| 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: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | May 31, 2015 |
| Date of reporting period: | June 1, 2014 – November 30, 2014 |
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
Dynamic Risk
Allocation Fund
Semiannual report
11 | 30 | 14
|
Message from the Trustees |
1 |
|
About the fund |
2 |
|
Performance snapshot |
4 |
|
Interview with your fund’s portfolio manager |
5 |
|
Your fund’s performance |
11 |
|
Your fund’s expenses |
13 |
|
Terms and definitions |
15 |
|
Other information for shareholders |
16 |
|
Trustee approval of management contract |
17 |
|
Financial statements |
22 |
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. The fund may invest a portion of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. Allocation of assets among asset classes may hurt performance, and efforts to diversify risk through the use of leverage and allocation decisions may not be successful. Derivatives carry additional risks, such as the inability to terminate or sell derivatives positions and the failure of the other party to meet its obligations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Active trading strategies may lose money or not earn a return sufficient to cover trading and other costs. Use of leverage obtained through derivatives increases these risks by increasing investment exposure. Over-the-counter derivatives are also subject to the risk 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. REITs are subject to the risk of economic downturns that have an adverse impact on real estate markets. The use of short selling may result in losses if the securities appreciate in value. Commodities involve market, political, regulatory, and natural conditions risks. Stock and bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, factors related to a specific issuer or industry and, with respect to bond prices, changing market perceptions of the risk of default and changes in government intervention. These factors may also lead to increased volatility and reduced liquidity in the bond markets. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
At the start of 2015, the U.S. economy appears to be on firm footing. The nation’s unemployment rate has fallen substantially, while gross domestic product expanded in the second and third quarters of 2014. Over the course of 2014, U.S. stocks advanced, and many areas of the bond markets delivered positive results, including tax-exempt bonds, which benefited from solid investor demand.
U.S. consumers are also seeing an unexpected increase in disposable income thanks to the drop in energy prices over the past several months. While supportive of U.S. growth, lower energy prices unfortunately pose economic difficulties to a number of oil-exporting countries. In addition, Europe, China, and Japan are attending to policy measures to help restore economic vigor.
Since the Federal Reserve concluded its quantitative easing program in the fall of 2014, the major policy question for the United States is when the central bank will raise short-term interest rates. A move in mid-2015 appears likely, according to comments from Fed officials. Rising rates could generate a potential headwind for fixed-income securities and markets more broadly.
The first months of the new year may be a good time to meet with your financial advisor to ensure that your portfolio is properly diversified and aligned with your objectives and risk tolerance. Putnam offers a wide range of strategies for all environments, as well as new ways of thinking about building portfolios for both the opportunities and the risks in today’s markets.
As always, thank you for investing with Putnam.
Respectfully yours,
Robert L. Reynolds
President and Chief Executive Officer
Putnam Investments
Jameson A. Baxter
Chair, Board of Trustees
January 8, 2015
Performance
snapshot
Annualized total return (%) comparison as of 11/30/14
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.
*The Putnam Dynamic Risk Allocation Blended Index is an unmanaged index administered by Putnam Management, 50% of which is the MSCI World Index (ND), 40% of which is the Barclays Global Aggregate Bond Index, and 10% of which is the S&P Goldman Sachs Commodity Index. See index descriptions on pages 15–16.
†Returns for the six-month period are not annualized, but cumulative.
4 Dynamic Risk Allocation Fund
Interview with your fund’s portfolio manager
|
|
|
Robert J. Kea, CFA |
What was the environment like during the six-month reporting period ending November 30, 2014?
Investors benefited from strong U.S. stock market performance during the period. Despite some sources of uncertainty both here in the United States and across the globe, stocks exhibited resilience, with the S&P 500 Index notching numerous highs throughout the past six months. In the United States, markets surmounted questions about the impact of the Federal Reserve’s reduction and eventual end of its long-running bond-buying program. Abroad, conflicts in Eastern Europe and the Middle East, the Ebola virus health scare, and economic slowdowns in the eurozone and China prompted concerns. At the same time, several positive developments emerged: The U.S. unemployment rate dropped below 6%, GDP growth rebounded, merger-and-acquisition activity increased, and corporate earnings, particularly top-line revenue growth, continued to grow.
During the period, the price of oil fell precipitously as a result of excess supply due to slackening global demand, North American energy production, and signs that the Organization of Petroleum Exporting Countries [OPEC] wasn’t likely to reduce output. While not positive for the energy sector, cheaper oil has been a tailwind for economic growth, particularly for U.S. consumers, who paid lower prices at the gas pump as well as on their home-heating bills.
Broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 11/30/14. See pages 4 and 11–12 for additional fund performance information. Index descriptions can be found on pages 15–16.
Dynamic Risk Allocation Fund 5
What strategies did you employ in the portfolio, and how did the portfolio perform?
The portfolio and its risk allocation strategy performed reasonably well during the period. Both dynamic asset allocation and active strategies added value. An underweight to commodities was one of the largest benchmark-relative contributors, though overweight positions in large- and small-cap U.S. equities also benefited the portfolio. Active strategy execution was also positive, led by strong security selection within commodities, where we have de-emphasized exposure to energy-sensitive assets. Currency positioning was also one of the primary positive contributors for the period, as both active currency and foreign exchange hedging benefited from a rallying U.S. dollar.
In this environment, the fund’s class A shares slipped -0.43% during the six months ended November 30, 2014, outperforming its custom benchmark, the Putnam Dynamic Risk Allocation Blended Index, which declined –2.76%.
Portfolio composition
Allocations are shown as a percentage of the fund’s net assets as of 11/30/14. 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.
A negative percentage reflects the effects of fund strategies that are designed to enhance performance if certain securities decline in value.
6 Dynamic Risk Allocation Fund
“We believe that the U.S. economy is
continuing to gather strength.”
Bob Kea
What is your view of stock valuations today?
Equity valuations may be stretched — meaning they may be somewhat higher than normal when viewed against the market’s long-term price-to-earnings ratio — but we’re not overly concerned. High valuations alone are not what end a bull market, in our opinion. Rather, bull markets typically run out of gas because of economic recessions or the dramatic tightening of interest rates by the Federal Reserve, and we don’t believe either of those scenarios is likely to play out in the short term. We continue to believe that risk assets such as U.S. stocks should support further growth in the portfolio in the near term, particularly in light of the U.S. economy’s ongoing expansion and generally positive earnings by many domestic companies.
Top 10 holdings
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 11/30/14. Short-term holdings, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
Dynamic Risk Allocation Fund 7
Now that the Fed has ended its quantitative easing bond-buying program, what is your perspective on the central bank raising short-term interest rates?
We believe the Fed will be circumspect and act appropriately with its decision regarding short-term interest rate increases. As we know, the central bank has concluded its quantitative easing [QE] program, in which it had been buying U.S. Treasuries and agency mortgage-backed securities. Fed officials cited “substantial improvement” in employment growth and sustained strengthening of the overall economy as key reasons for ending QE. While investors were concerned about the termination of QE, the markets took the program’s conclusion in stride. We believe this is what the central bank has hoped for all along — that the economic recovery would sustain itself without stimulus.
In anticipation of the possibility of the Fed raising short-term interest rates in mid-2015, we’re monitoring the credit markets closely and have begun to reduce exposure across the portfolio. We are also monitoring interest-rate-sensitive assets, given the expectation that rates will eventually rise.
Risk allocations
Allocations are shown as a percentage of the fund’s net assets as of 11/30/14. Risk contribution is from Putnam research, which uses the historical standard deviation for the respective asset classes multiplied by the appropriate asset weight. Holdings and allocations may vary over time.
8 Dynamic Risk Allocation Fund
With a global environment of very low yields and a strong U.S. dollar, however, U.S. Treasuries continue to look attractive, in our opinion. We also like the potential diversification benefits of having some exposure to rate-sensitive bonds.
What is your outlook for the economy and the market in coming months?
We believe that the U.S. economy is continuing to gather strength, with declining unemployment, lower energy prices, and earnings continuing to surprise on the upside. As mentioned above, we believe equities are fully valued, but not overvalued, and I believe they can continue to deliver decent risk-adjusted returns into 2015. We’re currently watching the credit markets closely and have begun to reduce exposure across the portfolio.
At the same time, however, we like the diversification benefits of having some exposure to bonds, as they tend to be negatively correlated to equities and credit. With respect to commodities, the asset class has been a weak performer — particularly during the second half of the six-month period — so we expect to maintain an underweight there in the future. Overall, while still somewhat constructive, we do not expect to see the same level of return from the equity, credit, and bond markets that took place over the past three years.
Thank you, Bob, for your time and insights 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.
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.
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 currency forward 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 often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
Dynamic Risk Allocation Fund 9
Portfolio Manager Robert J. Kea is Co-Head of Global Asset Allocation at Putnam. He holds an M.B.A. from the Bentley University Graduate School of Business and a B.A. from the University of Massachusetts, Amherst. Bob joined Putnam in 1989 and has been in the investment industry since 1988.
In addition to Bob, 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 plummeting price of oil, which dropped at least 40% to under $60 per barrel from June to November, has put more money into American consumers’ pockets and is likely to accelerate the pace of the nation’s economic recovery. Savings gained from lower heating and gasoline costs have helped boost consumer confidence across the United States. Prices fell in response to greater oil supplies, combined with reduced energy demand. Domestic oil production has increased due to advanced extraction techniques, like hydraulic fracturing. Overseas, the 12-nation Organization of Petroleum Exporting Countries (OPEC) has been slow to reduce output, instead opting to sell excess reserves at a deep discount to struggling economies in Asia and Europe. Competing on price, however, may put OPEC-member countries at risk of stalling their own economic progress. In Russia and Venezuela, for example, shrinking oil revenue has contributed to weakened local currencies and increased inflationary concerns. In regard to demand, the International Energy Agency revised its global oil consumption outlook downward by 230,000 barrels per day, to 900,000, for 2015.
10 Dynamic Risk Allocation Fund
|
Your fund’s performance |
|
This section shows your fund’s performance, price, and distribution information for periods ended November 30, 2014, 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, R5, R6, and 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 11/30/14
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|||||
|
(inception dates) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(7/2/12) |
(7/2/12) |
(9/19/11) |
||||
|
Before |
After |
Before |
After |
Before |
After |
Before |
After |
Net |
Net |
Net |
Net |
|
|
Life of fund |
22.24% |
15.21% |
19.31% |
16.31% |
19.35% |
19.35% |
20.26% |
16.05% |
21.25% |
23.43% |
23.52% |
23.25% |
|
Annual average |
6.48 |
4.53 |
5.68 |
4.84 |
5.69 |
5.69 |
5.94 |
4.77 |
6.21 |
6.81 |
6.83 |
6.76 |
|
3 years |
22.00 |
14.98 |
19.31 |
16.31 |
19.35 |
19.35 |
20.14 |
15.93 |
21.12 |
23.06 |
23.15 |
22.88 |
|
Annual average |
6.85 |
4.76 |
6.06 |
5.17 |
6.07 |
6.07 |
6.31 |
5.05 |
6.60 |
7.16 |
7.19 |
7.11 |
|
1 year |
5.44 |
–0.62 |
4.65 |
–0.35 |
4.61 |
3.61 |
4.84 |
1.17 |
5.11 |
5.76 |
5.69 |
5.63 |
|
6 months |
–0.43 |
–6.16 |
–0.87 |
–5.83 |
–0.87 |
–1.87 |
–0.78 |
–4.25 |
–0.61 |
–0.34 |
–0.34 |
–0.35 |
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.
Dynamic Risk Allocation Fund 11
Comparative index returns For periods ended 11/30/14
|
Putnam Dynamic Risk Allocation Blended Index |
Lipper Alternative Global Macro Funds category average* |
|
|
Life of fund |
25.57% |
15.78% |
|
Annual average |
7.38 |
4.47 |
|
3 years |
23.97 |
16.58 |
|
Annual average |
7.43 |
5.04 |
|
1 year |
2.38 |
3.18 |
|
6 months |
–2.76 |
–0.62 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
*Over the 6-month, 1-year, 3-year and life-of-fund periods ended 11/30/14, there were 324, 303, 193, and 184 funds, respectively, in this Lipper category.
Fund price and distribution information For the six-month period ended 11/30/14
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|||
|
Share value |
Before |
After |
Net asset |
Net asset |
Before |
After |
Net asset |
Net asset |
Net asset |
Net asset |
|
5/31/14 |
$11.58 |
$12.29 |
$11.44 |
$11.44 |
$11.60 |
$12.02 |
$11.52 |
$11.62 |
$11.61 |
$11.59 |
|
11/30/14 |
11.53 |
12.23 |
11.34 |
11.34 |
11.51 |
11.93 |
11.45 |
11.58 |
11.57 |
11.55 |
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.
The fund made no distributions during the period.
Fund performance as of most recent calendar quarter
Total return for periods ended 12/31/14
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|||||
|
(inception dates) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(9/19/11) |
(7/2/12) |
(7/2/12) |
(9/19/11) |
||||
|
Before |
After |
Before |
After |
Before |
After |
Before |
After |
Net |
Net |
Net |
Net |
|
|
Life of fund |
19.76% |
12.87% |
16.87% |
13.87% |
16.89% |
16.89% |
17.83% |
13.71% |
18.75% |
20.98% |
21.10% |
20.83% |
|
Annual average |
5.65 |
3.76 |
4.86 |
4.04 |
4.87 |
4.87 |
5.13 |
3.99 |
5.37 |
5.97 |
6.01 |
5.93 |
|
3 years |
19.13 |
12.28 |
16.45 |
13.45 |
16.46 |
16.46 |
17.30 |
13.19 |
18.21 |
20.17 |
20.29 |
20.02 |
|
Annual average |
6.01 |
3.94 |
5.21 |
4.29 |
5.21 |
5.21 |
5.46 |
4.22 |
5.74 |
6.31 |
6.35 |
6.27 |
|
1 year |
2.69 |
–3.22 |
2.00 |
–2.89 |
1.99 |
1.01 |
2.16 |
–1.42 |
2.41 |
2.99 |
3.03 |
2.94 |
|
6 months |
–3.46 |
–9.01 |
–3.83 |
–8.44 |
–3.84 |
–4.76 |
–3.77 |
–7.14 |
–3.66 |
–3.33 |
–3.29 |
–3.38 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
12 Dynamic Risk Allocation 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. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. 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 |
|
|
Net expenses for the fiscal year ended 5/31/14* |
1.42% |
2.17% |
2.17% |
1.92% |
1.67% |
1.17% |
1.13% |
1.17% |
|
Total annual operating expenses for the fiscal year ended 5/31/14 |
1.52% |
2.27% |
2.27% |
2.02% |
1.77% |
1.23% |
1.13% |
1.27% |
|
Annualized expense ratio for the six-month period ended 11/30/14 |
1.40% |
2.15% |
2.15% |
1.90% |
1.65% |
1.15% |
1.09% |
1.15% |
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.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.02%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
*Reflects Putnam Management’s contractual obligation to limit expenses through 9/30/15.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from June 1, 2014, to November 30, 2014. 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 |
|
|
Expenses paid per $1,000*† |
$7.00 |
$10.73 |
$10.73 |
$9.49 |
$8.25 |
$5.76 |
$5.46 |
$5.76 |
|
Ending value (after expenses) |
$995.70 |
$991.30 |
$991.30 |
$992.20 |
$993.90 |
$996.60 |
$996.60 |
$996.50 |
*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 11/30/14. 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.
Dynamic Risk Allocation Fund 13
|
Estimate the expenses you paid |
|
To estimate the ongoing expenses you paid for the six months ended November 30, 2014, use the following calculation method. To find the value of your investment on June 1, 2014, 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 |
|
|
Expenses paid per $1,000*† |
$7.08 |
$10.86 |
$10.86 |
$9.60 |
$8.34 |
$5.82 |
$5.52 |
$5.82 |
|
Ending value (after expenses) |
$1,018.05 |
$1,014.29 |
$1,014.29 |
$1,015.54 |
$1,016.80 |
$1,019.30 |
$1,019.60 |
$1,019.30 |
*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 11/30/14. The expense ratio may differ for each share class.
†Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
14 Dynamic Risk Allocation 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 and 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 employer-sponsored retirement plans.
Class R5 and 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.
Comparative indexes
Barclays Global Aggregate Bond Index is an unmanaged index of global investment-grade fixed-income securities.
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
MSCI EAFE Index (ND) is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia.
MSCI World Index (ND) is an unmanaged index of equity securities from developed countries.
Putnam Dynamic Risk Allocation Blended Index is a benchmark administered by Putnam Management, comprising 50% MSCI World Index (ND), 40% Barclays Global Aggregate Bond Index, and 10% S&P Goldman Sachs Commodity Index.
S&P 500 Index is an unmanaged index of common stock performance.
Dynamic Risk Allocation Fund 15
S&P Goldman Sachs Commodity Index is a composite index of commodity sector returns that represents a broadly diversified, unleveraged, long-only position in commodity futures.
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.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
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, 2014, 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 Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form 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 November 30, 2014, Putnam employees had approximately $501,000,000 and the Trustees had approximately $141,000,000 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 Dynamic Risk Allocation Fund
Trustee approval of management contract
General conclusions
The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2014, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided, as well as supplemental information provided in response to additional requests made by the Contract Committee. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.
In May 2014, the Contract Committee met in executive session to discuss and consider its preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 20, 2014 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2014. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
The Independent Trustees’ approval was based on the following conclusions:
•That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services to the fund; and
Dynamic Risk Allocation Fund 17
•That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the current fee arrangements under the management contracts for the Putnam funds were implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders. Shareholders also voted overwhelmingly to approve these fee arrangements in early 2014, when they were asked to approve new management contracts (with the same fees and substantially identical other provisions) following the possible termination of the previous management contracts as a result of the death of the Honorable Paul G. Desmarais. (Mr. Desmarais, both directly and through holding companies, controlled a majority of the voting shares of Power Corporation of Canada, which (directly and indirectly) is the majority owner of Putnam Management. Mr. Desmarais’ voting control of shares of Power Corporation of Canada was transferred to The Desmarais Family Residuary Trust upon his death and this transfer, as a technical matter, may have constituted an “assignment” within the meaning of the 1940 Act, causing the Putnam funds’ management contracts to terminate automatically.)
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet competitive standards, the Trustees and Putnam
18 Dynamic Risk Allocation Fund
Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds had sufficiently low expenses that these expense limitations did not apply. However, in the case of your fund, the second of the expense limitations applied during its fiscal year ending in 2013. In addition, effective through at least September 30, 2015, Putnam Management will waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund’s distribution plans, brokerage, interest, taxes, investment-related expenses, extraordinary expenses, and acquired fund fees and expenses) would exceed an annual rate of 1.15% of its average net assets. Putnam Management’s support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. (“Lipper”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2013 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2013 reflected the most recent fiscal year-end data available in Lipper’s database at that time.
In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam
Dynamic Risk Allocation Fund 19
Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2013 was a year of strong competitive performance for many of the Putnam funds, with only a relatively small number of exceptions. They noted that this strong performance was exemplified by the fact that the Putnam funds were recognized by Barron’s as the second-best performing mutual fund complex for both 2013 and the five-year period ended December 31, 2013. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2013 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.
For purposes of evaluating investment performance, the Trustees generally focus on competitive industry rankings for the one-year, three-year and five-year periods. For a number of Putnam funds with relatively unique investment mandates for which meaningful competitive performance rankings are not considered available, the Trustees evaluated performance based on comparisons of fund returns with the returns of selected investment benchmarks. In the case of your fund, which commenced operations on September 19, 2011, the Trustees considered that its class A share cumulative total return performance at net asset value was in the third quartile of its Lipper peer group (Lipper Global Flexible Portfolio Funds) for the one-year period ended December 31, 2013
20 Dynamic Risk Allocation Fund
(the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds). Over that one-year period, there were 467 funds in your fund’s Lipper peer group. Because your fund commenced operations on September 19, 2011, the Trustees considered that there had not been a sufficiently long period of time to allow for definitive conclusions about the fund’s performance. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees also considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management continued to strengthen its fundamental research capabilities by adding new investment personnel.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.
Dynamic Risk Allocation Fund 21
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.
