| 10,765,066 | ||
| Financials (2.9%) | ||
| Allstate Corp. (The) sr. unsec. unsub. notes 5s, 2014 | 196,000 | 207,082 |
|
| ||
| Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 | 1,000,000 | 1,134,909 |
|
| ||
| American Express Credit Corp. sr. unsec. unsub. notes | ||
| 5 1/8s, 2014 | 588,000 | 623,322 |
|
| ||
| American International Group, Inc. sr. unsec. notes Ser. MTN, | ||
| 5.45s, 2017 | 325,000 | 372,023 |
|
| ||
| Bank of America Corp. sr. unsec. notes 5 3/4s, 2017 | 2,085,000 | 2,423,581 |
|
| ||
| Bank of New York Mellon Corp. (The) sr. unsec. unsub. notes | ||
| 1.969s, 2017 | 265,000 | 273,484 |
|
| ||
| Barclays Bank PLC sr. unsec. unsub. notes 5.2s, 2014 | ||
| (United Kingdom) | 359,000 | 377,865 |
|
| ||
| BB&T Corp. unsec. sub. notes 5.2s, 2015 | 196,000 | 217,162 |
|
| ||
| Berkshire Hathaway, Inc. sr. unsec. unsub. notes 3.2s, 2015 | 717,000 | 752,141 |
|
| ||
| Capital One Financial Corp. sr. unsec. unsub. notes 6 3/4s, 2017 | 263,000 | 318,809 |
|
| ||
| CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. | ||
| notes 11 5/8s, 2017 | 650,000 | 694,688 |
|
| ||
| CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 | 520,000 | 574,600 |
|
| ||
| Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018 | 218,000 | 262,383 |
|
| ||
| Credit Suisse of New York sr. unsec. notes 5 1/2s, 2014 | 818,000 | 858,345 |
|
| ||
| Deutsche Bank AG London sr. unsec. notes 6s, 2017 | ||
| (United Kingdom) | 359,000 | 427,804 |
|
| ||
| E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 | 1,190,000 | 1,279,250 |
|
| ||
| General Electric Capital Corp. sr. unsec. unsub. notes 6s, 2019 | 2,050,000 | 2,511,570 |
|
| ||
| Goldman Sachs Group, Inc. (The) sr. unsec. notes 6 1/4s, 2017 | 1,597,000 | 1,878,586 |
|
| ||
| Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. | ||
| FRB bonds 8 1/8s, 2038 | 645,000 | 766,744 |
|
| ||
| Absolute Return 700 Fund | 31 |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value | |
|
| |||
| Financials cont. | |||
| HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 | $435,000 | $526,373 | |
|
| |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | |||
| guaranty sr. unsec. notes 8s, 2018 | 750,000 | 806,250 | |
|
| |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | |||
| guaranty sr. unsec. notes 7 3/4s, 2016 | 700,000 | 728,875 | |
|
| |||
| JPMorgan Chase & Co. sr. unsec. unsub. notes 3.7s, 2015 | 1,759,000 | 1,845,611 | |
|
| |||
| LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, | |||
| perpetual maturity (United Kingdom) | 200,000 | 212,766 | |
|
| |||
| Metropolitan Life Global Funding I 144A notes 3s, 2023 | 260,000 | 264,933 | |
|
| |||
| PNC Funding Corp. bank guaranty sr. unsec. notes 3 5/8s, 2015 | 167,000 | 175,604 | |
|
| |||
| Prudential Financial, Inc. sr. disc. unsec. unsub. notes Ser. MTN, | |||
| 4 3/4s, 2015 | 325,000 | 354,050 | |
|
| |||
| Simon Property Group LP sr. unsec. unsub. notes 3 3/8s, 2022 R | 230,000 | 245,238 | |
|
| |||
| SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | 230,000 | 270,082 | |
|
| |||
| UBS AG/Stamford CT sr. unsec. notes Ser. DPNT, 3 7/8s, 2015 | 250,000 | 262,817 | |
|
| |||
| US Bancorp sr. unsec. unsub. notes 2.45s, 2015 | 263,000 | 273,666 | |
|
| |||
| Vnesheconombank Via VEB Finance PLC 144A bank guaranty, | |||
| sr. unsec. unsub. bonds 6.8s, 2025 (Russia) | 250,000 | 300,625 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, | |||
| 2035 (Russia) | 500,000 | 543,750 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes | |||
| 6 7/8s, 2018 (Russia) | 1,500,000 | 1,682,250 | |
|
| |||
| Wells Fargo & Co. sr. unsec. unsub. notes 5 5/8s, 2017 | 1,334,000 | 1,580,715 | |
|
| |||
| Westpac Banking Corp. sr. unsec. unsub. notes 3s, | |||
| 2015 (Australia) | 230,000 | 241,744 | |
|
| |||
| 26,269,697 | |||
| Health care (1.0%) | |||
| Amgen, Inc. sr. unsec. notes 5.85s, 2017 | 196,000 | 231,664 | |
|
| |||
| AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) | 196,000 | 235,833 | |
|
| |||
| CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021 | 175,000 | 198,579 | |
|
| |||
| ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, | |||
| 2017 (Luxembourg) | EUR | 445,000 | 632,762 |
|
| |||
| ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, | |||
| 2018 (Luxembourg) | $500,000 | 562,500 | |
|
| |||
| Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 | 525,000 | 605,063 | |
|
| |||
| GlaxoSmith Kline Capital, Inc. company guaranty sr. unsec. | |||
| unsub. notes 4 3/8s, 2014 | 263,000 | 273,002 | |
|
| |||
| HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 | 50,000 | 55,125 | |
|
| |||
| HCA, Inc. sr. notes 6 1/2s, 2020 | 610,000 | 702,263 | |
|
| |||
| Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 | 1,390,000 | 1,502,938 | |
|
| |||
| IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. | |||
| unsec. notes 8 3/8s, 2019 | 565,000 | 597,488 | |
|
| |||
| Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes | |||
| 10 1/2s, 2018 | 356,000 | 398,720 | |
|
| |||
| Merck & Co., Inc. sr. unsec. notes 4s, 2015 | 297,000 | 318,880 | |
|
| |||
| Novartis Capital Corp. company guaranty sr. unsec. | |||
| notes 2.9s, 2015 | 263,000 | 275,493 | |
|
| |||
| Pfizer, Inc. sr. unsec. notes 5.35s, 2015 | 622,000 | 676,622 | |
|
| |||
| Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) | 260,000 | 351,731 | |
|
| |||
| Service Corporation International sr. notes 7s, 2017 | 185,000 | 212,750 | |
|
| |||
| Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 | 665,000 | 748,956 | |
|
| |||
| 32 Absolute Return 700 Fund |
| CORPORATE BONDS AND NOTES (11.4%)* cont. | Principal amount | Value |
|
| ||
| Health care cont. | ||
| Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 | $80,000 | $90,400 |
|
| ||
| UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 | 196,000 | 237,690 |
|
| ||
| WellPoint, Inc. unsec. unsub. notes 5 1/4s, 2016 | 93,000 | 103,349 |
|
| ||
| 9,011,808 | ||
| Technology (0.4%) | ||
| Ceridian Corp. company guaranty sr. unsec. notes | ||
| 12 1/4s, 2015 ‡‡ | 133,000 | 137,988 |
|
| ||
| Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 330,000 | 341,963 |
|
| ||
| Cisco Systems, Inc. sr. unsec. unsub. notes 5 1/2s, 2016 | 297,000 | 337,403 |
|
| ||
| Freescale Semiconductor, Inc. 144A company guaranty sr. notes | ||
| 9 1/4s, 2018 | 1,000,000 | 1,100,000 |
|
| ||
| Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014 | 263,000 | 274,234 |
|
| ||
| IBM Corp. sr. unsec. notes 5.7s, 2017 | 392,000 | 469,397 |
|
| ||
| Oracle Corp. sr. unsec. notes 5 1/4s, 2016 | 359,000 | 403,248 |
|
| ||
| Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 | 230,000 | 242,718 |
|
| ||
| 3,306,951 | ||
| Transportation (—%) | ||
| United Parcel Service, Inc. sr. unsec. unsub. notes 3 7/8s, 2014 | 196,000 | 202,143 |
|
| ||
| 202,143 | ||
| Utilities and power (0.8%) | ||
| AES Corp. (VA) sr. unsec. unsub. notes 9 3/4s, 2016 | 150,000 | 181,500 |
|
| ||
| AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 | 1,000,000 | 1,197,500 |
|
| ||
| Appalachian Power Co. sr. unsec. unsub. notes 7s, 2038 | 111,000 | 153,309 |
|
| ||
| Calpine Corp. 144A sr. notes 7 1/4s, 2017 | 315,000 | 333,506 |
|
| ||
| Carolina Power & Light Co. 1st mtge. bonds 5.3s, 2019 | 160,000 | 192,724 |
|
| ||
| Consolidated Edison Co. of New York sr. unsec. notes | ||
| 7 1/8s, 2018 | 93,000 | 120,728 |
|
| ||
| Dominion Resources, Inc. sr. unsec. unsub. notes | ||
| Ser. 07-A, 6s, 2017 | 510,000 | 612,904 |
|
| ||
| Duke Energy Carolinas, LLC sr. unsec. unsub. notes 6.3s, 2014 | 510,000 | 531,597 |
|
| ||
| El Paso Corp. sr. unsec. notes 7s, 2017 | 465,000 | 534,989 |
|
| ||
| Electricite de France SA 144A unsec. sub. FRN notes 5 1/4s, | ||
| perpetual maturity (France) | 585,000 | 585,731 |
|
| ||
| Enterprise Products Operating, LLC company guaranty sr. | ||
| unsec. unsub. bonds Ser. L, 6.3s, 2017 | 230,000 | 276,511 |
|
| ||
| Exelon Corp. sr. unsec. notes 4.9s, 2015 | 488,000 | 527,104 |
|
| ||
| FirstEnergy Corp. sr. unsec. unsub. notes Ser. C, 7 3/8s, 2031 | 130,000 | 155,520 |
|
| ||
| FPL Group Capital, Inc. company guaranty sr. unsec. notes | ||
| 7 7/8s, 2015 | 163,000 | 191,122 |
|
| ||
| Kinder Morgan Energy Partners LP notes 6s, 2017 | 263,000 | 306,055 |
|
| ||
| National Rural Utilities Cooperative Finance Corp. sr. bonds | ||
| 10 3/8s, 2018 | 134,000 | 194,925 |
|
| ||
| Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018 | 185,000 | 248,473 |
|
| ||
| Pacific Gas & Electric Co. sr. unsec. bonds 4.8s, 2014 | 130,000 | 134,480 |
|
| ||
| Southern Power Co. sr. unsec. notes Ser. D, 4 7/8s, 2015 | 196,000 | 213,376 |
|
| ||
| Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, | ||
| 9 1/2s, 2019 | 125,000 | 170,552 |
|
| ||
| TransCanada Pipelines, Ltd. sr. unsec. unsub. notes 6 1/2s, | ||
| 2018 (Canada) | 230,000 | 286,765 |
|
| ||
| 7,149,371 | ||
| Total corporate bonds and notes (cost $97,487,511) | $102,751,485 | |
| Absolute Return 700 Fund | 33 |
| SENIOR LOANS (5.3%)* c | Principal amount | Value | |
|
| |||
| Basic materials (0.2%) | |||
| AI Chem & SY S.C.A. bank term loan FRN 8 1/4s, | |||
| 2020 (Luxembourg) | $500,000 | $511,563 | |
|
| |||
| AI Chem & SY S.C.A. bank term loan FRN Ser. B1, 4 1/2s, | |||
| 2019 (Luxembourg) | 658,392 | 666,210 | |
|
| |||
| AI Chem & SY S.C.A. bank term loan FRN Ser. B2, 4 1/2s, | |||
| 2019 (Luxembourg) | 341,608 | 345,665 | |
|
| |||
| INEOS Group Holdings, Ltd. bank term loan FRN Ser. B, 6 1/2s, | |||
| 2018 (United Kingdom) | 738,044 | 746,809 | |
|
| |||
| 2,270,247 | |||
| Capital goods (0.3%) | |||
| Generac Power Systems, Inc. bank term loan FRN Class B, | |||
| 6 1/4s, 2018 | 906,111 | 919,703 | |
|
| |||
| Tomkins Air Distribution bank term loan FRN 9 1/4s, 2020 | 820,000 | 842,550 | |
|
| |||
| Tomkins Air Distribution bank term loan FRN 5s, 2018 | 807,975 | 819,590 | |
|
| |||
| 2,581,843 | |||
| Communication services (0.2%) | |||
| MetroPCS Wireless, Inc. bank term loan FRN Ser. B3, 4s, 2018 | 488,767 | 488,889 | |
|
| |||
| Zayo Group, LLC bank term loan FRN Ser. B, 4 1/2s, 2019 | 992,500 | 1,002,890 | |
|
| |||
| 1,491,779 | |||
| Consumer cyclicals (2.3%) | |||
| Academy, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2018 | 1,945,225 | 1,971,145 | |
|
| |||
| Aot Bedding Super Holdings, LLC bank term loan FRN 5s, 2019 | 733,163 | 742,720 | |
|
| |||
| Burlington Coat Factory Warehouse Corp. bank term loan FRN | |||
| Ser. B1, 5 1/2s, 2017 | 1,088,175 | 1,101,222 | |
|
| |||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN | |||
