| 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: | October 31, 2015 |
| Date of reporting period: | November 1, 2014 – April 30, 2015 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Absolute Return
700 Fund®
Semiannual report
4 | 30 | 15
|
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 |
|
Financial statements |
17 |
Consider these risks before investing: Allocation of assets among asset classes may hurt performance. 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. The fund’s active trading strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Use of leverage through derivatives adds risk by increasing investment exposure. 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. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund may not achieve its goal, and it is not intended to be a complete investment program. The fund’s efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. Commodities have market, political, regulatory, and natural conditions risks. Investments in small and/or midsize companies may experience greater price fluctuations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
With the midway point of 2015 at hand, we note the sixth anniversary of the beginning of the U.S. economic expansion as dated by the National Bureau of Economic Research, which tracks the ups and downs of U.S. business cycles. It has also been six years since the beginning of the current bull market in U.S. stocks.
Both the expansion and the bull market are longer than average, and both appear to owe their longevity, to some degree, to the extraordinary policy measures undertaken by the Federal Reserve. Recently, however, the Fed has been preparing markets for a shift toward tighter monetary policy. Short-term interest rates could increase for the first time since 2006.
While higher interest rates can be a reflection of solid economic conditions, they can also pose a risk to fixed-income investments, and can have a less direct impact on stocks. International markets, which have performed well in early 2015, would also feel the effects of higher rates in the world’s largest economy. In the following pages, your fund’s portfolio manager provides a market outlook in addition to an update on your fund’s performance.
With the possibility that markets could begin to move in different directions, it might be a prudent time to consult your financial advisor to determine whether any adjustments or additions to your portfolio are warranted.
As the owner of a Putnam fund, you have put your investment in the hands of professional managers who pursue a consistent strategy and have experience in navigating changing market conditions. They, and we, share a deep conviction that an active approach based on fundamental research can play a valuable role in your portfolio.
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
June 11, 2015
Performance
snapshot
Annualized total return (%) comparison as of 4/30/15
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 3, 5 and 11–13 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 fund seeks to earn a positive total return that exceeds the return on U.S. Treasury bills by 700 basis points (or 7.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions. No information for the target return is provided for periods of less than one year.
The fund is not expected to outperform during periods of market rallies.
*Returns for the six-month period are not annualized, but cumulative.
4 Absolute Return 700 Fund
Interview with your fund’s portfolio manager
|
|
|
Robert J. Kea, CFA |
Bob, what was the investment environment like during the six-month reporting period ended April 30, 2015?
U.S. stocks were choppy, but still managed to gain more than 4%, as measured by the S&P 500 Index. Investors grappled with several issues. U.S. gross domestic product [GDP] fell to an anemic 0.2% annualized growth rate in 2015’s first quarter. Also, the strong U.S. dollar was a drag on corporate earnings, and the possibility of higher interest rates weighed on the market. Mid-cap stocks outpaced large- and small-cap shares, and growth stocks outperformed value-oriented equities by a considerable margin.
Overseas, the January launch of a larger-than-expected bond-buying program by the European Central Bank bolstered sentiment toward stocks in that region. Surprisingly, Japan outpaced many European markets in U.S.-dollar terms because the yen did not weaken as much versus the dollar as the euro did. Similar to Europe, Japan benefited from accommodative monetary policy, along with improving domestic and global economic conditions.
In fixed income, the period was marked by episodes of interest-rate volatility, but rates generally moved lower, allowing the broad Barclays U.S. Aggregate Bond Index to gain about 2%.
Pulled down in part by the weak U.S. GDP reading, the U.S. dollar declined in April,
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 4/30/15. See pages 3, 4 and 11–13 for additional fund performance information. Index descriptions can be found on page 16.
Absolute Return 700 Fund 5
interrupting its steady march higher since last summer. Even though market participants largely attributed the slowdown to the dampening effects of harsh winter weather on consumer spending, attention turned toward the Federal Reserve’s interest-rate policy. A largely consensus opinion emerged that the Fed may wait longer to begin increasing interest rates, creating a possible headwind to dollar strength.
Crude oil prices, after bottoming at just over $47 per barrel in mid-March, rose and
Portfolio composition
Allocations are shown as a percentage of the fund’s net assets as of 4/30/15. 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, and the use of different classifications of securities for presentation purposes. Allocations may not total 100% because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
Negative weights may result from timing differences between trade and settlement dates of securities, such as TBAs, or from the use of derivatives.
6 Absolute Return 700 Fund
“In our view, the macroeconomic
backdrop in the United States remains
generally supportive for taking equity
risk.”
Bob Kea
ended the period at $59.63 on the New York Mercantile Exchange. Signs that U.S. oil production may be peaking and global energy demand may be rising, coupled with a weaker U.S. dollar, buoyed the commodity’s price.
Would you please summarize the fund’s overall investment strategy?
Absolute Return 700 Fund seeks to earn a positive total return that exceeds the return of U.S. Treasury bills by 7% on an annualized basis over a full market cycle [generally at least three years] regardless of market conditions. We seek to do this by utilizing both directional and non-directional strategies. Directional strategies look to capitalize on opportunities in global markets based on our assessment of broad market trends. The trends may involve either positive or negative market movements. Non-directional strategies seek to add value regardless of global market trends. We shift the composition of the portfolio’s risk between directional and non-directional strategies based on our active views of the relative potential of these approaches. In addition, the portfolio’s total risk and expected return can be increased or
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 4/30/15. Short-term holdings, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
Absolute Return 700 Fund 7
decreased based on our outlook and current market conditions. We use a variety of tools to implement our investment process as we seek to manage various global risks.
How did directional strategies influence the fund’s performance during the six-month reporting period?
As a whole, our directional strategies added value, led by our equity allocation. The fund’s U.S. low-volatility strategy, which emphasizes stocks that have been less volatile than the overall market, benefited from a generally favorable backdrop for domestic equities.
The fund’s exposure to interest-rate risk also contributed, aided by a significant decline in rates during the period’s first half. For example, the yield on the benchmark 10-year U.S. Treasury fell from 2.36% at the start of the period to 1.64% at the beginning of February, its low for the period. Rates moved higher during the remainder of the period, but not enough to offset the solid contribution from our interest-rate strategy.
Commodities declined substantially during the period. As a result, our short position in the asset class, which was designed to benefit from downward movement in certain commodities indexes, also worked in the fund’s favor.
How did non-directional strategies perform during the period?
A variety of non-directional strategies performed well and provided a further boost to the fund’s return. Regional equity long/short trades were additive, and quantitative, equity-selection alpha strategies — one of which was focused in the United States and another in developed international markets — also aided the fund’s performance. Elsewhere, our global fixed-income alpha strategy was also productive, led by positions in securitized market sectors — such as collateralized mortgage obligations — mortgage credit, and
Portfolio composition comparison
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
Data in the chart reflect a new calculation methodology put into effect within the past six months.
8 Absolute Return 700 Fund
prepayment-sensitive areas. Active currency positioning was another contributor, driven by long U.S.-dollar exposure coupled with tactical short positions in other major global currencies.
Which strategies didn’t work as well?
A long/short U.S. equity strategy that incorporates fundamental research from Putnam’s equity analysts was the only notable detractor, and partially offset the positive overall contribution from our stock-selection strategies.
How did you use derivatives during the period?
We used a variety of derivatives to reduce volatility and, in some cases, to enhance returns. We used futures to efficiently gain exposure to certain markets and to manage market risk. We also employed options to hedge against changes in the values of certain equities held by the fund. Lastly, we utilized total return swaps to help manage exposure to specific securities or baskets of securities.
What is your outlook for the coming months, and how are you positioning the fund?
Although first-quarter GDP growth was disappointing, we continue to have an overall optimistic view of the U.S. economic recovery. As noted above, we think the first-quarter slowdown was largely the result of weaker-than-expected consumer spending despite lower oil and gas prices, along with harsh winter weather in many parts of the country. In our view, the macroeconomic backdrop in the United States remains generally supportive for taking equity risk.
We continue to believe that the Fed is likely to begin raising its target for short-term interest rates sometime in 2015. However, with inflation stubbornly below the central bank’s 2% target at the end of the reporting period, we think the first increase won’t occur until the Fed sees enough consistent data to persuade it that the U.S. recovery is accelerating.
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.
Absolute Return 700 Fund 9
In terms of portfolio positioning, with the U.S. bull market now in its sixth year, and interest rates and yield premiums for credit-sensitive bonds low, we see fewer opportunities to make a meaningful impact on performance via shifts in directional strategies. As a result, we believe there is greater potential to add value through non-directional strategies and have increased the fund’s emphasis on those strategies accordingly. For example, we believe our quantitatively driven, equity selection alpha strategies offer the most attractive potential and, at period-end, most of the fund’s non-directional risk was focused in this area. We also think divergent central bank policies between the United States and the United Kingdom on the one hand and continental Europe on the other, offer the potential for attractive regional fixed-income trades.
Thanks for your time and for bringing us up to date, Bob.
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.
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. He 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
There seems to be momentum in the U.S. equities market, which is now in its third-longest bull run since 1928. Inflation, as measured by the Consumer Price Index, was –0.1% before seasonal adjustment for the 12 months ended March 31, 2015, according to the Bureau of Labor Statistics. Low inflation and a resilient U.S. economy generally provide a supportive environment for equities. However, investors appear to be more cautious than celebratory. Uncertainties include the timing of the Federal Reserve’s decision to implement the first hike in short-term interest rates since 2006 and whether the strong dollar could continue to worsen the trade balance, which could in turn reduce gross domestic product. In March, exports grew by less than 1%, according to the Bureau of Economic Analysis, compared with a 7.7% jump in imports in the same month. For now, the S&P 500 Index continues to hover around the 2100 mark. Investors should keep in mind that equities tend to perform well when short-term rates are rising from low levels. The reason is, in part, because rising rates typically signal an improving economy.
10 Absolute Return 700 Fund
|
Your fund’s performance |
|
This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2015, 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 4/30/15
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|||||
|
(inception dates) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(7/2/12) |
(7/2/12) |
(12/23/08) |
||||
|
Before sales charge |
After sales charge |
Before CDSC |
After CDSC |
Before CDSC |
After CDSC |
Before sales charge |
After sales charge |
Net |
Net |
Net |
Net |
|
|
Life of fund |
46.57% |
38.14% |
39.69% |
39.69% |
39.82% |
39.82% |
41.58% |
36.62% |
43.90% |
48.81% |
49.11% |
48.67% |
|
Annual average |
6.20 |
5.22 |
5.40 |
5.40 |
5.42 |
5.42 |
5.63 |
5.03 |
5.90 |
6.46 |
6.49 |
6.44 |
|
5 years |
26.08 |
18.83 |
21.55 |
19.55 |
21.49 |
21.49 |
22.85 |
18.55 |
24.47 |
27.76 |
28.02 |
27.65 |
|
Annual average |
4.74 |
3.51 |
3.98 |
3.64 |
3.97 |
3.97 |
4.20 |
3.46 |
4.47 |
5.02 |
5.06 |
5.00 |
|
3 years |
14.94 |
8.33 |
12.48 |
9.48 |
12.44 |
12.44 |
13.29 |
9.32 |
14.21 |
15.97 |
16.20 |
15.86 |
|
Annual average |
4.75 |
2.70 |
4.00 |
3.06 |
3.99 |
3.99 |
4.25 |
3.02 |
4.53 |
5.06 |
5.13 |
5.03 |
|
1 year |
6.12 |
0.02 |
5.38 |
0.39 |
5.36 |
4.36 |
5.58 |
1.88 |
5.86 |
6.42 |
6.47 |
6.33 |
|
6 months |
3.95 |
–2.02 |
3.60 |
–1.30 |
3.58 |
2.60 |
3.72 |
0.09 |
3.93 |
4.08 |
4.22 |
4.08 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class R5 and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R5 and R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Absolute Return 700 Fund 11
Comparative index returns For periods ended 4/30/15
|
BofA Merrill Lynch U.S. Treasury Bill Index |
Barclays U.S. |
S&P 500 Index |
|
|
Life of fund |
0.96% |
33.68% |
176.97% |
|
Annual average |
0.15 |
4.68 |
17.40 |
|
5 years |
0.60 |
22.38 |
95.31 |
|
Annual average |
0.12 |
4.12 |
14.33 |
|
3 years |
0.29 |
8.01 |
59.05 |
|
Annual average |
0.10 |
2.60 |
16.73 |
|
1 year |
0.07 |
4.46 |
12.98 |
|
6 months |
0.04 |
2.06 |
4.40 |
Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
Fund price and distribution information For the six-month period ended 4/30/15
|
Distributions |
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
||
|
Number |
1 |
1 |
1 |
1 |
1 |
1 |
1 |
1 |
||
|
Income |
$0.186 |
$0.095 |
$0.102 |
$0.132 |
$0.158 |
$0.224 |
$0.230 |
$0.222 |
||
|
Capital gains |
||||||||||
|
Long-term gains |
0.571 |
0.571 |
0.571 |
0.571 |
0.571 |
0.571 |
0.571 |
0.571 |
||
|
Short-term gains |
— |
— |
— |
— |
— |
— |
— |
— |
||
|
Total |
$0.757 |
$0.666 |
$0.673 |
$0.703 |
$0.729 |
$0.795 |
$0.801 |
$0.793 |
||
|
Share value |
Before |
After |
Net asset |
Net asset |
Before |
After |
Net asset |
Net asset |
Net asset |
Net asset |
|
10/31/14 |
$12.71 |
$13.49 |
$12.44 |
$12.44 |
$12.52 |
$12.97 |
$12.57 |
$12.78 |
$12.77 |
$12.74 |
|
4/30/15 |
12.44 |
13.20 |
12.21 |
12.20 |
12.27 |
12.72 |
12.32 |
12.49 |
12.49 |
12.45 |
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.