22 Dynamic Risk Allocation Fund
The fund’s portfolio 11/30/14 (Unaudited)
|
COMMON STOCKS (45.5%)* |
Shares |
Value |
|
|
Banking (3.4%) |
|||
|
Access National Corp. |
461 |
$8,058 |
|
|
Australia & New Zealand Banking Group, Ltd. (Australia) |
4,606 |
124,880 |
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) |
10,968 |
117,668 |
|
|
Banco Latinoamericano de Exportaciones SA Class E (Panama) |
1,008 |
32,448 |
|
|
Banco Santander SA (Spain) |
19,639 |
176,502 |
|
|
Bank of Yokohama, Ltd. (The) (Japan) |
21,000 |
118,380 |
|
|
Bankia SA (Spain) † |
68,005 |
118,892 |
|
|
Barclays PLC (United Kingdom) |
15,833 |
60,422 |
|
|
BNP Paribas SA (France) |
2,203 |
141,389 |
|
|
BofI Holding, Inc. † |
288 |
22,729 |
|
|
Capital One Financial Corp. |
11,029 |
917,613 |
|
|
Cardinal Financial Corp. |
928 |
16,955 |
|
|
Citizens & Northern Corp. |
520 |
10,124 |
|
|
Commonwealth Bank of Australia (Australia) |
5,494 |
376,692 |
|
|
Credit Agricole SA (France) |
13,429 |
188,979 |
|
|
Credit Suisse Group AG (Switzerland) |
2,668 |
71,155 |
|
|
Cullen/Frost Bankers, Inc. |
1,121 |
83,694 |
|
|
DBS Group Holdings, Ltd. (Singapore) |
9,000 |
136,838 |
|
|
East West Bancorp, Inc. |
308 |
11,325 |
|
|
Farmers Capital Bank Corp. † |
403 |
9,184 |
|
|
Financial Institutions, Inc. |
554 |
13,135 |
|
|
First Community Bancshares Inc. |
543 |
8,395 |
|
|
First NBC Bank Holding Co. † |
338 |
12,303 |
|
|
FirstMerit Corp. |
660 |
11,807 |
|
|
Flushing Financial Corp. |
582 |
11,186 |
|
|
Hang Seng Bank, Ltd. (Hong Kong) |
8,700 |
144,886 |
|
|
Hanmi Financial Corp. |
1,116 |
22,432 |
|
|
Heartland Financial USA, Inc. |
360 |
9,025 |
|
|
Heritage Financial Group, Inc. |
509 |
10,704 |
|
|
Joyo Bank, Ltd. (The) (Japan) |
19,000 |
95,893 |
|
|
Lloyds Banking Group PLC (United Kingdom) † |
244,310 |
306,480 |
|
|
M&T Bank Corp. |
2,506 |
315,806 |
|
|
MainSource Financial Group, Inc. |
835 |
14,880 |
|
|
Meta Financial Group, Inc. |
320 |
11,264 |
|
|
National Australia Bank, Ltd. (Australia) |
4,713 |
130,519 |
|
|
New York Community Bancorp, Inc. |
10,280 |
163,349 |
|
|
Northern Trust Corp. |
1,564 |
105,930 |
|
|
OFG Bancorp (Puerto Rico) |
549 |
8,202 |
|
|
Pacific Premier Bancorp, Inc. † |
592 |
9,419 |
|
|
PacWest Bancorp |
469 |
21,809 |
|
|
Peoples Bancorp, Inc. |
554 |
13,412 |
|
|
Popular, Inc. (Puerto Rico) † |
436 |
14,231 |
|
|
Republic Bancorp, Inc. Class A |
374 |
8,494 |
|
|
Resona Holdings, Inc. (Japan) |
40,200 |
217,065 |
|
|
Signature Bank † |
1,285 |
155,832 |
|
|
Skandinaviska Enskilda Banken AB (Sweden) |
11,457 |
150,977 |
Dynamic Risk Allocation Fund 23
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Banking cont. |
|||
|
Sumitomo Mitsui Financial Group, Inc. (Japan) |
2,700 |
$101,807 |
|
|
Swedbank AB Class A (Sweden) |
5,654 |
148,027 |
|
|
U.S. Bancorp |
13,543 |
598,601 |
|
|
UniCredit SpA (Italy) |
15,460 |
113,921 |
|
|
United Community Banks, Inc. |
573 |
10,085 |
|
|
Wells Fargo & Co. |
27,378 |
1,491,553 |
|
|
Westpac Banking Corp. (Australia) |
5,217 |
144,539 |
|
|
7,339,895 |
|||
|
Basic materials (2.0%) |
|||
|
Aceto Corp. |
400 |
8,400 |
|
|
Amcor, Ltd. (Australia) |
10,656 |
110,282 |
|
|
Andersons, Inc. (The) |
347 |
18,752 |
|
|
Antofagasta PLC (United Kingdom) |
6,672 |
76,657 |
|
|
ArcelorMittal SA (France) |
8,855 |
108,267 |
|
|
BASF SE (Germany) |
1,731 |
157,084 |
|
|
BHP Billiton PLC (Australia) |
4,557 |
107,592 |
|
|
BHP Billiton, Ltd. (Australia) |
5,187 |
134,018 |
|
|
Cabot Corp. |
272 |
11,718 |
|
|
Cambrex Corp. † |
1,920 |
43,680 |
|
|
Compass Minerals International, Inc. |
875 |
76,169 |
|
|
Domtar Corp. (Canada) |
220 |
8,954 |
|
|
EMS-Chemie Holding AG (Switzerland) |
238 |
88,242 |
|
|
Glencore Xstrata PLC (United Kingdom) |
20,764 |
103,637 |
|
|
Hitachi Metals, Ltd. (Japan) |
10,000 |
173,247 |
|
|
Horsehead Holding Corp. † |
684 |
10,684 |
|
|
Innophos Holdings, Inc. |
311 |
16,819 |
|
|
Innospec, Inc. |
402 |
17,230 |
|
|
International Flavors & Fragrances, Inc. |
1,769 |
178,970 |
|
|
KapStone Paper and Packaging Corp. † |
963 |
28,765 |
|
|
Koninklijke Boskalis Westminster NV (Netherlands) |
2,467 |
138,280 |
|
|
Kraton Performance Polymers, Inc. † |
436 |
8,022 |
|
|
L.B. Foster Co. Class A |
262 |
12,144 |
|
|
Limoneira Co. |
264 |
6,772 |
|
|
LSB Industries, Inc. † |
930 |
30,755 |
|
|
Minerals Technologies, Inc. |
146 |
10,838 |
|
|
Newmont Mining Corp. |
1,425 |
26,220 |
|
|
Nippon Paint Holdings Co., Ltd. (Japan) |
5,000 |
129,526 |
|
|
NN, Inc. |
1,116 |
23,626 |
|
|
OM Group, Inc. |
852 |
23,183 |
|
|
PPG Industries, Inc. |
2,343 |
512,695 |
|
|
Rio Tinto PLC (United Kingdom) |
2,367 |
110,218 |
|
|
Royal Gold, Inc. |
1,630 |
103,798 |
|
|
Sherwin-Williams Co. (The) |
2,033 |
497,800 |
|
|
Sigma-Aldrich Corp. |
1,968 |
268,829 |
|
|
Stillwater Mining Co. † |
931 |
12,224 |
|
|
Sumitomo Metal Mining Co., Ltd. (Japan) |
8,000 |
122,487 |
|
|
Syngenta AG (Switzerland) |
407 |
134,010 |
|
|
ThyssenKrupp AG (Germany) † |
7,619 |
201,517 |
24 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Basic materials cont. |
|||
|
Trex Co., Inc. † |
475 |
$20,017 |
|
|
Tronox, Ltd. Class A |
347 |
7,825 |
|
|
U.S. Silica Holdings, Inc. |
794 |
24,947 |
|
|
UPM-Kymmene OYJ (Finland) |
8,194 |
135,779 |
|
|
Wendel SA (France) |
1,028 |
120,942 |
|
|
Zep, Inc. |
856 |
11,650 |
|
|
4,173,271 |
|||
|
Capital goods (1.7%) |
|||
|
ABB, Ltd. (Switzerland) |
7,045 |
158,112 |
|
|
Airbus Group NV (France) |
936 |
56,899 |
|
|
Alliant Techsystems, Inc. |
98 |
11,141 |
|
|
Altra Industrial Motion Corp. |
856 |
26,219 |
|
|
Astronics Corp. † |
270 |
13,235 |
|
|
Atlas Copco AB Class A (Sweden) |
7,338 |
211,701 |
|
|
AZZ, Inc. |
237 |
10,613 |
|
|
Canon, Inc. (Japan) |
4,200 |
134,680 |
|
|
Chase Corp. |
484 |
16,432 |
|
|
Douglas Dynamics, Inc. |
712 |
16,397 |
|
|
Franklin Electric Co., Inc. |
349 |
13,108 |
|
|
Generac Holdings, Inc. † |
321 |
13,925 |
|
|
GrafTech International, Ltd. † |
4,779 |
19,498 |
|
|
Greenbrier Cos., Inc. (The) S |
477 |
26,464 |
|
|
Hyster-Yale Materials Holdings, Inc. |
169 |
12,406 |
|
|
JGC Corp. (Japan) |
4,000 |
86,059 |
|
|
Kadant, Inc. |
480 |
19,152 |
|
|
Lockheed Martin Corp. |
4,959 |
949,946 |
|
|
Middleby Corp. (The) † |
274 |
26,205 |
|
|
Miller Industries, Inc. |
586 |
10,501 |
|
|
Mitsubishi Electric Corp. (Japan) |
17,000 |
204,355 |
|
|
MSA Safety, Inc. |
197 |
10,821 |
|
|
OSRAM Licht AG (Germany) † |
2,011 |
83,409 |
|
|
Polypore International, Inc. † |
121 |
6,227 |
|
|
Republic Services, Inc. |
4,379 |
173,452 |
|
|
Roper Industries, Inc. |
1,593 |
251,407 |
|
|
Safran SA (France) |
1,239 |
80,036 |
|
|
Singapore Technologies Engineering, Ltd. (Singapore) |
42,000 |
108,416 |
|
|
Standard Motor Products, Inc. |
810 |
30,902 |
|
|
Standex International Corp. |
222 |
16,199 |
|
|
Stericycle, Inc. † |
1,304 |
168,112 |
|
|
Stoneridge, Inc. † |
1,362 |
14,791 |
|
|
Tenneco, Inc. † |
212 |
11,522 |
|
|
THK Co., Ltd. (Japan) |
5,200 |
125,971 |
|
|
Tower International, Inc. † |
910 |
23,232 |
|
|
Vinci SA (France) |
3,445 |
186,106 |
|
|
Wabash National Corp. † |
2,197 |
23,706 |
|
|
Waste Connections, Inc. |
1,806 |
85,261 |
|
|
Waste Management, Inc. |
6,517 |
317,573 |
|
|
3,754,191 |
Dynamic Risk Allocation Fund 25
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Communication services (1.3%) |
|||
|
Arris Group, Inc. † |
154 |
$4,585 |
|
|
Aruba Networks, Inc. † |
296 |
5,538 |
|
|
BT Group PLC (United Kingdom) |
30,832 |
197,216 |
|
|
CalAmp Corp. † |
869 |
16,242 |
|
|
Deutsche Telekom AG (Germany) |
9,857 |
167,848 |
|
|
EchoStar Corp. Class A † |
698 |
37,608 |
|
|
Frontier Communications Corp. |
3,028 |
21,347 |
|
|
HSN, Inc. |
90 |
6,564 |
|
|
IDT Corp. Class B |
480 |
8,131 |
|
|
Inteliquent, Inc. |
702 |
12,931 |
|
|
Iridium Communications, Inc. † |
1,242 |
11,861 |
|
|
magicJack VocalTec, Ltd. (Israel) † |
1,926 |
15,658 |
|
|
NeuStar, Inc. Class A † |
518 |
14,116 |
|
|
NTT DoCoMo, Inc. (Japan) |
8,200 |
127,935 |
|
|
Orange (France) |
8,797 |
154,740 |
|
|
Ruckus Wireless, Inc. † |
725 |
8,309 |
|
|
ShoreTel, Inc. † |
791 |
5,917 |
|
|
Spok Holdings, Inc. |
619 |
9,817 |
|
|
Tele2 AB Class B (Sweden) |
4,338 |
56,160 |
|
|
Telefonica SA (Spain) |
8,244 |
131,954 |
|
|
Telenor ASA (Norway) |
5,369 |
113,165 |
|
|
Telstra Corp., Ltd. (Australia) |
33,310 |
161,093 |
|
|
Ubiquiti Networks, Inc. |
147 |
4,248 |
|
|
Verizon Communications, Inc. |
26,515 |
1,341,394 |
|
|
Vodafone Group PLC (United Kingdom) |
23,041 |
84,309 |
|
|
2,718,686 |
|||
|
Conglomerates (1.0%) |
|||
|
3M Co. |
5,320 |
851,679 |
|
|
Danaher Corp. |
11,611 |
970,215 |
|
|
Exor SpA (Italy) |
1,976 |
87,787 |
|
|
Marubeni Corp. (Japan) |
5,000 |
31,525 |
|
|
Siemens AG (Germany) |
2,227 |
263,440 |
|
|
2,204,646 |
|||
|
Consumer cyclicals (5.9%) |
|||
|
Adidas AG (Germany) |
997 |
79,925 |
|
|
Advance Auto Parts, Inc. |
233 |
34,270 |
|
|
ANN, Inc. † |
648 |
23,801 |
|
|
Automatic Data Processing, Inc. |
5,672 |
485,750 |
|
|
AutoZone, Inc. † |
771 |
445,414 |
|
|
Babcock International Group PLC (United Kingdom) |
6,722 |
119,138 |
|
|
Bayerische Motoren Werke (BMW) AG (Germany) |
1,275 |
145,735 |
|
|
Brown Shoe Co., Inc. |
332 |
10,876 |
|
|
Brunswick Corp. |
556 |
27,622 |
|
|
Bunzl PLC (United Kingdom) |
4,824 |
134,322 |
|
|
Bureau Veritas SA (France) |
3,903 |
93,010 |
|
|
CaesarStone Sdot-Yam, Ltd. (Israel) |
187 |
11,594 |
|
|
Carmike Cinemas, Inc. † |
550 |
16,302 |
|
|
CDK Global, Inc. † |
1,890 |
71,952 |
|
|
Century Casinos, Inc. † |
1,211 |
6,285 |
26 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Consumer cyclicals cont. |
|||
|
Children’s Place Retail Stores, Inc. (The) |
388 |
$21,751 |
|
|
Compagnie Financiere Richemont SA (Switzerland) |
1,088 |
102,226 |
|
|
Compass Group PLC (United Kingdom) |
8,216 |
139,687 |
|
|
Conn’s, Inc. † |
564 |
19,345 |
|
|
Continental AG (Germany) |
1,211 |
254,683 |
|
|
Cooper Tire & Rubber Co. |
1,037 |
35,185 |
|
|
Corporate Executive Board Co. (The) |
126 |
9,224 |
|
|
Deckers Outdoor Corp. † |
122 |
11,800 |
|
|
Deluxe Corp. |
778 |
45,474 |
|
|
Demand Media, Inc. † |
158 |
882 |
|
|
Denso Corp. (Japan) |
1,900 |
88,745 |
|
|
Dillards, Inc. Class A |
260 |
30,649 |
|
|
Discovery Communications, Inc. † |
1,191 |
40,506 |
|
|
Dollar Tree, Inc. † |
5,283 |
361,146 |
|
|
DSW, Inc. Class A |
365 |
12,950 |
|
|
Ecolab, Inc. |
3,247 |
353,761 |
|
|
Ennis, Inc. |
687 |
9,144 |
|
|
Entravision Communications Corp. Class A |
5,915 |
38,211 |
|
|
Experian PLC (United Kingdom) |
6,313 |
99,729 |
|
|
Freshpet, Inc. † |
129 |
2,156 |
|
|
Fuji Heavy Industries, Ltd. (Japan) |
9,000 |
327,541 |
|
|
G&K Services, Inc. Class A |
292 |
19,009 |
|
|
Gartner, Inc. † |
1,505 |
128,647 |
|
|
Geberit International AG (Switzerland) |
388 |
134,917 |
|
|
Global Cash Access Holdings, Inc. † |
3,187 |
22,628 |
|
|
GNC Holdings, Inc. Class A |
828 |
36,614 |
|
|
Green Dot Corp. Class A † |
491 |
10,807 |
|
|
Hanesbrands, Inc. |
2,571 |
297,516 |
|
|
Harbinger Group, Inc. † |
2,314 |
31,748 |
|
|
Heartland Payment Systems, Inc. |
444 |
24,207 |
|
|
Home Depot, Inc. (The) |
12,205 |
1,213,177 |
|
|
Host Hotels & Resorts, Inc. R |
19,227 |
446,835 |
|
|
ITV PLC (United Kingdom) |
55,933 |
186,797 |
|
|
Johnson Controls, Inc. |
7,582 |
379,100 |
|
|
KAR Auction Services, Inc. |
779 |
26,992 |
|
|
Kimberly-Clark Corp. |
6,187 |
721,342 |
|
|
Lions Gate Entertainment Corp. |
1,177 |
39,900 |
|
|
Live Nation Entertainment, Inc. † |
1,304 |
34,947 |
|
|
lululemon athletica, Inc. (Canada) † |
205 |
9,879 |
|
|
Lumber Liquidators Holdings, Inc. † |
335 |
21,303 |
|
|
Marcus Corp. |
1,060 |
17,448 |
|
|
Marriott Vacations Worldwide Corp. |
291 |
21,391 |
|
|
MGM China Holdings, Ltd. (Hong Kong) |
44,400 |
134,062 |
|
|
MSC Industrial Direct Co., Inc. Class A |
1,223 |
94,990 |
|
|
National CineMedia, Inc. |
2,772 |
39,252 |
|
|
Next PLC (United Kingdom) |
2,578 |
272,360 |
|
|
Nu Skin Enterprises, Inc. Class A |
271 |
11,328 |
|
|
O’Reilly Automotive, Inc. † |
2,576 |
470,738 |
Dynamic Risk Allocation Fund 27
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Consumer cyclicals cont. |
|||
|
Omnicom Group, Inc. |
6,276 |
$484,947 |
|
|
Panasonic Corp. (Japan) |
12,600 |
163,007 |
|
|
Penn National Gaming, Inc. † |
1,637 |
23,245 |
|
|
PGT, Inc. † |
2,345 |
22,066 |
|
|
Pitney Bowes, Inc. |
703 |
17,308 |
|
|
Randstad Holding NV (Netherlands) |
769 |
37,901 |
|
|
RE/MAX Holdings, Inc. Class A |
715 |
23,917 |
|
|
Remy International, Inc. |
466 |
8,574 |
|
|
Renault SA (France) |
1,451 |
116,527 |
|
|
Scripps Networks Interactive Class A |
2,702 |
211,215 |
|
|
SeaWorld Entertainment, Inc. |
1,163 |
19,410 |
|
|
Select Comfort Corp. † |
933 |
24,575 |
|
|
Shimano, Inc. (Japan) |
2,000 |
271,305 |
|
|
Signet Jewelers, Ltd. |
2,067 |
270,694 |
|
|
Sinclair Broadcast Group, Inc. Class A |
666 |
19,421 |
|
|
SJM Holdings, Ltd. (Hong Kong) |
42,000 |
82,820 |
|
|
Sonic Automotive, Inc. Class A |
772 |
19,910 |
|
|
Steven Madden, Ltd. † |
253 |
8,627 |
|
|
Suzuki Motor Corp. (Japan) |
7,100 |
224,308 |
|
|
Swatch Group AG (The) (Switzerland) |
195 |
96,232 |
|
|
Thomson Reuters Corp. (Canada) |
3,381 |
133,888 |
|
|
TiVo, Inc. † |
2,064 |
25,140 |
|
|
Total System Services, Inc. |
4,331 |
142,880 |
|
|
Toyota Motor Corp. (Japan) |
3,400 |
209,534 |
|
|
Vail Resorts, Inc. |
106 |
9,290 |
|
|
Valeo SA (France) |
1,458 |
179,581 |
|
|
Vantiv, Inc. Class A † |
3,141 |
105,977 |
|
|
VF Corp. |
5,488 |
412,533 |
|
|
Viacom, Inc. Class B |
10,813 |
817,787 |
|
|
Visteon Corp. † |
153 |
14,994 |
|
|
12,756,338 |
|||
|
Consumer finance (0.7%) |
|||
|
Encore Capital Group, Inc. † |
601 |
25,789 |
|
|
Federal Agricultural Mortgage Corp. Class C |
401 |
12,194 |
|
|
Home Loan Servicing Solutions, Ltd. (Cayman Islands) |
929 |
18,153 |
|
|
MicroFinancial, Inc. |
649 |
5,633 |
|
|
Nelnet, Inc. Class A |
648 |
29,704 |
|
|
Ocwen Financial Corp. † |
775 |
17,779 |
|
|
Performant Financial Corp. † |
2,403 |
16,340 |
|
|
PHH Corp. † |
480 |
11,117 |
|
|
PRA Group, Inc. † |
531 |
31,074 |
|
|
Regional Management Corp. † |
640 |
8,678 |
|
|
Visa, Inc. Class A |
4,966 |
1,282,172 |
|
|
1,458,633 |
|||
|
Consumer staples (4.3%) |
|||
|
Altria Group, Inc. |
22,857 |
1,148,793 |
|
|
Anheuser-Busch InBev NV (Belgium) |
1,675 |
196,249 |
|
|
Associated British Foods PLC (United Kingdom) |
3,175 |
158,431 |
|
|
Avon Products, Inc. |
896 |
8,763 |
28 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Consumer staples cont. |
|||
|
Beacon Roofing Supply, Inc. † |
642 |
$17,385 |
|
|
Bloomin’ Brands, Inc. † |
603 |
13,730 |
|
|
Borderfree, Inc. † |
1,208 |
12,092 |
|
|
Boulder Brands, Inc. † |
261 |
2,819 |
|
|
Bright Horizons Family Solutions, Inc. † |
196 |
8,761 |
|
|
British American Tobacco (BAT) PLC (United Kingdom) |
2,831 |
167,545 |
|
|
Buffalo Wild Wings, Inc. † |
139 |
23,659 |
|
|
Cal-Maine Foods, Inc. |
313 |
13,108 |
|
|
Calbee, Inc. (Japan) |
6,100 |
211,510 |
|
|
Carrefour SA (France) |
4,215 |
133,300 |
|
|
ChannelAdvisor Corp. † |
506 |
8,906 |
|
|
Chipotle Mexican Grill, Inc. † |
197 |
130,733 |
|
|
Church & Dwight Co., Inc. |
2,999 |
230,053 |
|
|
Colgate-Palmolive Co. |
5,928 |
412,530 |
|
|
Core-Mark Holding Co., Inc. |
309 |
18,574 |
|
|
Costco Wholesale Corp. |
7,223 |
1,026,533 |
|
|
Coty, Inc. Class A † |
1,376 |
27,850 |
|
|
Diageo PLC (United Kingdom) |
3,979 |
122,933 |
|
|
Distribuidora Internacional de Alimentacion SA (Spain) |
12,055 |
83,554 |
|
|
Dr. Pepper Snapple Group, Inc. |
5,075 |
375,550 |
|
|
Geo Group, Inc. (The) R |
4,414 |
177,840 |
|
|
Grand Canyon Education, Inc. † |
215 |
9,819 |
|
|
Heineken Holding NV (Netherlands) |
2,065 |
141,150 |
|
|
Hershey Co. (The) |
3,834 |
384,474 |
|
|
ITT Educational Services, Inc. † S |
359 |
2,983 |
|
|
Jack in the Box, Inc. |
164 |
12,218 |
|
|
Kao Corp. (Japan) |
4,300 |
159,406 |
|
|
Kforce, Inc. |
943 |
22,010 |
|
|
Koninklijke Ahold NV (Netherlands) |
9,939 |
175,450 |
|
|
Korn/Ferry International † |
508 |
13,792 |
|
|
Krispy Kreme Doughnuts, Inc. † |
454 |
9,243 |
|
|
L’Oreal SA (France) |
762 |
130,084 |
|
|
McDonald’s Corp. |
10,985 |
1,063,458 |
|
|
MWI Veterinary Supply, Inc. † |
117 |
19,120 |
|
|
Nestle SA (Switzerland) |
6,114 |
458,833 |
|
|
Nutraceutical International Corp. † |
334 |
7,074 |
|
|
On Assignment, Inc. † |
760 |
23,355 |
|
|
Papa John’s International, Inc. |
476 |
25,123 |
|
|
PepsiCo, Inc. |
8,415 |
842,342 |
|
|
Pinnacle Foods, Inc. |
536 |
18,240 |
|
|
Popeyes Louisiana Kitchen, Inc. † |
374 |
20,660 |
|
|
Reckitt Benckiser Group PLC (United Kingdom) |
1,432 |
117,405 |
|
|
SABMiller PLC (United Kingdom) |
2,062 |
114,496 |
|
|
Sanderson Farms, Inc. |
207 |
17,970 |
|
|
Shutterfly, Inc. † |
105 |
4,490 |
|
|
Sonic Corp. |
752 |
20,447 |
|
|
SpartanNash Co. |
430 |
10,032 |
|
|
Starbucks Corp. |
1,504 |
122,140 |
Dynamic Risk Allocation Fund 29
|
COMMON STOCKS (45.5%)*cont. |
Shares |
Value |
|
|
Consumer staples cont. |
|||
|
Suntory Beverage & Food, Ltd. (Japan) |
3,900 |
$138,124 |
|
|
TrueBlue, Inc. † |
1,305 |
29,950 |
|
|
Unilever NV ADR (Netherlands) |
3,132 |
127,467 |
|
|
Unilever PLC (United Kingdom) |
2,405 |
101,481 |
|
|
USANA Health Sciences, Inc. † |
103 |
10,984 |
|
|
Wayfair, Inc. Class A † |
393 |
9,534 |
|
|
Weight Watchers International, Inc. † |
359 |
10,411 |
|
|
Woolworths, Ltd. (Australia) |
2,252 |
59,644 |
|
|
9,164,610 |
|||
|
Energy (2.7%) |
|||
|
AMEC PLC (United Kingdom) |
8,507 |
123,769 |
|
|
BG Group PLC (United Kingdom) |
6,447 |
90,444 |
|
|
BP PLC (United Kingdom) |
42,696 |
279,659 |
|
|
Callon Petroleum Co. † |
3,448 |
16,930 |
|
|
Chevron Corp. |
5,137 |
559,265 |
|
|
ConocoPhillips |
9,785 |
646,495 |
|
|
Delek US Holdings, Inc. |
968 |
28,943 |
|
|
Dril-Quip, Inc. † |
1,067 |
85,093 |
|
|
EP Energy Corp. Class A † |
1,247 |
13,330 |
|
|
Exxon Mobil Corp. |
19,195 |
1,737,915 |
|
|
Gulfport Energy Corp. † |
189 |
9,021 |
|
|
ION Geophysical Corp. † |
6,267 |
15,479 |
|
|
Key Energy Services, Inc. † |
2,213 |
4,160 |
|
|
Kodiak Oil & Gas Corp. † |
2,278 |
16,698 |
|
|
Phillips 66 |
10,668 |
778,977 |
|
|
Rosetta Resources, Inc. † |
207 |
6,090 |
|
|
Royal Dutch Shell PLC Class A (United Kingdom) |
6,929 |
230,408 |
|
|
Royal Dutch Shell PLC Class B (United Kingdom) |
6,315 |
218,962 |
|
|
Spectra Energy Corp. |
12,144 |
460,015 |
|
|
Statoil ASA (Norway) |
8,363 |
159,422 |
|
|
Stone Energy Corp. † |
484 |
7,647 |
|
|
Total SA (France) |
4,544 |
252,396 |
|
|
Triangle Petroleum Corp. † |
2,196 |
10,585 |
|
|
Unit Corp. † |
215 |
8,217 |
|
|
Vaalco Energy, Inc. † |
1,484 |
8,503 |
|
|
W&T Offshore, Inc. |
465 |
3,501 |
|
|
Woodside Petroleum, Ltd. (Australia) |
3,308 |
100,647 |
|
|
5,872,571 |
|||
|
Financial (0.4%) |
|||
|
Broadridge Financial Solutions, Inc. |
2,399 |
108,651 |
|
|
Credit Acceptance Corp. † |
106 |
15,874 |
|
|
HSBC Holdings PLC (United Kingdom) |
33,191 |
330,336 |
|
|
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan) |
26,700 |
154,427 |
|
|
UBS AG (Switzerland) |
8,032 |
144,223 |
|
|
753,511 |
|||
|
Health care (5.6%) |
|||
|
ACADIA Pharmaceuticals, Inc. † |
406 |
12,127 |
|
|
Accuray, Inc. † |
1,045 |
7,200 |
30 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Health care cont. |
|||
|
Actavis PLC † |
3,344 |
$904,920 |
|
|
Actelion, Ltd. (Switzerland) |
2,292 |
272,120 |
|
|
Alere, Inc. † |
1,014 |
40,448 |
|
|
Alkermes PLC † |
345 |
18,982 |
|
|
AMAG Pharmaceuticals, Inc. † |
1,370 |
50,964 |
|
|
Amedisys, Inc. † |
493 |
12,532 |
|
|
AmerisourceBergen Corp. |
5,819 |
529,820 |
|
|
AmSurg Corp. † |
348 |
17,946 |
|
|
Ariad Pharmaceuticals, Inc. † |
2,384 |
16,950 |
|
|
Array BioPharma, Inc. † |
1,169 |
4,711 |
|
|
AstraZeneca PLC (United Kingdom) |
3,790 |
282,378 |
|
|
AtriCure, Inc. † |
486 |
9,103 |
|
|
Bayer AG (Germany) |
2,294 |
344,935 |
|
|
Becton Dickinson and Co. |
3,036 |
426,042 |
|
|
Biospecifics Technologies Corp. † |
217 |
8,229 |
|
|
C.R. Bard, Inc. |
1,632 |
273,115 |
|
|
Cardinal Health, Inc. |
8,182 |
672,479 |
|
|
Cardiome Pharma Corp. (Canada) † |
1,977 |
16,429 |
|
|
Centene Corp. † |
97 |
9,581 |
|
|
Chemed Corp. |
418 |
46,026 |
|
|
Chugai Pharmaceutical Co., Ltd. (Japan) |
7,300 |
197,730 |
|
|
Coloplast A/S Class B (Denmark) |
2,934 |
253,975 |
|
|
Computer Programs & Systems, Inc. |
88 |
5,169 |
|
|
Conatus Pharmaceuticals, Inc. † |
167 |
1,421 |
|
|
Conmed Corp. |
418 |
17,736 |
|
|
Cubist Pharmaceuticals, Inc. † |
502 |
38,057 |
|
|
DexCom, Inc. † |
224 |
11,527 |
|
|
Dynavax Technologies Corp. † |
1,241 |
18,441 |
|
|
Eli Lilly & Co. |
14,521 |
989,171 |
|
|
Enanta Pharmaceuticals, Inc. † |
152 |
7,135 |
|
|
GlaxoSmithKline PLC (United Kingdom) |
10,384 |
240,536 |
|
|
Globus Medical, Inc. Class A † |
513 |
11,820 |
|
|
Greatbatch, Inc. † |
629 |
31,180 |
|
|
Health Net, Inc. † |
345 |
17,726 |
|
|
HealthSouth Corp. |
599 |
24,637 |
|
|
Hill-Rom Holdings, Inc. |
568 |
25,992 |
|
|
Hisamitsu Pharmaceutical Co., Inc. (Japan) |
1,700 |
51,708 |
|
|
ICU Medical, Inc. † |
464 |
38,832 |
|
|
Impax Laboratories, Inc. † |
830 |
26,519 |
|
|
Inovio Pharmaceuticals, Inc. † |
291 |
2,817 |
|
|
Insulet Corp. † |
355 |
16,539 |
|
|
Insys Therapeutics, Inc. † |
659 |
25,523 |
|
|
Isis Pharmaceuticals, Inc. † |
333 |
17,246 |
|
|
Jazz Pharmaceuticals PLC † |
612 |
108,379 |
|
|
Johnson & Johnson |
14,715 |
1,592,899 |
|
|
Kindred Healthcare, Inc. |
710 |
14,122 |
|
|
McKesson Corp. |
4,415 |
930,505 |
|
|
Medicines Co. (The) † |
445 |
11,930 |
Dynamic Risk Allocation Fund 31
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Health care cont. |
|||
|
Mednax, Inc. † |
2,581 |
$168,952 |
|
|
Merck & Co., Inc. |
20,746 |
1,253,058 |
|
|
Merrimack Pharmaceuticals, Inc. † |
1,181 |
10,818 |
|
|
Nektar Therapeutics † |
791 |
13,186 |
|
|
Novartis AG (Switzerland) |
3,000 |
290,145 |
|
|
Novo Nordisk A/S Class B (Denmark) |
4,146 |
188,464 |
|
|
NPS Pharmaceuticals, Inc. † |
391 |
12,973 |
|
|
Omega Healthcare Investors, Inc. R |
298 |
11,390 |
|
|
OraSure Technologies, Inc. † |
1,940 |
17,479 |
|
|
POZEN, Inc. † |
1,701 |
15,122 |
|
|
Prestige Brands Holdings, Inc. † |
563 |
18,832 |
|
|
Prothena Corp. PLC (Ireland) † |
817 |
19,804 |
|
|
Providence Service Corp. (The) † |