| Ser. B6, 5.454s, 2018 | 1,277,421 | 1,157,929 | |
|
| |||
| Clear Channel Communications, Inc. bank term loan FRN Ser. B, | |||
| 3.854s, 2016 | 1,131,906 | 1,037,109 | |
|
| |||
| Compucom Systems, Inc. bank term loan FRN 10 1/4s, 2019 | 1,000,000 | 1,020,000 | |
|
| |||
| Gateway Casinos & Entertainment, Inc. bank term loan FRN | |||
| Ser. B1, 6s, 2016 | CAD | 1,482,190 | 1,471,230 |
|
| |||
| Interactive Data Corp. bank term loan FRN Ser. B, 3 3/4s, 2018 | $685,009 | 691,859 | |
|
| |||
| J. Crew Group, Inc. bank term loan FRN Ser. B, 4s, 2018 | 980,000 | 988,225 | |
|
| |||
| Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 | 575,698 | 580,256 | |
|
| |||
| MGM Resorts International bank term loan FRN Ser. B, | |||
| 4 1/4s, 2019 | 997,500 | 1,012,047 | |
|
| |||
| Motor City Casino bank term loan FRN 6s, 2017 | 862,927 | 869,399 | |
|
| |||
| Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 | 554,472 | 564,869 | |
|
| |||
| Nortek, Inc. bank term loan FRN Class B, 5 1/4s, 2017 | 83,634 | 84,261 | |
|
| |||
| Roofing Supply Group, LLC bank term loan FRN | |||
| Class B, 5s, 2019 | 995,000 | 1,008,681 | |
|
| |||
| Sabre, Inc. bank term loan FRN Ser. B, 5 1/4s, 2019 | 1,745,625 | 1,770,046 | |
|
| |||
| Station Casinos, LLC bank term loan FRN Ser. B, 5s, 2020 | 1,250,000 | 1,264,323 | |
|
| |||
| Tempur-Pedic International, Inc. bank term loan FRN | |||
| Ser. B, 5s, 2019 | 997,500 | 1,012,670 | |
|
| |||
| Travelport, LLC bank term loan FRN 9 1/2s, 2016 | 615,000 | 631,400 | |
|
| |||
| Travelport, LLC bank term loan FRN Ser. B, 5.533s, 2015 | 760,442 | 758,541 | |
|
| |||
| Travelport, LLC bank term loan FRN Ser. S, 5.534s, 2015 | 239,558 | 238,959 | |
|
| |||
| Van Wagner Communications, Inc. bank term loan FRN Ser. B, | |||
| 8 1/4s, 2018 | 497,500 | 506,206 | |
|
| |||
| 20,483,097 | |||
| 34 Absolute Return 700 Fund |
| SENIOR LOANS (5.3%)* c cont. | Principal amount | Value |
|
| ||
| Consumer staples (0.1%) | ||
| Sprouts Farmers Market, LLC bank term loan FRN 4 1/2s, 2020 | $1,000,000 | $1,003,125 |
|
| ||
| 1,003,125 | ||
| Energy (0.2%) | ||
| Frac Tech International, LLC bank term loan FRN Ser. B, | ||
| 8 1/2s, 2016 | 411,115 | 404,332 |
|
| ||
| Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) | 399,000 | 404,344 |
|
| ||
| Vantage Drilling Co. bank term loan FRN Class B, 6 1/4s, 2017 | 1,301,625 | 1,317,895 |
|
| ||
| 2,126,571 | ||
| Financials (0.7%) | ||
| CNO Financial Group, Inc. bank term loan FRN | ||
| Class B2, 5s, 2018 | 1,194,707 | 1,208,148 |
|
| ||
| iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 R | 1,382 | 1,392 |
|
| ||
| Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019 | 1,500,000 | 1,513,751 |
|
| ||
| Nuveen Investments, Inc. bank term loan FRN 5.204s, 2017 | 1,090,000 | 1,099,083 |
|
| ||
| Springleaf Financial Funding Co. bank term loan FRN Ser. B, | ||
| 5 1/2s, 2017 | 667,714 | 669,800 |
|
| ||
| Walter Investment Management Corp. bank term loan FRN | ||
| 5 3/4s, 2017 | 1,715,506 | 1,741,596 |
|
| ||
| 6,233,770 | ||
| Health care (0.5%) | ||
| Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 | 997,500 | 1,012,463 |
|
| ||
| Kinetic Concepts, Inc. bank term loan FRN Ser. C1, 5 1/2s, 2018 | 1,348,199 | 1,371,231 |
|
| ||
| Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, | ||
| 4 1/4s, 2019 | 373,127 | 375,993 |
|
| ||
| Pharmaceutical Product Development, Inc. bank term loan FRN | ||
| Ser. B, 4 1/4s, 2018 | 711,018 | 720,679 |
|
| ||
| Steward Health Care System, LLC bank term loan FRN Ser. B, | ||
| 6 3/4s, 2020 | 1,000,000 | 1,010,000 |
|
| ||
| 4,490,366 | ||
| Technology (0.4%) | ||
| Avaya, Inc. bank term loan FRN Ser. B5, 8s, 2018 | 1,308,216 | 1,307,889 |
|
| ||
| First Data Corp. bank term loan FRN 4.199s, 2018 | 1,500,000 | 1,493,907 |
|
| ||
| Lawson Software bank term loan FRN Class B2, 5 1/4s, 2018 | 682,346 | 693,002 |
|
| ||
| 3,494,798 | ||
| Transportation (0.2%) | ||
| Livingston International, Inc. bank term loan FRN 10s, | ||
| 2020 (Canada) | 1,500,000 | 1,533,750 |
|
| ||
| 1,533,750 | ||
| Utilities and power (0.2%) | ||
| EP Energy/EP Energy Finance, Inc. bank term loan FRN 5s, 2018 | 1,000,000 | 1,006,964 |
|
| ||
| Texas Competitive Electric Holdings Co., LLC bank term loan | ||
| FRN 4.731s, 2017 | 1,093,159 | 803,745 |
|
| ||
| 1,810,709 | ||
| Total senior loans (cost $46,970,254) | $47,520,055 | |
| COMMODITY LINKED NOTES (2.8%)* | Principal amount | Value |
|
| ||
| 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) | $2,712,000 | $2,020,982 |
|
| ||
| 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) | 2,712,000 | 2,022,109 |
|
| ||
| Absolute Return 700 Fund | 35 |
| COMMODITY LINKED NOTES (2.8%)* cont. | Principal amount | Value |
|
| ||
| UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013 | ||
| (Indexed to the UBSIF3AT Index multiplied by 3) (Jersey) | $18,058,000 | $18,729,936 |
|
| ||
| Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD | ||
| LIBOR less 0.16%, 2014 (Indexed to the DB Commodity Booster OYE | ||
| Benchmark TR Index multiplied by 3) (United Kingdom) | 2,667,000 | 2,351,494 |
|
| ||
| Total commodity Linked Notes (cost $26,149,000) | $25,124,521 | |
| FOREIGN GOVERNMENT AND AGENCY | ||
| BONDS AND NOTES (0.9%)* | Principal amount | Value |
|
| ||
| Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) | $725,000 | $590,875 |
|
| ||
| Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, | ||
| 2013 (Argentina) | 1,305,000 | 1,318,050 |
|
| ||
| Argentina (Republic of) sr. unsec. unsub. bonds 7s, | ||
| 2015 (Argentina) | 3,710,000 | 3,233,265 |
|
| ||
| Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, | ||
| 2021 (Croatia) | 220,000 | 248,600 |
|
| ||
| Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, | ||
| 2017 (Croatia) | 775,000 | 852,810 |
|
| ||
| Ukraine (Government of) Financing of Infrastructural | ||
| Projects State Enterprise 144A govt. guaranty notes 8 3/8s, | ||
| 2017 (Ukraine) | 150,000 | 150,750 |
|
| ||
| Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, | ||
| 2013 (Ukraine) | 1,700,000 | 1,704,930 |
|
| ||
| Total foreign government and agency bonds and notes (cost $8,471,508) | $8,099,280 | |
| PURCHASED EQUITY OPTIONS | Expiration | Contract | |
| OUTSTANDING (0.2%)* | date/strike | amount | Value |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Apr-14/$133.00 | $131,654 | $409,765 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Mar-14/130.00 | 132,496 | 321,991 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Feb-14/130.00 | 131,634 | 266,822 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jan-14/125.00 | 132,805 | 169,215 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Dec-13/120.00 | 196,257 | 149,958 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Nov-13/115.00 | 163,591 | 71,995 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Oct-13/123.00 | 169,261 | 92,774 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Sep-13/125.00 | 178,845 | 79,975 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Aug-13/115.00 | 99,419 | 13,161 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Aug-13/115.00 | 64,700 | 8,565 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jul-13/115.00 | 121,567 | 7,278 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jul-13/115.00 | 42,700 | 2,556 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jun-13/110.00 | 144,323 | 1,719 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jun-13/110.00 | 20,000 | 238 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | May-13/108.00 | 129,078 | 30 |
|
| |||
| Total purchased equity options outstanding (cost $8,644,893) | $1,596,042 | ||
| INVESTMENT COMPANIES (0.1%)* | Shares | Value | |
|
| |||
| Ares Capital Corp. | 52,100 | $946,136 | |
|
| |||
| Total investment companies (cost $917,117) | $946,136 | ||
| 36 Absolute Return 700 Fund |
| SHORT-TERM INVESTMENTS (30.2%)* | Principal amount/shares | Value | |
|
| |||
| Putnam Short Term Investment Fund 0.04% L | 138,093,934 | $138,093,934 | |
|
| |||
| SSgA Prime Money Market Fund 0.04% P | 22,330,000 | 22,330,000 | |
|
| |||
| U.S. Treasury Bills with an effective yield of 0.12%, | |||
| December 12, 2013 # Δ | $7,500,000 | 7,495,785 | |
|
| |||
| U.S. Treasury Bills with an effective yield of 0.15%, | |||
| November 14, 2013 # | 16,500,000 | 16,492,773 | |
|
| |||
| U.S. Treasury Bills with effective yields ranging from 0.15% | |||
| to 0.18%, August 22, 2013 # | 26,500,000 | 26,495,416 | |
|
| |||
| U.S. Treasury Bills with effective yields ranging from 0.15% | |||
| to 0.18%, July 25, 2013 | 20,000,000 | 19,997,640 | |
|
| |||
| U.S. Treasury Bills with an effective yield of 0.16%, | |||
| June 27, 2013 | 16,500,000 | 16,495,768 | |
|
| |||
| U.S. Treasury Bills with an effective yield of 0.17%, May 30, 2013 | 5,000,000 | 4,999,325 | |
|
| |||
| U.S. Treasury Bills with an effective yield of 0.17%, May 2, 2013 | 7,250,000 | 7,249,966 | |
|
| |||
| Straight-A Funding, LLC 144A discounted commercial paper | |||
| with an effective yield of 0.15%, June 5, 2013 | 12,528,000 | 12,526,173 | |
|
| |||
| Total short-term investments (cost $272,153,667) | $272,176,780 | ||
| TOTAL INVESTMENTS | |||
|
| |||
| Total investments (cost $1,074,636,873) | $1,127,610,786 | ||
Key to holding’s currency abbreviations
CAD Canadian Dollar
EUR Euro
GBP British Pound
Key to holding’s abbreviations
EMTN Euro Medium Term Notes
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
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
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 November 1, 2012 through April 30, 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 and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $901,247,664.
† Non-income-producing security.
| Absolute Return 700 Fund | 37 |
ΔΔ Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $428,610, or less than 0.1% of net assets.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
# 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.
Δ 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.
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
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.
L Affiliated company (Note 6). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
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 (Note 1).
R Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $640,170,305 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.
See Note 1 to the financial statements regarding TBA’s.
The dates shown on debt obligations are the original maturity dates.
FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited)
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Bank of America N.A. | ||||||
| British Pound | Sell | 6/19/13 | $1,272,427 | $1,242,259 | $(30,168) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 2,571,364 | 2,535,763 | (35,601) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 1,450,149 | 1,440,866 | 9,283 | |
|
| ||||||
| Euro | Sell | 6/19/13 | 3,173,638 | 3,087,259 | (86,379) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 3,667,834 | 3,867,520 | 199,686 | |
|
| ||||||
| Peruvian New Sol | Buy | 7/17/13 | 1,810,129 | 1,855,829 | (45,700) | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 1,127,968 | 1,116,454 | (11,514) | |
|
| ||||||
| Barclays Bank PLC | ||||||
| Australian Dollar | Buy | 7/17/13 | 1,793,888 | 1,797,140 | (3,252) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 1,935,374 | 1,920,066 | 15,308 | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 188,053 | 170,807 | (17,246) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 1,485,092 | 1,443,394 | (41,698) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 2,249,759 | 2,235,592 | 14,167 | |
|
| ||||||
| 38 Absolute Return 700 Fund |
| FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Barclays Bank PLC cont. | ||||||
| Euro | Sell | 6/19/13 | $4,315,126 | $4,320,008 | $4,882 | |
|
| ||||||
| Indonesian Rupiah | Buy | 5/15/13 | 1,155,638 | 1,151,743 | 3,895 | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 5,881,978 | 6,206,357 | 324,379 | |
|
| ||||||
| Malaysian Ringgit | Buy | 5/15/13 | 1,904,959 | 1,874,961 | 29,998 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,021,859 | 1,001,894 | 19,965 | |
|
| ||||||
| New Taiwan Dollar | Buy | 5/15/13 | 247,787 | 245,982 | 1,805 | |
|
| ||||||
| Norwegian Krone | Buy | 6/19/13 | 1,327,285 | 1,337,198 | (9,913) | |
|
| ||||||
| Norwegian Krone | Sell | 6/19/13 | 1,327,285 | 1,322,980 | (4,305) | |
|
| ||||||
| Polish Zloty | Buy | 6/19/13 | 396,925 | 399,698 | (2,773) | |
|
| ||||||
| Russian Ruble | Buy | 6/19/13 | 520,300 | 520,141 | 159 | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 1,796,721 | 1,792,988 | 3,733 | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 1,796,721 | 1,764,910 | (31,811) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 3,689,020 | 3,677,974 | 11,046 | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 2,508,151 | 2,466,140 | (42,011) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 508,709 | 510,122 | (1,413) | |
|
| ||||||
| Citibank, N.A. | ||||||
| Australian Dollar | Buy | 7/17/13 | 5,955,572 | 5,968,785 | (13,213) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 2,000,246 | 1,997,699 | 2,547 | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 1,348,362 | 1,321,266 | (27,096) | |
|
| ||||||
| Canadian Dollar | Buy | 7/17/13 | 1,344,490 | 1,334,777 | 9,713 | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 1,349,346 | 1,323,890 | (25,455) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 1,577,005 | 1,575,108 | (1,897) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 3,631,686 | 3,864,406 | 232,720 | |
|
| ||||||
| Singapore Dollar | Buy | 5/15/13 | 203,946 | 201,094 | 2,852 | |
|
| ||||||
| Singapore Dollar | Sell | 5/15/13 | 203,946 | 201,259 | (2,687) | |
|
| ||||||
| South African Rand | Buy | 7/17/13 | 398,704 | 398,465 | 239 | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 1,609,050 | 1,619,036 | (9,986) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 1,609,050 | 1,576,732 | (32,318) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 1,198,539 | 1,180,017 | 18,522 | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 747,495 | 722,901 | (24,594) | |
|
| ||||||
| Thai Baht | Buy | 5/15/13 | 1,184,286 | 1,160,068 | 24,218 | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 762,980 | 761,624 | 1,356 | |
|
| ||||||
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 7/17/13 | 4,447,350 | 4,455,585 | (8,235) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 1,681,428 | 1,665,931 | 15,497 | |
|
| ||||||
| British Pound | Buy | 6/19/13 | 270,201 | 307,317 | (37,116) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 530,900 | 523,359 | (7,541) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 1,510,389 | 1,501,661 | 8,728 | |
|
| ||||||
| Chinese Yuan | Buy | 5/15/13 | 1,324,131 | 1,308,348 | 15,783 | |
|
| ||||||
| Czech Koruna | Buy | 6/19/13 | 780,971 | 779,341 | 1,630 | |
|
| ||||||
| Czech Koruna | Sell | 6/19/13 | 780,971 | 779,592 | (1,379) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 2,900,024 | 2,876,053 | (23,971) | |
|
| ||||||
| Absolute Return 700 Fund 39 |
| FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Credit Suisse International cont. | ||||||
| Indonesian Rupiah | Buy | 5/15/13 | $398,924 | $399,775 | $(851) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 5,963,293 | 6,281,788 | 318,495 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,732,752 | 1,699,089 | 33,663 | |
|
| ||||||
| Norwegian Krone | Sell | 6/19/13 | 10,750 | 13,713 | 2,963 | |
|
| ||||||
| Philippine Peso | Buy | 5/15/13 | 978,499 | 994,923 | (16,424) | |
|
| ||||||
| Polish Zloty | Buy | 6/19/13 | 779,401 | 766,332 | 13,069 | |
|
| ||||||
| Polish Zloty | Sell | 6/19/13 | 779,401 | 771,195 | (8,206) | |
|
| ||||||
| Russian Ruble | Buy | 6/19/13 | 1,073,418 | 1,101,928 | (28,510) | |
|
| ||||||
| South African Rand | Sell | 7/17/13 | 408,832 | 379,403 | (29,429) | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 1,524,054 | 1,535,459 | (11,405) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 1,524,054 | 1,502,473 | (21,581) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 2,977,749 | 3,040,644 | (62,895) | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 2,729,161 | 2,692,784 | (36,377) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 330,036 | 333,501 | (3,465) | |
|
| ||||||
| Deutsche Bank AG | ||||||
| Australian Dollar | Buy | 7/17/13 | 1,693,477 | 1,696,564 | (3,087) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 690,286 | 692,080 | (1,794) | |
|
| ||||||
| British Pound | Buy | 6/19/13 | 225,167 | 220,062 | 5,105 | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 225,167 | 217,602 | (7,565) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 527,036 | 524,247 | (2,789) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 3,947,190 | 3,897,093 | (50,097) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 2,968,424 | 3,131,070 | 162,646 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,209,115 | 1,192,737 | 16,378 | |
|
| ||||||
| Norwegian Krone | Sell | 6/19/13 | 1,710,875 | 1,677,567 | (33,308) | |
|
| ||||||
| Polish Zloty | Buy | 6/19/13 | 1,258,412 | 1,243,721 | 14,691 | |
|
| ||||||
| Singapore Dollar | Buy | 5/15/13 | 1,437,205 | 1,429,367 | 7,838 | |
|
| ||||||
| Singapore Dollar | Sell | 5/15/13 | 1,437,205 | 1,416,946 | (20,259) | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 1,543,821 | 1,545,634 | (1,813) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 1,543,821 | 1,521,675 | (22,146) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 1,347,494 | 1,349,277 | (1,783) | |
|
| ||||||
| Swedish Krona | Sell | 6/19/13 | 1,347,494 | 1,326,088 | (21,406) | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 2,518,803 | 2,481,081 | (37,722) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 310,664 | 307,711 | 2,953 | |
|
| ||||||
| Goldman Sachs International | ||||||
| British Pound | Sell | 6/19/13 | 813,396 | 797,392 | (16,004) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 1,335,177 | 1,305,038 | (30,139) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 5,309,465 | 5,264,054 | (45,411) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 3,278,384 | 3,406,996 | 128,612 | |
|
| ||||||
| Norwegian Krone | Sell | 6/19/13 | 1,202,059 | 1,212,220 | 10,161 | |
|
| ||||||
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Buy | 7/17/13 | 2,060,275 | 2,062,652 | (2,377) | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 554,533 | 535,755 | (18,778) | |
|
| ||||||
| 40 Absolute Return 700 Fund |
| FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| HSBC Bank USA, National Association cont. | ||||||
| Canadian Dollar | Sell | 7/17/13 | $655,252 | $631,956 | $(23,296) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 2,195,767 | 2,206,748 | 10,981 | |
|
| ||||||
| Indian Rupee | Buy | 5/15/13 | 806,929 | 802,409 | 4,520 | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 3,900,368 | 4,086,374 | 186,006 | |
|
| ||||||
| Norwegian Krone | Buy | 6/19/13 | 679,240 | 669,830 | 9,410 | |
|
| ||||||
| Norwegian Krone | Sell | 6/19/13 | 679,240 | 676,937 | (2,303) | |
|
| ||||||
| Philippine Peso | Buy | 5/15/13 | 543,224 | 552,672 | (9,448) | |
|
| ||||||
| Russian Ruble | Buy | 6/19/13 | 939,208 | 971,557 | (32,349) | |
|
| ||||||
| South African Rand | Buy | 7/17/13 | 398,715 | 398,459 | 256 | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 1,609,050 | 1,615,119 | (6,069) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 1,609,050 | 1,576,626 | (32,424) | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 82,206 | 86,193 | 3,987 | |
|
| ||||||
| Thai Baht | Buy | 5/15/13 | 396,323 | 400,723 | (4,400) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 882,372 | 876,631 | 5,741 | |
|
| ||||||
| Turkish Lira | Sell | 6/19/13 | 882,372 | 872,057 | (10,315) | |
|
| ||||||
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 7/17/13 | 3,580,457 | 3,586,323 | (5,866) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 2,126,724 | 2,111,539 | 15,185 | |
|
| ||||||
| British Pound | Buy | 6/19/13 | 1,338,890 | 1,389,874 | (50,984) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 470,952 | 451,080 | (19,872) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 1,497,712 | 1,488,280 | 9,432 | |
|
| ||||||
| Chinese Yuan | Buy | 5/15/13 | 924,614 | 911,456 | 13,158 | |
|
| ||||||
| Euro | Buy | 6/19/13 | 14,260,230 | 14,052,399 | 207,831 | |
|
| ||||||
| Euro | Sell | 6/19/13 | 14,260,230 | 14,067,613 | (192,617) | |
|
| ||||||
| Hungarian Forint | Buy | 6/19/13 | 399,101 | 400,225 | (1,124) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 2,848,209 | 3,038,584 | 190,375 | |
|
| ||||||
| Malaysian Ringgit | Buy | 5/15/13 | 1,298,104 | 1,275,278 | 22,826 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,591,536 | 1,560,829 | 30,707 | |
|
| ||||||
| New Taiwan Dollar | Buy | 5/15/13 | 314,601 | 319,835 | (5,234) | |
|
| ||||||
| Norwegian Krone | Buy | 6/19/13 | 399,913 | 393,112 | 6,801 | |
|
| ||||||
| Polish Zloty | Buy | 6/19/13 | 132,750 | 131,156 | 1,594 | |
|
| ||||||
| Polish Zloty | Sell | 6/19/13 | 132,750 | 129,367 | (3,383) | |
|
| ||||||
| Russian Ruble | Buy | 6/19/13 | 798,012 | 793,662 | 4,350 | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 789,042 | 793,813 | (4,771) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 789,042 | 778,015 | (11,027) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 1,232,479 | 1,263,282 | (30,803) | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 1,305,401 | 1,318,011 | 12,610 | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 946,426 | 942,049 | 4,377 | |
|
| ||||||
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Buy | 7/17/13 | 1,157,197 | 1,157,673 | (476) | |
|
| ||||||
| Brazilian Real | Buy | 7/17/13 | 1,491,809 | 1,475,962 | 15,847 | |
|
| ||||||
| British Pound | Buy | 6/19/13 | 3,882 | 27,094 | (23,212) | |
|
| ||||||
| Absolute Return 700 Fund | 41 |
| FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| State Street Bank and Trust Co. cont. | ||||||
| Canadian Dollar | Sell | 7/17/13 | $1,229,056 | $1,212,557 | $(16,499) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 1,679,830 | 1,669,949 | 9,881 | |
|
| ||||||
| Colombian Peso | Buy | 7/17/13 | 1,438,902 | 1,439,023 | (121) | |
|
| ||||||
| Czech Koruna | Buy | 6/19/13 | 221,290 | 221,321 | (31) | |
|
| ||||||
| Czech Koruna | Sell | 6/19/13 | 221,290 | 219,778 | (1,512) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 3,136,753 | 3,074,777 | (61,976) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 5,922,698 | 6,242,155 | 319,457 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,109,487 | 1,095,062 | 14,425 | |
|
| ||||||
| Polish Zloty | Buy | 6/19/13 | 395,158 | 387,605 | 7,553 | |
|
| ||||||
| South Korean Won | Buy | 5/15/13 | 2,326,410 | 2,347,039 | (20,629) | |
|
| ||||||
| South Korean Won | Sell | 5/15/13 | 2,326,410 | 2,281,342 | (45,068) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 1,676,988 | 1,613,816 | 63,172 | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 882,319 | 857,223 | (25,096) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 228,295 | 233,057 | (4,762) | |
|
| ||||||
| UBS AG | ||||||
| Australian Dollar | Buy | 7/17/13 | 1,778,940 | 1,783,151 | (4,211) | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 552,514 | 526,490 | (26,024) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 1,248,477 | 1,235,581 | (12,896) | |
|
| ||||||
| Chilean Peso | Buy | 7/17/13 | 789,497 | 792,888 | (3,391) | |
|
| ||||||
| Czech Koruna | Buy | 6/19/13 | 339,929 | 339,953 | (24) | |
|
| ||||||
| Czech Koruna | Sell | 6/19/13 | 339,929 | 337,494 | (2,435) | |
|
| ||||||
| Euro | Sell | 6/19/13 | 1,795,028 | 1,787,766 | (7,262) | |
|
| ||||||
| Hungarian Forint | Buy | 6/19/13 | 399,101 | 400,247 | (1,146) | |
|
| ||||||
| Japanese Yen | Sell | 5/15/13 | 5,804,640 | 6,052,086 | 247,446 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 1,674,892 | 1,658,485 | 16,407 | |
|
| ||||||
| New Taiwan Dollar | Buy | 5/15/13 | 650,467 | 651,960 | (1,493) | |
|
| ||||||
| Norwegian Krone | Buy | 6/19/13 | 44,558 | 53,906 | (9,348) | |
|
| ||||||
| Philippine Peso | Buy | 5/15/13 | 392,595 | 393,767 | (1,172) | |
|
| ||||||
| Russian Ruble | Buy | 6/19/13 | 143,322 | 144,476 | (1,154) | |
|
| ||||||
| Singapore Dollar | Buy | 5/15/13 | 1,409,276 | 1,399,814 | 9,462 | |
|
| ||||||
| Singapore Dollar | Sell | 5/15/13 | 1,409,276 | 1,389,396 | (19,880) | |
|
| ||||||
| Swedish Krona | Buy | 6/19/13 | 1,197,321 | 1,184,037 | 13,284 | |
|
| ||||||
| Swiss Franc | Buy | 6/19/13 | 1,793,581 | 1,788,849 | 4,732 | |
|
| ||||||
| Swiss Franc | Sell | 6/19/13 | 1,793,581 | 1,780,189 | (13,392) | |
|
| ||||||
| Turkish Lira | Buy | 6/19/13 | 799,447 | 790,803 | 8,644 | |
|
| ||||||
| Turkish Lira | Sell | 6/19/13 | 799,447 | 789,296 | (10,151) | |
|
| ||||||
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 7/17/13 | 3,311,595 | 3,317,583 | (5,988) | |
|
| ||||||
| British Pound | Sell | 6/19/13 | 1,355,662 | 1,343,025 | (12,637) | |
|
| ||||||
| Canadian Dollar | Sell | 7/17/13 | 459,162 | 457,173 | (1,989) | |
|
| ||||||
| Euro | Buy | 6/19/13 | 3,844,436 | 3,773,692 | 70,744 | |
|
| ||||||
| Euro | Sell | 6/19/13 | 3,844,436 | 3,795,888 | (48,548) | |
|
| ||||||
| 42 Absolute Return 700 Fund |
| FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $289,073,629) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| WestPac Banking Corp. cont. | ||||||
| Japanese Yen | Sell | 5/15/13 | $4,328,376 | $4,541,765 | $213,389 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/13 | 724,366 | 710,367 | 13,999 | |
|
| ||||||
| Total | $1,513,573 | |||||
| FUTURES CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Expiration | appreciation/ | |||
| contracts | Value | date | (depreciation) | ||
|
| |||||
| Australian Government Treasury | |||||
| Bond 10 yr (Long) | 231 | $29,915,264 | Jun-13 | $1,175,476 | |
|
| |||||
| Canadian Government Bond | |||||
| 10 yr (Long) | 13 | 1,764,475 | Jun-13 | 61,242 | |
|
| |||||
| S&P 500 Index E-Mini (Long) | 811 | 64,563,710 | Jun-13 | 2,421,471 | |
|
| |||||
| S&P Mid Cap 400 Index | |||||
| E-Mini (Long) | 465 | 53,833,050 | Jun-13 | 2,046,327 | |
|
| |||||
| U.K. Gilt 10 yr (Long) | 163 | 30,386,054 | Jun-13 | 1,523,835 | |
|
| |||||
| U.S. Treasury Bond 30 yr (Long) | 348 | 51,634,500 | Jun-13 | 1,481,128 | |
|
| |||||
| Euro STOXX 50 Index (Short) | 266 | 9,349,743 | Jun-13 | (363,720) | |