12 Absolute Return 700 Fund
Fund performance as of most recent calendar quarter Total return for periods ended 3/31/15
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|||||
|
(inception dates) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(12/23/08) |
(7/2/12) |
(7/2/12) |
(12/23/08) |
||||
|
Before sales charge |
After sales charge |
Before CDSC |
After CDSC |
Before CDSC |
After CDSC |
Before sales charge |
After sales charge |
Net |
Net |
Net |
Net |
|
|
Life of fund |
47.28% |
38.81% |
40.38% |
40.38% |
40.51% |
40.51% |
42.38% |
37.40% |
44.60% |
49.52% |
49.70% |
49.39% |
|
Annual average |
6.37 |
5.37 |
5.56 |
5.56 |
5.57 |
5.57 |
5.80 |
5.20 |
6.06 |
6.62 |
6.65 |
6.61 |
|
5 years |
27.25 |
19.93 |
22.58 |
20.58 |
22.63 |
22.63 |
24.10 |
19.76 |
25.73 |
29.06 |
29.21 |
28.94 |
|
Annual average |
4.94 |
3.70 |
4.16 |
3.81 |
4.16 |
4.16 |
4.41 |
3.67 |
4.69 |
5.23 |
5.26 |
5.21 |
|
3 years |
16.60 |
9.90 |
14.02 |
11.02 |
13.99 |
13.99 |
14.93 |
10.91 |
15.77 |
17.64 |
17.78 |
17.53 |
|
Annual average |
5.25 |
3.20 |
4.47 |
3.55 |
4.46 |
4.46 |
4.75 |
3.51 |
5.00 |
5.56 |
5.61 |
5.53 |
|
1 year |
6.72 |
0.59 |
5.90 |
0.90 |
5.88 |
4.88 |
6.26 |
2.55 |
6.46 |
7.10 |
7.07 |
7.02 |
|
6 months |
4.62 |
–1.40 |
4.28 |
–0.66 |
4.26 |
3.27 |
4.48 |
0.82 |
4.60 |
4.83 |
4.80 |
4.83 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
|
Your fund’s expenses |
|
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative. |
Expense ratios
|
Class A |
Class B |
Class C |
Class M |
Class R |
Class R5 |
Class R6 |
Class Y |
|
|
Total annual operating expenses for the fiscal year ended 10/31/14 |
1.24% |
1.99% |
1.99% |
1.74% |
1.49% |
0.99% |
0.92% |
0.99% |
|
Annualized expense ratio for the six-month period ended 4/30/15* |
1.27% |
2.02% |
2.02% |
1.77% |
1.52% |
1.01% |
0.94% |
1.02% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
*Includes a decrease of 0.04% from annualizing the performance fee adjustment for the six months ended 4/30/15.
Absolute Return 700 Fund 13
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from November 1, 2014, to April 30, 2015. 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*† |
$6.42 |
$10.20 |
$10.20 |
$8.94 |
$7.69 |
$5.11 |
$4.76 |
$5.16 |
|
Ending value (after expenses) |
$1,039.50 |
$1,036.00 |
$1,035.80 |
$1,037.20 |
$1,039.30 |
$1,040.80 |
$1,042.20 |
$1,040.80 |
*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/15. 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.
|
Estimate the expenses you paid |
|
To estimate the ongoing expenses you paid for the six months ended April 30, 2015, use the following calculation method. To find the value of your investment on November 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*† |
$6.36 |
$10.09 |
$10.09 |
$8.85 |
$7.60 |
$5.06 |
$4.71 |
$5.11 |
|
Ending value (after expenses) |
$1,018.50 |
$1,014.78 |
$1,014.78 |
$1,016.02 |
$1,017.26 |
$1,019.79 |
$1,020.13 |
$1,019.74 |
*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/15. 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 Absolute Return 700 Fund
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are not subject to an initial sales charge 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 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.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
•Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
•Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
•Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
•Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
Absolute Return 700 Fund 15
•Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA (Bank of America) Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 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 April 30, 2015, Putnam employees had approximately $498,000,000 and the Trustees had approximately $142,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
16 Absolute Return 700 Fund
Financial statements
A guide to financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
Absolute Return 700 Fund 17
The fund’s portfolio 4/30/15 (Unaudited)
|
COMMON STOCKS (43.5%)* |
Shares |
Value |
|
|
Basic materials (2.5%) |
|||
|
Airgas, Inc. |
9,000 |
$911,520 |
|
|
Anhui Conch Cement Co., Ltd. (China) |
765,000 |
3,107,685 |
|
|
Axalta Coating Systems, Ltd. † |
9,700 |
297,596 |
|
|
Bemis Co., Inc. |
17,200 |
774,000 |
|
|
Braskem SA (Brazil) |
627,800 |
2,625,427 |
|
|
China Lesso Group Holdings, Ltd. (China) |
2,432,000 |
1,792,261 |
|
|
China Singyes Solar Technologies Holdings, Ltd. (China) |
1,454,000 |
2,388,907 |
|
|
Huabao International Holdings, Ltd. (China) |
3,174,000 |
3,565,133 |
|
|
International Flavors & Fragrances, Inc. |
10,571 |
1,213,022 |
|
|
Koza Altin Isletmeleri AS (Turkey) |
105,674 |
1,101,680 |
|
|
Newmont Mining Corp. |
76,400 |
2,023,836 |
|
|
Royal Gold, Inc. |
11,700 |
755,001 |
|
|
Sappi, Ltd. (South Africa) † |
324,821 |
1,331,544 |
|
|
SBA Communications Corp. Class A † |
21,900 |
2,536,458 |
|
|
Sherwin-Williams Co. (The) |
13,700 |
3,808,600 |
|
|
Sibanye Gold, Ltd. (South Africa) |
1,294,642 |
3,055,742 |
|
|
31,288,412 |
|||
|
Capital goods (2.2%) |
|||
|
Avery Dennison Corp. |
15,800 |
878,322 |
|
|
Ball Corp. |
22,700 |
1,666,407 |
|
|
China Railway Group, Ltd. (China) |
1,943,000 |
2,727,079 |
|
|
General Dynamics Corp. |
42,300 |
5,808,636 |
|
|
Lockheed Martin Corp. |
29,300 |
5,467,380 |
|
|
Raytheon Co. |
40,800 |
4,243,200 |
|
|
Rockwell Collins, Inc. |
22,500 |
2,189,925 |
|
|
Stericycle, Inc. † |
8,700 |
1,160,841 |
|
|
TransDigm Group, Inc. |
8,300 |
1,760,679 |
|
|
Waste Management, Inc. |
41,300 |
2,045,589 |
|
|
27,948,058 |
|||
|
Communication services (1.2%) |
|||
|
America Movil SAB de CV ADR Class L (Mexico) |
84,300 |
1,761,027 |
|
|
China Mobile, Ltd. (China) |
280,000 |
4,003,611 |
|
|
SK Telecom Co., Ltd. (South Korea) |
10,609 |
2,838,144 |
|
|
Verizon Communications, Inc. |
113,017 |
5,700,577 |
|
|
14,303,359 |
|||
|
Conglomerates (1.5%) |
|||
|
Danaher Corp. |
64,692 |
5,296,981 |
|
|
Marubeni Corp. (Japan) |
757,900 |
4,702,094 |
|
|
Mitsubishi Corp. (Japan) |
273,000 |
5,902,005 |
|
|
Mitsui & Co., Ltd. (Japan) |
218,900 |
3,065,136 |
|
|
18,966,216 |
|||
|
Consumer cyclicals (4.4%) |
|||
|
ANTA Sports Products, Ltd. (China) |
481,000 |
1,059,053 |
|
|
Automatic Data Processing, Inc. |
45,900 |
3,880,386 |
|
|
AutoZone, Inc. † |
5,546 |
3,730,572 |
|
|
Clorox Co. (The) |
11,300 |
1,198,930 |
|
|
Discovery Communications, Inc. Class C † |
39,000 |
1,178,970 |
|
|
Dollar General Corp. |
52,200 |
3,795,462 |
18 Absolute Return 700 Fund
|
COMMON STOCKS (43.5%)* cont. |
Shares |
Value |
|
|
Consumer cyclicals cont. |
|||
|
Dollar Tree, Inc. † |
35,063 |
$2,679,164 |
|
|
FactSet Research Systems, Inc. |
5,400 |
849,906 |
|
|
FF Group (Greece) |
73,194 |
2,209,867 |
|
|
Harley-Davidson, Inc. |
35,900 |
2,017,939 |
|
|
Interpublic Group of Cos., Inc. (The) |
69,600 |
1,450,464 |
|
|
Kohl’s Corp. |
11,300 |
809,645 |
|
|
Lear Corp. |
2,900 |
321,987 |
|
|
LF Corp. (South Korea) |
21,640 |
709,675 |
|
|
Madison Square Garden Co. (The) Class A † |
10,600 |
851,180 |
|
|
Naspers, Ltd. Class N (South Africa) |
3,198 |
501,818 |
|
|
NIKE, Inc. Class B |
2,700 |
266,868 |
|
|
Omnicom Group, Inc. |
32,672 |
2,475,231 |
|
|
OPAP SA (Greece) |
165,081 |
1,466,944 |
|
|
Ralph Lauren Corp. |
9,800 |
1,307,418 |
|
|
Scripps Networks Interactive Class A |
17,995 |
1,257,131 |
|
|
Target Corp. |
80,000 |
6,306,400 |
|
|
Tata Motors, Ltd. ADR (India) |
67,100 |
2,763,849 |
|
|
Tongaat Hulett, Ltd. (South Africa) |
64,997 |
723,699 |
|
|
Vantiv, Inc. Class A † |
21,900 |
856,290 |
|
|
VF Corp. |
43,100 |
3,121,733 |
|
|
Wal-Mart Stores, Inc. |
24,700 |
1,927,835 |
|
|
Walt Disney Co. (The) |
54,000 |
5,870,880 |
|
|
55,589,296 |
|||
|
Consumer staples (4.2%) |
|||
|
Altria Group, Inc. |
129,631 |
6,488,032 |
|
|
Amorepacific Group (South Korea) F |
22,930 |
3,486,558 |
|
|
Bunge, Ltd. |
21,300 |
1,839,681 |
|
|
Chipotle Mexican Grill, Inc. † |
700 |
434,938 |
|
|
Church & Dwight Co., Inc. |
13,100 |
1,063,327 |
|
|
Colgate-Palmolive Co. |
68,100 |
4,581,768 |
|
|
Costco Wholesale Corp. |
44,800 |
6,408,640 |
|
|
Daesang Corp. (South Korea) |
66,275 |
2,862,360 |
|
|
Dr. Pepper Snapple Group, Inc. |
30,700 |
2,289,606 |
|
|
Gruma SAB de CV Class B (Mexico) |
204,301 |
2,461,147 |
|
|
Indofood Sukses Makmur Tbk PT (Indonesia) |
3,439,900 |
1,783,287 |
|
|
JBS SA (Brazil) |
251,651 |
1,297,949 |
|
|
McDonald’s Corp. |
72,168 |
6,967,820 |
|
|
Philip Morris International, Inc. |
28,000 |
2,337,160 |
|
|
Pinnacle Foods, Inc. |
8,900 |
360,895 |
|
|
Reynolds American, Inc. |
40,500 |
2,968,650 |
|
|
Sao Martinho SA (Brazil) |
137,501 |
1,749,254 |
|
|
Sumitomo Corp. (Japan) |
262,700 |
3,104,702 |
|
|
Tupperware Brands Corp. |
8,500 |
568,310 |
|
|
53,054,084 |
|||
|
Energy (2.3%) |
|||
|
Bangchak Petroleum PCL (The) (Thailand) |
1,630,100 |
1,755,454 |
|
|
Exxon Mobil Corp. |
133,431 |
11,657,866 |
|
|
HollyFrontier Corp. |
33,100 |
1,283,618 |
|
|
Lukoil OAO ADR (Russia) |
30,723 |
1,566,455 |
Absolute Return 700 Fund 19
|
COMMON STOCKS (43.5%)* cont. |
Shares |
Value |
|