398 |
15,574 |
|
|
Puma Biotechnology, Inc. † |
46 |
10,443 |
|
|
Receptos, Inc. † |
150 |
20,295 |
|
|
Repligen Corp. † |
545 |
12,464 |
|
|
Roche Holding AG-Genusschein (Switzerland) |
1,246 |
372,489 |
|
|
Sanofi (France) |
2,159 |
208,666 |
|
|
Select Medical Holdings Corp. |
1,741 |
25,123 |
|
|
Shire PLC (United Kingdom) |
1,344 |
95,734 |
|
|
Sientra, Inc. † |
247 |
4,290 |
|
|
Spectranetics Corp. (The) † |
512 |
16,809 |
|
|
STAAR Surgical Co. † |
1,420 |
13,078 |
|
|
Steris Corp. |
244 |
15,555 |
|
|
Sucampo Pharmaceuticals, Inc. Class A † |
783 |
9,177 |
|
|
Surgical Care Affiliates, Inc. † |
569 |
18,094 |
|
|
Suzuken Co., Ltd. (Japan) |
1,300 |
33,297 |
|
|
TESARO, Inc. † |
222 |
7,661 |
|
|
Threshold Pharmaceuticals, Inc. † |
1,294 |
3,753 |
|
|
Trevena, Inc. † |
642 |
3,351 |
|
|
Trinity Biotech PLC ADR (Ireland) |
319 |
5,474 |
|
|
Triple-S Management Corp. Class B (Puerto Rico) † |
303 |
7,005 |
|
|
Ventas, Inc. R |
3,876 |
277,328 |
|
|
West Pharmaceutical Services, Inc. |
550 |
28,606 |
|
|
Wright Medical Group, Inc. † |
703 |
20,591 |
|
|
XenoPort, Inc. † |
2,212 |
19,687 |
|
|
11,971,076 |
|||
|
Insurance (2.5%) |
|||
|
ACE, Ltd. |
4,863 |
556,035 |
|
|
Ageas (Belgium) |
4,084 |
145,871 |
|
|
AIA Group, Ltd. (Hong Kong) |
34,400 |
198,465 |
|
|
Alleghany Corp. † |
201 |
91,765 |
|
|
Allianz SE (Germany) |
1,331 |
229,077 |
|
|
Allied World Assurance Co. Holdings AG |
828 |
31,216 |
|
|
American Equity Investment Life Holding Co. |
1,084 |
29,268 |
|
|
American Financial Group, Inc. |
1,518 |
91,672 |
|
|
Amtrust Financial Services, Inc. |
527 |
27,046 |
|
|
Arch Capital Group, Ltd. † |
2,524 |
144,676 |
|
|
Arthur J. Gallagher & Co. |
2,918 |
139,918 |
32 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Insurance cont. |
|||
|
Assicurazioni Generali SpA (Italy) |
8,870 |
$191,661 |
|
|
AXA SA (France) |
5,191 |
124,948 |
|
|
Axis Capital Holdings, Ltd. |
2,536 |
126,927 |
|
|
Berkshire Hathaway, Inc. Class B † |
10,381 |
1,543,551 |
|
|
CNO Financial Group, Inc. |
1,153 |
19,993 |
|
|
CNP Assurances (France) |
8,054 |
148,918 |
|
|
Everest Re Group, Ltd. |
1,196 |
209,766 |
|
|
Genworth Financial, Inc. Class A † |
2,137 |
19,425 |
|
|
HCI Group, Inc. |
568 |
22,964 |
|
|
Insurance Australia Group, Ltd. (Australia) |
32,379 |
175,218 |
|
|
Legal & General Group PLC (United Kingdom) |
38,898 |
149,666 |
|
|
Maiden Holdings, Ltd. (Bermuda) |
933 |
12,185 |
|
|
Markel Corp. † |
145 |
101,033 |
|
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) |
513 |
105,642 |
|
|
PartnerRe, Ltd. |
1,288 |
150,065 |
|
|
Progressive Corp. (The) |
9,607 |
261,695 |
|
|
Prudential PLC (United Kingdom) |
5,038 |
121,568 |
|
|
RenaissanceRe Holdings, Ltd. |
1,038 |
101,641 |
|
|
Symetra Financial Corp. |
933 |
21,142 |
|
|
United Insurance Holdings Corp. |
948 |
17,775 |
|
|
5,310,792 |
|||
|
Investment banking/Brokerage (0.1%) |
|||
|
Altisource Portfolio Solutions SA † |
95 |
4,967 |
|
|
Ashford, Inc. † |
20 |
2,375 |
|
|
Deutsche Bank AG (Germany) |
3,092 |
101,032 |
|
|
Investor AB Class B (Sweden) |
4,008 |
150,234 |
|
|
WisdomTree Investments, Inc. |
557 |
8,461 |
|
|
267,069 |
|||
|
Real estate (6.2%) |
|||
|
AG Mortgage Investment Trust, Inc. R |
262 |
5,175 |
|
|
Agree Realty Corp. R |
430 |
13,248 |
|
|
Alexander & Baldwin, Inc. |
235 |
8,949 |
|
|
Alexandria Real Estate Equities, Inc. R |
225 |
19,332 |
|
|
American Campus Communities, Inc. R |
7,659 |
306,360 |
|
|
American Realty Capital Properties, Inc. R |
8,830 |
83,002 |
|
|
Apartment Investment & Management Co. Class A R |
5,108 |
190,273 |
|
|
Apollo Commercial Real Estate Finance, Inc. R |
683 |
11,392 |
|
|
Arlington Asset Investment Corp. Class A |
291 |
8,104 |
|
|
ARMOUR Residential REIT, Inc. R |
1,399 |
5,498 |
|
|
Ashford Hospitality Trust, Inc. R |
1,749 |
18,330 |
|
|
AvalonBay Communities, Inc. R |
3,443 |
553,600 |
|
|
Boston Properties, Inc. R |
3,657 |
474,093 |
|
|
Camden Property Trust R |
3,149 |
241,465 |
|
|
Capital Senior Living Corp. † |
1,528 |
38,888 |
|
|
CBL & Associates Properties, Inc. R |
597 |
11,612 |
|
|
CYS Investments, Inc. R |
912 |
8,418 |
|
|
DCT Industrial Trust, Inc. R |
4,962 |
169,353 |
|
|
DDR Corp. R |
912 |
16,717 |
Dynamic Risk Allocation Fund 33
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Real estate cont. |
|||
|
Dexus Property Group (Australia) R |
19,936 |
$120,390 |
|
|
DiamondRock Hospitality Co. R |
14,122 |
210,841 |
|
|
Digital Realty Trust, Inc. R |
796 |
55,935 |
|
|
Douglas Emmett, Inc. R |
9,116 |
253,789 |
|
|
Duke Realty Corp. R |
11,111 |
215,998 |
|
|
DuPont Fabros Technology, Inc. R |
8,956 |
291,876 |
|
|
Education Realty Trust, Inc. R |
2,394 |
27,866 |
|
|
EPR Properties R |
253 |
14,165 |
|
|
Equity Lifestyle Properties, Inc. R |
4,193 |
208,015 |
|
|
Equity Residential Trust R |
4,577 |
324,235 |
|
|
Essex Property Trust, Inc. R |
2,225 |
450,362 |
|
|
Extra Space Storage, Inc. R |
3,530 |
209,223 |
|
|
Federal Realty Investment Trust R |
1,900 |
252,054 |
|
|
First Industrial Realty Trust R |
572 |
11,354 |
|
|
General Growth Properties R |
14,805 |
396,182 |
|
|
GPT Group (Australia) R |
37,554 |
132,116 |
|
|
Hammerson PLC (United Kingdom) R |
8,711 |
84,607 |
|
|
HCP, Inc. R |
9,133 |
409,158 |
|
|
Health Care REIT, Inc. R |
14,720 |
1,084,275 |
|
|
Home Properties, Inc. R |
1,430 |
93,222 |
|
|
Invesco Mortgage Capital, Inc. R |
401 |
6,629 |
|
|
Investors Real Estate Trust R |
1,291 |
10,535 |
|
|
iStar Financial, Inc. †R |
1,086 |
15,519 |
|
|
Kimco Realty Corp. R |
12,796 |
325,658 |
|
|
Lexington Realty Trust R |
2,434 |
26,774 |
|
|
Liberty Property Trust R |
2,473 |
87,495 |
|
|
LTC Properties, Inc. R |
592 |
24,740 |
|
|
Macerich Co. (The) R |
1,253 |
99,087 |
|
|
Medical Properties Trust, Inc. R |
17,398 |
241,136 |
|
|
MFA Financial, Inc. R |
1,506 |
12,620 |
|
|
Mid-America Apartment Communities, Inc. R |
2,179 |
160,505 |
|
|
National Health Investors, Inc. R |
359 |
23,795 |
|
|
New Residential Investment Corp. R |
2,478 |
32,115 |
|
|
One Liberty Properties, Inc. R |
611 |
14,010 |
|
|
Prologis, Inc. R |
7,844 |
331,644 |
|
|
PS Business Parks, Inc. R |
355 |
28,893 |
|
|
Public Storage R |
5,319 |
998,004 |
|
|
Ramco-Gershenson Properties Trust R |
691 |
12,369 |
|
|
Realty Income Corp. R |
2,061 |
95,754 |
|
|
Regency Centers Corp. R |
4,107 |
252,498 |
|
|
Scentre Group (Australia) †R |
10,503 |
31,019 |
|
|
Select Income REIT R |
4,756 |
109,864 |
|
|
Simon Property Group, Inc. R |
5,947 |
1,075,218 |
|
|
SL Green Realty Corp. R |
2,803 |
325,540 |
|
|
Sovran Self Storage, Inc. R |
115 |
9,777 |
|
|
Spirit Realty Capital, Inc. R |
5,909 |
69,194 |
|
|
Starwood Property Trust, Inc. R |
314 |
7,555 |
|
|
Strategic Hotels & Resorts, Inc. † R |
15,710 |
208,629 |
34 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Real estate cont. |
|||
|
Summit Hotel Properties, Inc. R |
1,602 |
$18,583 |
|
|
Tanger Factory outlet Centers, Inc. R |
2,302 |
84,207 |
|
|
Taubman Centers, Inc. R |
2,913 |
231,554 |
|
|
Tokyo Tatemono Co., Ltd. (Japan) |
21,000 |
167,566 |
|
|
UDR, Inc. R |
1,436 |
44,200 |
|
|
Universal Health Realty Income Trust R |
131 |
6,333 |
|
|
Vornado Realty Trust R |
3,792 |
423,036 |
|
|
Weingarten Realty Investors R |
6,295 |
229,138 |
|
|
Westfield Group (Australia) |
8,430 |
59,351 |
|
|
Wheelock and Co., Ltd. (Hong Kong) |
35,000 |
175,849 |
|
|
WP Carey, Inc. R |
2,053 |
139,891 |
|
|
13,245,756 |
|||
|
Technology (5.5%) |
|||
|
Acxiom Corp. † |
330 |
6,280 |
|
|
Amber Road, Inc. † |
203 |
2,395 |
|
|
Amdocs, Ltd. |
3,036 |
147,990 |
|
|
Analog Devices, Inc. |
8,107 |
442,966 |
|
|
Anixter International, Inc. |
256 |
22,246 |
|
|
ANSYS, Inc. † |
1,913 |
159,774 |
|
|
AOL, Inc. † |
539 |
24,880 |
|
|
Apple, Inc. |
7,884 |
937,644 |
|
|
ASML Holding NV (Netherlands) |
1,755 |
185,118 |
|
|
Aspen Technology, Inc. † |
310 |
11,699 |
|
|
AVG Technologies NV (Netherlands) † |
474 |
9,309 |
|
|
Brother Industries, Ltd. (Japan) |
8,400 |
156,998 |
|
|
CACI International, Inc. Class A † |
348 |
31,038 |
|
|
Cavium, Inc. † |
140 |
7,924 |
|
|
CDW Corp. of Delaware |
2,244 |
78,720 |
|
|
Ceva, Inc. † |
540 |
9,293 |
|
|
Cirrus Logic, Inc. † |
395 |
7,225 |
|
|
Cisco Systems, Inc. |
44,483 |
1,229,510 |
|
|
Constant Contact, Inc. † |
295 |
9,641 |
|
|
Cray, Inc. † |
361 |
12,122 |
|
|
CSG Systems International, Inc. |
206 |
5,175 |
|
|
DST Systems, Inc. |
794 |
78,805 |
|
|
eBay, Inc. † |
18,499 |
1,015,225 |
|
|
EMC Corp. |
32,101 |
974,265 |
|
|
EnerSys |
569 |
34,555 |
|
|
Engility Holdings, Inc. † |
768 |
32,294 |
|
|
Extreme Networks, Inc. † |
2,006 |
7,262 |
|
|
Fairchild Semiconductor International, Inc. † |
594 |
9,581 |
|
|
FANUC Corp. (Japan) |
1,300 |
219,284 |
|
|
FEI Co. |
162 |
13,874 |
|
|
Fidelity National Information Services, Inc. |
5,081 |
310,906 |
|
|
Fiserv, Inc. † |
3,777 |
270,018 |
|
|
Freescale Semiconductor, Ltd. † |
643 |
13,947 |
|
|
Fujitsu, Ltd. (Japan) |
18,000 |
102,843 |
|
|
GenMark Diagnostics, Inc. † |
1,119 |
12,712 |
Dynamic Risk Allocation Fund 35
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Technology cont. |
|||
|
Google, Inc. Class A † |
715 |
$392,592 |
|
|
Honeywell International, Inc. |
10,304 |
1,020,817 |
|
|
Hoya Corp. (Japan) |
6,500 |
231,111 |
|
|
InnerWorkings, Inc. † |
2,072 |
15,499 |
|
|
Integrated Silicon Solution, Inc. (ISSI) |
1,672 |
24,194 |
|
|
IntraLinks Holdings, Inc. † |
1,072 |
11,663 |
|
|
Intuit, Inc. |
4,991 |
468,505 |
|
|
Jack Henry & Associates, Inc. |
1,628 |
100,057 |
|
|
Lexmark International, Inc. Class A |
294 |
12,601 |
|
|
Linear Technology Corp. |
6,052 |
278,574 |
|
|
LivePerson, Inc. † |
470 |
6,082 |
|
|
Manhattan Associates, Inc. † |
321 |
12,699 |
|
|
MAXIMUS, Inc. |
187 |
9,797 |
|
|
MeetMe, Inc. † |
3,111 |
5,398 |
|
|
Mellanox Technologies, Ltd. (Israel) † |
201 |
8,573 |
|
|
Mentor Graphics Corp. |
2,179 |
48,396 |
|
|
Microsemi Corp. † |
355 |
9,656 |
|
|
Microsoft Corp. |
4,199 |
200,754 |
|
|
MobileIron, Inc. † |
934 |
8,658 |
|
|
MTS Systems Corp. |
128 |
8,490 |
|
|
Netscout Systems, Inc. † |
239 |
9,118 |
|
|
NIC, Inc. |
432 |
7,785 |
|
|
Nimble Storage, Inc. † |
336 |
8,860 |
|
|
NTT Data Corp. (Japan) |
1,700 |
64,885 |
|
|
Paychex, Inc. |
7,712 |
365,626 |
|
|
Perficient, Inc. † |
750 |
12,983 |
|
|
Photronics, Inc. † |
1,458 |
13,151 |
|
|
Plantronics, Inc. |
115 |
6,000 |
|
|
Power Integrations, Inc. |
221 |
11,085 |
|
|
Proofpoint, Inc. † |
217 |
9,422 |
|
|
PROS Holdings, Inc. † |
335 |
9,581 |
|
|
PTC, Inc. † |
416 |
16,253 |
|
|
QLogic Corp. † |
999 |
11,528 |
|
|
Quantum Corp. † |
7,030 |
11,107 |
|
|
RF Micro Devices, Inc. † |
3,003 |
43,874 |
|
|
Rovi Corp. † |
707 |
15,752 |
|
|
SAP AG (Germany) |
874 |
61,583 |
|
|
Semtech Corp. † |
356 |
9,064 |
|
|
Silicon Image, Inc. † |
1,227 |
6,785 |
|
|
SoftBank Corp. (Japan) |
2,900 |
194,584 |
|
|
SolarWinds, Inc. † |
613 |
31,827 |
|
|
Spansion, Inc. Class A † |
1,138 |
26,595 |
|
|
Sparton Corp. † |
506 |
12,589 |
|
|
SS&C Technologies Holdings, Inc. † |
291 |
14,710 |
|
|
Synaptics, Inc. † |
486 |
30,613 |
|
|
SYNNEX Corp. |
439 |
31,362 |
|
|
Synopsys, Inc. † |
2,502 |
108,562 |
|
|
Texas Instruments, Inc. |
17,364 |
944,949 |
36 Dynamic Risk Allocation Fund
|
COMMON STOCKS (45.5%)* cont. |
Shares |
Value |
|
|
Technology cont. |
|||
|
Tyler Technologies, Inc. † |
141 |
$15,310 |
|
|
Ultimate Software Group, Inc. † |
162 |
23,853 |
|
|
Ultra Clean Holdings, Inc. † |
2,110 |
18,336 |
|
|
United Internet AG (Germany) |
2,757 |
121,402 |
|
|
Verint Systems, Inc. † |
296 |
17,816 |
|
|
Web.com Group, Inc. † |
896 |
15,205 |
|
|
11,769,789 |
|||
|
Transportation (0.9%) |
|||
|
Aegean Marine Petroleum Network, Inc. (Greece) |
2,187 |
21,323 |
|
|
ANA Holdings, Inc. (Japan) |
76,000 |
187,599 |
|
|
ComfortDelgro Corp., Ltd. (Singapore) |
65,000 |
129,365 |
|
|
Deutsche Post AG (Germany) |
3,724 |
123,680 |
|
|
Hawaiian Holdings, Inc. † |
1,471 |
29,847 |
|
|
JetBlue Airways Corp. † |
2,617 |
38,287 |
|
|
Kirby Corp. † |
760 |
73,066 |
|
|
Landstar System, Inc. |
1,137 |
91,392 |
|
|
Matson, Inc. |
205 |
7,218 |
|
|
Quality Distribution, Inc. † |
2,819 |
34,025 |
|
|
Republic Airways Holdings, Inc. † |
1,141 |
15,152 |
|
|
Scorpio Tankers, Inc. |
2,755 |
22,729 |
|
|
SkyWest, Inc. |
802 |
10,025 |
|
|
Spirit Airlines, Inc. † |
560 |
46,306 |
|
|
Swift Transportation Co. † |
1,906 |
55,407 |
|
|
Teekay Corp. |
1,163 |
57,824 |
|
|
United Parcel Service, Inc. Class B |
9,787 |
1,075,787 |
|
|
Universal Truckload Services, Inc. |
71 |
1,950 |
|
|
XPO Logistics, Inc. † |
234 |
9,051 |
|
|
2,030,033 |
|||
|
Utilities and power (1.3%) |
|||
|
American Water Works Co., Inc. |
2,534 |
134,429 |
|
|
Centrica PLC (United Kingdom) |
28,073 |
124,651 |
|
|
Duke Energy Corp. |
12,303 |
995,313 |
|
|
Enel SpA (Italy) |
30,361 |
146,389 |
|
|
ENI SpA (Italy) |
7,127 |
141,082 |
|
|
Red Electrica Corporacion SA (Spain) |
2,930 |
267,829 |
|
|
Southern Co. (The) |
14,794 |
701,679 |
|
|
Tokyo Gas Co., Ltd. (Japan) |
29,000 |
158,135 |
|
|
United Utilities Group PLC (United Kingdom) |
10,802 |
152,422 |
|
|
2,821,929 |
|||
|
Total common stocks (cost $84,263,019) |
|
||
|
CORPORATE BONDS AND NOTES (19.8%)* |
Principal |
Value |
||
|
Basic materials (1.3%) |
||||
|
Agrium, Inc. sr. unsec. unsub. 5 1/4s, 2045 (Canada) |
$10,000 |
$10,598 |
||
|
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) |
13,000 |
13,532 |
||
|
Albemarle Corp. 4.15s, 2024 |
10,000 |
10,198 |
||
|
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 |
10,000 |
10,848 |
Dynamic Risk Allocation Fund 37
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Basic materials cont. |
||||
|
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 |
$15,000 |
$15,808 |
||
|
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) |
135,000 |
164,363 |
||
|
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) |
25,000 |
25,875 |
||
|
Archer Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 |
143,000 |
160,897 |
||
|
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 |
60,000 |
63,000 |
||
|
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) |
25,000 |
25,125 |
||
|
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) |
140,000 |
150,850 |
||
|
CF Industries, Inc. company guaranty sr. unsec. notes 5 3/8s, 2044 |
15,000 |
16,167 |
||
|
CF Industries, Inc. company guaranty sr. unsec. notes 5.15s, 2034 |
10,000 |
10,654 |
||
|
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 |
50,000 |
49,063 |
||
|
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 |
35,000 |
36,838 |
||
|
Eastman Chemical Co. sr. unsec. unsub. notes 3.8s, 2025 |
20,000 |
20,401 |
||
|
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) |
15,000 |
14,817 |
||
|
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) |
30,000 |
29,100 |
||
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) |
15,000 |
13,875 |
||
|
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 |
75,000 |
79,125 |
||
|
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 |
35,000 |
40,600 |
||
|
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 |
70,000 |
71,488 |
||
|
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 |
10,000 |
9,675 |
||
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 |
20,000 |
16,300 |
||
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 |
40,000 |
37,800 |
||
|
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) |
35,000 |
36,225 |
||
|
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) |
55,000 |
56,925 |
||
|
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 |
25,000 |
27,125 |
||
|
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 |
105,000 |
106,838 |
||
|
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 |
15,000 |
15,000 |
||
|
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) |
200,000 |
197,000 |
||
|
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 |
90,000 |
99,000 |
||
|
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 |
5,000 |
5,013 |
||
|
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 |
60,000 |
64,500 |
38 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Basic materials cont. |
||||
|
Mercer International, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) |
$35,000 |
$35,613 |
||
|
Methanex Corp. sr. unsec. unsub. notes 5.65s, 2044 (Canada) |
30,000 |
31,273 |
||
|
Methanex Corp. sr. unsec. unsub. notes 4 1/4s, 2024 (Canada) |
60,000 |
60,908 |
||
|
Momentive Performance Materials, Inc. Escrow company guaranty sr. notes 8 7/8s, 2020 F |
45,000 |
— |
||
|
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 |
45,000 |
39,375 |
||
|
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) |
35,000 |
33,994 |
||
|
PQ Corp. 144A sr. notes 8 3/4s, 2018 |
60,000 |
63,150 |
||
|
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) |
145,000 |
145,657 |
||
|
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 |
65,000 |
66,300 |
||
|
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 |
45,000 |
43,763 |
||
|
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 |
25,000 |
28,125 |
||
|
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 |
15,000 |
15,619 |
||
|
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 |
85,000 |
93,500 |
||
|
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 |
50,000 |
51,438 |
||
|
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 |
25,000 |
25,063 |
||
|
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 |
20,000 |
19,925 |
||
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 |
33,000 |
34,238 |
||
|
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 |
30,000 |
31,500 |
||
|
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 |
10,000 |
10,375 |
||
|
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) |
45,000 |
49,331 |
||
|
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 |
55,000 |
57,681 |
||
|
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 |
10,000 |
10,300 |
||
|
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 |
40,000 |
39,260 |
||
|
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 |
75,000 |
79,219 |
||
|
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 |
40,000 |
41,500 |
||
|
2,811,730 |
||||
|
Capital goods (0.8%) |
||||
|
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 |
130,000 |
136,500 |
||
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 |
10,000 |
11,325 |
||
|
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 |
40,000 |
39,600 |
||
|
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 |
25,000 |
24,625 |
Dynamic Risk Allocation Fund 39
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Capital goods cont. |
||||
|
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 |
$15,000 |
$15,131 |
||
|
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 |
30,000 |
29,250 |
||
|
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 |
20,000 |
20,100 |
||
|
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) |
35,000 |
35,963 |
||
|
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 |
80,000 |
87,800 |
||
|
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) |
145,000 |
163,447 |
||
|
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 |
60,000 |
57,600 |
||
|
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 |
35,000 |
38,763 |
||
|
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 |
90,000 |
87,300 |
||
|
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 |
25,000 |
25,406 |
||
|
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) |
15,000 |
20,874 |
||
|
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 |
80,000 |
82,200 |
||
|
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 |
52,000 |
49,790 |
||
|
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 |
25,000 |
25,438 |
||
|
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 |
135,000 |
138,713 |
||
|
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 |
50,000 |
50,625 |
||
|
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 |
96,000 |
101,760 |
||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 |
125,000 |
128,594 |
||
|
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 |
55,000 |
58,575 |
||
|
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 |
90,000 |
94,500 |
||
|
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 |
93,000 |
94,395 |
||
|
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 |
60,000 |
64,350 |
||
|
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 |
85,000 |
86,700 |
||
|
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 |
40,000 |
42,750 |
||
|
1,812,074 |
||||
|
Communication services (2.7%) |
||||
|
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) |
200,000 |
206,750 |
||
|
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 |
145,000 |
146,340 |
||
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 |
45,000 |
47,363 |
||
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 |
280,000 |
278,600 |
40 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Communication services cont. |
||||
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 |
$25,000 |
$24,500 |
||
|
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 3/4s, 2024 |
55,000 |
55,344 |
||
|
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 1/2s, 2022 |
40,000 |
40,450 |
||
|
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 |
85,000 |
94,350 |
||
|
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 |
15,000 |
15,825 |
||
|
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 |
145,000 |
161,425 |
||
|
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95s, 2037 |
30,000 |
41,455 |
||
|
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2035 |
85,000 |
112,292 |
||
|
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 R |
115,000 |
117,013 |
||
|
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022 R |
25,000 |
25,031 |
||
|
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 |
220,000 |
243,100 |
||
|
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 |
35,000 |
34,694 |
||
|
Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030 (Netherlands) |
16,000 |
23,521 |
||
|
DISH DBS Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 |