|
| |||||
| FTSE 100 Index (Short) | 92 | 9,122,544 | Jun-13 | 80,493 | |
|
| |||||
| NASDAQ 100 Index E-Mini (Short) | 517 | 29,779,200 | Jun-13 | (997,114) | |
|
| |||||
| U.S. Treasury Note 10 yr (Short) | 450 | 60,011,719 | Jun-13 | (707,496) | |
|
| |||||
| Total | $6,721,642 | ||||
| WRITTEN EQUITY OPTIONS OUTSTANDING at 4/30/13 (premiums $952,490) (Unaudited) | |||
| Expiration | Contract | ||
| date/strike | amount | Value | |
|
| |||
| SPDR S&P 500 ETF Trust (Call) | May-13/$160.00 | $922,731 | $1,276,073 |
|
| |||
| SPDR S&P 500 ETF Trust (Call) | May-13/161.00 | 922,731 | 830,458 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | May-13/90.00 | 129,078 | 5 |
|
| |||
| Total | $2,106,536 | ||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) | |||
| Counterparty | Unrealized | ||
| Fixed right or obligation % to receive or (pay)/ | Expiration | Contract | appreciation/ |
| Floating rate index/Maturity date | date/strike | amount | (depreciation) |
|
| |||
| Barclays Bank PLC | |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | $2,506,000 | $10,024 |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 2,506,000 | (26,238) |
|
| |||
| 2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) | Jun-13/2.40 | 5,472,000 | 42,080 |
|
| |||
| Citibank, N.A. | |||
| 2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) | Jun-13/2.40 | 5,472,000 | 41,861 |
|
| |||
| Absolute Return 700 Fund 43 |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||
| Counterparty | Unrealized | ||
| Fixed right or obligation % to receive or (pay)/ | Expiration | Contract | appreciation/ |
| Floating rate index/Maturity date | date/strike | amount | (depreciation) |
|
| |||
| Credit Suisse International | |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | $2,958,000 | $10,885 |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 2,958,000 | (29,373) |
|
| |||
| 2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) | Jun-13/2.40 | 5,472,000 | 41,642 |
|
| |||
| Deutsche Bank AG | |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | 2,958,000 | 11,122 |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 2,958,000 | (28,870) |
|
| |||
| 2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) | Jun-13/2.40 | 5,472,000 | 42,682 |
|
| |||
| Goldman Sachs International | |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | 15,233,632 | 41,740 |
|
| |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | 17,405,000 | 39,683 |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 15,233,632 | (133,447) |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 17,405,000 | (149,857) |
|
| |||
| JPMorgan Chase Bank N.A. | |||
| 1.90/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/1.90 | 4,392,514 | 13,617 |
|
| |||
| (2.40)/3 month USD-LIBOR-BBA/ | |||
| Jun-23 (Purchased) | Jun-13/2.40 | 4,392,514 | (43,222) |
|
| |||
| Total | $(115,671) | ||
| TBA SALE COMMITMENTS OUTSTANDING at 4/30/13 (proceeds receivable $91,503,867) (Unaudited) | ||||
| Principal | Settlement | |||
| Agency | amount | date | Value | |
|
| ||||
| Federal National Mortgage Association, 3s, May 1, 2043 | $81,000,000 | 5/13/13 | $84,727,264 | |
|
| ||||
| Government National Mortgage Association, 3s, May 1, 2043 | 7,000,000 | 5/21/13 | 7,435,859 | |
|
| ||||
| Total | $92,163,123 | |||
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/13 (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) | |
|
| ||||||
| Bank of America N.A. | ||||||
| $6,034,000 E | $59,866 | 6/19/23 | 3 month USD- | 2.00% | $122,560 | |
| LIBOR-BBA | ||||||
|
| ||||||
| Barclays Bank PLC | ||||||
| 7,310,000 E | 7,263 | 6/19/15 | 3 month USD- | 0.40% | 12,745 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 13,437,000 E | (50,294) | 6/19/18 | 1.00% | 3 month USD- | (127,691) | |
| LIBOR-BBA | ||||||
|
| ||||||
|
44 Absolute Return 700 Fund | ||||||
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||||||
| 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 cont. | |||||||
| $24,743,000 E | $38,787 | 6/19/23 | 3 month USD- | 2.00% | $295,866 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 2,937,000 E | (41,526) | 6/19/43 | 3.00% | 3 month USD- | (149,343) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 7,177,000 E | 2,821 | 6/19/15 | 0.40% | 3 month USD- | (2,563) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 8,621,000 E | (106,090) | 6/19/23 | 2.00% | 3 month USD- | (195,662) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| GBP | 1,320,000 | — | 8/15/31 | 3.6% | 6 month GBP- | (328,594) | |
| LIBOR-BBA | |||||||
|
| |||||||
| Citibank, N.A. | |||||||
| 10,265,000 E | (9,926) | 6/19/15 | 0.40% | 3 month USD- | (17,624) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 16,948,000 E | 159,776 | 6/19/23 | 3 month USD- | 2.00% | 335,865 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 2,116,000 E | (44,133) | 6/19/23 | 2.00% | 3 month USD- | (66,118) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 1,731,000 E | (13,503) | 6/19/43 | 3.00% | 3 month USD- | (77,048) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 8,697,000 E | (23,168) | 6/19/18 | 1.00% | 3 month USD- | (73,262) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| Credit Suisse International | |||||||
| 1,166,000 E | 12,826 | 6/19/43 | 3.00% | 3 month USD- | (29,978) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 43,069,000 E | (456,092) | 6/19/23 | 2.00% | 3 month USD- | (903,582) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 254,152,000 E | (250,084) | 6/19/15 | 0.40% | 3 month USD- | (440,697) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 28,927,000 E | (84,232) | 6/19/18 | 1.00% | 3 month USD- | (250,852) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 780,000 E | 8,907 | 6/19/43 | 3 month USD- | 3.00% | 37,541 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 15,466,000 E | 21,749 | 6/19/23 | 3 month USD- | 2.00% | 182,442 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 25,228,000 E | 185 | 6/19/15 | 3 month USD- | 0.40% | 19,106 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| Deutsche Bank AG | |||||||
| 614,000 E | 1,571 | 6/19/18 | 3 month USD- | 1.00% | 5,108 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 10,911,000 E | 88,040 | 6/19/23 | 3 month USD- | 2.00% | 201,405 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 93,000 E | 107 | 6/19/15 | 3 month USD- | 0.40% | 176 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 2,116,000 E | (44,133) | 6/19/23 | 2.00% | 3 month USD- | (66,118) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 13,468,000 E | 30,548 | 6/19/43 | 3 month USD- | 3.00% | 524,958 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| Absolute Return 700 Fund 45 |
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| Goldman Sachs International | |||||||
| $529,000 E | $12,484 | 6/19/23 | 3 month USD- | 2.00% | $17,981 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 32,817,000 E | 28,015 | 6/19/15 | 3 month USD- | 0.40% | 52,628 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 565,000 E | (2,362) | 6/19/18 | 3 month USD- | 1.00% | 893 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 9,779,000 E | (8,324) | 6/19/23 | 2.00% | 3 month USD- | (109,928) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 1,425,000 E | (15,005) | 6/19/43 | 3 month USD- | 3.00% | 37,307 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| GBP | 1,320,000 | — | 9/23/31 | 6 month GBP- | 3.1175% | 166,326 | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPMorgan Chase Bank N.A. | |||||||
| 8,442,000 E | (9,364) | 6/19/15 | 0.40% | 3 month USD- | (15,695) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 759,000 E | 6,394 | 6/19/23 | 3 month USD- | 2.00% | 14,280 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| CAD | 1,830,000 | — | 9/21/21 | 2.3911% | 3 month CAD- | (61,379) | |
| BA-CDOR | |||||||
|
| |||||||
| Total | $(888,947) | ||||||
| E Extended effective date. | |||||||
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) | |||||||
| Upfront | Fixed payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Bank of America N.A. | |||||||
| $1,410,534 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | $(16,439) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 624,511 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (7,278) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 4,585,780 | (25,080) | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 57,530 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,141,781 | 34,135 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (7,372) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| baskets | 1,168,032 | — | 3/14/14 | (3 month USD- | A basket | 3,104,559 | |
| LIBOR-BBA plus | (MLTRFCF2) of | ||||||
| 0.10%) | common stocks | ||||||
|
| |||||||
| units | 30,445 | — | 3/14/14 | 3 month USD- | Russell 1000 Total | (3,027,444) | |
| LIBOR-BBA minus | Return Index | ||||||
| 0.07% | |||||||
|
| |||||||
| 46 Absolute Return 700 Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Barclays Bank PLC | ||||||
| $540,876 | $— | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | $1,449 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,088,415 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 8,640 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 942,090 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (9,214) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,463,229 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 19,553 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,749,217 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 4,686 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,498,305 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (436) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 31,294,696 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (364,729) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,974,974 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (23,018) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,256,831 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 49,667 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 850,140 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 4,755 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 590,349 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (172) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 836,460 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (9,749) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 589,427 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,589) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,511,045 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 43,747 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,932,954 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (1,435) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,503,699 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 8,410 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| Absolute Return 700 Fund 47 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Barclays Bank PLC cont. | ||||||
| $175,596 | $— | 1/12/40 | 4.00% (1 month | Synthetic TRS Index | $(1,991) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 73,750 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (693) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 404,751 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 3,213 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,620,000 | — | 4/7/16 | (2.63%) | USA Non Revised | (67,308) | |
| Consumer Price | ||||||
| Index- Urban (CPI-U) | ||||||
|
| ||||||
| 339,451 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (99) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,593,609 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (28,114) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,668,375 | — | 1/12/41 | 3.50% (1 month | Synthetic MBX Index | 44,923 | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 955,073 | — | 1/12/41 | 3.50% (1 month | Synthetic MBX Index | 6,434 | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,542,092 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (1,030) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 9,397,989 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 74,602 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,567,668 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 31,140 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,326,082 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 18,465 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 9,684,185 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 17,359 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,051,298 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (70,526) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,416,494 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 11,502 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 488,025 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 1,308 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 48 Absolute Return 700 Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Barclays Bank PLC cont. | ||||||
| $13,674 | $— | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | $25 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 17,441,263 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (5,073) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 473,533 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 1,269 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,536,532 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 4,117 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,113,719 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 2,984 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,402,203 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 42,379 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 248,005 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | 483 | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 249,286 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 1,979 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 7,106,154 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 56,409 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 8,608,212 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | 16,775 | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,075,870 | — | 1/12/38 | 6.50% (1 month | Synthetic MBX Index | (40,292) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,148,723 | — | 1/12/39 | 6.00% (1 month | Synthetic MBX Index | (11,982) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,693,168 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 47,512 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 414,210 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 7,307 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,026,216 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 35,269 | |
| USD-LIBOR | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,147,656 | (4,931) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (2,535) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| Absolute Return 700 Fund 49 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||||||
| Upfront | Fixed payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Barclays Bank PLC cont. | |||||||
| $573,828 | $(1,390) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | $(191) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 573,828 | (2,466) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (1,267) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,141,781 | 34,804 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (6,702) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,151,586 | (4,228) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (1,655) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,991,116 | (10,983) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (4,298) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,151,586 | (4,228) | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (1,655) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 358,398 | (3,696) | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 211 | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Citibank, N.A. | |||||||