|
Energy cont. |
|||
|
National Oilwell Varco, Inc. |
62,500 |
$3,400,625 |
|
|
Spectra Energy Corp. |
112,666 |
4,196,809 |
|
|
Tambang Batubara Bukit Asam Persero Tbk PT (Indonesia) |
2,009,000 |
1,444,730 |
|
|
Thai Oil PCL (Thailand) |
894,700 |
1,587,743 |
|
|
Tupras Turkiye Petrol Rafinerileri AS (Turkey) † |
79,346 |
1,928,686 |
|
|
28,821,986 |
|||
|
Financials (9.0%) |
|||
|
Alexandria Real Estate Equities, Inc. R |
8,400 |
775,992 |
|
|
American Campus Communities, Inc. R |
17,900 |
718,506 |
|
|
American Capital Agency Corp. R |
60,500 |
1,248,418 |
|
|
Axis Capital Holdings, Ltd. |
14,900 |
775,694 |
|
|
Banco Bradesco SA ADR (Brazil) |
394,321 |
4,215,291 |
|
|
Banco do Brasil SA (Brazil) |
341,701 |
3,018,995 |
|
|
Bank Negara Indonesia Persero Tbk PT (Indonesia) |
5,476,500 |
2,709,868 |
|
|
BB&T Corp. |
96,400 |
3,691,156 |
|
|
Berkshire Hathaway, Inc. Class B † |
58,134 |
8,209,102 |
|
|
Brixmor Property Group, Inc. R |
9,200 |
215,740 |
|
|
Capital One Financial Corp. |
74,800 |
6,047,580 |
|
|
China Cinda Asset Management Co., Ltd. (China) † |
4,907,000 |
2,920,580 |
|
|
China Construction Bank Corp. (China) |
1,020,000 |
992,657 |
|
|
China Merchants Bank Co., Ltd. (China) |
1,229,000 |
3,715,596 |
|
|
Chongqing Rural Commercial Bank Co., Ltd. (China) |
3,782,000 |
3,383,333 |
|
|
Chubb Corp. (The) |
10,600 |
1,042,510 |
|
|
Cullen/Frost Bankers, Inc. |
8,700 |
634,578 |
|
|
Everest Re Group, Ltd. |
6,086 |
1,088,846 |
|
|
Gentera SAB de CV (Mexico) † |
409,301 |
700,576 |
|
|
HCP, Inc. R |
62,700 |
2,526,183 |
|
|
Health Care REIT, Inc. R |
30,200 |
2,175,004 |
|
|
Industrial & Commercial Bank of China, Ltd. (China) |
830,000 |
721,057 |
|
|
Itau Unibanco Holding SA ADR (Preference) (Brazil) |
369,552 |
4,737,657 |
|
|
King’s Town Bank Co., Ltd. (Taiwan) |
1,282,000 |
1,315,156 |
|
|
Liberty Holdings, Ltd. (South Africa) |
206,971 |
2,880,934 |
|
|
MMI Holdings, Ltd. (South Africa) |
1,025,711 |
2,918,161 |
|
|
NASDAQ OMX Group, Inc. (The) |
4,800 |
233,424 |
|
|
Nedbank Group, Ltd. (South Africa) |
143,663 |
3,096,227 |
|
|
Northern Trust Corp. |
24,500 |
1,792,175 |
|
|
PartnerRe, Ltd. |
7,507 |
960,896 |
|
|
PNC Financial Services Group, Inc. |
55,500 |
5,091,015 |
|
|
Porto Seguro SA (Brazil) |
158,951 |
1,988,371 |
|
|
Public Storage R |
12,339 |
2,318,621 |
|
|
Quality Houses PCL (Thailand) |
26,265,516 |
2,469,986 |
|
|
RenaissanceRe Holdings, Ltd. |
6,754 |
692,217 |
|
|
RMB Holdings, Ltd. (South Africa) |
127,570 |
768,011 |
|
|
Spirit Realty Capital, Inc. R |
67,300 |
759,817 |
|
|
Starwood Property Trust, Inc. R |
37,600 |
902,776 |
|
|
Supalai PCL (Thailand) |
1,368,500 |
830,275 |
|
|
Synchrony Financial † |
22,000 |
685,300 |
|
|
Taishin Financial Holding Co., Ltd. (Taiwan) |
5,788,000 |
2,650,096 |
20 Absolute Return 700 Fund
|
COMMON STOCKS (43.5%)* cont. |
Shares |
Value |
|
|
Financials cont. |
|||
|
Taubman Centers, Inc. R |
9,100 |
$655,291 |
|
|
Travelers Cos., Inc. (The) |
44,700 |
4,519,617 |
|
|
Turkiye Is Bankasi Class C (Turkey) |
267,681 |
602,200 |
|
|
Turkiye Sinai Kalkinma Bankasi AS (Turkey) |
823,051 |
621,903 |
|
|
Visa, Inc. Class A |
101,700 |
6,717,285 |
|
|
Wells Fargo & Co. |
179,680 |
9,900,368 |
|
|
XL Group PLC |
46,500 |
1,724,220 |
|
|
113,359,261 |
|||
|
Health care (4.4%) |
|||
|
Abbott Laboratories |
113,500 |
5,268,670 |
|
|
AmerisourceBergen Corp. |
38,300 |
4,377,690 |
|
|
C.R. Bard, Inc. |
11,073 |
1,844,540 |
|
|
Cardinal Health, Inc. |
17,928 |
1,512,048 |
|
|
DaVita HealthCare Partners, Inc. † |
28,500 |
2,311,350 |
|
|
Edwards Lifesciences Corp. † |
17,900 |
2,267,035 |
|
|
Eli Lilly & Co. |
89,315 |
6,419,069 |
|
|
Johnson & Johnson |
98,985 |
9,819,312 |
|
|
Mednax, Inc. † |
13,700 |
969,686 |
|
|
Merck & Co., Inc. |
133,427 |
7,946,912 |
|
|
Netcare, Ltd. (South Africa) |
827,944 |
2,893,001 |
|
|
Pfizer, Inc. |
256,900 |
8,716,617 |
|
|
54,345,930 |
|||
|
Technology (8.0%) |
|||
|
Accenture PLC Class A |
63,800 |
5,911,070 |
|
|
Analog Devices, Inc. |
31,900 |
1,972,696 |
|
|
Apple, Inc. |
55,705 |
6,971,481 |
|
|
AU Optronics Corp. (Taiwan) |
6,380,000 |
3,217,301 |
|
|
Broadcom Corp. Class A |
90,200 |
3,987,291 |
|
|
Cisco Systems, Inc. |
277,800 |
8,008,974 |
|
|
Computer Sciences Corp. |
24,200 |
1,559,690 |
|
|
eBay, Inc. † |
118,700 |
6,915,462 |
|
|
EMC Corp. |
233,000 |
6,270,030 |
|
|
Fidelity National Information Services, Inc. |
21,700 |
1,356,033 |
|
|
Fiserv, Inc. † |
26,900 |
2,087,440 |
|
|
Gentex Corp. |
49,700 |
862,295 |
|
|
Innolux Corp. (Taiwan) |
6,235,000 |
3,223,286 |
|
|
Intuit, Inc. |
38,400 |
3,852,672 |
|
|
King Yuan Electronics Co., Ltd. (Taiwan) |
2,831,000 |
2,578,477 |
|
|
L-3 Communications Holdings, Inc. |
15,000 |
1,723,650 |
|
|
Linear Technology Corp. |
18,900 |
871,857 |
|
|
Maxim Integrated Products, Inc. |
48,100 |
1,579,123 |
|
|
Microsoft Corp. |
12,923 |
628,575 |
|
|
Motorola Solutions, Inc. |
5,600 |
334,600 |
|
|
NCSoft Corp. (South Korea) |
17,378 |
3,310,793 |
|
|
NetApp, Inc. |
53,300 |
1,932,125 |
|
|
NetEase, Inc. ADR (China) |
24,000 |
3,076,560 |
|
|
Paychex, Inc. |
55,400 |
2,680,806 |
|
|
Samsung Electronics Co., Ltd. (South Korea) |
7,991 |
10,480,312 |
|
|
SK Hynix, Inc. (South Korea) |
100,859 |
4,311,971 |
Absolute Return 700 Fund 21
|
COMMON STOCKS (43.5%)* cont. |
Shares |
Value |
|
|
Technology cont. |
|||
|
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) |
319,500 |
$7,808,580 |
|
|
Tencent Holdings, Ltd. (China) |
112,800 |
2,329,596 |
|
|
99,842,746 |
|||
|
Transportation (1.7%) |
|||
|
AirAsia Bhd (Malaysia) |
3,589,900 |
2,286,145 |
|
|
CH Robinson Worldwide, Inc. |
25,200 |
1,622,628 |
|
|
China Eastern Airlines Corp., Ltd. (China) † |
940,000 |
721,410 |
|
|
Expeditors International of Washington, Inc. |
8,900 |
407,887 |
|
|
Korea Line Corp. (South Korea) † |
108,028 |
2,330,868 |
|
|
OHL Mexico SAB de CV (Mexico) † |
935,354 |
1,889,974 |
|
|
Turk Hava Yollari Anonim Ortakligi (Turkey) † |
707,925 |
2,352,124 |
|
|
United Parcel Service, Inc. Class B |
64,099 |
6,443,872 |
|
|
Yangzijiang Shipbuilding Holdings, Ltd. (China) |
2,807,900 |
3,102,396 |
|
|
21,157,304 |
|||
|
Utilities and power (2.1%) |
|||
|
Alliant Energy Corp. |
7,700 |
465,619 |
|
|
American Electric Power Co., Inc. |
56,200 |
3,196,094 |
|
|
American Water Works Co., Inc. |
16,400 |
894,128 |
|
|
Huadian Power International Corp., Ltd. (China) |
3,026,000 |
3,347,758 |
|
|
Huaneng Power International, Inc. (China) |
2,168,000 |
3,073,922 |
|
|
Kinder Morgan, Inc. |
151,900 |
6,524,105 |
|
|
Pinnacle West Capital Corp. |
18,700 |
1,144,440 |
|
|
Southern Co. (The) |
111,700 |
4,948,310 |
|
|
Tauron Polska Energia SA (Poland) |
1,778,065 |
2,381,838 |
|
|
Tenaga Nasional Bhd (Malaysia) |
128,100 |
515,619 |
|
|
26,491,833 |
|||
|
Total common stocks (cost $491,917,387) |
|
||
|
U.S. GOVERNMENT AND AGENCY |
Principal |
Value |
|
|
U.S. Government Agency Mortgage Obligations (23.7%) |
|||
|
Federal Home Loan Mortgage Corporation Pass-Through Certificates 4 1/2s, May 1, 2044 |
$2,627,439 |
$2,931,145 |
|
|
Federal National Mortgage Association Pass-Through Certificates |
|||
|
5 1/2s, TBA, May 1, 2045 |
3,000,000 |
3,396,094 |
|
|
4 1/2s, with due dates from May 1, 2041 to February 1, 2044 |
2,117,267 |
2,321,467 |
|
|
4 1/2s, TBA, June 1, 2045 |
2,000,000 |
2,174,062 |
|
|
4 1/2s, TBA, May 1, 2045 |
9,000,000 |
9,794,531 |
|
|
4s, with due dates from May 1, 2044 to June 1, 2044 |
1,895,277 |
2,046,157 |
|
|
4s, TBA, June 1, 2045 |
6,000,000 |
6,404,063 |
|
|
4s, TBA, May 1, 2045 |
18,000,000 |
19,237,500 |
|
|
3 1/2s, June 1, 2042 |
777,335 |
817,963 |
|
|
3 1/2s, TBA, May 1, 2045 |
42,000,000 |
44,008,125 |
|
|
3s, with due dates from January 1, 2043 to February 1, 2043 ## |
2,575,767 |
2,629,263 |
|
|
3s, TBA, May 1, 2045 |
198,000,000 |
201,495,928 |
|
|
297,256,298 |
|||
|
Total U.S. government and agency mortgage obligations (cost $298,010,210) |
|
||
22 Absolute Return 700 Fund
|
MORTGAGE-BACKED SECURITIES (14.3%)* |
Principal |
Value |
||
|
Agency collateralized mortgage obligations (7.3%) |
||||
|
Federal Home Loan Mortgage Corporation |
||||
|
IFB Ser. 2990, Class LB, 16.482s, 2034 |
$382,255 |
$510,777 |
||
|
IFB Ser. 3232, Class KS, IO, 6.119s, 2036 |
645,552 |
92,395 |
||
|
IFB Ser. 4104, Class S, IO, 5.919s, 2042 |
839,469 |
175,835 |
||
|
IFB Ser. 3116, Class AS, IO, 5.919s, 2034 |
628,924 |
28,609 |
||
|
IFB Ser. 3852, Class NT, 5.819s, 2041 |
2,180,467 |
2,268,296 |
||
|
IFB Ser. 317, Class S3, IO, 5.799s, 2043 |
3,826,276 |
976,875 |
||
|
IFB Ser. 308, Class S1, IO, 5.769s, 2043 |
4,577,927 |
1,170,942 |
||
|
IFB Ser. 314, Class AS, IO, 5.709s, 2043 |
2,355,323 |
584,381 |
||
|
Ser. 3687, Class CI, IO, 5s, 2038 |
1,692,415 |
245,282 |
||
|
Ser. 4122, Class TI, IO, 4 1/2s, 2042 |
1,852,843 |
310,907 |
||
|
Ser. 4193, Class PI, IO, 4s, 2043 |
4,066,856 |
673,452 |
||
|
Ser. 4116, Class MI, IO, 4s, 2042 |
4,135,660 |
789,131 |
||
|
Ser. 4213, Class GI, IO, 4s, 2041 |
2,907,436 |
397,447 |
||
|
Ser. 3996, Class IK, IO, 4s, 2039 |
5,716,569 |
705,065 |
||
|
Ser. 4013, Class AI, IO, 4s, 2039 |
5,533,668 |
806,403 |
||
|
Ser. 4305, Class KI, IO, 4s, 2038 |
11,013,871 |