60,000 |
60,450 |
||
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 |
70,000 |
78,925 |
||
|
Frontier Communications Corp. sr. unsec. notes 6 7/8s, 2025 |
5,000 |
5,025 |
||
|
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 |
5,000 |
5,107 |
||
|
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 |
20,000 |
21,150 |
||
|
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 |
30,000 |
33,300 |
||
|
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) |
20,000 |
20,850 |
||
|
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) |
315,000 |
337,838 |
||
|
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) |
110,000 |
114,950 |
||
|
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) |
140,000 |
145,075 |
||
|
Level 3 Communications, Inc. 144A sr. unsec. unsub. notes 5 3/4s, 2022 |
20,000 |
20,100 |
||
|
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 |
45,000 |
45,563 |
||
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 |
145,000 |
151,163 |
||
|
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default) † |
30,000 |
21,750 |
||
|
Numericable Group SA 144A sr. notes 6s, 2022 (France) |
200,000 |
203,440 |
||
|
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) |
70,000 |
71,750 |
||
|
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) |
CAD |
295,000 |
272,971 |
Dynamic Risk Allocation Fund 41
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Communication services cont. |
||||
|
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 |
$131,000 |
$150,947 |
||
|
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 |
330,000 |
337,425 |
||
|
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 |
120,000 |
125,700 |
||
|
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 |
195,000 |
198,900 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 |
10,000 |
10,400 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 |
25,000 |
25,688 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 |
80,000 |
82,600 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 |
25,000 |
25,938 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 |
30,000 |
30,450 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 |
75,000 |
76,969 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 |
25,000 |
25,406 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 |
20,000 |
20,300 |
||
|
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) |
220,000 |
285,872 |
||
|
Time Warner Entertainment Co. LP company guaranty sr. unsec. bonds 8 3/8s, 2033 |
31,000 |
45,863 |
||
|
Verizon Communications, Inc. sr. unsec. notes 6.4s, 2038 |
162,000 |
201,470 |
||
|
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 |
36,000 |
42,010 |
||
|
Verizon Communications, Inc. sr. unsec. unsub. notes 6.4s, 2033 |
46,000 |
56,979 |
||
|
Verizon Communications, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 |
30,000 |
32,861 |
||
|
Verizon Communications, Inc. sr. unsec. unsub. notes 4.4s, 2034 |
30,000 |
29,798 |
||
|
Verizon Communications, Inc. 144A sr. unsec. notes 2 5/8s, 2020 |
95,000 |
95,126 |
||
|
Verizon New York, Inc. company guaranty sr. unsec. notes Ser. B, 7 3/8s, 2032 |
31,000 |
39,344 |
||
|
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) |
251,000 |
248,131 |
||
|
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 |
45,000 |
43,031 |
||
|
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 |
95,000 |
103,075 |
||
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 |
90,000 |
94,163 |
||
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 |
25,000 |
24,125 |
||
|
5,730,031 |
||||
|
Consumer cyclicals (2.9%) |
||||
|
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. debs. 7 3/4s, 2045 |
19,000 |
28,498 |
||
|
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 |
55,000 |
55,138 |
||
|
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 |
143,000 |
142,115 |
42 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer cyclicals cont. |
||||
|
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 |
$95,000 |
$105,213 |
||
|
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 |
35,000 |
35,875 |
||
|
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 |
65,000 |
70,850 |
||
|
Bed Bath & Beyond, Inc. sr. unsec. notes 5.165s, 2044 |
115,000 |
117,021 |
||
|
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 |
15,000 |
12,300 |
||
|
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) |
120,000 |
127,200 |
||
|
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) |
35,000 |
36,848 |
||
|
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 |
25,000 |
26,906 |
||
|
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 |
95,000 |
95,000 |
||
|
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 |
24,000 |
18,990 |
||
|
CBS Corp. company guaranty sr. unsec. debs. 7 7/8s, 2030 |
144,000 |
196,827 |
||
|
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2025 |
30,000 |
31,050 |
||
|
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 |
55,000 |
56,788 |
||
|
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 |
45,000 |
45,225 |
||
|
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 |
10,000 |
9,975 |
||
|
Ceridian, LLC 144A sr. notes 8 7/8s, 2019 |
70,000 |
77,788 |
||
|
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 |
15,000 |
14,700 |
||
|
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 |
25,000 |
23,813 |
||
|
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 |
50,000 |
52,000 |
||
|
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 |
35,000 |
36,488 |
||
|
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 |
55,000 |
57,613 |
||
|
Dana Holding Corp. sr. unsec. unsub. notes 5 3/8s, 2021 |
15,000 |
15,600 |
||
|
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) |
65,000 |
68,738 |
||
|
Dollar General Corp. sr. unsec. notes 3 1/4s, 2023 |
25,000 |
22,801 |
||
|
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R |
100,000 |
104,000 |
||
|
First Cash Financial Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (Mexico) |
25,000 |
26,000 |
||
|
Ford Motor Co. sr. unsec. unsub. notes 9.98s, 2047 |
115,000 |
182,551 |
||
|
Ford Motor Co. sr. unsec. unsub. notes 7.45s, 2031 |
52,000 |
70,193 |
Dynamic Risk Allocation Fund 43
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer cyclicals cont. |
||||
|
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 |
$35,000 |
$36,138 |
||
|
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 |
40,000 |
41,550 |
||
|
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 |
30,000 |
30,150 |
||
|
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) |
80,000 |
80,848 |
||
|
General Motors Co. sr. unsec. unsub. notes 6 1/4s, 2043 |
95,000 |
110,438 |
||
|
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 |
40,000 |
41,116 |
||
|
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 |
40,000 |
38,650 |
||
|
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 |
60,000 |
61,050 |
||
|
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 |
35,000 |
35,875 |
||
|
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 |
60,000 |
62,100 |
||
|
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 |
30,000 |
24,413 |
||
|
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022 R |
42,000 |
46,097 |
||
|
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 |
65,000 |
68,575 |
||
|
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017 ‡‡ |
70,000 |
70,525 |
||
|
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 |
330,000 |
324,225 |
||
|
INVISTA Finance, LLC 144A company guaranty sr. notes 4 1/4s, 2019 |
37,000 |
36,908 |
||
|
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 |
35,000 |
35,788 |
||
|
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 |
60,000 |
57,375 |
||
|
Jo-Ann Stores, LLC 144A sr. unsec. notes 9 3/4s, 2019 ‡‡ |
20,000 |
18,200 |
||
|
Johnson Controls, Inc. sr. unsec. notes 4.95s, 2064 |
35,000 |
35,727 |
||
|
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 |
55,000 |
61,875 |
||
|
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 |
50,000 |
52,250 |
||
|
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 |
20,000 |
20,650 |
||
|
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 |
45,000 |
47,813 |
||
|
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 |
110,000 |
106,425 |
||
|
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 |
25,000 |
25,000 |
||
|
Macy’s Retail Holdings, Inc. company guaranty sr. unsec. notes 4.3s, 2043 |
32,000 |
30,400 |
||
|
Macy’s Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7s, 2028 |
25,000 |
31,189 |
||
|
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 |
5,000 |
5,363 |
44 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer cyclicals cont. |
||||
|
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) |
$60,000 |
$60,300 |
||
|
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 |
15,000 |
15,075 |
||
|
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 |
40,000 |
43,100 |
||
|
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 |
55,000 |
55,550 |
||
|
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 |
125,000 |
142,813 |
||
|
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 |
10,000 |
10,700 |
||
|
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 |
85,000 |
93,288 |
||
|
Navistar International Corp. sr. notes 8 1/4s, 2021 |
55,000 |
56,856 |
||
|
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 |
80,000 |
81,200 |
||
|
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021 ‡‡ |
40,000 |
43,100 |
||
|
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 |
30,000 |
31,950 |
||
|
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 |
30,000 |
31,200 |
||
|
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) |
95,000 |
97,375 |
||
|
Nordstrom, Inc. sr. unsec. notes 5s, 2044 |
15,000 |
16,802 |
||
|
Nordstrom, Inc. sr. unsec. unsub. notes 6.95s, 2028 |
35,000 |
46,095 |
||
|
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 |
80,000 |
84,200 |
||
|
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 |
55,000 |
59,125 |
||
|
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 |
75,000 |
70,688 |
||
|
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 |
30,000 |
31,125 |
||
|
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 |
45,000 |
45,113 |
||
|
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 ‡‡ |
25,000 |
25,250 |
||
|
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 |
90,000 |
87,300 |
||
|
QVC, Inc. 144A sr. bonds 4.45s, 2025 |
55,000 |
53,608 |
||
|
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 |
60,000 |
57,150 |
||
|
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 |
25,000 |
24,000 |
||
|
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 |
150,000 |
157,125 |
||
|
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 |
6,000 |
6,480 |
||
|
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 |
15,000 |
12,975 |
||
|
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 |
15,000 |
10,950 |
||
|
Scientific Games International, Inc. 144A sr. notes 7s, 2022 |
50,000 |
50,313 |
||
|
Scientific Games International, Inc. 144A sr. unsec. notes 10s, 2022 |
95,000 |
88,825 |
Dynamic Risk Allocation Fund 45
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer cyclicals cont. |
||||
|
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 |
$50,000 |
$51,625 |
||
|
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 |
20,000 |
20,050 |
||
|
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 |
10,000 |
10,300 |
||
|
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 |
15,000 |
14,625 |
||
|
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 |
55,000 |
56,788 |
||
|
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 |
50,000 |
52,750 |
||
|
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 |
90,000 |
90,225 |
||
|
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 |
5,000 |
5,288 |
||
|
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 |
50,000 |
52,375 |
||
|
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 |
25,000 |
25,125 |
||
|
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 |
30,000 |
28,350 |
||
|
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 |
20,000 |
19,700 |
||
|
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 |
53,000 |
53,265 |
||
|
Tiffany & Co. 144A sr. unsec. notes 4.9s, 2044 |
30,000 |
31,003 |
||
|
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 |
35,000 |
37,800 |
||
|
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 |
145,000 |
145,103 |
||
|
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 |
65,000 |
66,300 |
||
|
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 |
15,000 |
15,113 |
||
|
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 |
30,000 |
32,250 |
||
|
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 |
30,000 |
32,363 |
||
|
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037 |
34,000 |
46,203 |
||
|
Walt Disney Co. (The) sr. unsec. unsub. notes Ser. MTN, 1.1s, 2017 |
145,000 |
144,565 |
||
|
6,321,614 |
||||
|
Consumer staples (1.4%) |
||||
|
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85s, 2022 |
31,000 |
30,089 |
||
|
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 |
145,000 |
143,896 |
||
|
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.2s, 2039 |
61,000 |
92,929 |
||
|
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 |
65,000 |
69,713 |
||
|
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 |
95,000 |
95,950 |
46 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer staples cont. |
||||
|
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 |
$10,000 |
$9,875 |
||
|
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) |
115,000 |
117,875 |
||
|
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 |
75,000 |
77,813 |
||
|
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 |
35,000 |
33,950 |
||
|
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 |
35,000 |
39,025 |
||
|
Coca-Cola Co. (The) sr. unsec. unsub. notes 5.35s, 2017 |
90,000 |
100,815 |
||
|
Coca-Cola Co. (The) sr. unsec. unsub. notes 3.2s, 2023 |
30,000 |
30,883 |
||
|
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 |
15,000 |
14,963 |
||
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 |
65,000 |
71,910 |
||
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 |
5,000 |
5,100 |
||
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 |
5,000 |
5,093 |
||
|
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023 R |
124,000 |
120,280 |
||
|
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020 R |
15,000 |
14,775 |
||
|
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 |
145,000 |
147,039 |
||
|
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) |
32,000 |
32,225 |
||
|
Diageo Investment Corp. company guaranty sr. unsec. debs. 8s, 2022 |
9,000 |
11,953 |
||
|
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 |
90,000 |
84,150 |
||
|
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7s, 2037 |
200,000 |
268,605 |
||
|
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85s, 2024 |
79,000 |
80,387 |
||
|
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 |
125,000 |
126,575 |
||
|
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) |
125,000 |
133,438 |
||
|
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) |
20,000 |
21,250 |
||
|
Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 |
15,000 |
15,525 |
||
|
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020 |
130,000 |
138,288 |
||
|
Molson Coors Brewing Co. company guaranty sr. unsec. unsub. notes 5s, 2042 |
11,000 |
11,630 |
||
|
PepsiCo, Inc. sr. unsec. unsub. notes 4 1/4s, 2044 |
45,000 |
45,665 |
||
|
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 |
144,000 |
144,200 |
||
|
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 |
50,000 |
49,375 |
||
|
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 |
75,000 |
75,938 |
||
|
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 |
125,000 |
137,813 |
||
|
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4 7/8s, 2034 |
23,000 |
24,782 |
||
|
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15s, 2044 |
32,000 |
34,899 |
Dynamic Risk Allocation Fund 47
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Consumer staples cont. |
||||
|
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 |
$5,000 |
$5,525 |
||
|
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 |
25,000 |
25,938 |
||
|
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 |
75,000 |
79,313 |
||
|
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019 ‡‡ |
40,000 |
41,800 |
||
|
Walgreens Boots Alliance, Inc. company guaranty sr. unsec. unsub. notes 3.3s, 2021 |
35,000 |
35,488 |
||
|
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 |
65,000 |
68,250 |
||
|
2,914,985 |
||||
|
Energy (2.1%) |
||||
|
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 |
120,000 |
124,500 |
||
|
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 |
130,000 |
158,400 |
||
|
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 |
35,000 |
33,950 |
||
|
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 |
45,000 |
44,438 |
||
|
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) |
55,000 |
49,225 |
||
|
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) |
30,000 |
27,600 |
||
|
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) |
145,000 |
147,117 |
||
|
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 |
40,000 |
36,000 |
||
|
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024 |
40,000 |
35,675 |
||
|
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 |
60,000 |
54,000 |
||
|
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) |
145,000 |
159,734 |
||
|
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 |
30,000 |
31,050 |
||
|
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 |
20,000 |
21,200 |
||
|
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 |
25,000 |
24,750 |
||
|
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 |
80,000 |
86,600 |
||
|
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 |
143,000 |
142,418 |
||
|
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 |
55,000 |
54,313 |
||
|
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 |
55,000 |
56,100 |
||
|
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 |
145,000 |
143,360 |
48 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Energy cont. |
||||
|
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 |
$120,000 |
$119,700 |
||
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 |
85,000 |
78,094 |
||
|
EQT Midstream Partners LP company guaranty sr. unsec. notes 4s, 2024 |
5,000 |
4,967 |
||
|
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 |
35,000 |
28,350 |
||
|
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 |
55,000 |
48,950 |
||
|
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 |
40,000 |
32,800 |
||
|
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 |
70,000 |
71,400 |
||
|
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 |
30,000 |
30,600 |
||
|
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 |
15,000 |
11,475 |
||
|
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 |
130,000 |
100,100 |
||
|
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 |
40,000 |
41,800 |
||
|
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 |
10,000 |
9,463 |
||
|
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 |
20,000 |
18,500 |
||
|
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 |
70,000 |
68,250 |
||
|
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) |
130,000 |
111,800 |
||
|
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 |
25,000 |
21,625 |
||
|
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 |
135,000 |
120,741 |
||
|
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 |
60,000 |
63,975 |
||
|
Noble Holding International, Ltd. company guaranty sr. unsec. notes 6.05s, 2041 |
19,000 |
18,089 |
||
|
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 |
115,000 |
108,100 |
||
|
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) |
50,000 |
40,000 |
||
|
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) |
55,000 |
38,500 |
||
|
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 |
30,000 |
17,625 |
||
|
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 |
95,000 |
55,100 |
||
|
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) |
200,000 |
197,500 |
||
|
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) |
85,000 |
51,102 |
Dynamic Risk Allocation Fund 49
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Energy cont. |
||||
|
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) |
$135,000 |
$94,500 |
||
|
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) |
110,000 |
46,200 |
||
|
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 |
145,000 |
150,091 |
||
|
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 |
93,000 |
103,811 |
||
|
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 |
13,000 |
14,668 |
||
|
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 |
30,000 |
29,250 |
||
|
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 |
50,000 |
47,000 |
||
|
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 |
60,000 |
57,300 |
||
|
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 |
145,000 |
147,900 |
||
|
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 |
20,000 |
20,750 |
||
|
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 |
110,000 |
63,525 |
||
|
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) |
55,000 |
57,200 |
||
|
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022 |
50,000 |
38,250 |
||
|
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 |
95,000 |
84,550 |
||
|
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) |
156,000 |
170,811 |
||
|
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) |
15,000 |
12,788 |
||
|
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 6 1/4s, 2022 |
5,000 |
5,100 |
||
|
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 5 1/2s, 2019 |