| 1,975,897 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (575) | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 936,883 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (273) | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,432,069 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (16,690) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 3,069,559 | — | 1/12/41 | (3.50%) 1 month | Synthetic TRS Index | 48,096 | ||
| USD-LIBOR | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| baskets | 35 | — | 2/13/14 | (3 month USD- | A basket | 276,467 | |
| LIBOR-BBA plus | (CGPUTQL2) of | ||||||
| 0.10%) | common stocks | ||||||
|
| |||||||
| baskets | 492 | — | 2/13/14 | (3 month USD- | A basket | 4,038,082 | |
| LIBOR-BBA plus | (CGPUTQL2) of | ||||||
| 0.10%) | common stocks | ||||||
|
| |||||||
| baskets | 529,295 | — | 3/21/14 | (3 month USD- | A basket | (2,282,774) | |
| LIBOR-BBA minus | (CGPUTS15) of | ||||||
| 5.20%) | common stocks | ||||||
|
| |||||||
| 50 Absolute Return 700 Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||||||
| Upfront | Fixed payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Citibank, N.A. cont. | |||||||
| units | 11,330 | $— | 2/13/14 | 3 month USD- | Russell 1000 Total | $(2,613,403) | |
| LIBOR-BBA minus | Return Index | ||||||
| 0.15% | |||||||
|
| |||||||
| units | 707 | — | 2/13/14 | 3 month USD- | Russell 1000 Total | (194,468) | |
| LIBOR-BBA minus | Return Index | ||||||
| 0.15% | |||||||
|
| |||||||
| Credit Suisse International | |||||||
| $1,180,697 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (343) | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 120,142 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (1,400) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 623,944 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (7,272) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,654,160 | 29,465 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (2,592) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,141,781 | 36,812 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (4,695) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Goldman Sachs International | |||||||
| 535,048 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (5,028) | ||
| USD-LIBOR) | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,875,297 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (17,624) | ||
| USD-LIBOR) | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,446,653 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (13,596) | ||
| USD-LIBOR) | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 517,971 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,032) | ||
| USD-LIBOR) | 6.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 5,122,890 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (39,881) | ||
| USD-LIBOR) | 6.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,500,000 | — | 3/1/16 | 2.47% | USA Non Revised | 20,610 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 1,125,000 | — | 3/3/16 | 2.45% | USA Non Revised | 14,321 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 2,609,296 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (24,522) | ||
| USD-LIBOR) | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Absolute Return 700 Fund | 51 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Goldman Sachs International cont. | ||||||
| $119,575 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | $(1,394) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,152,115 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (13,428) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,157,430 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (20,419) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,338,746 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (22,875) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,338,746 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (22,875) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 322,456 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (3,758) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,107,346 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (12,906) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,981,563 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (34,958) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,568,225 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (53,241) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,718,998 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (30,326) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,918,464 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 15,229 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 720,778 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 5,722 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,151,038 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (71,688) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,480,218 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (79,038) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,683,096 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (29,692) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 562,173 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (6,552) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 52 Absolute Return 700 Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Goldman Sachs International cont. | ||||||
| $522,851 | $— | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | $(4,070) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 943,571 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (7,346) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 110,705 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (1,040) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,317,648 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (23,245) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,871,359 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS Index | (77,917) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 991,848 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (7,721) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 592,564 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,613) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,983,869 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (15,444) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,504,659 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (26,545) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 409,211 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (3,846) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,538,757 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (52,898) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 216,482 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (2,523) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 483,401 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (5,634) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,628,092 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 20,862 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 269,834 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (2,536) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 408,414 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (3,838) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| Absolute Return 700 Fund | 53 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | ||||||
| Upfront | Fixed payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
|
| ||||||
| Goldman Sachs International cont. | ||||||
| $136,350 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $1,082 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 363,495 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | 2,885 | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 396,308 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (3,725) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 792,776 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (7,451) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 536,960 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (5,046) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,082,082 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (24,266) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,684,820 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (19,636) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,228,530 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (37,627) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,399,438 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (27,965) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 308,381 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (2,898) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,086,377 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (12,661) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,055,133 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (19,314) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,818,487 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (37,348) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,762,935 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 43,856 | |
| USD-LIBOR | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,537,645 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (34,605) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,632,726 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 28,804 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 54 Absolute Return 700 Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited) cont. | |||||||
| Upfront | Fixed payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Goldman Sachs International cont. | |||||||
| $958,302 | $— | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | $11,169 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 3,069,559 | — | 1/12/41 | 3.50% (1 month | Synthetic TRS Index | (48,096) | ||
| USD-LIBOR) | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 3,719,692 | (41,265) | 1/12/38 | (6.50%) 1 month | Synthetic TRS Index | 1,046 | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 3,721,999 | 40,709 | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 4,941 | ||
| USD-LIBOR) | 6.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,933,604 | 11,481 | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (13,827) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 1,931,729 | 25,958 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (11,238) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 4,047,422 | (24,032) | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 28,942 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 4,044,574 | 53,085 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (24,794) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,141,781 | 36,477 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (5,029) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| JPMorgan Chase Bank N.A. | |||||||
| 1,733,557 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (20,204) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,613,327 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (46,103) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| UBS AG | |||||||
| 105,185 | — | 5/22/13 | 3 month USD- | MSCI Emerging | 428,634 | ||
| LIBOR-BBA plus | Markets TR Net USD | ||||||
| 0.25% | |||||||
|
| |||||||
| 3,134 | — | 5/22/13 | 3 month USD- | MSCI Emerging | 12,876 | ||
| LIBOR-BBA plus | Markets TR Net USD | ||||||
| 0.25% | |||||||
|
| |||||||
| 4,261 | — | 5/22/13 | 3 month USD- | MSCI Emerging | 17,506 | ||
| LIBOR-BBA plus | Markets TR Net USD | ||||||
| 0.25% | |||||||
|
| |||||||
| baskets | 476,409 | — | 5/22/13 | (3 month USD- | A basket | 1,672,507 | |
| LIBOR-BBA plus | (UBSEMBSK) of | ||||||
| 75 bp) | common stocks | ||||||
|
| |||||||
| Total | $431,645 | ||||||
| Absolute Return 700 Fund 55 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/13 (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) | |
|
| |||||||
| Bank of America N.A. | |||||||
| DJ CDX NA CMBX | BBB–/P | 9,522 | 158,000 | 5/11/63 | 300 bp | $7,262 | |
| BBB Index | |||||||
|
| |||||||
| DJ CDX NA CMBX | BBB–/P | 15,379 | 225,000 | 5/11/63 | 300 bp | 12,162 | |
| BBB Index | |||||||
|
| |||||||
| DJ CDX NA CMBX | BBB–/P | 19,446 | 315,000 | 5/11/63 | 300 bp | 14,942 | |
| BBB Index | |||||||
|
| |||||||
| DJ CDX NA CMBX | BBB–/P | 18,582 | 326,000 | 5/11/63 | 300 bp | 13,920 | |
| BBB Index | |||||||
|
| |||||||
| Credit Suisse International | |||||||
| DJ CDX NA CMBX | BBB–/P | 23,820 | 327,000 | 5/11/63 | 300 bp | 19,144 | |
| BBB Index | |||||||
|
| |||||||
| DJ CDX NA CMBX | BBB–/P | 36,250 | 473,000 | 5/11/63 | 300 bp | 29,486 | |
| BBB Index | |||||||
|
| |||||||
| DJ CDX NA IG | BBB+/P | (191,836) | 38,800,000 | 6/20/18 | 100 bp | 323,127 | |
| Series 20 Index | |||||||
|
| |||||||
| Goldman Sachs International | |||||||
| DJ CDX NA IG | BBB+/P | (47,414) | 7,950,000 | 6/20/18 | 100 bp | 56,112 | |
| Series 20 Index | |||||||
|
| |||||||
| DJ CDX NA IG | BBB+/P | (38,474) | 7,000,000 | 6/20/18 | 100 bp | 55,598 | |
| Series 20 Index | |||||||
|
| |||||||
| Total | $531,753 | ||||||
* 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 April 30, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”
| 56 Absolute Return 700 Fund |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| Valuation inputs | |||
|
| |||
| Investments in securities: | Level 1 | Level 2 | Level 3 |
|
| |||
| Common stocks: | |||
|
| |||
| Basic materials | $7,412,042 | $— | $— |
|
| |||
| Capital goods | 10,885,719 | — | — |
|
| |||
| Communication services | 10,418,001 | — | — |
|
| |||
| Conglomerates | 22,577,020 | — | — |
|
| |||
| Consumer cyclicals | 47,365,900 | — | — |
|
| |||
| Consumer staples | 42,202,859 | — | — |
|
| |||
| Energy | 26,373,400 | 428,610 | — |
|
| |||
| Financials | 47,389,776 | — | — |
|
| |||
| Health care | 38,426,725 | — | — |
|
| |||
| Technology | 68,502,280 | — | — |
|
| |||
| Transportation | 6,474,402 | — | — |
|
| |||
| Utilities and power | 9,261,998 | — | — |
|
| |||
| Total common stocks | 337,290,122 | 428,610 | — |
| Commodity linked notes | — | 25,124,521 | — |
|
| |||
| Corporate bonds and notes | — | 102,751,485 | — |
|
| |||
| Foreign government and agency bonds and notes | — | 8,099,280 | — |
|
| |||
| Investment companies | 946,136 | — | — |
|
| |||
| Mortgage-backed securities | — | 124,723,968 | — |
|
| |||
| Purchased equity options outstanding | — | 1,596,042 | — |
|
| |||
| Senior loans | — | 47,520,055 | — |
|
| |||
| U.S. government and agency mortgage obligations | — | 206,953,787 | — |
|
| |||
| Short-term investments | 160,423,934 | 111,752,846 | — |
|
| |||
| Totals by level | $498,660,192 | $628,950,594 | $— |
| Valuation inputs | |||
|
| |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
|
| |||
| Forward currency contracts | $— | $1,513,573 | $— |
|
| |||
| Futures contracts | 6,721,642 | — | — |
|
| |||
| Written equity options outstanding | — | (2,106,536) | — |
|
| |||
| Forward premium swap option contracts | — | (115,671) | — |
|
| |||
| TBA sale commitments | — | (92,163,123) | — |
|
| |||
| Interest rate swap contracts | — | (210,050) | — |
|
| |||
| Total return swap contracts | — | 251,018 | — |
|
| |||
| Credit default contracts | — | 686,478 | — |
|
| |||
| Totals by level | $6,721,642 | $(92,144,311) | $— |
The accompanying notes are an integral part of these financial statements.