1,222,870 |
||
|
Ser. 304, Class C53, IO, 4s, 2032 |
2,883,113 |
470,236 |
||
|
Ser. 4369, Class IA, IO, 3 1/2s, 2044 |
1,983,058 |
337,352 |
||
|
Ser. 311, IO, 3 1/2s, 2043 |
2,637,812 |
520,085 |
||
|
Ser. 303, Class C18, IO, 3 1/2s, 2043 |
5,446,828 |
1,092,260 |
||
|
Ser. 303, Class C19, IO, 3 1/2s, 2043 |
3,661,657 |
725,050 |
||
|
Ser. 4150, IO, 3 1/2s, 2043 |
4,175,222 |
870,687 |
||
|
Ser. 304, Class C22, IO, 3 1/2s, 2042 |
3,552,697 |
805,331 |
||
|
Ser. 4141, Class IM, IO, 3 1/2s, 2042 |
4,002,989 |
731,235 |
||
|
Ser. 4141, Class IQ, IO, 3 1/2s, 2042 |
1,983,350 |
357,015 |
||
|
Ser. 4121, Class AI, IO, 3 1/2s, 2042 |
7,106,072 |
1,425,462 |
||
|
Ser. 4122, Class CI, IO, 3 1/2s, 2042 |
6,467,781 |
855,844 |
||
|
Ser. 4136, Class IW, IO, 3 1/2s, 2042 |
4,127,415 |
613,956 |
||
|
Ser. 4166, Class PI, IO, 3 1/2s, 2041 |
3,129,585 |
495,194 |
||
|
Ser. 4097, Class PI, IO, 3 1/2s, 2040 |
5,604,890 |
748,496 |
||
|
Ser. 304, IO, 3 1/2s, 2027 |
1,906,942 |
211,842 |
||
|
Ser. 304, Class C37, IO, 3 1/2s, 2027 |
1,415,373 |
154,318 |
||
|
Ser. 4150, Class DI, IO, 3s, 2043 |
3,574,102 |
585,259 |
||
|
Ser. 4158, Class TI, IO, 3s, 2042 |
7,228,404 |
891,118 |
||
|
Ser. 4165, Class TI, IO, 3s, 2042 |
8,134,100 |
964,704 |
||
|
Ser. 4134, Class PI, IO, 3s, 2042 |
9,598,385 |
1,230,129 |
||
|
Ser. 4183, Class MI, IO, 3s, 2042 |
2,720,036 |
331,300 |
||
|
Ser. 4206, Class IP, IO, 3s, 2041 |
5,675,642 |
688,455 |
||
|
Ser. 4179, Class EI, IO, 3s, 2030 |
6,552,482 |
733,092 |
||
|
Ser. 304, Class C45, IO, 3s, 2027 |
3,001,640 |
317,308 |
||
|
Ser. 3939, Class EI, IO, 3s, 2026 |
6,040,417 |
553,206 |
||
|
FRB Ser. T-8, Class A9, IO, 0.466s, 2028 |
189,869 |
2,611 |
||
|
FRB Ser. T-59, Class 1AX, IO, 0.271s, 2043 |
460,749 |
5,597 |
||
|
Ser. T-48, Class A2, IO, 0.212s, 2033 |
673,812 |
6,501 |
Absolute Return 700 Fund 23
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Agency collateralized mortgage obligations cont. |
||||
|
Federal National Mortgage Association |
||||
|
IFB Ser. 05-74, Class NK, 26.594s, 2035 |
$64,757 |
$104,398 |
||
|
IFB Ser. 05-122, Class SE, 22.466s, 2035 |
188,340 |
278,079 |
||
|
IFB Ser. 11-4, Class CS, 12.538s, 2040 |
1,073,739 |
1,308,986 |
||
|
IFB Ser. 13-81, Class QS, IO, 6.019s, 2041 |
2,748,849 |
417,374 |
||
|
IFB Ser. 12-153, Class SK, IO, 5.969s, 2043 |
2,325,108 |
555,492 |
||
|
IFB Ser. 13-124, Class SB, IO, 5.769s, 2043 |
2,075,580 |
527,889 |
||
|
IFB Ser. 13-92, Class SA, IO, 5.769s, 2043 |
1,352,832 |
345,013 |
||
|
IFB Ser. 13-98, Class SA, IO, 5.769s, 2043 |
2,956,120 |
778,642 |
||
|
IFB Ser. 13-103, Class SK, IO, 5.739s, 2043 |
1,317,977 |
344,510 |
||
|
IFB Ser. 13-128, Class CS, IO, 5.719s, 2043 |
3,490,855 |
864,336 |
||
|
IFB Ser. 13-101, Class SE, IO, 5.719s, 2043 |
4,186,413 |
1,086,416 |
||
|
IFB Ser. 13-102, Class SH, IO, 5.719s, 2043 |
1,984,762 |
498,949 |
||
|
Ser. 397, Class 2, IO, 5s, 2039 |
55,519 |
9,133 |
||
|
Ser. 10-13, Class EI, IO, 5s, 2038 |
50,029 |
342 |
||
|
Ser. 15-4, Class IO, IO, 4 1/2s, 2045 |
3,224,625 |
627,512 |
||
|
Ser. 12-75, Class AI, IO, 4 1/2s, 2027 |
2,175,021 |
265,527 |
||
|
Ser. 14-47, Class IP, IO, 4s, 2044 |
8,522,868 |
1,138,478 |
||
|
Ser. 418, Class C24, IO, 4s, 2043 |
4,989,404 |
964,631 |
||
|
Ser. 13-44, Class PI, IO, 4s, 2043 |
1,344,876 |
205,934 |
||
|
Ser. 12-124, Class UI, IO, 4s, 2042 |
5,165,780 |
978,399 |
||
|
Ser. 12-118, Class PI, IO, 4s, 2042 |
5,187,384 |
964,914 |
||
|
Ser. 13-11, Class IP, IO, 4s, 2042 |
5,296,946 |
954,880 |
||
|
Ser. 12-96, Class PI, IO, 4s, 2041 |
1,369,441 |
211,551 |
||
|
Ser. 12-40, Class MI, IO, 4s, 2041 |
3,132,945 |
506,677 |
||
|
Ser. 12-22, Class CI, IO, 4s, 2041 |
4,560,538 |
751,958 |
||
|
Ser. 12-62, Class MI, IO, 4s, 2041 |
4,574,066 |
694,748 |
||
|
Ser. 406, Class 2, IO, 4s, 2041 |
262,756 |
36,339 |
||
|
Ser. 406, Class 1, IO, 4s, 2041 |
144,847 |
23,827 |
||
|
Ser. 409, Class C16, IO, 4s, 2040 |
638,523 |
109,991 |
||
|
Ser. 14-95, Class TI, IO, 4s, 2039 |
6,621,469 |
937,600 |
||
|
Ser. 12-104, Class HI, IO, 4s, 2027 |
6,406,494 |
808,992 |
||
|
Ser. 15-10, Class AI, IO, 3 1/2s, 2043 |
2,379,625 |
348,663 |
||
|
Ser. 418, Class C15, IO, 3 1/2s, 2043 |
8,640,913 |
1,705,771 |
||
|
Ser. 417, Class C24, IO, 3 1/2s, 2042 |
3,078,030 |
668,887 |
||
|
Ser. 12-136, Class PI, IO, 3 1/2s, 2042 |
3,640,238 |
430,422 |
||
|
Ser. 14-10, IO, 3 1/2s, 2042 |
3,471,348 |
553,583 |
||
|
Ser. 12-101, Class PI, IO, 3 1/2s, 2040 |
3,577,391 |
412,759 |
||
|
Ser. 14-76, IO, 3 1/2s, 2039 |
6,735,005 |
950,749 |
||
|
Ser. 13-21, Class AI, IO, 3 1/2s, 2033 |
4,112,827 |
754,210 |
||
|
Ser. 417, Class C19, IO, 3 1/2s, 2033 |
3,461,362 |
513,978 |
||
|
Ser. 12-93, Class DI, IO, 3 1/2s, 2027 |
4,877,455 |
595,781 |
||
|
Ser. 78, Class KI, IO, 3 1/2s, 2027 |
1,876,205 |
259,249 |
||
|
Ser. 12-53, Class BI, IO, 3 1/2s, 2027 |
3,318,949 |
400,099 |
||
|
Ser. 12-151, Class PI, IO, 3s, 2043 |
3,183,697 |
407,195 |
||
|
Ser. 13-8, Class NI, IO, 3s, 2042 |
5,542,437 |
738,348 |
||
|
Ser. 6, Class BI, IO, 3s, 2042 |
6,936,161 |
685,986 |
||
|
Ser. 13-35, Class IP, IO, 3s, 2042 |
3,325,628 |
356,336 |
24 Absolute Return 700 Fund
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Agency collateralized mortgage obligations cont. |
||||
|
Federal National Mortgage Association |
||||
|
Ser. 13-23, Class PI, IO, 3s, 2041 |
$4,322,497 |
$392,050 |
||
|
Ser. 13-31, Class NI, IO, 3s, 2041 |
6,191,012 |
574,650 |
||
|
Ser. 13-7, Class EI, IO, 3s, 2040 |
4,687,253 |
751,273 |
||
|
Ser. 13-55, Class MI, IO, 3s, 2032 |
3,165,608 |
379,208 |
||
|
FRB Ser. 03-W10, Class 1, IO, 0.955s, 2043 |
244,445 |
5,567 |
||
|
Ser. 98-W5, Class X, IO, 0.871s, 2028 |
355,121 |
17,534 |
||
|
Ser. 98-W2, Class X, IO, 0.76s, 2028 |
1,206,682 |
63,351 |
||
|
Ser. 08-36, Class OV, PO, zero %, 2036 |
24,936 |
23,245 |
||
|
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.731s, 2025 |
253,000 |
261,653 |
||
|
Government National Mortgage Association |
||||
|
IFB Ser. 11-81, Class SB, IO, 6.523s, 2036 |
1,988,577 |
272,634 |
||
|
IFB Ser. 11-93, Class SA, IO, 6.479s, 2041 |
8,143,437 |
1,871,494 |
||
|
Ser. 09-79, Class IC, IO, 6s, 2039 |
2,884,886 |
574,006 |
||
|
IFB Ser. 13-129, Class SN, IO, 5.969s, 2043 |
1,176,526 |
202,657 |
||
|
IFB Ser. 13-129, Class CS, IO, 5.969s, 2042 |
3,053,833 |
440,576 |
||
|
IFB Ser. 14-90, Class HS, IO, 5.919s, 2044 |
2,365,765 |
575,756 |
||
|
IFB Ser. 12-77, Class MS, IO, 5.919s, 2042 |
2,301,929 |
604,233 |
||
|
IFB Ser. 13-99, Class VS, IO, 5.918s, 2043 |
1,331,297 |
278,401 |
||
|
IFB Ser. 12-34, Class SA, IO, 5.869s, 2042 |
2,973,208 |
666,742 |
||
|
IFB Ser. 11-70, Class SN, IO, 5.718s, 2041 |
1,504,883 |
256,116 |
||
|
IFB Ser. 11-70, Class SH, IO, 5.708s, 2041 |
1,812,942 |
313,675 |
||
|
Ser. 14-133, Class IP, IO, 5s, 2044 |
4,914,762 |
1,069,207 |
||
|
Ser. 14-122, Class IC, IO, 5s, 2044 |
1,448,914 |
260,993 |
||
|
Ser. 14-25, Class QI, IO, 5s, 2044 |
4,740,404 |
935,708 |
||
|
Ser. 14-2, Class IC, IO, 5s, 2044 |
2,132,594 |
438,163 |
||
|
Ser. 13-3, Class IT, IO, 5s, 2043 |
1,366,585 |
270,373 |
||
|
Ser. 11-116, Class IB, IO, 5s, 2040 |
1,663,949 |
97,868 |
||
|
Ser. 10-35, Class UI, IO, 5s, 2040 |
1,982,300 |
400,800 |
||
|
Ser. 10-20, Class UI, IO, 5s, 2040 |
2,056,147 |
340,210 |
||
|
Ser. 10-9, Class UI, IO, 5s, 2040 |
5,716,805 |
1,099,697 |
||
|
Ser. 09-121, Class UI, IO, 5s, 2039 |
4,374,990 |
822,979 |
||
|
Ser. 14-108, Class IP, IO, 4 1/2s, 2042 |
1,324,261 |
222,357 |
||
|
Ser. 11-18, Class PI, IO, 4 1/2s, 2040 |
224,467 |
29,277 |
||
|
Ser. 10-35, Class AI, IO, 4 1/2s, 2040 |
2,918,712 |
464,280 |
||
|
Ser. 10-35, Class QI, IO, 4 1/2s, 2040 |
1,376,549 |
249,298 |
||
|
Ser. 13-151, Class IB, IO, 4 1/2s, 2040 |
2,536,571 |
457,997 |
||
|
Ser. 10-9, Class QI, IO, 4 1/2s, 2040 |
1,798,042 |
324,952 |
||
|
Ser. 09-121, Class BI, IO, 4 1/2s, 2039 |
935,419 |
208,804 |
||
|
Ser. 09-121, Class CI, IO, 4 1/2s, 2039 |
4,623,779 |
1,083,028 |
||
|
Ser. 13-34, Class PI, IO, 4 1/2s, 2039 |
5,103,732 |
685,278 |
||
|
Ser. 10-103, Class DI, IO, 4 1/2s, 2038 |
3,953,648 |
282,403 |
||
|
Ser. 15-53, Class MI, IO, 4s, 2045 |
5,160,000 |
1,225,298 |
||
|
Ser. 15-40, IO, 4s, 2045 |
1,469,227 |
354,745 |
||
|
Ser. 14-149, Class IP, IO, 4s, 2044 |
3,022,043 |
528,266 |
||
|
Ser. 14-63, Class PI, IO, 4s, 2043 |
2,264,904 |
353,325 |
||
|
Ser. 13-24, Class PI, IO, 4s, 2042 |
1,865,376 |
310,996 |
Absolute Return 700 Fund 25
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Agency collateralized mortgage obligations cont. |
||||
|
Government National Mortgage Association |
||||
|
Ser. 12-106, Class QI, IO, 4s, 2042 |
$1,115,594 |
$189,049 |
||
|
Ser. 12-47, Class CI, IO, 4s, 2042 |
2,180,389 |
371,266 |
||
|
Ser. 14-104, IO, 4s, 2042 |
5,766,061 |
1,034,316 |
||
|
Ser. 12-50, Class PI, IO, 4s, 2041 |
3,181,252 |
483,550 |
||
|
Ser. 12-41, Class IP, IO, 4s, 2041 |
4,111,173 |
753,183 |
||
|
Ser. 14-162, Class DI, IO, 4s, 2038 |
3,672,606 |
511,233 |
||
|
Ser. 14-133, Class AI, IO, 4s, 2036 |
7,346,044 |
1,038,657 |
||
|
Ser. 13-53, Class IA, IO, 4s, 2026 |
3,780,281 |
424,941 |
||
|
Ser. 15-52, Class IK, IO, 3 1/2s, 2045 |
7,089,051 |
1,432,626 |
||
|