5,000 |
5,088 |
||
|
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) |
143,000 |
144,254 |
||
|
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 |
25,000 |
20,375 |
||
|
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 |
25,000 |
23,969 |
||
|
Weatherford International, Ltd. of Bermuda company guaranty sr. unsec. notes 9 7/8s, 2039 (Bermuda) |
30,000 |
42,763 |
||
|
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 |
125,000 |
121,406 |
||
|
Williams Cos., Inc. (The) notes 8 3/4s, 2032 |
23,000 |
28,326 |
||
|
Williams Cos., Inc. (The) sr. unsec. notes 4.55s, 2024 |
30,000 |
29,670 |
||
|
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 |
35,000 |
35,656 |
||
|
4,534,237 |
||||
|
Financials (4.7%) |
||||
|
Abbey National Treasury Services PLC/London bank guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) |
156,000 |
156,330 |
||
|
Aflac, Inc. sr. unsec. notes 6.9s, 2039 |
17,000 |
22,813 |
||
|
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 |
230,000 |
248,688 |
50 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Financials cont. |
||||
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 |
$90,000 |
$113,175 |
||
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 |
30,000 |
35,175 |
||
|
American Express Co. sr. unsec. notes 7s, 2018 |
94,000 |
109,690 |
||
|
American Express Co. sr. unsec. notes 6.15s, 2017 |
57,000 |
64,081 |
||
|
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 |
420,000 |
575,400 |
||
|
ARC Properties Operating Partnership LP/Clark Acquisition, LLC company guaranty sr. unsec. unsub. notes 4.6s, 2024 R |
60,000 |
57,001 |
||
|
Bank of America Corp. jr. unsec. sub. FRN notes Ser. Z, 6 1/2s, perpetual maturity |
25,000 |
25,719 |
||
|
Bank of America Corp. sr. unsec. notes Ser. MTN, 1.7s, 2017 |
95,000 |
95,233 |
||
|
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 |
149,000 |
150,023 |
||
|
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) |
143,000 |
147,239 |
||
|
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) |
145,000 |
144,367 |
||
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) |
250,000 |
248,995 |
||
|
Barclays Bank PLC 144A sub. notes 10.179s, 2021 (United Kingdom) |
270,000 |
363,781 |
||
|
BNP Paribas SA bank guaranty sr. unsec. unsub. notes Ser. MTN, 1 3/8s, 2017 (France) |
162,000 |
162,162 |
||
|
BPCE SA 144A unsec. sub. notes 5.15s, 2024 (France) |
200,000 |
207,753 |
||
|
CBL & Associates LP company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 R |
180,000 |
192,447 |
||
|
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 |
25,000 |
25,938 |
||
|
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 |
40,000 |
40,960 |
||
|
CIT Group, Inc. sr. unsec. notes 5s, 2023 |
35,000 |
36,050 |
||
|
CIT Group, Inc. sr. unsec. notes 5s, 2022 |
115,000 |
118,594 |
||
|
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 |
20,000 |
20,096 |
||
|
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 |
155,000 |
164,300 |
||
|
Citigroup, Inc. jr. unsec. sub. FRB bonds Ser. B, 5.9s, perpetual maturity |
3,000 |
2,978 |
||
|
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 |
151,000 |
160,566 |
||
|
Commonwealth Bank of Australia of New York, NY sr. unsec. unsub. bonds 1 1/8s, 2017 |
342,000 |
342,326 |
||
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands (Rabobank Nederland) bank guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) |
130,000 |
136,420 |
||
|
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 |
80,000 |
83,200 |
||
|
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 7 1/2s, perpetual maturity (Switzerland) |
200,000 |
212,000 |
||
|
DDR Corp. sr. unsec. unsub. notes 7 7/8s, 2020 R |
11,000 |
13,677 |
||
|
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) |
149,000 |
166,542 |
Dynamic Risk Allocation Fund 51
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Financials cont. |
||||
|
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 |
$55,000 |
$50,463 |
||
|
Dresdner Funding Trust I 144A bonds 8.151s, 2031 |
180,000 |
214,200 |
||
|
Duke Realty LP company guaranty sr. unsec. unsub. notes 4 3/8s, 2022 R |
21,000 |
22,293 |
||
|
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 |
80,000 |
85,600 |
||
|
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 |
50,000 |
50,500 |
||
|
EPR Properties unsec. notes 5 1/4s, 2023 R |
60,000 |
63,907 |
||
|
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 |
60,000 |
58,950 |
||
|
Fifth Third Bancorp jr. unsec. sub. FRB bonds 5.1s, perpetual maturity |
38,000 |
35,673 |
||
|
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032 |
52,000 |
69,726 |
||
|
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 |
143,000 |
156,582 |
||
|
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 |
160,000 |
106,000 |
||
|
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019 |
44,000 |
52,763 |
||
|
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 |
2,000 |
2,036 |
||
|
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 |
70,000 |
72,625 |
||
|
Hospitality Properties Trust sr. unsec. unsub. notes 4 1/2s, 2025 R |
20,000 |
20,066 |
||
|
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 |
52,000 |
61,701 |
||
|
Hub Holdings LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019 ‡‡ |
10,000 |
9,975 |
||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 |
145,000 |
150,974 |
||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 |
60,000 |
61,200 |
||
|
ING Bank NV 144A unsec. sub. notes 5.8s, 2023 (Netherlands) |
220,000 |
246,623 |
||
|
iStar Financial, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2018 R |
45,000 |
44,269 |
||
|
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R |
30,000 |
31,875 |
||
|
iStar Financial, Inc. sr. unsec. notes 5s, 2019 R |
20,000 |
19,600 |
||
|
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 |
144,000 |
146,080 |
||
|
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 |
4,000 |
4,031 |
||
|
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 |
240,000 |
281,400 |
||
|
Lloyds Banking Group PLC jr. unsec. sub. FRB bonds 7 1/2s, perpetual maturity (United Kingdom) |
512,000 |
526,080 |
||
|
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) |
30,000 |
32,250 |
||
|
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 |
145,000 |
157,723 |
||
|
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023 R |
60,000 |
63,229 |
||
|
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 |
149,000 |
160,015 |
||
|
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R |
35,000 |
37,450 |
||
|
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 |
40,000 |
38,500 |
52 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Financials cont. |
||||
|
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 |
$30,000 |
$27,675 |
||
|
Nationwide Mutual Insurance Co. 144A notes 9 3/8s, 2039 |
20,000 |
31,285 |
||
|
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 |
5,000 |
5,288 |
||
|
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 |
35,000 |
33,163 |
||
|
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 |
80,000 |
75,000 |
||
|
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 |
250,000 |
250,729 |
||
|
Progressive Corp. (The) jr. unsec. sub. FRN notes 6.7s, 2037 |
116,000 |
125,570 |
||
|
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 |
75,000 |
74,344 |
||
|
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) |
145,000 |
147,390 |
||
|
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) |
200,000 |
211,500 |
||
|
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) |
35,000 |
38,015 |
||
|
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018 R |
131,000 |
130,671 |
||
|
Societe Generale SA bank guaranty sr. unsec. notes 2 3/4s, 2017 (France) |
250,000 |
257,609 |
||
|
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 |
50,000 |
50,125 |
||
|
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 |
15,000 |
16,875 |
||
|
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 |
30,000 |
30,975 |
||
|
State Street Capital Trust IV company guaranty jr. unsec. sub. FRB bonds 1.234s, 2037 |
220,000 |
185,350 |
||
|
Svenska Handelsbanken AB bank guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) |
250,000 |
260,141 |
||
|
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 |
20,000 |
19,200 |
||
|
Travelers Property Casualty Corp. sr. unsec. unsub. bonds 7 3/4s, 2026 |
9,000 |
12,163 |
||
|
UBS AG of Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 |
130,000 |
146,247 |
||
|
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 |
45,000 |
40,500 |
||
|
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 |
143,000 |
146,239 |
||
|
Westpac Banking Corp. sr. unsec. unsub. notes 2 1/4s, 2018 (Australia) |
26,000 |
26,484 |
||
|
10,120,616 |
||||
|
Health care (1.6%) |
||||
|
AbbVie, Inc. sr. unsec. unsub. notes 2.9s, 2022 |
18,000 |
17,605 |
||
|
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 |
130,000 |
130,694 |
||
|
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 |
60,000 |
62,400 |
||
|
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 |
35,000 |
35,088 |
||
|
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 |
145,000 |
147,357 |
||
|
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037 (United Kingdom) |
16,000 |
21,133 |
Dynamic Risk Allocation Fund 53
|
CORPORATE BONDS AND NOTES (19.8%)*cont. |
Principal |
Value |
||
|
Health care cont. |
||||
|
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) |
$145,000 |
$163,289 |
||
|
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021 |
60,000 |
63,900 |
||
|
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) ‡‡ |
50,000 |
50,625 |
||
|
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 |
75,000 |
74,906 |
||
|
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 |
40,000 |
40,400 |
||
|
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 |
60,000 |
61,650 |
||
|
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 |
15,000 |
15,881 |
||
|
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 |
65,000 |
60,613 |
||
|
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 |
55,000 |
56,409 |
||
|
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 |
50,000 |
50,750 |
||
|
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 |
40,000 |
39,050 |
||
|
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 4 3/4s, 2024 |
20,000 |
20,050 |
||
|
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 |
45,000 |
45,675 |
||
|
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 |
50,000 |
49,750 |
||
|
HCA, Inc. sr. notes 6 1/2s, 2020 |
210,000 |
232,575 |
||
|
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 |
55,000 |
57,750 |
||
|
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 |
15,000 |
15,413 |
||
|
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 ‡‡ |
55,000 |
56,100 |
||
|
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) |
75,000 |
77,250 |
||
|
Johnson & Johnson sr. unsec. notes 5.15s, 2018 |
91,000 |
102,918 |
||
|
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 |
125,000 |
138,438 |
||
|
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 |
125,000 |
124,116 |
||
|
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024 R |
149,000 |
152,651 |
||
|
Omnicare, Inc. sr. unsec. notes 5s, 2024 |
10,000 |
10,200 |
||
|
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 |
50,000 |
50,875 |
||
|
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 |
165,000 |
173,663 |
||
|
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 |
20,000 |
20,400 |
||
|
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 |
240,000 |
247,200 |
||
|
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 |
50,000 |
51,625 |
||
|
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 |
15,000 |
15,075 |
||
|
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 |
30,000 |
29,475 |
54 Dynamic Risk Allocation Fund
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Health care cont. |
||||
|
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 |
$45,000 |
$43,988 |
||
|
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 |
100,000 |
108,375 |
||
|
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 |
55,000 |
58,506 |
||
|
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 |
10,000 |
10,125 |
||
|
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 |
65,000 |
73,969 |
||
|
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021 |
58,000 |
64,947 |
||
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 |
90,000 |
93,263 |
||
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 |
5,000 |
5,200 |
||
|
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 |
5,000 |
5,050 |
||
|
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 3/4s, 2018 |
45,000 |
48,094 |
||
|
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 |
60,000 |
61,800 |
||
|
3,336,266 |
||||
|
Technology (0.8%) |
||||
|
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 |
40,000 |
42,300 |
||
|
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 |
15,000 |
13,088 |
||
|
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 |
300,000 |
293,250 |
||
|
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 |
66,000 |
66,232 |
||
|
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 |
145,000 |
144,379 |
||
|
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 |
53,000 |
61,348 |
||
|
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 |
340,000 |
363,800 |
||
|
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019 ‡‡ |
5,790 |
6,000 |
||
|
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 |
25,000 |
24,625 |
||
|
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 |
40,000 |
41,300 |
||
|
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 |
124,000 |
126,842 |
||
|
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 |
145,000 |
144,883 |
||
|
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 R |
60,000 |
62,850 |
||
|
Jabil Circuit, Inc. sr. unsec. notes 8 1/4s, 2018 |
14,000 |
16,170 |
||
|
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 |
55,000 |
58,163 |
||
|
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) |
200,000 |
199,500 |
||
|
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 |
30,000 |
30,600 |
||
|
1,695,330 |
||||
|
Transportation (0.1%) |
||||
|
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5 3/4s, 2040 |
15,000 |
18,149 |
||
|
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) |
90,000 |
90,900 |
||
|
United Airlines 2014-2 Class A Pass Through Trust sr. notes Ser. A, 3 3/4s, 2026 |
25,000 |
25,125 |
||
|
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 |
70,000 |
71,225 |
||
|
205,399 |
Dynamic Risk Allocation Fund 55
|
CORPORATE BONDS AND NOTES (19.8%)* cont. |
Principal |
Value |
||
|
Utilities and power (1.4%) |
||||
|
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 |
$240,000 |
$279,000 |
||
|
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 |
25,000 |
25,063 |
||
|
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 |
110,000 |
111,925 |
||
|
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 |
50,000 |
53,375 |
||
|
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 |
15,000 |
16,031 |
||
|
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 |
96,000 |
114,751 |
||
|
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 5/8s, 2024 |
5,000 |
5,288 |
||
|
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 3/8s, 2022 |
5,000 |
5,263 |
||
|
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 6 3/4s, 2019 |
80,000 |
83,200 |
||
|
Electricite de France (EDF) 144A jr. unsec. sub. FRN notes 5 5/8s, perpetual maturity (France) |
695,000 |
743,650 |
||
|
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default) † |
60,000 |
72,150 |
||
|
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 4.85s, 2042 |
18,000 |
18,583 |
||
|
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 |
10,000 |
10,363 |
||
|
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 |
125,000 |
135,781 |
||
|
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45s, 2044 |
130,000 |
137,175 |
||
|
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 |
100,000 |
92,500 |
||
|
Kinder Morgan Energy Partners LP sr. unsec. unsub. notes 5.4s, 2044 |
44,000 |
43,876 |
||
|
Kinder Morgan Energy Partners LP sr. unsec. unsub. notes 4 1/4s, 2024 |
66,000 |
66,623 |
||
|
Kinder Morgan, Inc./DE company guaranty sr. unsec. unsub. notes 4.3s, 2025 |
60,000 |
60,379 |
||
|
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 |
265,000 |
279,575 |
||
|
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 |
10,000 |
12,500 |
||
|
MidAmerican Funding, LLC sr. bonds 6.927s, 2029 |
20,000 |
26,583 |
||
|
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 |
115,000 |
124,488 |
||
|
NRG Yield Operating LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 |
30,000 |
30,450 |
||
|
Puget Sound Energy, Inc. jr. sub. FRN notes Ser. A, 6.974s, 2067 |
90,000 |
93,948 |
||
|
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 |
80,000 |
82,400 |
||
|
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 |
30,000 |
30,000 |
||
|
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 |
30,000 |
29,400 |
||
|
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 |
55,000 |
51,700 |
||
|
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 |
65,000 |
65,000 |
||
|
2,901,020 |
||||
|
Total corporate bonds and notes (cost $42,495,331) |
|
|||
56 Dynamic Risk Allocation Fund
|
U.S. GOVERNMENT AND AGENCY |
Principal |
Value |
|
|
U.S. Government Guaranteed Mortgage Obligations (1.9%) |
|||
|
Government National Mortgage Association Pass-Through Certificates |
|||
|
3 1/2s, TBA, January 1, 2045 |
$2,000,000 |
$2,094,922 |
|
|
3 1/2s, TBA, December 1, 2044 |
2,000,000 |
2,100,938 |
|
|
4,195,860 |
|||
|
U.S. Government Agency Mortgage Obligations (5.6%) |
|||
|
Federal National Mortgage Association Pass-Through Certificates |
|||
|
6s, TBA, January 1, 2045 |
2,000,000 |
2,264,420 |
|
|
6s, TBA, December 1, 2044 |
2,000,000 |
2,267,545 |
|
|
4s, TBA, January 1, 2045 |
5,000,000 |
5,322,852 |
|
|
3s, TBA, January 1, 2030 |
1,000,000 |
1,039,023 |
|
|
3s, TBA, December 1, 2029 |
1,000,000 |
1,041,406 |
|
|
11,935,246 |
|||
|
Total U.S. government and agency mortgage obligations (cost $16,059,299) |
|
||
|
MORTGAGE-BACKED SECURITIES (3.4%)* |
Principal |
Value |
||
|
Commercial mortgage-backed securities (2.6%) |
||||
|
Banc of America Commercial Mortgage Trust |
||||
|
FRB Ser. 07-3, Class A3, 5.785s, 2049 |
$33,059 |
$33,211 |
||
|
FRB Ser. 05-1, Class AJ, 5.469s, 2042 |
325,000 |
324,685 |
||
|
Ser. 06-5, Class A2, 5.317s, 2047 |
27,583 |
27,589 |
||
|
Ser. 05-4, Class B, 5.118s, 2045 |
212,000 |
214,385 |
||
|
Bear Stearns Commercial Mortgage Securities Trust |
||||
|
FRB Ser. 06-PW12, Class AJ, 5.93s, 2038 |
48,000 |
49,379 |
||
|
FRB Ser. 06-PW11, Class AJ, 5.602s, 2039 |
68,000 |
70,338 |
||
|
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.754s, 2047 |
100,000 |
113,759 |
||
|
Citigroup Commercial Mortgage Trust |
||||
|
FRB Ser. 06-C4, Class AJ, 5.965s, 2049 |
175,000 |
182,899 |
||
|
Ser. 13-GC11, Class D, 4.605s, 2046 |
100,000 |
96,058 |
||
|
Ser. 14-GC19, Class X, IO, 1.498s, 2047 |
1,551,438 |
131,128 |
||
|
COMM Mortgage Trust |
||||
|
Ser. 12-CR3, Class XA, IO, 2.334s, 2045 |
280,483 |
31,762 |
||
|
Ser. 12-CR5, Class XA, IO, 2.045s, 2045 |
739,151 |
71,975 |
||
|
Ser. 14-CR16, Class XA, IO, 1.439s, 2047 |
667,221 |
50,516 |
||
|
Ser. 14-CR17, Class XA, IO, 1.373s, 2047 |
1,227,451 |
92,376 |
||
|
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.451s, 2044 |
120,000 |
120,410 |
||
|
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 |
44,000 |
43,941 |
||
|
GS Mortgage Securities Trust |
||||
|
Ser. 05-GG4, Class B, 4.841s, 2039 |
55,000 |
54,965 |
||
|
Ser. 05-GG4, Class AJ, 4.782s, 2039 |
50,000 |
50,536 |
||
|
Ser. 14-GC22, Class XA, IO, 1.246s, 2047 |
2,115,739 |
153,432 |
||
|
GS Mortgage Securities Trust 144A Ser. 10-C1, Class D, 6.165s, 2043 |
158,403 |
173,333 |
Dynamic Risk Allocation Fund 57
|
MORTGAGE-BACKED SECURITIES (3.4%)* cont. |
Principal |
Value |
||
|
Commercial mortgage-backed securities cont. |
||||
|
JPMorgan Chase Commercial Mortgage Securities Trust |
||||
|
FRB Ser. 06-LDP7, Class B, 6.057s, 2045 |
$118,000 |
$95,376 |
||
|
Ser. 06-LDP6, Class AJ, 5.565s, 2043 |
67,000 |
68,095 |
||
|
FRB Ser. 06-LDP8, Class AJ, 5.48s, 2045 |
386,000 |
405,107 |
||
|
Ser. 04-LN2, Class A2, 5.115s, 2041 |
18,576 |
18,617 |
||
|
FRB Ser. 13-LC11, Class D, 4.382s, 2046 |
53,000 |
50,730 |
||
|
FRB Ser. 13-C10, Class C, 4.298s, 2047 |
95,000 |
97,369 |
||
|
JPMorgan Chase Commercial Mortgage Securities Trust 144A |
||||
|
FRB Ser. 10-C1, Class D, 6.523s, 2043 |
142,000 |
160,527 |
||
|
FRB Ser. 11-C3, Class E, 5.753s, 2046 |
213,000 |
230,709 |
||
|
FRB Ser. 12-C6, Class E, 5.381s, 2045 |
114,000 |
117,808 |
||
|
LB-UBS Commercial Mortgage Trust |
||||
|
FRB Ser. 07-C6, Class A4, 5.858s, 2040 |
75,983 |
80,388 |
||
|
Ser. 06-C6, Class E, 5.541s, 2039 |
125,000 |
118,905 |
||
|
Ser. 06-C6, Class D, 5.502s, 2039 |
125,000 |
121,664 |
||
|
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 |
47,000 |
48,010 |
||
|
Morgan Stanley Bank of America Merrill Lynch Trust |
||||
|
FRB Ser. 13-C11, Class C, 4.564s, 2046 F |
83,000 |
86,124 |
||
|
Ser. 14-C17, Class XA, IO, 1.446s, 2047 |
322,372 |
25,816 |
||
|
Morgan Stanley Capital I Trust |
||||
|
FRB Ser. 06-HQ8, Class D, 5.673s, 2044 |
125,000 |
121,986 |
||
|
Ser. 06-HQ10, Class AJ, 5.389s, 2041 |
79,000 |
79,743 |
||
|
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.356s, 2049 |
81,000 |
83,705 |
||
|
UBS-Barclays Commercial Mortgage Trust 144A |
||||
|
FRB Ser. 12-C3, Class C, 5.123s, 2049 |
50,000 |
53,603 |
||
|
FRB Ser. 12-C3, Class D, 5.123s, 2049 |
72,000 |
72,137 |
||
|
Ser. 13-C6, Class D, 4.497s, 2046 |
110,000 |
104,777 |
||
|
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C25, Class AJ, 5.896s, 2043 |
270,000 |
279,990 |
||
|
WF-RBS Commercial Mortgage Trust |
||||