| Absolute Return 700 Fund | 57 |
| Statement of assets and liabilities 4/30/13 (Unaudited) | |
| ASSETS | |
|
| |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $936,542,939) | $989,516,852 |
| Affiliated issuers (identified cost $138,093,934) (Notes 1 and 6) | 138,093,934 |
|
| |
| Foreign currency (cost $187,162) (Note 1) | 190,538 |
|
| |
| Dividends, interest and other receivables | 2,388,290 |
|
| |
| Receivable for shares of the fund sold | 9,335,965 |
|
| |
| Receivable for investments sold | 11,317,451 |
|
| |
| Receivable for sales of delayed delivery securities (Note 1) | 94,331,667 |
|
| |
| Receivable for variation margin (Note 1) | 475,836 |
|
| |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 295,336 |
|
| |
| Unrealized appreciation on forward currency contracts (Note 1) | 3,457,274 |
|
| |
| Unrealized appreciation on OTC swap contracts (Note 1) | 12,981,238 |
|
| |
| Premium paid on OTC swap contracts (Note 1) | 1,558,259 |
|
| |
| Total assets | 1,263,942,640 |
| LIABILITIES | |
|
| |
| Payable to custodian | 605,241 |
|
| |
| Payable for investments purchased | 4,484,402 |
|
| |
| Payable for purchases of delayed delivery securities (Note 1) | 215,740,596 |
|
| |
| Payable for shares of the fund repurchased | 7,982,227 |
|
| |
| Payable for compensation of Manager (Note 2) | 594,383 |
|
| |
| Payable for custodian fees (Note 2) | 26,695 |
|
| |
| Payable for investor servicing fees (Note 2) | 84,572 |
|
| |
| Payable for Trustee compensation and expenses (Note 2) | 46,904 |
|
| |
| Payable for administrative services (Note 2) | 1,632 |
|
| |
| Payable for distribution fees (Note 2) | 222,654 |
|
| |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 411,007 |
|
| |
| Unrealized depreciation on forward currency contracts (Note 1) | 1,943,701 |
|
| |
| Unrealized depreciation on OTC swap contracts (Note 1) | 12,906,787 |
|
| |
| Premium received on OTC swap contracts (Note 1) | 905,264 |
|
| |
| Written options outstanding, at value (premiums $952,490) (Notes 1 and 3) | 2,106,537 |
|
| |
| TBA sale commitments, at value (proceeds receivable $91,503,867) (Note 1) | 92,163,123 |
|
| |
| Collateral on certain derivative contracts, at value (Note 1) | 22,330,000 |
|
| |
| Other accrued expenses | 139,251 |
|
| |
| Total liabilities | 362,694,976 |
| Net assets | $901,247,664 |
|
| |
| REPRESENTED BY | |
|
| |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $833,521,617 |
|
| |
| Undistributed net investment income (Note 1) | 7,318,829 |
|
| |
| Accumulated net realized gain on investments and foreign currency transactions (Note 1) | 1,089,150 |
|
| |
| Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 59,318,068 |
|
| |
| Total — Representing net assets applicable to capital shares outstanding | $901,247,664 |
(Continued on next page)
| 58 Absolute Return 700 Fund |
| Statement of assets and liabilities (Continued) | |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
|
| |
| Net asset value and redemption price per class A share | |
| ($356,300,597 divided by 29,131,166 shares) | $12.23 |
|
| |
| Offering price per class A share (100/94.25 of $12.23)* | $12.98 |
|
| |
| Net asset value and offering price per class B share ($28,584,004 divided by 2,378,351 shares)** | $12.02 |
|
| |
| Net asset value and offering price per class C share ($151,011,026 divided by 12,566,425 shares)** | $12.02 |
|
| |
| Net asset value and redemption price per class M share ($4,813,011 divided by 398,339 shares) | $12.08 |
|
| |
| Offering price per class M share (100/96.50 of $12.08)* | $12.52 |
|
| |
| Net asset value, offering price and redemption price per class R share | |
| ($1,937,293 divided by 159,807 shares) | $12.12 |
|
| |
| Net asset value, offering price and redemption price per class R5 share | |
| ($10,633 divided by 867 shares)† | $12.27 |
|
| |
| Net asset value, offering price and redemption price per class R6 share | |
| ($6,783,623 divided by 552,681 shares) | $12.27 |
|
| |
| Net asset value, offering price and redemption price per class Y share | |
| ($351,807,477 divided by 28,725,752 shares) | $12.25 |
|
| |
* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
† Net asset value may not recalculate due to rounding of fractional shares.
The accompanying notes are an integral part of these financial statements.
| Absolute Return 700 Fund 59 |
Statement of operations Six months ended 4/30/13 (Unaudited)
| INVESTMENT INCOME | |
|
| |
| Interest (net of foreign tax of $10,957) (including interest income of $38,709 from investments | |
| in affiliated issuers) (Note 6) | $10,325,346 |
|
| |
| Dividends (net of foreign tax of $30,247) | 3,988,820 |
|
| |
| Total investment income | 14,314,166 |
| EXPENSES | |
|
| |
| Compensation of Manager (Note 2) | 3,379,176 |
|
| |
| Investor servicing fees (Note 2) | 564,752 |
|
| |
| Custodian fees (Note 2) | 44,408 |
|
| |
| Trustee compensation and expenses (Note 2) | 39,542 |
|
| |
| Distribution fees (Note 2) | 1,292,446 |
|
| |
| Administrative services (Note 2) | 15,280 |
|
| |
| Other | 172,048 |
|
| |
| Total expenses | 5,507,652 |
| Expense reduction (Note 2) | (10,006) |
|
| |
| Net expenses | 5,497,646 |
| Net investment income | 8,816,520 |
|
| |
| Net realized gain on investments (Notes 1 and 3) | 8,335,939 |
|
| |
| Net realized loss on swap contracts (Note 1) | (6,197,119) |
|
| |
| Net realized gain on futures contracts (Note 1) | 1,120,880 |
|
| |
| Net realized gain on foreign currency transactions (Note 1) | 6,154,731 |
|
| |
| Net realized loss on written options (Notes 1 and 3) | (1,722,020) |
|
| |
| Net unrealized appreciation of assets and liabilities in foreign currencies during the period | 1,295,302 |
|
| |
| Net unrealized appreciation of investments, futures contracts, swap contracts, written options, | |
| and TBA sale commitments during the period | 16,107,635 |
|
| |
| Net gain on investments | 25,095,348 |
| Net increase in net assets resulting from operations | $33,911,868 |
|
| |
The accompanying notes are an integral part of these financial statements.
| 60 Absolute Return 700 Fund |
| Statement of changes in net assets | ||
| INCREASE IN NET ASSETS | Six months ended 4/30/13* | Year ended 10/31/12 |
|
| ||
| Operations: | ||
| Net investment income | $8,816,520 | $12,252,484 |
|
| ||
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | 7,692,411 | (821,585) |
|
| ||
| Net unrealized appreciation of investments and assets | ||
| and liabilities in foreign currencies | 17,402,937 | 41,268,278 |
|
| ||
| Net increase in net assets resulting from operations | 33,911,868 | 52,699,177 |
|
| ||
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
|
| ||
| Class A | (342,713) | (13,532,154) |
|
| ||
| Class B | — | (751,043) |
|
| ||
| Class C | — | (4,254,680) |
|
| ||
| Class M | — | (130,463) |
|
| ||
| Class R | (381) | (22,424) |
|
| ||
| Class R5 | (18) | — |
|
| ||
| Class R6 | (22) | — |
|
| ||
| Class Y | (1,112,675) | (7,869,459) |
|
| ||
| Increase from capital share transactions (Note 4) | 84,071,395 | 39,224,497 |
|
| ||
| Total increase in net assets | 116,527,454 | 65,363,451 |
| NET ASSETS | ||
|
| ||
| Beginning of period | 784,720,210 | 719,356,759 |
|
| ||
| End of period (including undistributed net investment | ||
| income of $7,318,829 and distributions in excess of net | ||
| investment income of $41,882, respectively) | $901,247,664 | $784,720,210 |
|
| ||
* Unaudited
The accompanying notes are an integral part of these financial statements.
| Absolute Return 700 Fund | 61 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS: | LESS DISTRIBUTIONS: | RATIOS AND SUPPLEMENTAL DATA: | ||||||||||||
|
| ||||||||||||||
| Ratio | Ratio | |||||||||||||
| Net realized | From | of expenses | of net investment | |||||||||||
| Net asset value, | and unrealized | Total from | From | net realized | Total return | Net assets, | to average | income (loss) | Portfolio | |||||
| beginning | Net investment | gain (loss) | investment | net investment | gain | Total | Redemption | Net asset value, | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss) a | on investments | operations | income | on investments | distributions | fees | end of period | value (%) b | (in thousands) | (%) c,d | net assets (%) d | (%) e |
|
| ||||||||||||||
| Class A | ||||||||||||||
| April 30, 2013** | $11.78 | .13 | .33 | .46 | (.01) | — | (.01) | — | $12.23 | 3.93* | $356,301 | .62* | 1.07* | 104* |
| October 31, 2012 | 11.35 | .21 | .66 | .87 | (.44) | — | (.44) | — | 11.78 | 7.97 | 331,370 | 1.33 | 1.82 | 164 |
| October 31, 2011 | 11.45 | .33 | (.04) | .29 | (.34) | (.05) | (.39) | — | 11.35 | 2.55 | 364,714 | 1.37 | 2.86 | 174 |
| October 31, 2010 | 11.16 | .43 | .06 | .49 | (.15) | (.05) | (.20) | — f | 11.45 | 4.44 | 279,592 | 1.63 | 3.81 | 244 |
| October 31, 2009† | 10.00 | .33 | .83 | 1.16 | — | — | — | — f | 11.16 | 11.60* | 86,344 | 1.41* | 3.06* | 48* |
|
| ||||||||||||||
| Class B | ||||||||||||||
| April 30, 2013** | $11.60 | .08 | .34 | .42 | — | — | — | — | $12.02 | 3.62* | $28,584 | 1.00* | .70* | 104* |
| October 31, 2012 | 11.19 | .12 | .65 | .77 | (.36) | — | (.36) | — | 11.60 | 7.13 | 26,015 | 2.08 | 1.06 | 164 |
| October 31, 2011 | 11.31 | .24 | (.03) | .21 | (.28) | (.05) | (.33) | — | 11.19 | 1.84 | 22,984 | 2.12 | 2.14 | 174 |
| October 31, 2010 | 11.08 | .34 | .05 | .39 | (.11) | (.05) | (.16) | — f | 11.31 | 3.54 | 18,375 | 2.38 | 3.05 | 244 |
| October 31, 2009† | 10.00 | .29 | .79 | 1.08 | — | — | — | — f | 11.08 | 10.80* | 6,613 | 2.05* | 2.71* | 48* |
|
| ||||||||||||||
| Class C | ||||||||||||||
| April 30, 2013** | $11.60 | .08 | .34 | .42 | — | — | — | — | $12.02 | 3.62* | $151,011 | 1.00* | .70* | 104* |
| October 31, 2012 | 11.19 | .12 | .65 | .77 | (.36) | — | (.36) | — | 11.60 | 7.16 | 138,619 | 2.08 | 1.06 | 164 |
| October 31, 2011 | 11.31 | .24 | (.04) | .20 | (.27) | (.05) | (.32) | — | 11.19 | 1.79 | 132,156 | 2.12 | 2.12 | 174 |
| October 31, 2010 | 11.09 | .34 | .06 | .40 | (.13) | (.05) | (.18) | — f | 11.31 | 3.59 | 98,655 | 2.38 | 3.05 | 244 |
| October 31, 2009† | 10.00 | .32 | .77 | 1.09 | — | — | — | — f | 11.09 | 10.90* | 29,797 | 2.05* | 2.89* | 48* |
|
| ||||||||||||||
| Class M | ||||||||||||||
| April 30, 2013** | $11.65 | .10 | .33 | .43 | — | — | — | — | $12.08 | 3.69* | $4,813 | .87* | .81* | 104* |
| October 31, 2012 | 11.23 | .15 | .65 | .80 | (.38) | — | (.38) | — | 11.65 | 7.40 | 4,105 | 1.83 | 1.31 | 164 |
| October 31, 2011 | 11.32 | .27 | (.03) | .24 | (.28) | (.05) | (.33) | — | 11.23 | 2.12 | 3,830 | 1.87 | 2.34 | 174 |
| October 31, 2010 | 11.10 | .37 | .03 | .40 | (.13) | (.05) | (.18) | — f | 11.32 | 3.64 | 3,134 | 2.13 | 3.30 | 244 |
| October 31, 2009† | 10.00 | .33 | .77 | 1.10 | — | — | — | — f | 11.10 | 11.00* | 1,473 | 1.84* | 3.04* | 48* |
|
| ||||||||||||||
| Class R | ||||||||||||||
| April 30, 2013** | $11.68 | .11 | .33 | .44 | — f | — | — f | — | $12.12 | 3.79* | $1,937 | .75* | .93* | 104* |
| October 31, 2012 | 11.25 | .17 | .67 | .84 | (.41) | — | (.41) | — | 11.68 | 7.77 | 1,235 | 1.58 | 1.52 | 164 |
| October 31, 2011 | 11.37 | .30 | (.05) | .25 | (.32) | (.05) | (.37) | — | 11.25 | 2.26 | 643 | 1.62 | 2.60 | 174 |
| October 31, 2010 | 11.12 | .40 | .04 | .44 | (.14) | (.05) | (.19) | — f | 11.37 | 3.97 | 431 | 1.88 | 3.56 | 244 |
| October 31, 2009† | 10.00 | .32 | .80 | 1.12 | — | — | — | — f | 11.12 | 11.20* | 109 | 1.62* | 2.99* | 48* |
|
| ||||||||||||||
| Class R5 | ||||||||||||||
| April 30, 2013** | $11.81 | .15 | .33 | .48 | (.02) | — | (.02) | — | $12.27 | 4.08* | $11 | .51* | 1.21* | 104* |
| October 31, 2012‡ | 11.56 | .07 | .18 | .25 | — | — | — | — | 11.81 | 2.16* | 10 | .34* | .54* | 164 |
|
| ||||||||||||||
| Class R6 | ||||||||||||||
| April 30, 2013** | $11.81 | .09 g | .40 | .49 | (.03) | — | (.03) | — | $12.27 | 4.13* | $6,784 | .46* | .67* g | 104* |
| October 31, 2012‡ | 11.56 | .07 | .18 | .25 | — | — | — | — | 11.81 | 2.16* | 10 | .31* | .58* | 164 |
|
| ||||||||||||||
| Class Y | ||||||||||||||
| April 30, 2013** | $11.81 | .14 | .34 | .48 | (.04) | — | (.04) | — | $12.25 | 4.09* | $351,807 | .50* | 1.19* | 104* |
| October 31, 2012 | 11.37 | .23 | .67 | .90 | (.46) | — | (.46) | — | 11.81 | 8.31 | 283,356 | 1.08 | 2.04 | 164 |
| October 31, 2011 | 11.47 | .36 | (.05) | .31 | (.36) | (.05) | (.41) | — | 11.37 | 2.75 | 195,030 | 1.12 | 3.13 | 174 |
| October 31, 2010 | 11.17 | .46 | .05 | .51 | (.16) | (.05) | (.21) | — f | 11.47 | 4.64 | 169,634 | 1.38 | 4.04 | 244 |
| October 31, 2009† | 10.00 | .40 | .77 | 1.17 | — | — | — | — f | 11.17 | 11.70* | 60,759 | 1.19* | 3.56* | 48* |
|
| ||||||||||||||
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 62 Absolute Return 700 Fund | Absolute Return 700 Fund 63 |
Financial highlights (Continued)
* Not annualized.