Ser. 15-24, Class CI, IO, 3 1/2s, 2045 |
1,806,619 |
445,404 |
||
|
Ser. 15-24, Class IA, IO, 3 1/2s, 2045 |
2,139,609 |
399,294 |
||
|
Ser. 13-102, Class IP, IO, 3 1/2s, 2043 |
2,661,271 |
297,459 |
||
|
Ser. 13-76, IO, 3 1/2s, 2043 |
6,832,269 |
785,574 |
||
|
Ser. 13-79, Class PI, IO, 3 1/2s, 2043 |
5,482,750 |
716,870 |
||
|
Ser. 13-100, Class MI, IO, 3 1/2s, 2043 |
4,022,992 |
478,535 |
||
|
Ser. 13-37, Class JI, IO, 3 1/2s, 2043 |
3,013,696 |
366,074 |
||
|
Ser. 12-145, IO, 3 1/2s, 2042 |
1,862,507 |
419,232 |
||
|
Ser. 13-14, IO, 3 1/2s, 2042 |
6,999,836 |
887,789 |
||
|
Ser. 13-27, Class PI, IO, 3 1/2s, 2042 |
1,580,235 |
202,681 |
||
|
Ser. 12-92, Class AI, IO, 3 1/2s, 2042 |
2,207,147 |
316,372 |
||
|
Ser. 13-37, Class LI, IO, 3 1/2s, 2042 |
2,026,377 |
268,799 |
||
|
Ser. 12-141, Class WI, IO, 3 1/2s, 2041 |
3,661,378 |
413,040 |
||
|
Ser. 15-36, Class GI, 3 1/2s, 2041 |
2,880,113 |
402,611 |
||
|
Ser. 12-71, Class JI, IO, 3 1/2s, 2041 |
3,053,365 |
257,412 |
||
|
Ser. 13-90, Class HI, IO, 3 1/2s, 2040 |
9,261,091 |
637,904 |
||
|
Ser. 183, Class AI, IO, 3 1/2s, 2039 |
3,632,655 |
430,997 |
||
|
Ser. 15-24, Class AI, IO, 3 1/2s, 2037 |
6,164,151 |
918,952 |
||
|
Ser. 15-24, Class IC, IO, 3 1/2s, 2037 |
2,889,647 |
446,913 |
||
|
Ser. 14-145, Class PI, IO, 3 1/2s, 2029 |
2,281,783 |
260,329 |
||
|
Ser. 14-115, Class QI, IO, 3s, 2029 |
4,066,374 |
408,630 |
||
|
GSMPS Mortgage Loan Trust 144A |
||||
|
FRB Ser. 99-2, IO, 0.775s, 2027 |
92,716 |
695 |
||
|
FRB Ser. 98-3, IO, zero %, 2027 |
50,029 |
735 |
||
|
FRB Ser. 98-2, IO, zero %, 2027 |
44,270 |
318 |
||
|
FRB Ser. 98-4, IO, zero %, 2026 |
69,537 |
1,711 |
||
|
91,810,117 |
||||
|
Commercial mortgage-backed securities (4.1%) |
||||
|
Banc of America Commercial Mortgage Trust |
||||
|
Ser. 06-4, Class AJ, 5.695s, 2046 |
1,025,000 |
1,059,966 |
||
|
Ser. 06-1, Class B, 5.49s, 2045 |
255,000 |
257,794 |
||
|
Ser. 06-6, Class A2, 5.309s, 2045 |
23,136 |
23,201 |
||
|
FRB Ser. 07-1, Class XW, IO, 0.503s, 2049 |
2,335,833 |
17,956 |
||
|
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.473s, 2051 |
584,000 |
566,690 |
||
|
Banc of America Merrill Lynch Commercial Mortgage, Inc. |
||||
|
FRB Ser. 05-1, Class B, 5.46s, 2042 |
840,000 |
857,590 |
||
|
FRB Ser. 05-1, Class C, 5.46s, 2042 F |
429,000 |
416,857 |
26 Absolute Return 700 Fund
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Commercial mortgage-backed securities cont. |
||||
|
Banc of America Merrill Lynch Commercial Mortgage, Inc. |
||||
|
FRB Ser. 05-5, Class D, 5.428s, 2045 |
$426,000 |
$433,966 |
||
|
FRB Ser. 05-6, Class G, 5.331s, 2047 |
443,000 |
443,162 |
||
|
Ser. 05-4, Class C, 5.147s, 2045 |
495,000 |
499,950 |
||
|
Ser. 05-3, Class AJ, 4.767s, 2043 |
225,000 |
213,260 |
||
|
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A |
||||
|
Ser. 04-2, Class G, 5.239s, 2038 |
1,000,000 |
1,005,230 |
||
|
Ser. 02-PB2, Class XC, IO, 0.495s, 2035 |
56,667 |
29 |
||
|
FRB Ser. 04-4, Class XC, IO, 0.262s, 2042 |
600,915 |
1,295 |
||
|
Bear Stearns Commercial Mortgage Securities Trust |
||||
|
FRB Ser. 06-PW11, Class AJ, 5.598s, 2039 |
332,000 |
339,159 |
||
|
Ser. 05-PWR7, Class D, 5.304s, 2041 |
431,000 |
430,142 |
||
|
Ser. 05-PWR7, Class C, 5.235s, 2041 |
489,000 |
483,627 |
||
|
Ser. 05-PWR9, Class C, 5.055s, 2042 |
281,000 |
281,447 |
||
|
Bear Stearns Commercial Mortgage Securities Trust 144A |
||||
|
FRB Ser. 06-PW11, Class B, 5.598s, 2039 |
1,010,000 |
1,013,030 |
||
|
FRB Ser. 06-PW11, Class C, 5.598s, 2039 |
384,000 |
384,453 |
||
|
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class E, 6.328s, 2044 |
262,000 |
260,614 |
||
|
Citigroup Commercial Mortgage Trust |
||||
|
FRB Ser. 06-C4, Class B, 5.963s, 2049 |
3,226,000 |
3,239,678 |
||
|
FRB Ser. 05-C3, Class B, 5.029s, 2043 |
770,000 |
768,491 |
||
|
COMM Mortgage Trust |
||||
|
FRB Ser. 07-C9, Class D, 5.989s, 2049 F |
350,000 |
332,540 |
||
|
FRB Ser. 05-LP5, Class D, 5.195s, 2043 |
359,000 |
358,887 |
||
|
COMM Mortgage Trust 144A |
||||
|
Ser. 12-LC4, Class E, 4 1/4s, 2044 |
604,000 |
553,895 |
||
|
Ser. 13-LC13, Class E, 3.719s, 2046 |
391,000 |
303,418 |
||
|
FRB Ser. 07-C9, Class AJFL, 0.871s, 2049 |
213,000 |
206,866 |
||
|
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB Ser. 03-C3, Class AX, IO, 2.047s, 2038 |
215,467 |
27 |
||
|
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.579s, 2044 |
503,000 |
540,044 |
||
|
GCCFC Commercial Mortgage Trust |
||||
|
FRB Ser. 05-GG3, Class E, 5.087s, 2042 |
320,000 |
319,549 |
||
|
FRB Ser. 05-GG3, Class D, 4.986s, 2042 |
783,000 |
785,239 |
||
|
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.45s, 2044 F |
1,908,108 |
1,927,260 |
||
|
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 |
155,361 |
160,799 |
||
|
GS Mortgage Securities Corp. II Ser. 05-GG4, Class B, 4.841s, 2039 |
970,000 |
968,700 |
||
|
GS Mortgage Securities Corp. II 144A |
||||
|
FRB Ser. 13-GC10, Class D, 4.561s, 2046 |
436,000 |
434,326 |
||
|
FRB Ser. 13-GC10, Class E, 4.561s, 2046 |
750,000 |
648,930 |
||
|
GS Mortgage Securities Trust 144A FRB Ser. 06-GG8, Class X, IO, 0.78s, 2039 F |
48,273,363 |
246,646 |
||
|
JP Morgan Chase Commercial Mortgage Securities Trust Ser. 03-C1, Class D, 5.192s, 2037 |
265,972 |
265,972 |
Absolute Return 700 Fund 27
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Commercial mortgage-backed securities cont. |
||||
|
JPMBB Commercial Mortgage Securities Trust 144A |
||||
|
FRB Ser. 13-C14, Class E, 4.714s, 2046 |
$816,000 |
$749,469 |
||
|
FRB Ser. 13-C12, Class E, 4.223s, 2045 |
1,000,000 |
853,634 |
||
|
JPMorgan Chase Commercial Mortgage Securities Trust |
||||
|
FRB Ser. 07-CB20, Class AJ, 6.277s, 2051 |
716,500 |
751,573 |
||
|
FRB Ser. 06-LDP7, Class B, 6.057s, 2045 |
619,000 |
415,114 |
||
|
Ser. 06-LDP6, Class AJ, 5.565s, 2043 |
801,000 |
805,942 |
||
|
FRB Ser. 05-LDP3, Class D, 5.365s, 2042 |
555,000 |
556,665 |
||
|
FRB Ser. 05-LDP2, Class E, 4.981s, 2042 |
463,000 |
464,672 |
||
|
FRB Ser. 05-LDP2, Class D, 4.941s, 2042 |
1,000,000 |
998,320 |
||
|
FRB Ser. 13-LC11, Class D, 4.381s, 2046 |
26,000 |
25,105 |
||
|
FRB Ser. 07-LDPX, Class X, IO, 0.469s, 2049 |
9,206,076 |
98,680 |
||
|
JPMorgan Chase Commercial Mortgage Securities Trust 144A |
||||
|
FRB Ser. 07-CB20, Class C, 6.377s, 2051 |
658,000 |
630,607 |
||
|
FRB Ser. 12-C6, Class F, 5.381s, 2045 |
432,000 |
416,335 |
||
|
FRB Ser. 13-C13, Class D, 4.191s, 2046 |
325,000 |
312,486 |
||
|
Ser. 13-C13, Class E, 3.986s, 2046 |
639,000 |
528,929 |
||
|
Ser. 13-C10, Class E, 3 1/2s, 2047 |
553,000 |
445,884 |
||
|
FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 |
370,000 |
288,452 |
||
|
FRB Ser. 12-C6, Class G, 2.972s, 2045 |
800,000 |
636,817 |
||
|
Key Commercial Mortgage Securities Trust 144A FRB Ser. 07-SL1, Class A2, 5.81s, 2040 F |
63,699 |
62,849 |
||
|
LB-UBS Commercial Mortgage Trust |
||||
|
FRB Ser. 06-C3, Class C, 5.935s, 2039 |
1,703,000 |
1,709,386 |
||
|
Ser. 06-C3, Class AJ, 5.72s, 2039 |
905,000 |
908,177 |
||
|
Ser. 06-C6, Class D, 5.502s, 2039 |
1,187,000 |
1,166,429 |
||
|
Ser. 07-C1, Class AJ, 5.484s, 2040 |
120,000 |
121,684 |
||
|
FRB Ser. 06-C6, Class C, 5.482s, 2039 F |
704,000 |
689,453 |
||
|
Ser. 05-C7, Class C, 5.35s, 2040 |
324,000 |
324,480 |
||
|
FRB Ser. 07-C2, Class XW, IO, 0.739s, 2040 |
1,829,530 |
18,857 |
||
|
Merrill Lynch Mortgage Trust |
||||
|
FRB Ser. 05-CIP1, Class C, 5.506s, 2038 F |
501,000 |
476,677 |
||
|
FRB Ser. 05-CIP1, Class B, 5.476s, 2038 |
265,000 |
262,435 |
||
|
Ser. 04-KEY2, Class D, 5.046s, 2039 |
263,000 |
263,000 |
||
|
Ser. 04-BPC1, Class C, 5.011s, 2041 |
68,040 |
67,933 |
||
|
ML-CFC Commercial Mortgage Trust |
||||
|
Ser. 06-3, Class AJ, 5.485s, 2046 |
97,000 |
98,247 |
||
|
Ser. 06-4, Class AJ, 5.239s, 2049 |
402,000 |
406,221 |
||
|
ML-CFC Commercial Mortgage Trust 144A |
||||
|
Ser. 06-4, Class AJFX, 5.147s, 2049 |
295,000 |
292,077 |
||
|
FRB Ser. 06-4, Class XC, IO, 0.822s, 2049 |
39,749,288 |
282,617 |
||
|
Morgan Stanley Bank of America Merrill Lynch Trust 144A |
||||
|
FRB Ser. 13-C11, Class E, 4.563s, 2046 |
750,000 |
686,775 |
||
|
FRB Ser. 13-C11, Class F, 4.563s, 2046 |
1,024,000 |
920,362 |
||
|
Ser. 13-C13, Class F, 3.707s, 2046 F |
1,547,000 |
1,279,480 |
28 Absolute Return 700 Fund
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Commercial mortgage-backed securities cont. |
||||
|
Morgan Stanley Capital I Trust |
||||
|
FRB Ser. 06-HQ8, Class C, 5.679s, 2044 |
$1,350,000 |
$1,352,690 |
||
|
FRB Ser. 06-HQ8, Class D, 5.679s, 2044 |
274,000 |
272,901 |
||
|
Ser. 07-HQ11, Class D, 5.587s, 2044 |
2,100,000 |
1,977,786 |
||
|
Ser. 07-HQ11, Class C, 5.558s, 2044 |
1,181,000 |
1,179,146 |
||
|
Wachovia Bank Commercial Mortgage Trust Ser. 06-C24, Class AJ, 5.658s, 2045 |
238,000 |
241,118 |
||
|
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.43s, 2044 |
569,000 |
568,550 |
||
|
Wells Fargo Commercial Mortgage Trust 144A |
||||
|
FRB Ser. 12-LC5, Class E, 4.937s, 2045 |
333,000 |
317,349 |
||
|
FRB Ser. 13-LC12, Class D, 4.436s, 2046 |
2,412,000 |
2,285,603 |
||
|
WF-RBS Commercial Mortgage Trust 144A |
||||
|
FRB Ser. 11-C4, Class E, 5.413s, 2044 |
305,000 |
324,872 |
||
|
Ser. 12-C6, Class E, 5s, 2045 |