|
FRB Ser. 14-C19, Class C, 4.646s, 2047 |
71,000 |
73,166 |
||
|
Ser. 13-C17, Class XA, IO, 1.767s, 2046 |
1,457,540 |
123,530 |
||
|
WF-RBS Commercial Mortgage Trust 144A |
||||
|
FRB Ser. 11-C2, Class D, 5.647s, 2044 |
194,000 |
209,528 |
||
|
FRB Ser. 13-C16, Class D, 5.15s, 2046 |
77,000 |
76,430 |
||
|
FRB Ser. 12-C10, Class D, 4.607s, 2045 |
60,000 |
58,763 |
||
|
Ser. 12-C10, Class XA, IO, 1.947s, 2045 |
2,763,222 |
276,433 |
||
|
Ser. 13-C12, Class XA, IO, 1.639s, 2048 |
258,500 |
21,230 |
||
|
WFRBS Commercial Mortgage Trust 2014-C19 FRB Ser. C19, Class XA, IO, 1.488s, 2047 |
1,173,631 |
92,952 |
||
|
5,539,895 |
||||
|
Residential mortgage-backed securities (non-agency) (0.8%) |
||||
|
Bear Stearns Alt-A Trust |
||||
|
FRB Ser. 05-7, Class 22A1, 2.595s, 2035 |
66,518 |
56,873 |
||
|
FRB Ser. 05-8, Class 11A1, 0.695s, 2035 |
53,824 |
47,903 |
||
|
Countrywide Alternative Loan Trust Ser. 05-28CB, Class 2A7, 5 3/4s, 2035 |
320,404 |
297,496 |
58 Dynamic Risk Allocation Fund
|
MORTGAGE-BACKED SECURITIES (3.4%)* cont. |
Principal |
Value |
||
|
Residential mortgage-backed securities (non-agency) cont. |
||||
|
Countrywide Home Loans FRB Ser. 06-HYB1, Class 1A1, 2.46s, 2036 |
$53,519 |
$47,109 |
||
|
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 13-5R, Class 1A6, 0.43s, 2036 |
110,000 |
90,200 |
||
|
WAMU Mortgage Pass-Through Certificates |
||||
|
FRB Ser. 04-AR12, Class A2B, 0.648s, 2044 |
430,900 |
383,501 |
||
|
FRB Ser. 05-AR15, Class A1B2, 0.565s, 2045 |
105,987 |
93,640 |
||
|
FRB Ser. 05-AR11, Class A1B3, 0.555s, 2045 |
329,638 |
289,257 |
||
|
FRB Ser. 05-AR9, Class A1B, 0.535s, 2045 |
422,334 |
389,517 |
||
|
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.382s, 2047 |
60,000 |
44,357 |
||
|
1,739,853 |
||||
|
Total mortgage-backed securities (cost $7,261,807) |
|
|||
|
COMMODITY LINKED NOTES (3.1%)*††† |
Principal |
Value |
|
|
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2015 (Indexed to the S&P GSCI 3 Month Forward Index — Total Return multiplied by 3) (United Kingdom) |
$4,467,000 |
$3,414,575 |
|
|
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the S&P GSCI Light Energy Total Return Index multiplied by 3) (United Kingdom) |
3,630,000 |
3,150,782 |
|
|
Total commodity linked notes (cost $8,097,000) |
|
||
|
ASSET-BACKED SECURITIES (2.0%)* |
Principal |
Value |
||
|
Station Place Securitization Trust FRB Ser. 14-3, Class A, 1.056s, 2016 |
$2,682,000 |
$2,682,000 |
||
|
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.054s, 2016 |
1,712,000 |
1,712,000 |
||
|
Total asset-backed securities (cost $4,394,000) |
|
|||
|
FOREIGN GOVERNMENT AND AGENCY |
Principal |
|
||
|
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) |
$719,245 |
$595,535 |
||
|
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default) † |
121,977 |
111,853 |
||
|
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) |
150,000 |
141,000 |
||
|
United Mexican States sr. unsec. unsub. notes Ser. MTN, 4 3/4s, 2044 (Mexico) |
120,000 |
124,921 |
||
|
Total foreign government and agency bonds and notes (cost $1,014,542) |
|
|||
|
PURCHASED OPTIONS |
Expiration date/strike price |
Contract amount |
Value |
|
|
SPDR S&P 500 ETF Trust (Put) |
Nov-15/$180.00 |
$46,045 |
$274,957 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Oct-15/162.00 |
46,861 |
137,481 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Sep-15/170.00 |
43,748 |
151,510 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Aug-15/170.00 |
43,748 |
128,375 |
Dynamic Risk Allocation Fund 59
|
PURCHASED OPTIONS |
Expiration date/strike price |
Contract amount |
Value |
|
|
SPDR S&P 500 ETF Trust (Put) |
Jul-15/$173.00 |
$43,748 |
$121,626 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Jun-15/170.00 |
43,748 |
91,647 |
|
|
Total purchased options outstanding (cost $1,733,018) |
|
|||
|
SENIOR LOANS (0.2%)*c |
Principal |
Value |
||
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.985s, 2017 |
$243,508 |
$221,227 |
||
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 |
19,950 |
18,371 |
||
|
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 |
70,000 |
62,956 |
||
|
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.156s, 2021 |
64,837 |
64,162 |
||
|
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 |
74,438 |
73,941 |
||
|
Total senior loans (cost $461,594) |
|
|||
|
PREFERRED STOCKS (0.2%)* |
Shares |
Value |
|
|
Ally Financial, Inc. 144A 7.00% cum. pfd. |
86 |
$86,325 |
|
|
Citigroup, Inc. Ser. K, $1.719 pfd. |
2,640 |
69,881 |
|
|
HSBC USA, Inc. $0.88 pfd. (United Kingdom) |
6,280 |
140,798 |
|
|
M/I Homes, Inc. Ser. A, $2.438 pfd. |
1,230 |
31,242 |
|
|
Total preferred stocks (cost $320,929) |
|
||
|
CONVERTIBLE PREFERRED STOCKS (—%)* |
Shares |
Value |
|
|
EPR Properties Ser. C, $1.44 cv. pfd. R |
1,550 |
$35,941 |
|
|
United Technologies Corp. $3.75 cv. pfd. |
1,000 |
60,090 |
|
|
Total convertible preferred stocks (cost $96,023) |
|
||
|
CONVERTIBLE BONDS AND NOTES (—%)* |
Principal |
Value |
||
|
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R |
$35,000 |
$45,588 |
||
|
Total convertible bonds and notes (cost $36,959) |
|
|||
|
INVESTMENT COMPANIES (—%)* |
Shares |
Value |
|
|
Hercules Technology Growth Capital, Inc. |
972 |
$15,299 |
|
|
Solar Capital, Ltd. |
791 |
14,539 |
|
|
Total investment companies (cost $28,779) |
|
||
|
SHORT-TERM INVESTMENTS (26.4%)* |
Principal |
Value |
|
|
Putnam Cash Collateral Pool, LLC 0.19% d |
Shares 29,475 |
$29,475 |
|
|
Putnam Money Market Liquidity Fund 0.08% L |
Shares 12,700,081 |
12,700,081 |
|
|
Putnam Short Term Investment Fund 0.09% L |
Shares 32,587,880 |
32,587,880 |
|
|
SSgA Prime Money Market Fund Class N 0.00% P |
Shares 420,000 |
420,000 |
|
|
Federal National Mortgage Association unsec. discount notes with an effective yield of 0.04%, January 14, 2015 |
$2,250,000 |
2,249,876 |
|
|
U.S. Treasury Bills with effective yields ranging from zero % to 0.12%, February 5, 2015 # Δ § |
1,883,000 |
1,882,966 |
60 Dynamic Risk Allocation Fund
|
SHORT-TERM INVESTMENTS (26.4%)* cont. |
Principal |
Value |
|
|
U.S. Treasury Bills with effective yields ranging from zero % to 0.03%, December 4, 2014 # Δ § |
$487,000 |
$487,000 |
|
|
U.S. Treasury Bills with effective yields ranging from zero % to 0.02%, January 15, 2015 # Δ § |
6,256,000 |
6,255,876 |
|
|
Total short-term investments (cost $56,612,805) |
|
||
|
TOTAL INVESTMENTS |
||
|
Total investments (cost $222,875,105) |
$233,798,728 |
|
|
||
|
CAD |
Canadian Dollar |
|
|
EUR |
Euro |
|
|
|
||
|
ADR |
American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
|
|
ADS |
American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank |
|
|
BKNT |
Bank Note |
|
|
bp |
Basis Points |
|
|
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 |
|
|
GMTN |
Global Medium Term Notes |
|
|
IO |
Interest Only |
|
|
LOC |
Letter of Credit |
|
|
MTN |
Medium Term Notes |
|
|
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 June 1, 2014 through November 30, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter. |
|
|
* |
Percentages indicated are based on net assets of $214,552,804. |
|
††† |
The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to the change in the underlying index. |
|
† |
Non-income-producing security. |
|
‡‡ |
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. |
|
§ |
This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. |
Dynamic Risk Allocation Fund 61
|
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 6). |
|
d |
Affiliated company. See Note 1 to the financial statements regarding securities lending. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
|
F |
Security 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. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1). |
|
L |
Affiliated company (Note 5). 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 derivative 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. |
|
S |
Security on loan, in part or in entirety, at the close of the reporting period (Note 1). |
|
At the close of the reporting period, the fund maintained liquid assets totaling $112,967,354 to cover certain derivatives contracts and delayed delivery securities. |
|
|
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 commitments. |
|
|
The dates shown on debt obligations are the original maturity dates. |
|
DIVERSIFICATION BY COUNTRY |
|
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): |
|
United States |
81.3% |
|
United Kingdom |
4.7 |
|
Japan |
2.5 |
|
France |
1.9 |
|
Jersey |
1.4 |
|
Germany |
1.1 |
|
Switzerland |
1.1 |
|
Canada |
1.0 |
|
Australia |
0.9 |
|
Netherlands |
0.6 |
|
Spain |
0.5 |
|
Luxembourg |
0.5 |
|
Other |
2.5 |
|
Total |
100.0% |
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
$158,214 |
$158,714 |
$500 |
||
|
British Pound |
Buy |
12/17/14 |
188,206 |
198,838 |
(10,632) |
||
|
British Pound |
Sell |
12/17/14 |
188,206 |
196,611 |
8,405 |
||
|
Canadian Dollar |
Buy |
1/21/15 |
2,271 |
2,308 |
(37) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
2,271 |
2,319 |
48 |
||
|
Chinese Yuan (Offshore) |
Buy |
2/13/15 |
314,198 |
314,871 |
(673) |
||
|
Euro |
Buy |
12/17/14 |
285,767 |
293,095 |
(7,328) |
||
|
Euro |
Sell |
12/17/14 |
285,767 |
301,786 |
16,019 |
||
62 Dynamic Risk Allocation Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
South Korean Won |
Buy |
2/13/15 |
$12,087 |
$7,270 |
$4,817 |
||
|
Swiss Franc |
Buy |
12/17/14 |
308,057 |
315,475 |
(7,418) |
||
|
Swiss Franc |
Sell |
12/17/14 |
308,057 |
323,878 |
15,821 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
484,054 |
492,194 |
8,140 |
||
|
British Pound |
Buy |
12/17/14 |
468,718 |
489,170 |
(20,452) |
||
|
British Pound |
Sell |
12/17/14 |
468,718 |
483,088 |
14,370 |
||
|
Canadian Dollar |
Sell |
1/21/15 |
152,947 |
157,029 |
4,082 |
||
|
Chinese Yuan (Offshore) |
Buy |
2/13/15 |
640,640 |
642,992 |
(2,352) |
||
|
Czech Koruna |
Buy |
12/17/14 |
155,751 |
160,457 |
(4,706) |
||
|
Czech Koruna |
Sell |
12/17/14 |
155,751 |
164,333 |
8,582 |
||
|
Euro |
Sell |
12/17/14 |
438,599 |
485,827 |
47,228 |
||
|
Hong Kong Dollar |
Sell |
2/13/15 |
431,618 |
431,683 |
65 |
||
|
Japanese Yen |
Sell |
2/13/15 |
146,667 |
154,201 |
7,534 |
||
|
Mexican Peso |
Buy |
1/21/15 |
304,402 |
313,244 |
(8,842) |
||
|
Mexican Peso |
Sell |
1/21/15 |
304,402 |
313,320 |
8,918 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
239,668 |
238,886 |
782 |
||
|
Norwegian Krone |
Buy |
12/17/14 |
456,594 |
485,688 |
(29,094) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
456,594 |
488,128 |
31,534 |
||
|
Singapore Dollar |
Sell |
2/13/15 |
38,859 |
39,314 |
455 |
||
|
South Korean Won |
Sell |
2/13/15 |
310,326 |
315,606 |
5,280 |
||
|
Swedish Krona |
Sell |
12/17/14 |
36,734 |
40,902 |
4,168 |
||
|
Swiss Franc |
Sell |
12/17/14 |
322,135 |
331,531 |
9,396 |
||
|
Turkish Lira |
Buy |
12/17/14 |
321,125 |
311,245 |
9,880 |
||
|
Turkish Lira |
Sell |
12/17/14 |
321,125 |
314,913 |
(6,212) |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
45,870 |
50,578 |
4,708 |
||
|
Brazilian Real |
Buy |
1/5/15 |
599,424 |
624,247 |
(24,823) |
||
|
Brazilian Real |
Sell |
1/5/15 |
599,424 |
610,367 |
10,943 |
||
|
Danish Krone |
Sell |
12/17/14 |
222,124 |
234,772 |
12,648 |
||
|
Euro |
Sell |
12/17/14 |
76,479 |
93,957 |
17,478 |
||
|
Japanese Yen |
Sell |
2/13/15 |
245,947 |
257,227 |
11,280 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
467,859 |
468,463 |
(604) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
295,577 |
301,955 |
6,378 |
||
|
Swiss Franc |
Buy |
12/17/14 |
335,591 |
343,676 |
(8,085) |
||
|
Swiss Franc |
Sell |
12/17/14 |
335,591 |
353,163 |
17,572 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
680,592 |
692,056 |
11,464 |
||
|
British Pound |
Buy |
12/17/14 |
307,377 |
321,090 |
(13,713) |
||
|
British Pound |
Sell |
12/17/14 |
307,377 |
324,672 |
17,295 |
||
|
Canadian Dollar |
Sell |
1/21/15 |
309,563 |
313,473 |
3,910 |
||
|
Euro |
Sell |
12/17/14 |
565,565 |
614,677 |
49,112 |
||
Dynamic Risk Allocation Fund 63
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Indian Rupee |
Buy |
2/13/15 |
$357,660 |
$362,167 |
$(4,507) |
||
|
Japanese Yen |
Buy |
2/13/15 |
1,221,004 |
1,273,349 |
(52,345) |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
318,047 |
317,890 |
157 |
||
|
Norwegian Krone |
Sell |
12/17/14 |
156,272 |
168,724 |
12,452 |
||
|
Swedish Krona |
Buy |
12/17/14 |
460,927 |
483,723 |
(22,796) |
||
|
Swedish Krona |
Sell |
12/17/14 |
460,927 |
485,001 |
24,074 |
||
|
Swiss Franc |
Buy |
12/17/14 |
308,057 |
315,441 |
(7,384) |
||
|
Swiss Franc |
Sell |
12/17/14 |
308,057 |
323,789 |
15,732 |
||
|
Turkish Lira |
Buy |
12/17/14 |
320,945 |
312,127 |
8,818 |
||
|
Turkish Lira |
Sell |
12/17/14 |
320,945 |
314,830 |
(6,115) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
1/21/15 |
384,598 |
391,828 |
(7,230) |
||
|
Australian Dollar |
Sell |
1/21/15 |
384,598 |
395,497 |
10,899 |
||
|
Euro |
Sell |
12/17/14 |
258,285 |
266,033 |
7,748 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
296,266 |
298,329 |
(2,063) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
621,813 |
651,162 |
29,349 |
||
|
Swedish Krona |
Buy |
12/17/14 |
672,185 |
692,156 |
(19,971) |
||
|
Swedish Krona |
Sell |
12/17/14 |
672,185 |
714,337 |
42,152 |
||
|
Swiss Franc |
Buy |
12/17/14 |
308,160 |
316,087 |
(7,927) |
||
|
Swiss Franc |
Sell |
12/17/14 |
308,160 |
324,146 |
15,986 |
||
|
Turkish Lira |
Buy |
12/17/14 |
637,536 |
636,828 |
708 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
1/21/15 |
293,196 |
299,715 |
(6,519) |
||
|
Australian Dollar |
Sell |
1/21/15 |
293,196 |
299,461 |
6,265 |
||
|
Canadian Dollar |
Buy |
1/21/15 |
468,625 |
477,046 |
(8,421) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
468,625 |
478,092 |
9,467 |
||
|
Euro |
Sell |
12/17/14 |
706,086 |
758,171 |
52,085 |
||
|
Japanese Yen |
Sell |
2/13/15 |
372,841 |
376,035 |
3,194 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
159,804 |
160,516 |
(712) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
69,411 |
80,449 |
11,038 |
||
|
Swedish Krona |
Buy |
12/17/14 |
457,708 |
474,159 |
(16,451) |
||
|
Swedish Krona |
Sell |
12/17/14 |
457,708 |
469,407 |
11,699 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
465,486 |
475,981 |
10,495 |
||
|
British Pound |
Buy |
12/17/14 |
154,313 |
158,288 |
(3,975) |
||
|
British Pound |
Sell |
12/17/14 |
154,313 |
159,480 |
5,167 |
||
|
Canadian Dollar |
Sell |
1/21/15 |
462,161 |
472,065 |
9,904 |
||
|
Chinese Yuan |
Buy |
2/13/15 |
319,538 |
320,041 |
(503) |
||
|
Euro |
Buy |
12/17/14 |
537,461 |
573,202 |
(35,741) |
||
|
Japanese Yen |
Sell |
2/13/15 |
146,666 |
154,109 |
7,443 |
||
|
Norwegian Krone |
Buy |
12/17/14 |
146,884 |
154,971 |
(8,087) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
146,884 |
156,513 |
9,629 |
||
64 Dynamic Risk Allocation Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Swedish Krona |
Buy |
12/17/14 |
$614,328 |
$637,426 |
$(23,098) |
||
|
Swedish Krona |
Sell |
12/17/14 |
605,369 |
642,781 |
37,412 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
209,511 |
212,236 |
2,725 |
||
|
Brazilian Real |
Buy |
1/5/15 |
813,488 |
846,166 |
(32,678) |
||
|
Brazilian Real |
Sell |
1/5/15 |
813,488 |
832,120 |
18,632 |
||
|
British Pound |
Sell |
12/17/14 |
2,115,090 |
2,232,850 |
117,760 |
||
|
Canadian Dollar |
Buy |
1/21/15 |
129,101 |
131,177 |
(2,076) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
129,101 |
131,927 |
2,826 |
||
|
Czech Koruna |
Buy |
12/17/14 |
155,751 |
160,445 |
(4,694) |
||
|
Czech Koruna |
Sell |
12/17/14 |
155,751 |
164,366 |
8,615 |
||
|
Euro |
Sell |
12/17/14 |
154,075 |
164,562 |
10,487 |
||
|
Hungarian Forint |
Buy |
12/17/14 |
194,826 |
196,178 |
(1,352) |
||
|
Hungarian Forint |
Sell |
12/17/14 |
194,826 |
200,305 |
5,479 |
||
|
Indian Rupee |
Sell |
2/13/15 |
53,695 |
54,319 |
624 |
||
|
Japanese Yen |
Buy |
2/13/15 |
24,318 |
25,361 |
(1,043) |
||
|
Japanese Yen |
Sell |
2/13/15 |
24,318 |
24,496 |
178 |
||
|
Malaysian Ringgit |
Sell |
2/13/15 |
302,038 |
306,172 |
4,134 |
||
|
Mexican Peso |
Buy |
1/21/15 |
306,731 |
314,485 |
(7,754) |
||
|
Mexican Peso |
Sell |
1/21/15 |
306,731 |
315,741 |
9,010 |
||
|
New Taiwan Dollar |
Sell |
2/13/15 |
276,101 |
280,221 |
4,120 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
198,370 |
206,492 |
(8,122) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
408,439 |
420,198 |
11,759 |
||
|
Singapore Dollar |
Sell |
2/13/15 |
360,235 |
360,620 |
385 |
||
|
Swedish Krona |
Buy |
12/17/14 |
157,103 |
161,263 |
(4,160) |
||
|
Swiss Franc |
Sell |
12/17/14 |
1,431,387 |
1,515,507 |
84,120 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
98,523 |
103,595 |
5,072 |
||
|
British Pound |
Buy |
12/17/14 |
264,113 |
270,088 |
(5,975) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
311,310 |
315,271 |
3,961 |
||
|
Euro |
Sell |
12/17/14 |
159,920 |
159,982 |
62 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
312,739 |
313,184 |
(445) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
156,272 |
166,992 |
10,720 |
||
|
Singapore Dollar |
Sell |
2/13/15 |
317,391 |
318,740 |
1,349 |
||
|
Swedish Krona |
Buy |
12/17/14 |
160,361 |
162,017 |
(1,656) |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
475,999 |
487,790 |
11,791 |
||
|
Brazilian Real |
Buy |
1/5/15 |
589,108 |
614,422 |
(25,314) |
||
|
Brazilian Real |
Sell |
1/5/15 |
589,108 |
589,302 |
194 |
||
|
British Pound |
Buy |
12/17/14 |
152,126 |
159,035 |
(6,909) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
639,828 |
654,186 |
14,358 |
||
|
Euro |
Buy |
12/17/14 |
1,547,470 |
1,596,189 |
(48,719) |
||
Dynamic Risk Allocation Fund 65
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Euro |
Sell |
12/17/14 |
$1,547,470 |
$1,596,142 |
$48,672 |
||
|
Israeli Shekel |
Sell |
1/21/15 |
295,271 |
306,987 |
11,716 |
||
|
Japanese Yen |
Buy |
2/13/15 |
230,235 |
238,675 |
(8,440) |
||
|
Mexican Peso |
Buy |
1/21/15 |
310,063 |
317,951 |
(7,888) |
||
|
Mexican Peso |
Sell |
1/21/15 |
313,446 |
317,470 |
4,024 |
||
|
New Taiwan Dollar |
Buy |
2/13/15 |
14,533 |
14,754 |
(221) |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
316,486 |
321,714 |
(5,228) |
||
|
Norwegian Krone |
Buy |
12/17/14 |
1,158,017 |
1,272,339 |
(114,322) |
||
|
Norwegian Krone |
Sell |
12/17/14 |
1,158,017 |
1,233,317 |
75,300 |
||
|
Swedish Krona |
Buy |
12/17/14 |
273,473 |
273,727 |
(254) |
||
|
Swiss Franc |
Sell |
12/17/14 |
322,031 |
336,709 |
14,678 |
||
|
Turkish Lira |
Buy |
12/17/14 |
319,913 |
319,695 |
218 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
163,981 |
170,266 |
6,285 |
||
|
British Pound |
Sell |
12/17/14 |
159,936 |
161,000 |
1,064 |
||
|
Canadian Dollar |
Sell |
1/21/15 |
271,217 |
277,738 |
6,521 |
||
|
Euro |
Sell |
12/17/14 |
306,907 |
308,654 |
1,747 |
||
|
Hungarian Forint |
Sell |
12/17/14 |
313,573 |
314,696 |
1,123 |
||
|
Swedish Krona |
Sell |
12/17/14 |
36,734 |
39,045 |
2,311 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
1/21/15 |
191,790 |
199,576 |
7,786 |
||
|
British Pound |
Buy |
12/17/14 |
309,407 |
329,859 |
(20,452) |
||
|
Canadian Dollar |
Sell |
1/21/15 |
427,135 |
436,323 |
9,188 |
||
|
Euro |
Buy |
12/17/14 |
63,919 |
36,088 |
27,831 |
||
|
New Zealand Dollar |
Buy |
1/21/15 |
382,766 |
389,275 |
(6,509) |
||
|
Total |
|
||||||
|
|
|||||||
|
Number of |
Value |
Expiration |
Unrealized |
||||
|
DAX Index (Short) |
1 |
$310,070 |
Dec-14 |
$(11,163) |
|||
|
Euro-Bobl 5 yr (Long) |
49 |
7,814,151 |
Dec-14 |
45,346 |
|||
|
Euro-Bund 10 yr (Long) |
43 |
8,172,638 |
Dec-14 |
205,261 |
|||
|
Euro-Buxl 30 yr (Long) |
20 |
3,729,853 |
Dec-14 |
203,366 |
|||
|
Euro-CAC 40 Index (Short) |
7 |
381,503 |
Dec-14 |
(10,902) |
|||
|
Euro-Schatz 2 yr (Long) |
11 |
1,516,748 |
Dec-14 |
(637) |
|||
|
FTSE 100 Index (Short) |
4 |
420,553 |
Dec-14 |
1,614 |
|||
|
IBEX 35 Index (Long) |
15 |
2,006,984 |
Dec-14 |
88,535 |
|||
|
Japanese Government Bond 10 yr |
21 |
25,987,533 |
Dec-14 |
212,362 |
|||
|
MSCI EAFE Index Mini (Short) |
43 |
3,948,260 |
Dec-14 |
117,304 |
|||
|
Russell 2000 Index Mini (Short) |
28 |
3,280,480 |
Dec-14 |
21,477 |
|||
|
S&P 500 Index E-Mini (Long) |
31 |
3,202,765 |
Dec-14 |
208,894 |
|||
66 Dynamic Risk Allocation Fund
|
|
|||||||
|
Number of |
Value |
Expiration |
Unrealized |
||||
|
S&P 500 Index E-Mini (Short) |
34 |
$3,512,710 |
Dec-14 |
$(134,623) |
|||
|
S&P/TSX 60 Index (Short) |
3 |
452,243 |
Dec-14 |
14,271 |
|||
|
SPI 200 Index (Short) |
4 |
454,211 |
Dec-14 |
9,230 |
|||
|
Tokyo Price Index (Long) |
18 |
2,138,651 |
Dec-14 |
190,709 |
|||
|
U.K. Gilt 10 yr (Long) |
29 |
5,324,326 |
Mar-15 |
58,362 |
|||
|
U.S. Treasury Bond 30 yr (Long) |
11 |
1,568,875 |
Mar-15 |
22,581 |
|||
|
U.S. Treasury Bond Ultra 30 yr (Long) |
12 |
1,929,750 |
Mar-15 |
37,290 |
|||
|
U.S. Treasury Bond Ultra 30 yr (Short) |
1 |
160,813 |
Mar-15 |
(3,111) |
|||
|
U.S. Treasury Note 2 yr (Long) |
24 |
5,259,375 |
Mar-15 |
5,954 |
|||
|
U.S. Treasury Note 5 yr (Long) |
47 |
5,616,133 |
Mar-15 |
27,450 |
|||
|
U.S. Treasury Note 5 yr (Short) |
11 |
1,314,414 |
Mar-15 |
(6,552) |
|||
|
U.S. Treasury Note 10 yr (Long) |
104 |
13,212,875 |
Mar-15 |
107,865 |
|||
|
U.S. Treasury Note 10 yr (Short) |
92 |
11,688,313 |
Mar-15 |
(96,465) |
|||
|
Total |
|
||||||
|
|
|||||||
|
Expiration |
Contract |
Value |
|||||
|
SPDR S&P 500 ETF Trust (Call) |
Dec-14/$213.00 |
$89,268 |
$31,243 |
||||
|
SPDR S&P 500 ETF Trust (Call) |
Dec-14/212.50 |
22,250 |
6,675 |
||||
|
SPDR S&P 500 ETF Trust (Call) |
Dec-14/212.00 |
111,607 |
42,161 |
||||
|
SPDR S&P 500 ETF Trust (Call) |
Dec-14/209.50 |
22,264 |
13,717 |
||||
|
SPDR S&P 500 ETF Trust (Call) |
Dec-14/209.00 |
22,300 |
8,753 |
||||
|
Total |
|
||||||
|
|
|||||||
|
Agency |
Principal |
Settlement |
Value |
||||
|
Federal National Mortgage Association, 6s, December 1, 2044 |
$2,000,000 |
12/11/14 |
$2,267,545 |
||||
|
Federal National Mortgage Association, 3s, December 1, 2029 |
1,000,000 |
12/16/14 |
1,041,406 |
||||
|
Government National Mortgage Association, 3 1/2s, December 1, 2044 |
2,000,000 |
12/18/14 |
2,100,938 |