** Unaudited.
† For the period December 23, 2008 (commencement of operations) to October 31, 2009.
‡ For the period July 3, 2012 (commencement of operations) to October 31, 2012.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage service arrangements (Note 2).
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
| 10/31/12 | 10/31/11 | 10/31/10 | 10/31/09 | |
|
| ||||
| Class A | 0.05% | 0.08% | 0.03% | 0.46% |
|
| ||||
| Class B | 0.05 | 0.08 | 0.03 | 0.46 |
|
| ||||
| Class C | 0.05 | 0.08 | 0.03 | 0.46 |
|
| ||||
| Class M | 0.05 | 0.08 | 0.03 | 0.46 |
|
| ||||
| Class R | 0.05 | 0.08 | 0.03 | 0.46 |
|
| ||||
| Class R5 | — | N/A | N/A | N/A |
|
| ||||
| Class R6 | — | N/A | N/A | N/A |
|
| ||||
| Class Y | 0.05 | 0.08 | 0.03 | 0.46 |
|
| ||||
e Portfolio turnover excludes TBA purchase and sale transactions.
f Amount represents less than $0.01 per share.
g The net investment income ratio and per share amount shown for the period ending April 30, 2013 may not correspond with the expected class specific differences for the period due to the timing of subscriptions into the class.
The accompanying notes are an integral part of these financial statements.
| 64 Absolute Return 700 Fund |
Notes to financial statements 4/30/13 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, 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. Unless otherwise noted, the “reporting period” represents the period from November 1, 2012 through April 30, 2013.
Putnam Absolute Return 700 Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The investment objective of the fund is to seek to earn a positive total return that exceeds the rate of inflation by 700 basis points (or 7.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions. The fund is designed to pursue a consistent absolute return by combining two independent investment strategies — a beta strategy, which provides broad exposure to investment markets, and an alpha strategy, which seeks returns from active trading. The beta strategy seeks to balance risk and to provide positive total return by investing, without limit, in many different asset classes, including U.S., international, and emerging markets equity securities (growth or value stocks or both) and fixed-income securities; mortgage- and asset-backed securities; high yield securities (sometimes referred to as “junk bonds”); inflation-protected securities; commodities; and real estate investment trusts. The alpha strategy involves the potential use of active trading strategies designed to provide additional total return through active security selection, tactical asset allocation, currency transactions and options transactions. In pursuing a consistent absolute return, the fund’s strategies are also generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. These traditional asset classes might include, for example, equities or equity-like investments.
The fund offers class A, class B, class C, class M, class R, class R5, class R6 and class Y shares. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R5, class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
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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 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (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 consider 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. Certain securities may be valued on the basis of a price provided by a single source. 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.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
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Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses 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 option 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.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average contract amount, see Note 5.
Futures contracts The fund uses 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. Risks may exceed amounts recognized on the Statement of assets and liabilities. 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.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average number of contracts, see Note 5.
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Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. 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. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average contract amount, see Note 5.
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. 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 on the Statement of assets and liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract. 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, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing 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 and for centrally cleared interest rate swap contracts through the daily exchange of mark to market margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount see Note 5.
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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
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OTC total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount, see Note 5.
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 upfront 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. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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.
OTC credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount, see Note 5.
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 $2,262,993 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 $2,810,077 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $947,527.
TBA purchase commitments The fund may enter into TBA (to be announced) 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
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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.
TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally 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. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
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At October 31, 2012, the fund had a capital loss carryover of $6,247,022 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:
| Loss carryover | |||
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| Short-term | Long-term | Total | Expiration |
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| $— | $4,473,970 | $4,473,970 | * |
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| 1,773,052 | N/A | 1,773,052 | October 31, 2019 |
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* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
The aggregate identified cost on a tax basis is $1,075,491,586, resulting in gross unrealized appreciation and depreciation of $72,229,608 and $20,110,408, respectively, or net unrealized appreciation of $52,119,200.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (base fee) (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
| 1.030% | of the first $5 billion, | 0.830% | of the next $50 billion, | |
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| 0.980% | of the next $5 billion, | 0.810% | of the next $50 billion, | |
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| 0.930% | of the next $10 billion, | 0.800% | of the next $100 billion and | |
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| 0.880% | of the next $10 billion, | 0.795% | of any excess thereafter. | |
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Commencing with the fund’s thirteenth whole calendar month of operation (January 2010), the applicable base fee was increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease is calculated monthly based on a performance adjustment rate that is equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by the fund’s class A shares) and the annualized performance of the Bank of America Merrill Lynch U.S. Treasury Bill Index plus 7.00% over the performance period. The maximum annualized performance adjustment rate is +/– 0.28% The performance period is the thirty-six month period then ended or, if the fund has not then operated for thirty-six whole calendar months, the period from the date the fund commenced operations to the end of the month for which the fee adjustment is being computed. Each month, the performance adjustment rate is multiplied by the fund’s average net assets over the performance period and the result is divided by twelve. The resulting dollar amount is added to, or subtracted from, the base fee for that month. The monthly base fee is determined based on the fund’s average net assets for the month, while the performance adjustment is determined based on the fund’s average net assets over the performance period of up to thirty-six months. This means it is possible that, if the fund underperforms significantly over the performance period, and the fund’s assets have declined significantly over that period, the
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negative performance adjustment may exceed the base fee. In this event, Putnam Management would make a payment to the fund.
Because the performance adjustment is based on the fund’s performance relative to its applicable benchmark index, and not its absolute performance, the performance adjustment could increase Putnam Management’s fee even if the fund’s shares lose value during the performance period provided that the fund outperformed its benchmark index, and could decrease Putnam Management’s fee even if the fund’s shares increase in value during the performance period provided that the fund underperformed its benchmark index.
For the reporting period, the base fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.438% of the fund’s average net assets before a decrease of $329,936 (0.039% of the fund’s average net assets) based on performance.
Putnam Management has agreed to limit the fund’s total expenses through June 30, 2014, to the extent that the total expenses of the fund (before performance adjustments to the fund’s management fee and excluding brokerage, interest, taxes, investment related expenses, extraordinary expenses, acquired fund fees and expenses and payments under each fund’s distribution plans) will not exceed an annual rate of 1.10% of the fund’s average net assets. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Management has also contractually agreed, through June 30, 2013, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $235,564 | Class R5 | 8 | |
|
|
| |||
| Class B | 18,624 | Class R6 | 281 | |
|
|
| |||
| Class C | 99,309 | Class Y | 206,885 | |
|
|
| |||
| Class M | 2,964 | Total | $564,752 | |
|
|
| |||
| Class R | 1,117 | |||
|
|
||||
| 72 Absolute Return 700 Fund |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $491 under the expense offset arrangements and by $9,515 under the brokerage/ service arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $649, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:
| Class A | $423,559 | Class M | 16,121 | |
|
|
| |||
| Class B | 134,044 | Class R | 4,122 | |
|
|
| |||
| Class C | 714,600 | Total | $1,292,446 | |
|
|
| |||
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $86,277 and $1,278 from the sale of class A and class M shares, respectively, and received $9,509 and $1,634 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $217 and no monies on class A and class M redemptions, respectively.
Note 3: Purchases and sales of securities
During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments and TBA transactions aggregated $733,154,177 and $676,422,153, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.