533,000 |
495,850 |
||
|
Ser. 11-C4, Class F, 5s, 2044 |
851,000 |
813,885 |
||
|
FRB Ser. 12-C10, Class E, 4.606s, 2045 |
381,000 |
335,994 |
||
|
FRB Ser. 13-C12, Class D, 4.496s, 2048 |
185,000 |
182,660 |
||
|
FRB Ser. 13-C13, Class E, 4.276s, 2045 |
429,000 |
355,856 |
||
|
Ser. 13-C12, Class E, 3 1/2s, 2048 |
570,000 |
454,470 |
||
|
Ser. 13-C14, Class E, 3 1/4s, 2046 |
675,000 |
537,982 |
||
|
51,763,220 |
||||
|
Residential mortgage-backed securities (non-agency) (2.9%) |
||||
|
Banc of America Funding Trust FRB Ser. 06-G, Class 3A3, 5 3/4s, 2036 |
268,751 |
258,001 |
||
|
BCAP, LLC Trust |
||||
|
FRB Ser. 15-RR5, Class 2A3, 1.207s, 2046 F |
460,000 |
355,994 |
||
|
FRB Ser. 12-RR5, Class 4A8, 0.344s, 2035 |
2,600,000 |
2,372,889 |
||
|
BCAP, LLC Trust 144A |
||||
|
FRB Ser. 12-RR10, Class 9A2, 2.705s, 2035 |
280,000 |
266,000 |
||
|
FRB Ser. 11-RR2, Class 2A7, 2.644s, 2036 |
1,159,868 |
800,309 |
||
|
FRB Ser. 15-RR2, Class 26A2, 2.615s, 2036 |
451,000 |
400,443 |
||
|
FRB Ser. 14-RR1, Class 2A2, 2.358s, 2036 |
850,000 |
739,500 |
||
|
FRB Ser. 14-RR2, Class 4A3, 0.444s, 2036 |
660,000 |
511,500 |
||
|
Bear Stearns Alt-A Trust FRB Ser. 04-6, Class M2, 1.906s, 2034 |
1,267,666 |
1,115,546 |
||
|
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-AQ2, Class M1, 0.671s, 2035 |
750,000 |
640,785 |
||
|
Citigroup Mortgage Loan Trust 144A FRB Ser. 10-7, Class 3A5, 5.935s, 2035 |
350,000 |
364,412 |
||
|
Countrywide Alternative Loan Trust |
||||
|
FRB Ser. 05-27, Class 2A3, 1.697s, 2035 |
631,662 |
557,018 |
||
|
FRB Ser. 05-27, Class 1A2, 1.537s, 2035 |
723,499 |
659,831 |
||
|
FRB Ser. 05-27, Class 2A1, 1.487s, 2035 |
1,017,478 |
839,419 |
||
|
FRB Ser. 05-38, Class A3, 0.531s, 2035 |
1,946,373 |
1,690,425 |
||
|
FRB Ser. 05-59, Class 1A1, 0.506s, 2035 |
1,824,805 |
1,482,654 |
Absolute Return 700 Fund 29
|
MORTGAGE-BACKED SECURITIES (14.3%)* cont. |
Principal |
Value |
||
|
Residential mortgage-backed securities (non-agency) cont. |
||||
|
Countrywide Asset-Backed Certificates Trust |
||||
|
Ser. 05-3, Class MF1, 5.279s, 2035 |
$1,379,333 |
$1,268,986 |
||
|
Ser. 05-1, Class MF1, 5.274s, 2035 F |
309,338 |
297,343 |
||
|
Ser. 04-15, Class MF2, 5.213s, 2035 |
808,514 |
747,876 |
||
|
FRB Ser. 06-3, Class M1, 0.551s, 2036 F |
875,000 |
656,250 |
||
|
FRB Ser. 06-4, Class 2A3, 0.471s, 2036 |
1,000,000 |
871,653 |
||
|
FRB Ser. 06-BC4, Class 2A3, 0.421s, 2036 F |
550,000 |
422,125 |
||
|
Credit Suisse Mortgage Capital Certificates 144A FRB Ser. 11-2R, Class 2A9, 2.634s, 2036 |
700,000 |
643,125 |
||
|
CSMC Trust 144A |
||||
|
FRB Ser. 10-20R, Class 7A4, 3 1/2s, 2037 |
1,000,000 |
911,300 |
||
|
FRB Ser. 13-2R, Class 4A2, 2.439s, 2036 |
2,118,252 |
1,689,306 |
||
|
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.681s, 2025 |
662,000 |
788,006 |
||
|
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.38s, 2027 |
350,000 |
393,193 |
||
|
First Franklin Mortgage Loan Trust FRB Ser. 05-FF4, Class M4, 0.831s, 2035 F |
1,100,000 |
830,500 |
||
|
IndyMac INDX Mortgage Loan Trust FRB Ser. 07-FLX2, Class A1C, 0.371s, 2037 |
729,261 |
528,714 |
||
|
Jefferies Resecuritization Trust 144A FRB Ser. 09-R7, Class 12A2, 2.61s, 2036 |
1,325,000 |
1,172,625 |
||
|
JPMorgan Mortgage Acquisition Trust FRB Ser. 07-CH1, Class MV6, 0.724s, 2036 |
800,000 |
578,144 |
||
|
Newcastle Mortgage Securities Trust FRB Ser. 06-1, Class M2, 0.551s, 2036 |
325,000 |
260,325 |
||
|
Residential Asset Mortgage Products Trust FRB Ser. 05-EFC2, Class M6, 0.891s, 2035 |
1,500,000 |
1,199,518 |
||
|
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 05-WF3, Class M3, 0.761s, 2035 F |
828,901 |
627,892 |
||
|
WaMu Mortgage Pass-Through Certificates Trust |
||||
|
FRB Ser. 04-AR13, Class A1B2, 1.161s, 2034 |
576,576 |
547,748 |
||
|
FRB Ser. 06-AR4, Class 1A1B, 1.068s, 2046 |
628,327 |
543,503 |
||
|
FRB Ser. 05-AR11, Class A1C3, 0.691s, 2045 F |
1,221,923 |
1,075,292 |
||
|
FRB Ser. 05-AR19, Class A1C3, 0.681s, 2045 |
889,071 |
784,605 |
||
|
FRB Ser. 05-AR13, Class A1C3, 0.671s, 2045 |
2,786,132 |
2,451,796 |
||
|
FRB Ser. 05-AR11, Class A1C4, 0.621s, 2045 F |
738,738 |
650,089 |
||
|
FRB Ser. 05-AR1, Class A1B, 0.571s, 2045 |
191,223 |
175,352 |
||
|
FRB Ser. 05-AR9, Class A1B, 0.561s, 2045 |
1,397,967 |
1,307,250 |
||
|
FRB Ser. 05-AR13, Class A1B3, 0.541s, 2045 |
211,000 |
189,373 |
||
|
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR6, Class 7A2, 5.035s, 2036 |
334,736 |
331,758 |
||
|
Wells Fargo Mortgage Loan Trust 144A FRB Ser. 12-RR2, Class 1A2, 0.377s, 2047 |
1,000,000 |
740,000 |
||
|
35,738,373 |
||||
|
Total mortgage-backed securities (cost $174,656,657) |
|
|||
30 Absolute Return 700 Fund
|
COMMODITY LINKED NOTES (7.5%)* ††† |
Principal |
Value |
|
|
Citigroup, Inc. sr. notes Ser. G, 1-month USD LIBOR less 0.18%, 2016 (Indexed to the CVICF3F0 Index multiplied by 3) |
$45,230,000 |
$44,636,266 |
|
|
Deutsche Bank AG/London 144A notes, 1-month USD LIBOR less 0.16%, 2016 (Indexed to the DB Commodity Backwardation Alpha 22 USD Total Return Index multiplied by 3) (United Kingdom) |
5,880,000 |
5,600,112 |
|
|
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2016 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) |
12,750,000 |
12,474,434 |
|
|
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) |
6,700,000 |
6,978,873 |
|
|
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) |
12,318,000 |
12,848,806 |
|
|
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the S&P GSCI Light Energy Index Excess Return multiplied by 3) (United Kingdom) |
7,339,000 |
11,900,338 |
|
|
Total commodity linked notes (cost $90,217,000) |
|
||
|
CORPORATE BONDS AND NOTES (6.8%)* |
Principal |
Value |
||
|
Basic materials (0.5%) |
||||
|
ArcelorMittal SA sr. unsec. unsub. notes 6 1/8s, 2018 (France) |
$85,000 |
$90,738 |
||
|
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) |
500,000 |
466,250 |
||
|
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 |
1,500,000 |
1,608,750 |
||
|
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) |
1,325,000 |
1,391,250 |
||
|
PQ Corp. 144A sr. notes 8 3/4s, 2018 |
1,440,000 |
1,495,800 |
||
|
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 |
1,500,000 |
1,527,300 |
||
|
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 (Brazil) |
230,000 |
244,886 |
||
|
6,824,974 |
||||
|
Capital goods (0.6%) |
||||
|
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 |
2,400,000 |
2,538,000 |
||
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 |
1,750,000 |
1,992,813 |
||
|
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) |
500,000 |
526,250 |
||
|
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 |
1,500,000 |
1,400,625 |
||
|
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) |
EUR |
150,000 |
180,404 |
|
|
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 |
$1,500,000 |
1,511,250 |
||
|
8,149,342 |
||||
|
Communication services (1.2%) |
||||
|
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) |
2,000,000 |
2,030,000 |
||
|
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) |
915,000 |
943,731 |
||
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 |
495,000 |
554,400 |
||
|
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) |
1,620,000 |
1,488,375 |
Absolute Return 700 Fund 31
|
CORPORATE BONDS AND NOTES (6.8%)* cont. |
Principal |
Value |
||
|
Communication services cont. |
||||
|
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) |
$700,000 |
$699,563 |
||
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 |
500,000 |
542,500 |
||
|
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default) † |
220,000 |
203,500 |
||
|
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 |
1,500,000 |
1,518,750 |
||
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 |
1,500,000 |
1,575,000 |
||
|
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) |
EUR |
115,000 |
143,745 |
|
|
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) |
EUR |
165,000 |
201,713 |
|
|
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) |
GBP |
486,000 |
784,012 |
|
|
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 |
$2,025,000 |
2,174,749 |
||
|
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) |
1,000,000 |
1,023,750 |
||
|
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 |
1,000,000 |
1,080,000 |
||
|
14,963,788 |
||||
|
Consumer cyclicals (1.0%) |
||||
|
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 |
435,000 |
462,188 |
||
|
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 |
1,000,000 |
1,047,500 |
||
|
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) |
1,000,000 |
986,500 |
||
|
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 |
437,000 |
446,833 |
||
|
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017 ‡‡ |
1,750,000 |
1,778,438 |
||
|
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 |
975,000 |
964,031 |
||
|
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 |
1,500,000 |
1,616,250 |
||
|
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021 ‡‡ |
1,475,000 |
1,585,625 |
||
|
Owens Corning company guaranty sr. unsec. notes 9s, 2019 |
47,000 |
56,770 |
||
|