||||
|
Total |
|
||||||
|
|
|||||||
|
Notional amount |
Upfront |
Termination |
Payments |
Payments |
|
||
|
$16,647,800 E |
$224 |
12/17/16 |
3 month USD-LIBOR-BBA |
1.00% |
$(55,593) |
||
|
11,264,900 E |
35,882 |
12/17/19 |
3 month USD-LIBOR-BBA |
2.25% |
87,274 |
||
Dynamic Risk Allocation Fund 67
|
|
|||||||
|
Notional amount |
Upfront |
Termination |
Payments |
Payments |
|
||
|
$59,201,600 E |
$(1,074,215) |
12/17/24 |
3 month USD-LIBOR-BBA |
3.00% |
$2,171,734 |
||
|
2,322,700 E |
(45,148) |
12/17/44 |
3 month USD-LIBOR-BBA |
3.50% |
145,370 |
||
|
Total |
$(1,083,257) |
|
|||||
|
|
|||||||
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$3,800,000 |
$— |
9/21/21 |
(2.305%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
$(188,716) |
||
|
5,000,000 |
— |
7/19/23 |
(2.585%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(301,520) |
||
|
4,000,000 |
— |
6/10/24 |
(2.50%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(178,472) |
||
|
1,000,000 |
— |
11/7/24 |
(2.2625%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(15,535) |
||
|
baskets |
225,115 F |
— |
10/19/15 |
(3 month USD-LIBOR-BBA plus 0.10%) |
A basket (MLTRFCF4) of common stocks |
3,366,474 |
|
|
units |
5,751 |
— |
10/19/15 |
3 month USD-LIBOR-BBA minus 0.07% |
Russell 1000 Total Return Index |
(3,152,407) |
|
|
|
|||||||
|
$4,146,417 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
(49,633) |
||
|
3,700,000 |
— |
5/8/23 |
(2.59%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(252,292) |
||
|
3,600,000 |
— |
7/19/23 |
(2.569%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(205,142) |
||
|
|
|||||||
|
1,500,000 |
— |
8/7/22 |
2.515% |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
98,393 |
||
68 Dynamic Risk Allocation Fund
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
baskets |
72 |
$— |
12/19/14 |
(3 month USD-LIBOR-BBA plus 0.15%) |
A basket (CGPUTQL2) of common stocks |
$603,174 |
|
|
units |
1,526 |
— |
12/19/14 |
3 month USD-LIBOR-BBA minus 0.10% |
Russell 1000 Total Return Index |
(266,922) |
|
|
|
|||||||
|
$2,600,000 |
— |
1/9/23 |
(2.76%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(235,968) |
||
|
3,400,000 |
— |
8/7/22 |
(2.515%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(223,023) |
||
|
1,600,000 |
— |
8/8/22 |
(2.5325%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(107,899) |
||
|
700,000 |
— |
9/10/22 |
(2.5925%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(49,115) |
||
|
3,300,000 |
— |
2/8/23 |
(2.81%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(304,491) |
||
|
6,900,000 |
— |
7/19/23 |
(2.57%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(405,161) |
||
|
shares |
94,529 |
— |
7/1/15 |
(3 month USD-LIBOR-BBA plus 15 bp) |
Common stock of Vanguard FTSE Emerging Markets ETF |
94,827 |
|
|
shares |
18,900 |
— |
6/8/15 |
(3 month USD-LIBOR-BBA plus 20 bp) |
Common stock of Vanguard FTSE Emerging Markets ETF |
(63,890) |
|
|
shares |
37,583 |
— |
9/21/15 |
(3 month USD-LIBOR-BBA plus 0.20%) |
Vanguard Index Funds — MSCI Emerging Markets ETF |
(52,247) |
|
|
|
|||||||
|
$500,000 |
— |
11/7/21 |
(2.43%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(31,357) |
||
|
units, EUR |
5,010 |
— |
1/26/15 |
(3 month EUR-EURIBOR-REUTERS plus 12 bp) |
iShares EURO STOXX Banks |
33,059 |
|
|
|
|||||||
|
$1,500,000 |
— |
10/5/22 |
(2.73%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(119,865) |
||
Dynamic Risk Allocation Fund 69
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$1,700,000 |
$— |
4/5/23 |
(2.7475%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
$(135,150) |
||
|
4,400,000 |
— |
7/19/23 |
(2.58%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(245,828) |
||
|
|
|||||||
|
13,500,000 |
— |
8/7/22 |
(2.515%) |
USA Non Revised Consumer Price Index-Urban (CPI-U) |
(885,533) |
||
|
shares |
96,600 |
— |
7/14/15 |
(3 month USD-LIBOR-BBA plus 26 bp) |
Common stock of Vanguard FTSE Emerging Markets ETF |
50,507 |
|
|
Total |
$— |
|
|||||
|
|
|||||||
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
EM Series 22 Index |
BBB–/P |
$151,290 |
$2,050,000 |
12/20/19 |
100 bp |
$(4,605) |
||
|
EM Series 22 Index |
BBB–/P |
1,196,250 |
14,500,000 |
12/20/19 |
100 bp |
90,756 |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
28,586 |
373,000 |
5/11/63 |
300 bp |
30,675 |
||
|
CMBX NA |
BBB–/P |
1,641 |
40,000 |
5/11/63 |
300 bp |
1,865 |
||
|
CMBX NA |
BBB–/P |
353 |
23,000 |
5/11/63 |
300 bp |
482 |
||
|
CMBX NA |
BBB–/P |
1,940 |
20,000 |
5/11/63 |
300 bp |
2,052 |
||
|
CMBX NA |
BBB–/P |
1,596 |
20,000 |
5/11/63 |
300 bp |
1,708 |
||
|
CMBX NA |
BBB–/P |
1,549 |
20,000 |
5/11/63 |
300 bp |
1,661 |
||
|
CMBX NA |
BBB–/P |
1,316 |
20,000 |
5/11/63 |
300 bp |
1,428 |
||
|
CMBX NA |
BBB–/P |
243 |
8,000 |
5/11/63 |
300 bp |
288 |
||
|
CMBX NA BB Index |
— |
(77) |
10,000 |
5/11/63 |
(500 bp) |
(170) |
||
70 Dynamic Risk Allocation Fund
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA BB Index |
— |
$(96) |
$10,000 |
5/11/63 |
(500 bp) |
$(189) |
||
|
CMBX NA BB Index |
— |
(91) |
10,000 |
5/11/63 |
(500 bp) |
(185) |
||
|
CMBX NA BB Index |
— |
220 |
11,000 |
5/11/63 |
(500 bp) |
117 |
||
|
CMBX NA BB Index |
— |
581 |
22,000 |
5/11/63 |
(500 bp) |
376 |
||
|
CMBX NA BB Index |
— |
340 |
22,000 |
5/11/63 |
(500 bp) |
135 |
||
|
CMBX NA BB Index |
— |
227 |
22,000 |
5/11/63 |
(500 bp) |
22 |
||
|
CMBX NA BB Index |
— |
(384) |
22,000 |
5/11/63 |
(500 bp) |
(590) |
||
|
CMBX NA BB Index |
— |
(157) |
30,000 |
5/11/63 |
(500 bp) |
(437) |
||
|
CMBX NA BB Index |
— |
(427) |
22,000 |
5/11/63 |
(500 bp) |
(632) |
||
|
CMBX NA |
BBB–/P |
44 |
33,000 |
5/11/63 |
300 bp |
229 |
||
|
CMBX NA |
BBB–/P |
102 |
22,000 |
5/11/63 |
300 bp |
225 |
||
|
CMBX NA |
BBB–/P |
(221) |
22,000 |
5/11/63 |
300 bp |
(98) |
||
|
CMBX NA |
BBB–/P |
83 |
18,000 |
5/11/63 |
300 bp |
184 |
||
|
CMBX NA |
BBB–/P |
179 |
15,000 |
5/11/63 |
300 bp |
263 |
||
|
CMBX NA |
BBB–/P |
149 |
15,000 |
5/11/63 |
300 bp |
233 |
||
|
CMBX NA |
BBB–/P |
(140) |
15,000 |
5/11/63 |
300 bp |
(56) |
||
|
CMBX NA |
BBB–/P |
(150) |
15,000 |
5/11/63 |
300 bp |
(66) |
||
|
CMBX NA |
BBB–/P |
(50) |
15,000 |
5/11/63 |
300 bp |
34 |
||
|
CMBX NA |
BBB–/P |
(50) |
15,000 |
5/11/63 |
300 bp |
34 |
||
|
CMBX NA |
BBB–/P |
(126) |
15,000 |
5/11/63 |
300 bp |
(42) |
||
|
CMBX NA |
BBB–/P |
79 |
13,000 |
5/11/63 |
300 bp |
152 |
||
|
CMBX NA |
BBB–/P |
7 |
11,000 |
5/11/63 |
300 bp |
69 |
||
|
CMBX NA |
BBB–/P |
(42) |
7,000 |
5/11/63 |
300 bp |
(3) |
||
|
CMBX NA |
BBB–/P |
11 |
4,000 |
5/11/63 |
300 bp |
33 |
||
|
CMBX NA |
— |
(1,220) |
26,000 |
1/17/47 |
(300 bp) |
(835) |
||
|
CMBX NA |
— |
(1,469) |
26,000 |
1/17/47 |
(300 bp) |
(1,084) |
||
Dynamic Risk Allocation Fund 71
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA BB Index |
— |
$(96) |
$10,000 |
5/11/63 |
(500 bp) |
$(189) |
||
|
CMBX NA BB Index |
— |
249 |
11,000 |
5/11/63 |
(500 bp) |
146 |
||
|
CMBX NA BB Index |
— |
(201) |
19,000 |
5/11/63 |
(500 bp) |
(379) |
||
|
CMBX NA |
BBB–/P |
(120) |
15,000 |
5/11/63 |
300 bp |
(36) |
||
|
CMBX NA |
BBB–/P |
(140) |
15,000 |
5/11/63 |
300 bp |
(56) |
||
|
CMBX NA |
BBB–/P |
(150) |
15,000 |
5/11/63 |
300 bp |
(66) |
||
|
CMBX NA |
BBB–/P |
(150) |
15,000 |
5/11/63 |
300 bp |
(66) |
||
|
CMBX NA |
BBB–/P |
(60) |
15,000 |
5/11/63 |
300 bp |
24 |
||
|
CMBX NA |
BBB–/P |
84 |
14,000 |
5/11/63 |
300 bp |
162 |
||
|
CMBX NA |
BBB–/P |
157 |
14,000 |
5/11/63 |
300 bp |
234 |
||
|
Total |
$1,381,659 |
|
||||||
|
|
||||||||
|
|
||||||||
|
|
||||||||
|
|
||||||||
|
Referenced debt* |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
NA HY Series |
B+/P |
$(391,500) |
$6,520,000 |
12/20/19 |
500 bp |
$132,201 |
||
|
NA IG Series |
BBB+/P |
(111,285) |
8,100,000 |
12/20/19 |
100 bp |
51,530 |
||
|
Total |
$(502,785) |
|
||||||
|
|
||||||||
|
|
||||||||
|
|
||||||||
72 Dynamic Risk Allocation 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. |
|
|
|
|
Valuation inputs |
||||
|
Investments in securities: |
Level 1 |
Level 2 |
Level 3 |
|
|
Common stocks*: |
||||
|
Basic materials |
$2,021,486 |
$2,151,785 |
$— |
|
|
Capital goods |
2,318,447 |
1,435,744 |
— |
|
|
Communication services |
1,524,266 |
1,194,420 |
— |
|
|
Conglomerates |
1,821,894 |
382,752 |
— |
|
|
Consumer cyclicals |
9,062,246 |
3,694,092 |
— |
|
|
Consumer staples |
6,367,548 |
2,797,062 |
— |
|
|
Energy |
4,416,864 |
1,455,707 |
— |
|
|
Financials |
22,091,784 |
6,283,872 |
— |
|
|
Health care |
9,138,899 |
2,832,177 |
— |
|
|
Technology |
10,431,981 |
1,337,808 |
— |
|
|
Transportation |
1,589,389 |
440,644 |
— |
|
|
Utilities and power |
1,831,421 |
990,508 |
— |
|
|
Total common stocks |
72,616,225 |
24,996,571 |
— |
|
|
Asset-backed securities |
— |
4,394,000 |
— |
|
|
Commodity linked notes |
— |
6,565,357 |
— |
|
|
Convertible bonds and notes |
— |
45,588 |
— |
|
|
Convertible preferred stocks |
— |
96,031 |
— |
|
|
Corporate bonds and notes |
— |
42,383,302 |
—** |
|
|
Foreign government and agency bonds and notes |
— |
973,309 |
— |
|
|
Investment companies |
29,838 |
— |
— |
|
|
Mortgage-backed securities |
— |
7,279,748 |
— |
|
|
Preferred stocks |
210,679 |
117,567 |
— |
|
|
Purchased options outstanding |
— |
905,596 |
— |
|
|
Senior loans |
— |
440,657 |
— |
|
|
U.S. government and agency mortgage obligations |
— |
16,131,106 |
— |
|
|
Short-term investments |
45,707,961 |
10,905,193 |
— |
|
|
Totals by level |
$118,564,703 |
$115,234,025 |
$— |
|
Dynamic Risk Allocation Fund 73
|
Valuation inputs |
||||
|
Other financial instruments: |
Level 1 |
Level 2 |
Level 3 |
|
|
Forward currency contracts |
$— |
$564,483 |
$— |
|
|
Futures contracts |
1,314,418 |
— |
— |
|
|
Written options outstanding |
— |
(102,549) |
— |
|
|
TBA sale commitments |
— |
(5,409,889) |
— |
|
|
Interest rate swap contracts |
— |
3,432,042 |
— |
|
|
Total return swap contracts |
— |
(3,223,732) |
— |
|
|
Credit default contracts |
— |
(571,340) |
— |
|
|
Totals by level |
$1,314,418 |
$(5,310,985) |
$— |
|
|
|
||||
|
**Value of Level 3 security is $—. |
||||
|
During the reporting period, transfers within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in Note 1) did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. |
||||
|
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio. |
||||
The accompanying notes are an integral part of these financial statements.
74 Dynamic Risk Allocation Fund
|
Statement of assets and liabilities 11/30/14 (Unaudited) |
||
|
ASSETS |
||
|
Investment in securities, at value, including $24,685 of securities on loan (Note 1): |
||
|
Unaffiliated issuers (identified cost $177,557,669) |
$188,481,292 |
|
|
Affiliated issuers (identified cost $45,317,436) (Notes 1 and 5) |
45,317,436 |
|
|
Foreign currency (cost $6,003) (Note 1) |
5,680 |
|
|
Dividends, interest and other receivables |
959,103 |
|
|
Receivable for shares of the fund sold |
828,229 |
|
|
Receivable for investments sold |
4,514,450 |
|
|
Receivable for sales of delayed delivery securities (Note 1) |
4,373,514 |
|
|
Receivable for variation margin (Note 1) |
504,339 |
|
|
Unrealized appreciation on forward currency contracts (Note 1) |
1,257,510 |
|
|
Unrealized appreciation on OTC swap contracts (Note 1) |
4,380,021 |
|
|
Premium paid on OTC swap contracts (Note 1) |
5,617 |
|
|
Prepaid assets |
58,615 |
|
|
Total assets |
250,685,806 |
|
|
LIABILITIES |
||
|
Payable to custodian |
279,664 |
|
|
Payable for investments purchased |
4,854,586 |
|
|
Payable for purchases of delayed delivery securities (Note 1) |
15,046,401 |
|
|
Payable for shares of the fund repurchased |
39,492 |
|
|
Payable for compensation of Manager (Note 2) |
136,760 |
|
|
Payable for custodian fees (Note 2) |
28,759 |
|
|
Payable for investor servicing fees (Note 2) |
63,219 |
|
|
Payable for Trustee compensation and expenses (Note 2) |
10,764 |
|
|
Payable for administrative services (Note 2) |
681 |
|
|
Payable for distribution fees (Note 2) |
28,690 |
|
|
Payable for variation margin (Note 1) |
72,573 |
|
|
Unrealized depreciation on OTC swap contracts (Note 1) |
7,479,950 |
|
|
Premium received on OTC swap contracts (Note 1) |
1,387,276 |
|
|
Unrealized depreciation on forward currency contracts (Note 1) |
693,027 |
|
|
Written options outstanding, at value (premiums $79,633) (Notes 1 and 3) |
102,549 |
|
|
TBA sale commitments, at value (proceeds receivable $5,403,438) (Note 1) |
5,409,889 |
|
|
Collateral on securities loaned, at value (Note 1) |
29,475 |
|
|
Collateral on certain derivative contracts, at value (Note 1) |
420,000 |
|
|
Other accrued expenses |
49,247 |
|
|
Total liabilities |
36,133,002 |
|
|
Net assets |
$214,552,804 |
|
|
(Continued on next page) |
The accompanying notes are an integral part of these financial statements.
Dynamic Risk Allocation Fund 75
|
Statement of assets and liabilities (Continued) |
||
|
REPRESENTED BY |
||
|
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) |
$198,270,634 |
|
|
Undistributed net investment income (Note 1) |
1,061,453 |
|
|
Accumulated net realized gain on investments and foreign currency transactions (Note 1) |
3,011,757 |
|
|
Net unrealized appreciation of investments and assets and liabilities in foreign currencies |
12,208,960 |
|
|
Total — Representing net assets applicable to capital shares outstanding |
$214,552,804 |
|
|
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE |
||
|
Net asset value and redemption price per class A share ($28,345,755 divided by 2,459,032 shares) |
$11.53 |
|
|
Offering price per class A share (100/94.25 of $11.53)* |
$12.23 |
|
|
Net asset value and offering price per class B share ($3,806,260 divided by 335,677 shares)** |
$11.34 |
|
|
Net asset value and offering price per class C share ($16,149,200 divided by 1,424,389 shares)** |
$11.34 |
|
|
Net asset value and redemption price per class M share ($337,857 divided by 29,342 shares) |
$11.51 |
|
|
Offering price per class M share (100/96.50 of $11.51)* |
$11.93 |
|
|
Net asset value, offering price and redemption price per class R share ($543,743 divided by 47,489 shares) |
$11.45 |
|
|
Net asset value, offering price and redemption price per class R5 share ($11,528 divided by 996 shares)† |
$11.58 |
|
|
Net asset value, offering price and redemption price per class R6 share ($29,821,329 divided by 2,577,657 shares) |
$11.57 |
|
|
Net asset value, offering price and redemption price per class Y share ($135,537,132 divided by 11,732,674 shares) |
$11.55 |
|
|
* |
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.
76 Dynamic Risk Allocation Fund
|
Statement of operations Six months ended 11/30/14 (Unaudited) |
||
|
INVESTMENT INCOME |
||
|
Interest (including interest income of $16,457 from investments in affiliated issuers) (Note 5) |
$1,248,895 |
|
|
Dividends |
1,086,885 |
|
|
Securities lending (Note 1) |
205 |
|
|
Total investment income |
2,335,985 |
|
|
EXPENSES |
||
|
Compensation of Manager (Note 2) |
954,429 |
|
|
Investor servicing fees (Note 2) |
194,051 |
|
|
Custodian fees (Note 2) |
34,757 |
|
|
Trustee compensation and expenses (Note 2) |
3,556 |
|
|
Distribution fees (Note 2) |
140,950 |
|
|
Administrative services (Note 2) |
2,099 |
|
|
Other |
116,885 |
|
|
Fees waived and reimbursed by Manager (Note 2) |
(78,645) |
|
|
Total expenses |
1,368,082 |
|
|
Expense reduction (Note 2) |
(232) |
|
|
Net expenses |
1,367,850 |
|
|
Net investment income |
968,135 |
|
|
Net realized gain on investments (Notes 1 and 3) |
1,214,573 |
|
|
Net realized gain on swap contracts (Note 1) |
1,021,432 |
|
|
Net realized gain on futures contracts (Note 1) |
1,195,877 |
|
|
Net realized gain on foreign currency transactions (Note 1) |
212,493 |
|
|
Net realized loss on written options (Notes 1 and 3) |
(1,218,911) |
|
|
Net unrealized appreciation of assets and liabilities in foreign currencies during the period |
678,773 |
|
|
Net unrealized depreciation of investments, futures contracts, swap contracts, written options, and TBA sale commitments during the period |
(4,970,483) |
|
|
Net loss on investments |
(1,866,246) |
|
|
Net decrease in net assets resulting from operations |
$(898,111) |
The accompanying notes are an integral part of these financial statements.
Dynamic Risk Allocation Fund 77
|
Statement of changes in net assets |
|||
|
INCREASE (DECREASE) IN NET ASSETS |
Six months ended 11/30/14* |
Year ended 5/31/13 |
|
|
Operations: |
|||
|
Net investment income |
$968,135 |
$991,425 |
|
|
Net realized gain on investments and foreign currency transactions |
2,425,464 |
5,738,825 |
|
|
Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies |
(4,291,710) |
11,284,886 |
|
|
Net increase (decrease) in net assets resulting from operations |
(898,111) |
18,015,136 |
|
|
Distributions to shareholders (Note 1): |
|||
|
From ordinary income |
|||
|
Net investment income |
|||
|
Class A |
— |
(256,283) |
|
|
Class B |
— |
(4,243) |
|
|
Class C |
— |
— |
|
|
Class M |
— |
(628) |
|
|
Class R |
— |
(2,406) |
|
|
Class R5 |
— |
(109) |
|
|
Class R6 |
— |
(24,169) |
|
|
Class Y |
— |
(1,370,389) |
|
|
Increase (decrease) from capital share transactions (Note 4) |
25,315,673 |
(75,119,062) |
|
|
Total increase (decrease) in net assets |
24,417,562 |
(58,762,153) |
|
|
NET ASSETS |
|||
|
Beginning of period |
190,135,242 |
248,897,395 |
|
|
End of period (including undistributed net investment income of $1,061,453 and $93,318, respectively) |
$214,552,804 |
$190,135,242 |
|
|
* |
Unaudited. |
||
The accompanying notes are an integral part of these financial statements.
78 Dynamic Risk Allocation Fund
This page left blank intentionally.
Dynamic Risk Allocation Fund 79
Financial highlights (For a common share outstanding throughout the period)
|
INVESTMENT OPERATIONS: |
LESS DISTRIBUTIONS: |
RATIOS AND SUPPLEMENTAL DATA: |
|||||||||||
|
Period ended |
Net asset value, beginning of period |
Net investment income (loss)a |
Net realized and unrealized gain (loss) on investments |
Total from investment operations |
From |
From |
Total |
Net asset value, end of period |
Total return at net asset value (%)b |
Net assets, end of period (in thousands) |
Ratio of expenses to average net assets (%)c,d |
Ratio of net investment income (loss) to average net assets (%)d |
Portfolio turnover (%) |
|
Class A |
|||||||||||||
|
November 30, 2014** |
$11.58 |
.04 |
(.09) |
(.05) |
— |
— |
— |
$11.53 |
(.43) * |
$28,346 |
.70* |
.38* |
123*f |
|
May 31, 2014 |
10.63 |
.04 |
.98 |
1.02 |
(.07) |
— |
(.07) |
11.58 |
9.59 |
33,884 |
1.40 |
.33 |
117g |
|
May 31, 2013 |
10.24 |
.01 |
.81 |
.82 |
(.20) |
(.23) |
(.43) |
10.63 |
7.97 |
68,440 |
1.40 |
.06 |
130g,h |
|
May 31, 2012† |
10.00 |
(.02) |
.39 |
.37 |
(.09) |
(.04) |
(.13) |
10.24 |
3.77* |
38,666 |
.98* |
(.22) * |
41* |
|
Class B |
|||||||||||||
|
November 30, 2014** |
$11.44 |
—e |
(.10) |
(.10) |
— |
— |
— |
$11.34 |
(.87) * |
$3,806 |
1.08* |
.01* |
123*f |
|
May 31, 2014 |
10.53 |
(.03) |
.95 |
.92 |
(.01) |
— |
(.01) |
11.44 |
8.78 |
3,705 |
2.15 |
(.32) |
117g |
|
May 31, 2013 |
10.20 |
(.07) |
.81 |
.74 |
(.18) |
(.23) |
(.41) |
10.53 |
7.22 |
2,852 |
2.15 |
(.61) |
130g,h |
|
May 31, 2012† |
10.00 |
(.07) |
.38 |
.31 |
(.07) |
(.04) |
(.11) |
10.20 |
3.19* |
727 |
1.50* |
(.68) * |
41* |
|
Class C |
|||||||||||||
|
November 30, 2014** |
$11.44 |
—e |
(.10) |
(.10) |
— |
— |
— |
$11.34 |
(.87) * |
$16,149 |
1.08* |
.01* |
123*f |
|
May 31, 2014 |
10.51 |
(.04) |
.97 |
.93 |
— |
— |
— |
11.44 |
8.85 |
16,325 |
2.15 |
(.38) |
117g |
|
May 31, 2013 |
10.19 |
(.06) |
.80 |
.74 |
(.19) |
(.23) |
(.42) |
10.51 |
7.18 |
21,015 |
2.15 |
(.57) |
130g,h |
|
May 31, 2012† |
10.00 |
(.07) |
.38 |
.31 |
(.08) |
(.04) |
(.12) |
10.19 |
3.21* |
3,151 |
1.50* |
(.66) * |
41* |
|
Class M |
|||||||||||||
|
November 30, 2014** |
$11.60 |
.02 |
(.11) |
(.09) |
— |
— |
— |
$11.51 |
(.78) * |
$338 |
.95* |
.14* |
123*f |
|
May 31, 2014 |
10.66 |
(.01) |
.97 |
.96 |
(.02) |
— |
(.02) |
11.60 |
9.03 |
339 |
1.90 |
(.09) |
117g |
|
May 31, 2013 |
10.21 |
(.05) |
.82 |
.77 |
(.09) |
(.23) |
(.32) |
10.66 |
7.52 |
358 |
1.90 |
(.47) |
130g,h |
|
May 31, 2012† |
10.00 |
(.06) |
.39 |
.33 |
(.08) |
(.04) |
(.12) |
10.21 |
3.39* |
363 |
1.33* |
(.60) * |
41* |
|
Class R |
|||||||||||||
|
November 30, 2014** |
$11.52 |
.03 |
(.10) |
(.07) |
— |
— |
— |
$11.45 |
(.61) * |
$544 |
.83* |
.26* |
123*f |
|
May 31, 2014 |
10.59 |
.02 |
.97 |
.99 |
(.06) |
— |
(.06) |
11.52 |
9.34 |
484 |
1.65 |
.17 |
117g |
|
May 31, 2013 |
10.23 |
(.01) |
.80 |
.79 |
(.20) |
(.23) |
(.43) |
10.59 |
7.70 |
458 |
1.65 |
(.11) |
130g,h |
|
May 31, 2012† |
10.00 |
(.05) |
.40 |
.35 |
(.08) |
(.04) |
(.12) |
10.23 |
3.59* |
102 |
1.15* |
(.45) * |
41* |
|
Class R5 |
|||||||||||||
|
November 30, 2014** |
$11.62 |
.06 |
(.10) |
(.04) |
— |
— |
— |
$11.58 |
(.34) * |
$12 |
.58* |
.51* |
123*f |
|
May 31, 2014 |
10.68 |
.07 |
.98 |
1.05 |
(.11) |
— |
(.11) |
11.62 |
9.91 |
12 |
1.15 |
.67 |
117g |
|
May 31, 2013†† |
10.56 |
.03 |
.53 |
.56 |
(.21) |
(.23) |
(.44) |
10.68 |
5.26* |
11 |
1.05* |
.25* |
130g,h |
|
Class R6 |
|||||||||||||
|
November 30, 2014** |
$11.61 |
.06 |
(.10) |
(.04) |
— |
— |
— |
$11.57 |
(.34) * |
$29,821 |
.54* |
.55* |
123*f |
|
May 31, 2014 |
10.68 |
.07 |
.98 |
1.05 |
(.12) |
— |
(.12) |
11.61 |
9.93 |
2,055 |
1.11 |
.68 |
117g |
|
May 31, 2013†† |
10.56 |
.08 |
.49 |
.57 |
(.22) |
(.23) |
(.45) |
10.68 |
5.31* |
2,713 |
1.05* |
.63* |
130g,h |
|
Class Y |
|||||||||||||
|
November 30, 2014** |
$11.59 |
.06 |
(.10) |
(.04) |
— |
— |
— |
$11.55 |
(.35) * |
$135,537 |
.58* |
.51* |
123*f |
|
May 31, 2014 |
10.65 |
.07 |
.98 |
1.05 |
(.11) |
— |
(.11) |
11.59 |
9.87 |
133,332 |
1.15 |
.64 |
117g |
|
May 31, 2013 |
10.26 |
.03 |
.82 |
.85 |
(.23) |
(.23) |
(.46) |
10.65 |
8.21 |
153,051 |
1.15 |
.32 |
130g,h |
|
May 31, 2012† |
10.00 |
.01 |
.38 |
.39 |
(.09) |
(.04) |
(.13) |
10.26 |
4.02* |
84,578 |
.80* |
.11* |
41* |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
|
80 |
Dynamic Risk Allocation Fund |
Dynamic Risk Allocation Fund |
81 |
Financial highlights (Continued)
* Not annualized
** Unaudited.
† For the period September 19, 2011 (commencement of operations) to May 31, 2012.