| Absolute Return 700 Fund | 73 |
Written option transactions during the reporting period are summarized as follows:
| Written swap | Written equity | |||
| option contract | Written swap | option contract | Written equity | |
| amounts | option premiums | amounts | option premiums | |
|
| ||||
| Written options outstanding | ||||
| at the beginning of the | ||||
| reporting period | $13,270,000 | $255,448 | 2,400,334 | $3,202,130 |
|
| ||||
| Options opened | 214,949,000 | — | 7,998,581 | 3,997,971 |
| Options exercised | (12,218,000) | — | — | — |
| Options expired | — | — | (4,028,271) | (3,066,831) |
| Options closed | (194,113,000) | (255,448) | (4,396,104) | (3,180,780) |
|
| ||||
| Written options outstanding at | ||||
| the end of the reporting period | $21,888,000 | $— | 1,974,540 | $952,490 |
|
| ||||
Note 4: Capital shares
At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class A | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 5,296,414 | $62,939,518 | 9,251,110 | $106,268,963 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 26,634 | 310,819 | 1,114,342 | 12,090,615 |
|
| ||||
| 5,323,048 | 63,250,337 | 10,365,452 | 118,359,578 | |
|
| ||||
| Shares repurchased | (4,330,152) | (51,492,014) | (14,372,473) | (162,631,768) |
|
| ||||
| Net increase (decrease) | 992,896 | $11,758,323 | (4,007,021) | $(44,272,190) |
|
| ||||
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class B | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 303,926 | $3,565,677 | 439,354 | $4,968,777 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 65,358 | 703,255 |
|
| ||||
| 303,926 | 3,565,677 | 504,712 | 5,672,032 | |
|
| ||||
| Shares repurchased | (167,627) | (1,966,784) | (316,764) | (3,577,563) |
|
| ||||
| Net increase | 136,299 | $1,598,893 | 187,948 | $2,094,469 |
|
| ||||
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class C | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 2,091,912 | $24,455,280 | 2,868,639 | $32,453,915 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 322,163 | 3,466,471 |
|
| ||||
| 2,091,912 | 24,455,280 | 3,190,802 | 35,920,386 | |
|
| ||||
| Shares repurchased | (1,473,607) | (17,243,028) | (3,051,939) | (34,391,698) |
|
| ||||
| Net increase | 618,305 | $7,212,252 | 138,863 | $1,528,688 |
|
| ||||
| 74 Absolute Return 700 Fund |
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class M | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 84,788 | $994,513 | 68,727 | $784,179 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 11,446 | 123,388 |
|
| ||||
| 84,788 | 994,513 | 80,173 | 907,567 | |
|
| ||||
| Shares repurchased | (38,810) | (451,526) | (68,917) | (782,920) |
|
| ||||
| Net increase | 45,978 | $542,987 | 11,256 | $124,647 |
|
| ||||
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class R | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 70,098 | $820,994 | 62,643 | $713,384 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 33 | 381 | 2,080 | 22,424 |
|
| ||||
| 70,131 | 821,375 | 64,723 | 735,808 | |
|
| ||||
| Shares repurchased | (16,050) | (187,071) | (16,147) | (183,354) |
|
| ||||
| Net increase | 54,081 | $634,304 | 48,576 | $552,454 |
|
| ||||
| For the period 7/3/12 | ||||
| (commencement of operations) | ||||
| Six months ended 4/30/13 | to 10/31/12 | |||
|
| ||||
| Class R5 | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | — | $— | 865 | $10,000 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 2 | 18 | — | — |
|
| ||||
| 2 | 18 | 865 | 10,000 | |
|
| ||||
| Shares repurchased | — | — | — | — |
|
| ||||
| Net increase | 2 | $18 | 865 | $10,000 |
|
| ||||
| For the period 7/3/12 | ||||
| (commencement of operations) | ||||
| Six months ended 4/30/13 | to 10/31/12 | |||
|
| ||||
| Class R6 | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 560,296 | $6,857,778 | 865 | $10,000 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 2 | 22 | — | — |
|
| ||||
| 560,298 | 6,857,800 | 865 | 10,000 | |
|
| ||||
| Shares repurchased | (8,482) | (103,019) | — | — |
|
| ||||
| Net increase | 551,816 | $6,754,781 | 865 | $10,000 |
|
| ||||
| Six months ended 4/30/13 | Year ended 10/31/12 | |||
|
| ||||
| Class Y | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 10,168,679 | $120,783,676 | 14,631,706 | $167,900,730 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 76,709 | 895,189 | 530,842 | 5,759,637 |
|
| ||||
| 10,245,388 | 121,678,865 | 15,162,548 | 173,660,367 | |
|
| ||||
| Shares repurchased | (5,520,337) | (66,109,028) | (8,310,533) | (94,483,938) |
|
| ||||
| Net increase | 4,725,051 | $55,569,837 | 6,852,015 | $79,176,429 |
|
| ||||
| Absolute Return 700 Fund | 75 |
At the close of the reporting period, Putnam Investments, LLC owned the following class shares of the fund:
| Shares owned | Percentage of ownership | Value | |
|
| |||
| Class R5 | 867 | 100.00% | $10,638 |
|
| |||
| Class R6 | 867 | 0.16 | 10,638 |
|
| |||
Note 5: Summary of derivative activity
The average volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows:
| Purchased equity option contracts (number of contracts) | 1,800,000 |
|
| |
| Purchased swap option contracts (contract amount) | $162,800,000 |
|
| |
| Written equity option contracts (number of contracts) | 2,200,000 |
|
| |
| Written swap option contracts (contract amount) | $82,600,000 |
|
| |
| Futures contracts (number of contracts) | 4,000 |
|
| |
| Forward currency contracts (contract amount) | $529,000,000 |
|
| |
| OTC interest rate swap contracts (notional) | $531,900,000 |
|
| |
| Centrally cleared interest rate swap contracts (notional) | $1,500,000 |
|
| |
| OTC total return swap contracts (notional) | $962,800,000 |
|
| |
| OTC credit default swap contracts (notional) | $58,900,000 |
|
| |
The following is a summary of the market values of derivative instruments as of the close of the reporting period:
Market values of derivative instruments as of the close of the reporting period
| Asset derivatives | Liability derivatives | |||
|
| ||||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Market value | liabilities location | Market value |
|
| ||||
| Credit contracts | Receivables | $712,561 | Payables | $26,083 |
|
| ||||
| Foreign exchange | ||||
| contracts | Receivables | 3,457,274 | Payables | 1,943,701 |
|
| ||||
| Investments, | ||||
| Receivables, Net | Payables, Net | |||
| assets — Unrealized | assets — Unrealized | |||
| Equity contracts | appreciation | 15,694,964* | depreciation | 11,585,459* |
|
| ||||
| Investments, | ||||
| Receivables, Net | Payables, Net | |||
| assets — Unrealized | assets — Unrealized | |||
| Interest rate contracts | appreciation | 7,095,303* | depreciation | 5,068,363* |
|
| ||||
| Total | $26,960,102 | $18,623,606 | ||
|
| ||||
* Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
| 76 Absolute Return 700 Fund |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $(1,404,137) | $(1,404,137) |
|
| |||||
| Foreign exchange | |||||
| contracts | — | — | 6,054,878 | — | 6,054,878 |
|
| |||||
| Equity contracts | (7,301,027) | 6,718,678 | — | (3,353,443) | (3,935,792) |
|
| |||||
| Interest rate contracts | (790,718) | (5,597,798) | — | (1,439,539) | (7,828,055) |
|
| |||||
| Total | $(8,091,745) | $1,120,880 | $6,054,878 | $(6,197,119) | $(7,113,106) |
|
| |||||
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $2,173,509 | $2,173,509 |
|
| |||||
| Foreign exchange | |||||
| contracts | — | — | 1,287,071 | — | 1,287,071 |
|
| |||||
| Equity contracts | (5,844,834) | 3,244,093 | — | 674,597 | (1,926,144) |
|
| |||||
| Interest rate contracts | 774,351 | 4,799,807 | — | (2,496,212) | 3,077,946 |
|
| |||||
| Total | $(5,070,483) | $8,043,900 | $1,287,071 | $351,894 | $4,612,382 |
|
| |||||
Note 6: Transactions with affiliated issuers
Transactions during the reporting period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership or control, were as follows:
| Market value at | Market value | ||||
| the beginning | at the end of | ||||
| of the reporting | Investment | the reporting | |||
| Name of affiliates | period | Purchase cost | Sale proceeds | income | period |
|
| |||||
| Putnam Money Market | |||||
| Liquidity Fund* | $75,245,392 | $102,341,051 | $177,586,443 | $26,087 | $— |
|
| |||||
| Putnam Short Term | |||||
| Investment Fund* | — | 171,267,006 | 33,173,072 | 12,622 | 138,093,934 |
|
| |||||
| Totals | $75,245,392 | $273,608,057 | $210,759,515 | $38,709 | $138,093,934 |
|
| |||||
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Note 8: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the
| Absolute Return 700 Fund | 77 |
transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 9: New accounting pronouncement
In January 2013, ASU 2013–01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities,” amended ASU No. 2011–11, “Disclosures about Offsetting Assets and Liabilities.” The ASUs create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASUs 2013–01 and 2011–11 and their impact, if any, on the fund’s financial statements.
| 78 Absolute Return 700 Fund |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| Absolute Return 700 Fund 79 |
The Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.
| Growth | Income |
| Growth Opportunities Fund | American Government Income Fund |
| International Growth Fund | Diversified Income Trust |
| Multi-Cap Growth Fund | Floating Rate Income Fund |
| Small Cap Growth Fund | Global Income Trust |
| Voyager Fund | High Yield Advantage Fund |
| High Yield Trust | |
| Blend | Income Fund |
| Asia Pacific Equity Fund | Money Market Fund* |
| Capital Opportunities Fund | Short Duration Income Fund |
| Capital Spectrum Fund | U.S. Government Income Trust |
| Emerging Markets Equity Fund | |
| Equity Spectrum Fund | Tax-free income |
| Europe Equity Fund | AMT-Free Municipal Fund |
| Global Equity Fund | Tax Exempt Income Fund |
| International Capital Opportunities Fund | Tax Exempt Money Market Fund* |
| International Equity Fund | Tax-Free High Yield Fund |
| Investors Fund | |
| Multi-Cap Core Fund | State tax-free income funds: |
| Research Fund | Arizona, California, Massachusetts, Michigan, |
| Minnesota, New Jersey, New York, Ohio, | |
| Value | and Pennsylvania. |
| Convertible Securities Fund | |
| Equity Income Fund | Absolute Return |
| George Putnam Balanced Fund | Absolute Return 100 Fund® |
| The Putnam Fund for Growth and Income | Absolute Return 300 Fund® |
| International Value Fund | Absolute Return 500 Fund® |
| Multi-Cap Value Fund | Absolute Return 700 Fund® |
| Small Cap Value Fund | |
* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.
| 80 Absolute Return 700 Fund |
| Global Sector | Putnam RetirementReady® Funds — portfolios |
| Global Consumer Fund | with automatically adjusting allocations to |
| Global Energy Fund | stocks, bonds, and money market instruments, |
| Global Financials Fund | becoming more conservative over time. |
| Global Health Care Fund | |
| Global Industrials Fund | RetirementReady 2055 Fund |
| Global Natural Resources Fund | RetirementReady 2050 Fund |
| Global Sector Fund | RetirementReady 2045 Fund |
| Global Technology Fund | RetirementReady 2040 Fund |
| Global Telecommunications Fund | RetirementReady 2035 Fund |
| Global Utilities Fund | RetirementReady 2030 Fund |
| RetirementReady 2025 Fund | |
| Asset Allocation | RetirementReady 2020 Fund |
| Putnam Global Asset Allocation Funds — | RetirementReady 2015 Fund |
| portfolios with allocations to stocks, bonds, | |
| and money market instruments that are | Putnam Retirement Income Lifestyle |
| adjusted dynamically within specified ranges | Funds — portfolios with managed |
| as market conditions change. | allocations to stocks, bonds, and money |
| market investments to generate | |
| Dynamic Asset Allocation Balanced Fund | retirement income. |
| Dynamic Asset Allocation | |
| Conservative Fund | Retirement Income Fund Lifestyle 1 |
| Dynamic Asset Allocation Growth Fund | Retirement Income Fund Lifestyle 2 |
| Dynamic Risk Allocation Fund | Retirement Income Fund Lifestyle 3 |
A short-term trading fee of 1% may apply to redemptions or exchanges from certain funds within the time period specified in the fund's prospectus.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
| Absolute Return 700 Fund | 81 |
Putnam’s commitment to confidentiality
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Within the Putnam organization, your information is shared with those who need it to service your account or provide you with information about other Putnam products or services. Under certain circumstances, we must also share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. It is also our policy to share account information with your financial advisor, if you've provided us with information about your advisor and that person is listed on your Putnam account.
If you would like clarification about our confidentiality policies or have any questions or concerns, please don't hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:00 a.m. to 8:00 p.m. Eastern Time.
| 82 Absolute Return 700 Fund |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Robert T. Burns |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
| Management, LLC | Liaquat Ahamed | Chief Legal Officer |
| One Post Office Square | Ravi Akhoury | |
| Boston, MA 02109 | Barbara M. Baumann | Robert R. Leveille |
| Charles B. Curtis | Vice President and | |
| Investment Sub-Manager | Robert J. Darretta | Chief Compliance Officer |
| Putnam Investments Limited | Katinka Domotorffy | |
| 57–59 St James’s Street | John A. Hill | Michael J. Higgins |
| London, England SW1A 1LD | Paul L. Joskow | Vice President and Treasurer |
| Elizabeth T. Kennan | ||
| Investment Sub-Advisor | Kenneth R. Leibler | Janet C. Smith |
| The Putnam Advisory | Robert E. Patterson | Vice President, |
| Company, LLC | George Putnam, III | Principal Accounting Officer, |
| One Post Office Square | Robert L. Reynolds | and Assistant Treasurer |
| Boston, MA 02109 | W. Thomas Stephens | |
| Susan G. Malloy | ||
| Marketing Services | Officers | Vice President and |
| Putnam Retail Management | Robert L. Reynolds | Assistant Treasurer |
| One Post Office Square | President | |
| Boston, MA 02109 | James P. Pappas | |
| Jonathan S. Horwitz | Vice President | |
| Custodian | Executive Vice President, | |
| State Street Bank | Principal Executive Officer, and | Mark C. Trenchard |
| and Trust Company | Compliance Liaison | Vice President and |
| BSA Compliance Officer | ||
| Legal Counsel | Steven D. Krichmar | |
| Ropes & Gray LLP | Vice President and | Nancy E. Florek |
| Principal Financial Officer | Vice President, Proxy | |
| Manager, Assistant Clerk, and | ||
| Associate Treasurer |
| Absolute Return 700 Fund 83 |
This report is for the information of shareholders of Putnam Absolute Return 700 Fund®. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| 84 Absolute Return 700 Fund |
| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. Controls and Procedures: |
| (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 12. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) 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. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| Putnam Funds Trust |
| By (Signature and Title): |
| /s/Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: June 27, 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: June 27, 2013 |
| By (Signature and Title): |
| /s/Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
| Date: June 27, 2013 |