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 |
1,300,000 |
1,395,875 |
||
|
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 |
925,000 |
851,000 |
||
|
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 |
1,250,000 |
1,190,625 |
||
|
12,381,635 |
||||
|
Consumer staples (0.4%) |
||||
|
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 |
1,128,000 |
1,150,673 |
||
|
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 |
1,500,000 |
1,580,625 |
||
|
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020 |
1,750,000 |
1,872,500 |
||
|
4,603,798 |
32 Absolute Return 700 Fund
|
CORPORATE BONDS AND NOTES (6.8%)* cont. |
Principal |
Value |
||
|
Energy (0.8%) |
||||
|
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) |
$1,800,000 |
$1,571,040 |
||
|
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 |
1,000,000 |
1,017,600 |
||
|
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 |
600,000 |
588,000 |
||
|
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 |
1,500,000 |
1,171,500 |
||
|
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) |
890,000 |
685,300 |
||
|
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 |
2,250,000 |
1,963,125 |
||
|
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) |
550,000 |
544,357 |
||
|
Petroleos de Venezuela SA company guaranty sr. unsec. notes Ser. REGS, 8 1/2s, 2017 (Venezuela) |
500,000 |
386,250 |
||
|
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) |
700,000 |
511,875 |
||
|
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 |
2,500,000 |
303,125 |
||
|
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 |
2,000,000 |
1,960,760 |
||
|
10,702,932 |
||||
|
Financials (1.1%) |
||||
|
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 |
1,000,000 |
1,071,250 |
||
|
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB 8 1/8s, 2038 |
645,000 |
728,850 |
||
|
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 |
600,000 |
618,000 |
||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4 7/8s, 2019 |
1,430,000 |
1,457,017 |
||
|
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) |
200,000 |
228,500 |
||
|
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 |
1,500,000 |
1,462,500 |
||
|
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 |
900,000 |
834,750 |
||
|
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 |
635,000 |
603,250 |
||
|
Sberbank of Russia Via SB Capital SA 144A unsec. sub. notes 5 1/8s, 2022 (Russia) |
750,000 |
621,563 |
||
|
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 |
1,000,000 |
715,000 |
||
|
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 |
1,676,000 |
1,717,900 |
||
|
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) |
200,000 |
177,000 |
||
|
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) |
250,000 |
232,500 |
||
|
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) |
500,000 |
501,150 |
||
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) |
1,500,000 |
1,503,750 |
||
|
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) |
1,000,000 |
916,580 |
||
|
13,389,560 |
||||
Absolute Return 700 Fund 33
|
CORPORATE BONDS AND NOTES (6.8%)* cont. |
Principal |
Value |
||
|
Health care (0.9%) |
||||
|
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 |
$555,000 |
$572,344 |
||
|
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) |
EUR |
310,000 |
361,589 |
|
|
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) |
$870,000 |
912,413 |
||
|
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 |
525,000 |
532,219 |
||
|
HCA, Inc. sr. notes 6 1/2s, 2020 |
610,000 |
696,925 |
||
|
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 |
565,000 |
586,188 |
||
|
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 ‡‡ |
850,000 |
869,125 |
||
|
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 |
750,000 |
806,250 |
||
|
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 |
856,000 |
922,340 |
||
|
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 |
1,080,000 |
1,154,250 |
||
|
Service Corporation International sr. unsec. notes 7s, 2017 |
185,000 |
202,575 |
||
|
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 |
665,000 |
721,525 |
||
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 |
2,430,000 |
2,560,613 |
||
|
10,898,356 |
||||
|
Technology (0.2%) |
||||
|
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 |
865,000 |
917,168 |
||
|
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 |
1,400,000 |
1,316,000 |
||
|
2,233,168 |
||||
|
Utilities and power (0.1%) |
||||
|
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 |
945,000 |
1,011,150 |
||
|
1,011,150 |
||||
|
Total corporate bonds and notes (cost $89,160,214) |
|
|||
|
INVESTMENT COMPANIES (6.7%)* |
Shares |
Value |
|
|
Consumer Discretionary Select Sector SPDR Fund |
377,100 |
$28,399,401 |
|
|
Consumer Staples Select Sector SPDR Fund |
581,300 |
28,117,481 |
|
|
Health Care Select Sector SPDR Fund |
188,600 |
13,518,848 |
|
|
Utilities Select Sector SPDR Fund |
310,600 |
13,734,732 |
|
|
Total investment companies (cost $80,251,602) |
|
||
|
SENIOR LOANS (3.7%)* c |
Principal |
Value |
||
|
Basic materials (0.2%) |
||||
|
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B1, 4 1/2s, 2019 (Luxembourg) |
$613,287 |
$615,204 |
||
|
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B2, 4 1/2s, 2019 (Luxembourg) |
318,205 |
319,200 |
||
|
KP Germany Erste GmbH bank term loan FRN 5s, 2020 (Germany) |
700,599 |
704,321 |
||
|
KP Germany Erste GmbH bank term loan FRN 5s, 2020 (Germany) |
299,401 |
300,992 |
||
|
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) |
580,000 |
538,433 |
||
|
2,478,150 |
34 Absolute Return 700 Fund
|
SENIOR LOANS (3.7%)* c cont. |
Principal |
Value |
||
|
Communication services (0.2%) |
||||
|
Asurion, LLC bank term loan FRN 8 1/2s, 2021 |
$1,090,000 |
$1,102,944 |
||
|
Asurion, LLC bank term loan FRN Ser. B2, 4 1/4s, 2020 |
655,328 |
657,068 |
||
|
Zayo Group, LLC bank term loan FRN Ser. B, 4s, 2019 |
972,516 |
972,668 |
||
|
2,732,680 |
||||
|
Consumer cyclicals (1.8%) |
||||
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 |
1,850,305 |
1,703,602 |
||
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 13s, 2017 |
1,393,000 |
1,280,979 |
||
|
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 |
838,663 |
750,603 |
||
|
CBAC Borrower, LLC bank term loan FRN Ser. B, 8 1/4s, 2020 |
1,500,000 |
1,447,500 |
||
|
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 |
1,967,305 |
1,703,686 |
||
|
Golden Nugget, Inc. bank term loan FRN Ser. B, 5 1/2s, 2019 |
598,719 |
603,022 |
||
|
Golden Nugget, Inc. bank term loan FRN Ser. DD, 5 1/2s, 2019 |
256,594 |
258,438 |
||
|
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.928s, 2019 |
1,617,000 |
1,543,831 |
||
|
JC Penney Corp., Inc. bank term loan FRN 6s, 2018 |
987,437 |
987,232 |
||
|
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 |
1,756,903 |
1,746,472 |
||
|
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 |
544,932 |
543,570 |
||
|
MGM Resorts International bank term loan FRN Ser. B, 3 1/2s, 2019 |
977,500 |
977,500 |
||
|
ROC Finance, LLC bank term loan FRN 5s, 2019 |
667,057 |
661,220 |
||
|
Roofing Supply Group, LLC bank term loan FRN Ser. B, 5s, 2019 |
975,000 |
972,563 |
||
|
Sabre GLBL, Inc. bank term loan FRN Ser. B, 4s, 2019 |
1,710,625 |
1,718,822 |
||
|
Scientific Games International, Inc. bank term loan FRN Ser. B2, 6s, 2021 |
1,995,000 |
2,014,118 |
||
|
Station Casinos, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 |
1,139,078 |
1,145,485 |
||
|
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 |
500,000 |
490,000 |
||
|
Talbots, Inc. (The) bank term loan FRN 8 1/4s, 2021 |
800,000 |
784,000 |
||
|
Travelport Finance Sarl bank term loan FRN Ser. B, 5 3/4s, 2021 (Luxembourg) |
757,075 |
764,291 |
||
|
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 |
964,167 |
947,294 |
||
|
23,044,228 |
||||
|
Consumer staples (0.3%) |
||||
|
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 |
1,000,000 |
900,000 |
||
|
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 |
2,000,000 |
2,002,500 |
||
|
WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020 |
335,000 |
334,163 |
||
|
WNA Holdings, Inc. bank term loan FRN 4 1/2s, 2020 |
145,995 |
146,360 |
||
|
WNA Holdings, Inc. bank term loan FRN 4 1/2s, 2020 |
76,349 |
76,540 |
||
|
3,459,563 |
||||
|
Energy (0.2%) |
||||
|
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 |
1,060,000 |
821,942 |
||
|
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5s, 2017 (Cayman Islands) |
955,860 |
677,466 |
||
|
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018 ‡‡ |
940,000 |
629,800 |
||
|
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) |
393,108 |
372,797 |
||
|
2,502,005 |
Absolute Return 700 Fund 35
|
SENIOR LOANS (3.7%)* c cont. |
Principal |
Value |
||
|
Financials (0.5%) |
||||
|
Altisource Solutions Sarl bank term loan FRN Ser. B, 4 1/2s, 2020 (Luxembourg) |
$1,955,337 |
$1,681,589 |
||
|
Capital Automotive LP bank term loan FRN 6s, 2020 |
2,000,000 |
2,035,000 |
||
|
Communications Sales & Leasing, Inc. bank term loan FRN 5s, 2022 |
715,000 |