†† For the period July 3, 2012 (commencement of operations) to May 31, 2013.
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 arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
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):
|
Percentage of average net assets |
||||
|
11/30/14 |
5/31/14 |
5/31/13 |
5/31/12 |
|
|
Class A |
0.04% |
0.10% |
0.16% |
0.61% |
|
Class B |
0.04 |
0.10 |
0.16 |
0.61 |
|
Class C |
0.04 |
0.10 |
0.16 |
0.61 |
|
Class M |
0.04 |
0.10 |
0.16 |
0.61 |
|
Class R |
0.04 |
0.10 |
0.16 |
0.61 |
|
Class R5 |
<0.01 |
0.06 |
0.08 |
N/A |
|
Class R6 |
N/A |
N/A |
N/A |
N/A |
|
Class Y |
0.04 |
0.10 |
0.16 |
0.61 |
e Amount represents less than $0.01 per share.
f Portfolio turnover includes TBA purchase and sale commitments.
g Portfolio turnover excludes TBA purchase and sale commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been following:
|
Portfolio turnover % |
|
|
May 31, 2014 |
212% |
|
May 31, 2013 |
230 |
h Reflects revision of portfolio turnover rate presented in the fund’s May 31, 2013 audited financial statements.
The accompanying notes are an integral part of these financial statements.
82 Dynamic Risk Allocation Fund
Notes to financial statements 11/30/14 (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 June 1, 2014 through November 30, 2014.
Putnam Dynamic Risk Allocation 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 goal of the fund is to seek total return. Total return is composed of capital appreciation and income. The fund invests in a diversified set of asset classes. By investing in a broader set of asset classes than a traditional balanced fund, and by using leverage to increase the fund’s exposure to asset classes, Putnam Management believes the fund may achieve a higher total return than a traditional balanced fund with approximately the same amount of risk as a traditional balanced fund. Risk is measured by the volatility of the fund’s investment portfolio. The fund may invest without limit in U.S., international, and emerging markets equity securities (growth or value stocks or both) of companies of any size and fixed-income securities (including in below-investment grade securities, which are sometimes referred to as “junk bonds”); mortgage-and asset-backed securities; inflation-protected securities; commodities; and real estate investment trusts. These asset classes offer different return potential and exposure to different investment risks.
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.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Board has formed a Pricing Committee to oversee the implementation of these procedures and has delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible
Dynamic Risk Allocation Fund 83
for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
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 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 valued 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
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. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. 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, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. 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 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.
84 Dynamic Risk Allocation Fund
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.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
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 fair 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 fair 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 returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.
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.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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
Dynamic Risk Allocation Fund 85
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.
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 fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair 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.
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 and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, 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 settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or 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 variation 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.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
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 manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries, and to generate additional income for the portfolio.
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
86 Dynamic Risk Allocation Fund
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.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes 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. For OTC credit default contracts, 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. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair 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 and centrally cleared 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 for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. 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.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA 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 and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also 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. If the TBA sale commitment is closed through the acquisition of an offsetting TBA
Dynamic Risk Allocation Fund 87
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 commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, 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 or 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 $3,726,180 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,453,676 and may include amounts related to unsettled agreements.
Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund received cash collateral of $29,475 and the value of securities loaned amounted to $24,685.
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.
Lines of credit The fund participates, along with other Putnam funds, in a $392.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings
88 Dynamic Risk Allocation Fund
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 0.04% of the committed line of credit and 0.04% of 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 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.
The aggregate identified cost on a tax basis is $223,058,229, resulting in gross unrealized appreciation and depreciation of $15,903,436 and $5,162,937, respectively, or net unrealized appreciation of $10,740,499.
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 (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:
|
1.050% |
of the first $5 billion, |
|
1.000% |
of the next $5 billion, |
|
0.950% |
of the next $10 billion, |
|
0.900% |
of the next $10 billion, |
|
0.850% |
of the next $50 billion, |
|
0.830% |
of the next $50 billion, |
|
0.820% |
of the next $100 billion and |
|
0.815% |
of any excess thereafter. |
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through September 30, 2015, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses and acquired fund fees and expenses) would exceed an annual rate of 1.15% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $78,645 as a result of this limit.
Dynamic Risk Allocation Fund 89
Putnam Management has also contractually agreed, through June 30, 2015, 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 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 |
$31,016 |
|
Class B |
3,820 |
|
Class C |
16,234 |
|
Class M |
339 |
|
Class R |
503 |
|
Class R5 |
9 |
|
Class R6 |
7,128 |
|
Class Y |
135,002 |
|
Total |
$194,051 |
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 $232 under the expense offset arrangements and by $448 under the brokerage/service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $122, 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
90 Dynamic Risk Allocation Fund
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 |
$38,604 |
|
Class B |
19,018 |
|
Class C |
80,812 |
|
Class M |
1,265 |
|
Class R |
1,251 |
|
Total |
$140,950 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $6,386 and $66 from the sale of class A and class M shares, respectively, and received $1,623 and $152 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 $6 and no monies on class A and class M redemptions, respectively.
Note 3: Purchase and sales of securities
During the reporting period, cost of purchases and proceeds from sales, excluding short-term investments were as follows:
|
Cost of purchases |
Proceeds from sales |
|
|
Investments in securities, including TBA commitments (Long-term) |
$235,185,036 |
$199,861,201 |
|
U.S. government securities (Long-term) |
— |
— |
|
Total |
$235,185,036 |
$199,861,201 |
Written option transactions during the reporting period are summarized as follows:
|
Written option |
Written option |
|
|
Written options outstanding at the beginning of the reporting period |
$226,536 |
$51,227 |
|
Options opened |
1,221,209 |
424,323 |
|
Options exercised |
— |
— |
|
Options expired |
(479,419) |
(110,111) |
|
Options closed |
(700,637) |
(285,806) |
|
Written options outstanding at the end of the reporting period |
$267,689 |
$79,633 |
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 11/30/14 |
Year ended 5/31/14 |
|||
|
Class A |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
281,424 |
$3,242,563 |
804,548 |
$8,713,678 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
20,972 |
228,803 |
|
281,424 |
3,242,563 |
825,520 |
8,942,481 |
|
|
Shares repurchased |
(747,525) |
(8,643,944) |
(4,336,778) |
(46,475,698) |
|
Net decrease |
(466,101) |
$(5,401,381) |
(3,511,258) |
$(37,533,217) |
Dynamic Risk Allocation Fund 91
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class B |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
30,900 |
$352,357 |
101,490 |
$1,096,016 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
306 |
3,313 |
|
30,900 |
352,357 |
101,796 |
1,099,329 |
|
|
Shares repurchased |
(19,147) |
(218,652) |
(48,780) |
(526,630) |
|
Net increase |
11,753 |
$133,705 |
53,016 |
$572,699 |
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class C |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
115,061 |
$1,308,905 |
366,562 |
$3,883,865 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
— |
— |
|
115,061 |
1,308,905 |
366,562 |
3,883,865 |
|
|
Shares repurchased |
(118,160) |
(1,342,659) |
(937,842) |
(10,045,435) |
|
Net decrease |
(3,099) |
$(33,754) |
(571,280) |
$(6,161,570) |
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class M |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
1,186 |
$13,822 |
9,177 |
$98,335 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
57 |
628 |
|
1,186 |
13,822 |
9,234 |
98,963 |
|
|
Shares repurchased |
(1,044) |
(12,013) |
(13,577) |
(145,979) |
|
Net increase (decrease) |
142 |
$1,809 |
(4,343) |
$(47,016) |
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class R |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
5,542 |
$62,197 |
6,331 |
$67,319 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
170 |
1,846 |
|
5,542 |
62,197 |
6,501 |
69,165 |
|
|
Shares repurchased |
(27) |
(315) |
(7,736) |
(82,379) |
|
Net increase (decrease) |
5,515 |
$61,882 |
(1,235) |
$(13,214) |
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class R5 |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
— |
$— |
— |
$— |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
10 |
109 |
|
— |
— |
10 |
109 |
|
|
Shares repurchased |
— |
— |
— |
— |
|
Net increase (decrease) |
— |
$— |
10 |
$109 |
92 Dynamic Risk Allocation Fund
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class R6 |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
2,408,013 |
$27,904,413 |
48,166 |
$526,412 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
2,213 |
24,169 |
|
2,408,013 |
27,904,413 |
50,379 |
550,581 |
|
|
Shares repurchased |
(7,394) |
(84,831) |
(127,386) |
(1,378,922) |
|
Net increase (decrease) |
2,400,619 |
$27,819,582 |
(77,007) |
$(828,341) |
|
Six months ended 11/30/14 |
Year ended 5/31/14 |
|||
|
Class Y |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
1,030,453 |
$11,919,193 |
1,822,112 |
$19,827,758 |
|
Shares issued in connection with reinvestment of distributions |
— |
— |
121,533 |
1,325,923 |
|
1,030,453 |
11,919,193 |
1,943,645 |
21,153,681 |
|
|
Shares repurchased |
(797,402) |
(9,185,363) |
(4,808,631) |
(52,262,193) |
|
Net increase (decrease) |
233,051 |
$2,733,830 |
(2,864,986) |
$(31,108,512) |
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 R |
10,000 |
21.1% |
$114,500 |
|
Class R5 |
996 |
100.0% |
$11,528 |
|
Class R6 |
997 |
<0.1% |
$11,535 |
At the close of the reporting period, a shareholder of record owned 12.7% of the outstanding shares of the fund.
Note 5: Affiliated transactions
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:
|
Name of affiliate |
Fair value at the beginning of the reporting period |
Purchase cost |
Sale proceeds |
Investment income |
Fair value at the end of the reporting period |
|
Putnam Money Market Liquidity Fund* |
$10,960,847 |
$19,598,787 |
$17,859,553 |
$5,458 |
$12,700,081 |
|
Putnam Short Term Investment Fund* |
35,761,784 |
29,758,145 |
32,932,049 |
10,999 |
32,587,880 |
|
Totals |
$46,722,631 |
$49,356,932 |
$50,791,602 |
$16,457 |
$45,287,961 |
*Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: 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.
Dynamic Risk Allocation Fund 93
Note 7: 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 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 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:
|
Purchased equity option contracts (contract amount) |
$250,000 |
|
Written equity option contracts (contract amount) (Note 3) |
$200,000 |
|
Futures contracts (number of contracts) |
600 |
|
Forward currency contracts (contract amount) |
$92,100,000 |
|
Centrally cleared interest rate swap contracts (notional) |
$83,400,000 |
|
OTC total return swap contracts (notional) |
$158,100,000 |
|
OTC credit default contracts (notional) |
$16,800,000 |
|
Centrally cleared credit default contracts (notional) |
$32,400,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period
|
Asset derivatives |
Liability derivatives |
|||
|
Derivatives not accounted for as hedging instruments under ASC 815 |
Statement of |
Fair value |
Statement of |
Fair value |
|
Credit contracts |
Receivables, Net assets — Unrealized appreciation |
$692,112 |
Payables |
$1,263,452 |
|
Foreign exchange contracts |
Receivables |
1,257,510 |
Payables |
693,027 |
|
Equity contracts |
Investments, Receivables, Net assets — Unrealized appreciation |
5,705,671* |
Payables, Net assets — Unrealized depreciation |
3,794,703* |
|
Interest rate contracts |
Receivables, Net assets — Unrealized appreciation |
4,512,089* |
Payables, Net assets — Unrealized depreciation |
4,097,282* |
|
Total |
$12,167,382 |
$9,848,464 |
||
*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.
94 Dynamic Risk Allocation 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 for as hedging instruments under ASC 815 |
Options |
Futures |
Forward currency contracts |
Swaps |
Total |
|
Credit contracts |
$— |
$— |
$— |
$261,245 |
$261,245 |
|
Foreign exchange |
— |
— |
162,911 |
— |
$162,911 |
|
Equity contracts |
(1,825,566) |
(221,109) |
— |
(427,906) |
$(2,474,581) |
|
Interest rate contracts |
— |
1,416,986 |
— |
1,188,093 |
$2,605,079 |
|
Total |
$(1,825,566) |
$1,195,877 |
$162,911 |
$1,021,432 |
$554,654 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
|
Derivatives not accounted for as hedging instruments under ASC 815 |
Options |
Futures |
Forward currency contracts |
Swaps |
Total |
|
Credit contracts |
$— |
$— |
$— |
$(699,109) |
$(699,109) |
|
Foreign exchange contracts |
— |
— |
704,624 |
— |
$704,624 |
|
Equity contracts |
(194,518) |
992,276 |
— |
198,587 |
$996,345 |
|
Interest rate contracts |
— |
321,270 |
— |
(1,541,117) |
$(1,219,847) |
|
Total |
$(194,518) |
$1,313,546 |
$704,624 |
$(2,041,639) |
$(217,987) |
Dynamic Risk Allocation Fund 95
|
Note 9: Offsetting of financial and derivative assets and liabilities |
|
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities. |
|
Bank of America N.A. |
Barclays Bank PLC |
Barclays Capital Inc. (clearing broker) |
Citibank, N.A. |
Credit Suisse International |
Deutsche Bank AG |
Goldman Sachs International |
HSBC Bank USA, National Association |
JPMorgan Chase Bank N.A. |
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
Royal Bank of Scotland PLC (The) |
State Street Bank and Trust Co. |
UBS AG |
WestPac Banking Corp. |
Total |
|
|
Assets: |
|||||||||||||||
|
Centrally cleared interest rate swap contracts§ |
$— |
$— |
$297,321 |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$297,321 |
|
OTC Total return swap contracts*# |
3,366,474 |
— |
— |
701,567 |
94,827 |
33,059 |
— |
— |
50,507 |
— |
— |
— |
— |
— |
4,246,434 |
|
OTC Credit default contracts*# |
— |
— |
— |
— |
5,021 |
— |
575 |
— |
— |
— |
— |
— |
— |
— |
5,596 |
|
Centrally cleared credit default contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
— |
207,018 |
— |
— |
— |
— |
207,018 |
|
Forward currency contracts# |
45,610 |
160,414 |
— |
81,007 |
143,014 |
106,842 |
93,748 |
80,050 |
280,854 |
— |
21,164 |
180,951 |
19,051 |
44,805 |
1,257,510 |
|
Purchased options**# |
— |
274,957 |
— |
— |
— |
— |
— |
— |
630,639 |
— |
— |
— |
— |
— |
905,596 |
|
Total Assets |
$3,412,084 |
$435,371 |
$297,321 |
$782,574 |
$242,862 |
$139,901 |
$94,323 |
$80,050 |
$962,000 |
$207,018 |
$21,164 |
$180,951 |
$19,051 |
$44,805 |
$6,919,475 |
|
Liabilities: |
|||||||||||||||
|
Centrally cleared interest rate swap contracts§ |
— |
— |
4,753 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
4,753 |
|
OTC Total return swap contracts*# |
3,836,650 |
507,067 |
— |
266,922 |
1,441,794 |
31,357 |
500,843 |
— |
885,533 |
— |
— |
— |
— |
— |
7,470,166 |
|
OTC Credit default contracts*# |
— |
1,261,389 |
— |
— |
1,689 |
— |
374 |
— |
— |
— |
— |
— |
— |
— |
1,263,452 |
|
Centrally cleared credit default contracts§ |
— |
— |
24,681 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
24,681 |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
— |
43,139 |
— |
— |
— |
— |
43,139 |
|
Forward currency contracts# |
26,088 |
71,658 |
— |
33,512 |
106,860 |
37,191 |
32,103 |
71,404 |
61,879 |
— |
8,076 |
217,295 |
— |
26,961 |
693,027 |
|
Written options# |
— |
42,161 |
— |
— |
— |
— |
— |
— |
60,388 |
— |
— |
— |
— |
— |
102,549 |
|
Total Liabilities |
$3,862,738 |
$1,882,275 |
$29,434 |
$300,434 |
$1,550,343 |
$68,548 |
$533,320 |
$71,404 |
$1,007,800 |
$43,139 |
$8,076 |
$217,295 |
$— |
$26,961 |
$9,601,767 |
|
Total Financial and Derivative Net Assets |
$(450,654) |
$(1,446,904) |
$267,887 |
$482,140 |
$(1,307,481) |
$71,353 |
$(438,997) |
$8,646 |
$(45,800) |
$163,879 |
$13,088 |
$(36,344) |
$19,051 |
$17,844 |
$(2,682,292) |
|
Total collateral received (pledged)†## |
$(319,968) |
$(1,446,904) |
$— |
$420,000 |
$(1,149,885) |
$— |
$(391,961) |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
|
|
Net amount |
$(130,686) |
$— |
$267,887 |
$62,140 |
$(157,596) |
$71,353 |
$(47,036) |
$8,646 |
$(45,800) |
$163,879 |
$13,088 |
$(36,344) |
$19,051 |
$17,844 |
|
* |
Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities. |
|
** |
Included with Investments in securities on the Statement of assets and liabilities. |
|
† |
Additional collateral may be required from certain brokers based on individual agreements. |
|
# |
Covered by master netting agreement (Note 1). |
|
## |
Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements. |
|
§ |
Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. |
96 Dynamic Risk Allocation Fund
Dynamic Risk Allocation Fund 97
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, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.
Growth
Growth Opportunities Fund
International Growth Fund
Multi-Cap Growth Fund
Small Cap Growth Fund
Voyager Fund
Blend
Asia Pacific Equity Fund
Capital Opportunities Fund
Capital Spectrum Fund
Emerging Markets Equity Fund
Equity Spectrum Fund
Europe Equity Fund
Global Equity Fund
International Capital Opportunities Fund
International Equity Fund
Investors Fund
Low Volatility Equity Fund
Multi-Cap Core Fund
Research Fund
Strategic Volatility Equity Fund
Value
Convertible Securities Fund
Equity Income Fund
Global Dividend Fund
The Putnam Fund for Growth and Income
International Value Fund
Multi-Cap Value Fund
Small Cap Value Fund
Income
American Government Income Fund
Diversified Income Trust
Emerging Markets Income Fund
Floating Rate Income Fund
Global Income Trust
High Yield Advantage Fund
High Yield Trust
Income Fund
Money Market Fund*
Short Duration Income Fund
U.S. Government Income Trust
Tax-free Income
AMT-Free Municipal Fund
Intermediate-Term Municipal Income Fund
Short-Term Municipal Income Fund
Tax Exempt Income Fund
Tax Exempt Money Market Fund*
Tax-Free High Yield Fund
State tax-free income funds†:
Arizona, California, Massachusetts, Michigan, Minnesota, New Jersey, New York, Ohio, and Pennsylvania.
* 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.
†Not available in all states.
98 Dynamic Risk Allocation Fund
Absolute Return
Absolute Return 100 Fund®
Absolute Return 300 Fund®
Absolute Return 500 Fund®
Absolute Return 700 Fund®
Global Sector
Global Consumer Fund
Global Energy Fund
Global Financials Fund
Global Health Care Fund
Global Industrials Fund
Global Natural Resources Fund
Global Sector Fund
Global Technology Fund
Global Telecommunications Fund
Global Utilities Fund
Asset Allocation
George Putnam Balanced Fund
Global Asset Allocation Funds — four investment portfolios that spread your money across a variety of stocks, bonds, and money market instruments.
Dynamic Asset Allocation Balanced Fund
Dynamic Asset Allocation Conservative Fund
Dynamic Asset Allocation Growth Fund
Dynamic Risk Allocation Fund
Retirement Income Lifestyle Funds — portfolios with managed allocations to stocks, bonds, and money market investments to generate retirement income.
Retirement Income Fund Lifestyle 1
Retirement Income Fund Lifestyle 2
Retirement Income Fund Lifestyle 3
RetirementReady® Funds — portfolios with adjusting allocations to stocks, bonds, and money market instruments, becoming more conservative over time.
RetirementReady® 2055 Fund
RetirementReady® 2050 Fund
RetirementReady® 2045 Fund
RetirementReady® 2040 Fund
RetirementReady® 2035 Fund
RetirementReady® 2030 Fund
RetirementReady® 2025 Fund
RetirementReady® 2020 Fund
RetirementReady® 2015 Fund
Check your account balances and the most recent month-end performance in the Individual Investors section
at putnam.com.
Dynamic Risk Allocation Fund 99
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.
100 Dynamic Risk Allocation 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
Putnam Investment
Management, LLC
One Post Office Square
Boston, MA 02109
Investment Sub-Manager
Putnam Investments Limited
57–59 St James’s Street
London, England SW1A 1LD
Marketing Services
Putnam Retail Management
One Post Office Square
Boston, MA 02109
Custodian
State Street Bank
and Trust Company
Legal Counsel
Ropes & Gray LLP
Trustees
Jameson A. Baxter, Chair
Liaquat Ahamed
Ravi Akhoury
Barbara M. Baumann
Charles B. Curtis
Robert J. Darretta
Katinka Domotorffy
John A. Hill
Paul L. Joskow
Kenneth R. Leibler
Robert E. Patterson
George Putnam, III
Robert L. Reynolds
W. Thomas Stephens
Officers
Robert L. Reynolds
President
Jonathan S. Horwitz
Executive Vice President,
Principal Executive Officer, and
Compliance Liaison
Steven D. Krichmar
Vice President and
Principal Financial Officer
Robert T. Burns
Vice President and
Chief Legal Officer
Robert R. Leveille
Vice President and
Chief Compliance Officer
Michael J. Higgins
Vice President, Treasurer,
and Clerk
Janet C. Smith
Vice President,
Principal Accounting Officer,
and Assistant Treasurer
Susan G. Malloy
Vice President and
Assistant Treasurer
James P. Pappas
Vice President
Mark C. Trenchard
Vice President and
BSA Compliance Officer
Nancy E. Florek
Vice President, Director of
Proxy Voting and Corporate
Governance, Assistant Clerk,
and Associate Treasurer
This report is for the information of shareholders of Putnam Dynamic Risk Allocation 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.
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: January 28, 2015 |
| 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: January 28, 2015 |
| By (Signature and Title): |
| /s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
| Date: January 28, 2015 |