713,659 |
||
|
Walter Investment Management Corp. bank term loan FRN Ser. B, 4 3/4s, 2020 |
1,451,802 |
1,389,193 |
||
|
5,819,441 |
||||
|
Health care (0.2%) |
||||
|
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 |
908,534 |
909,670 |
||
|
Kinetic Concepts, Inc. bank term loan FRN 4 1/2s, 2018 |
1,321,365 |
1,329,348 |
||
|
2,239,018 |
||||
|
Technology (0.2%) |
||||
|
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 |
2,210,233 |
2,209,888 |
||
|
Infor US, Inc. bank term loan FRN Ser. B5, 3 3/4s, 2020 |
597,983 |
596,302 |
||
|
2,806,190 |
||||
|
Transportation (—%) |
||||
|
Livingston International, Inc. bank term loan FRN 9s, 2020 (Canada) |
341,087 |
319,769 |
||
|
319,769 |
||||
|
Utilities and power (0.1%) |
||||
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.668s, 2017 |
848,159 |
520,769 |
||
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.668s, 2017 |
8,705 |
5,345 |
||
|
526,114 |
||||
|
Total senior loans (cost $47,746,084) |
|
|||
|
WARRANTS (2.0%)* † |
Expiration date |
Strike |
Warrants |
Value |
|
|
Apollo Tyres, Ltd. 144A (India) |
8/18/16 |
$0.00 |
510,846 |
$1,393,838 |
|
|
Bharat Petroleum Corp., Ltd. 144A (India) |
3/9/18 |
0.00 |
190,237 |
2,290,541 |
|
|
Gree Electric Appliances, Inc. of Zhuhai 144A (China) |
3/24/16 |
0.00 |
405,200 |
3,723,544 |
|
|
HCL Technologies, Ltd. 144A (India) |
10/22/15 |
0.00 |
183,948 |
2,550,191 |
|
|
Hindustan Zinc. Ltd. 144A (India) |
10/27/17 |
0.00 |
808,928 |
2,157,481 |
|
|
Midea Group Co., Ltd. 144A (China) |
4/16/16 |
0.00 |
537,400 |
3,203,017 |
|
|
Power Finance Corp., Ltd. 144A (India) |
3/9/18 |
0.00 |
497,025 |
2,078,795 |
|
|
Qingdao Haier Co., Ltd. 144A (China) |
3/16/17 |
0.00 |
222,900 |
974,568 |
|
|
Rural Electrification Corp., Ltd. 144A (India) |
3/6/17 |
0.00 |
434,712 |
2,132,323 |
|
|
Shanghai Automotive Co. 144A (China) |
2/3/16 |
0.00 |
615,787 |
2,681,435 |
|
|
UPL, Ltd. 144A (India) |
6/17/16 |
0.00 |
209,352 |
1,617,233 |
|
|
Total warrants (cost $23,979,752) |
|
||||
|
FOREIGN GOVERNMENT AND AGENCY |
Principal |
Value |
||
|
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) |
$725,000 |
$695,275 |
||
|
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) |
5,710,000 |
5,607,677 |
||
|
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) |
1,400,000 |
1,400,000 |
36 Absolute Return 700 Fund
|
FOREIGN GOVERNMENT AND AGENCY |
Principal |
Value |
||
|
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) |
$775,000 |
$819,563 |
||
|
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) |
220,000 |
242,550 |
||
|
Total foreign government and agency bonds and notes (cost $8,810,605) |
|
|||
|
PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)* |
Expiration date/strike |
Contract amount |
Value |
||
|
Bank of America N.A. |
|||||
|
(2.0875)/3 month USD-LIBOR-BBA/Jul-25 |
Jul-15/2.0875 |
$2,580,200 |
$46,289 |
||
|
(2.2125)/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/2.2125 |
4,097,200 |
39,989 |
||
|
(2.685)/3 month USD-LIBOR-BBA/Sep-25 |
Sep-15/2.685 |
5,255,300 |
26,119 |
||
|
(2.325)/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/2.325 |
4,097,200 |
23,928 |
||
|
1.9875/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/1.9875 |
4,097,200 |
21,961 |
||
|
1.875/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/1.875 |
4,097,200 |
12,988 |
||
|
1.875/3 month USD-LIBOR-BBA/May-25 |
May-15/1.875 |
3,478,100 |
3 |
||
|
Barclays Bank PLC |
|||||
|
(2.1625)/3 month USD-LIBOR-BBA/May-25 |
May-15/2.1625 |
5,255,300 |
34,054 |
||
|
Citibank, N.A. |
|||||
|
2.20/3 month USD-LIBOR-BBA/May-25 |
May-15/2.20 |
6,286,500 |
48,720 |
||
|
2.043/3 month USD-LIBOR-BBA/May-25 |
May-15/2.043 |
2,627,650 |
7,252 |
||
|
1.4015/3 month USD-LIBOR-BBA/May-20 |
May-15/1.4015 |
10,510,600 |
6,622 |
||
|
1.3735/3 month USD-LIBOR-BBA/May-20 |
May-15/1.3735 |
5,255,300 |
2,470 |
||
|
1.294/3 month USD-LIBOR-BBA/May-20 |
May-15/1.294 |
10,510,600 |
1,997 |
||
|
1.266/3 month USD-LIBOR-BBA/May-20 |
May-15/1.266 |
5,255,300 |
736 |
||
|
Credit Suisse International |
|||||
|
(2.915)/3 month USD-LIBOR-BBA/Apr-47 |
Apr-17/2.915 |
1,860,700 |
136,482 |
||
|
2.25/3 month USD-LIBOR-BBA/May-25 |
May-15/2.25 |
9,571,600 |
108,063 |
||
|
(3.315)/3 month USD-LIBOR-BBA/Apr-47 |
Apr-17/3.315 |
1,860,700 |
83,527 |
||
|
(2.3085)/3 month USD-LIBOR-BBA/May-25 |
May-15/2.3085 |
5,255,300 |
10,931 |
||
|
1.765/3 month USD-LIBOR-BBA/May-25 |
May-15/1.765 |
10,137,200 |
3,244 |
||
|
Goldman Sachs International |
|||||
|
(2.82)/3 month USD-LIBOR-BBA/Jan-46 |
Jan-16/2.82 |
2,475,800 |
99,057 |
||
|
(2.1065)/3 month USD-LIBOR-BBA/May-25 |
May-15/2.1065 |
10,510,600 |
82,508 |
||
|
2.655/3 month USD-LIBOR-BBA/May-45 |
May-15/2.655 |
1,313,825 |
42,108 |
||
|
1.8755/3 month USD-LIBOR-BBA/May-25 |
May-15/1.8755 |
10,510,600 |
5,045 |
||
|
Total purchased swap options outstanding (cost $850,003) |
|
||||
|
PURCHASED OPTIONS |
Expiration date/strike price |
Contract amount |
Value |
|
|
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) |
Jul-15/$101.86 |
$5,000,000 |
$29,850 |
|
|
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) |
Jul-15/103.42 |
5,000,000 |
8,050 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Apr-16/180.00 |
286,860 |
1,819,163 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Mar-16/183.00 |
299,642 |
1,911,561 |
Absolute Return 700 Fund 37
|
PURCHASED OPTIONS |
Expiration date/strike price |
Contract amount |
Value |
|
|
SPDR S&P 500 ETF Trust (Put) |
Feb-16/183.00 |
$300,257 |
$1,686,148 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Jan-16/170.00 |
300,577 |
894,385 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Dec-15/180.00 |
278,869 |
1,079,349 |
|
|
SPDR S&P 500 ETF Trust (Put) |
Nov-15/180.00 |
276,498 |
875,298 |
|
|
Total purchased options outstanding (cost $11,635,105) |
|
|||
|
SHORT-TERM INVESTMENTS (15.0%)* |
Principal |
Value |
|
|
Putnam Money Market Liquidity Fund 0.08% L |
Shares 1 |
$1 |
|
|
Putnam Short Term Investment Fund 0.07% L |
Shares 144,516,321 |
144,516,321 |
|
|
SSgA Prime Money Market Fund Class N 0.03% P |
Shares 7,620,000 |
7,620,000 |
|
|
U.S. Treasury Bills with an effective yield of 0.02%, August 27, 2015 Δ |
$22,000 |
21,999 |
|
|
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.03%, August 6, 2015 Δ |
5,050,000 |
5,049,828 |
|
|
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.03%, July 16, 2015 Δ § |
2,800,000 |
2,799,969 |
|
|
U.S. Treasury Bills with effective yields ranging from 0.01% to 0.02%, July 2, 2015 # Δ § |
14,660,000 |
14,659,941 |
|
|
U.S. Treasury Bills with an effective yield of 0.02%, July 23, 2015 # Δ § |
1,650,000 |
1,649,952 |
|
|
U.S. Treasury Bills with effective yields ranging from 0.01% to 0.02%, July 9, 2015 # Δ § |
10,010,000 |
10,010,000 |
|
|
U.S. Treasury Bills with an effective yield of 0.01%, May 21, 2015 Δ § |
2,000,000 |
1,999,983 |
|
|
Total short-term investments (cost $188,327,088) |
|
||
|
TOTAL INVESTMENTS |
||
|
Total investments (cost $1,505,561,707) |
$1,562,075,567 |
|
|
||
|
EUR Euro |
||
|
GBP British Pound |
||
|
|
||
|
ADR |
American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
|
|
ETF |
Exchange Traded Fund |
|
|
FRB |
Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period |
|
|
FRN |
Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period |
|
|
IFB |
Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. |
|
|
IO |
Interest Only |
|
|
OAO |
Open Joint Stock Company |
|
|
OJSC |
Open Joint Stock Company |
|
|
PO |
Principal Only |
|
|
REGS |
Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
|
38 Absolute Return 700 Fund
|
SPDR S&P Depository Receipts |
|
|
TBA To Be Announced Commitments |
|
Notes to the fund’s portfolio |
|
|
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from November 1, 2014 through April 30, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosuresand references to “OTC”, if any, represent over-the-counter. |
|
|
* |
Percentages indicated are based on net assets of $1,254,119,013. |
|
††† |
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. |
|
† |
This security is non-income-producing. |
|
‡‡ |
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. |
|
## |
Forward commitment, in part or in entirety (Note 1). |
|
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). |
|
F |
This 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 |
This 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. |
|
At the close of the reporting period, the fund maintained liquid assets totaling 734,976,547 to cover certain derivative 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 parenthetically on prerefunded bonds represent the next prerefunding dates. |
|
|
The dates shown on debt obligations are the original maturity dates. |
Absolute Return 700 Fund 39
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
$29,401 |
$28,319 |
$1,082 |
||
|
British Pound |
Buy |
6/17/15 |
857,499 |
858,971 |
(1,472) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
1,628,170 |
1,551,376 |
(76,794) |
||
|
Chilean Peso |
Buy |
7/15/15 |
2,186 |
2,175 |
11 |
||
|
Euro |
Sell |
6/17/15 |
450,515 |
666,878 |
216,363 |
||
|
Japanese Yen |
Sell |
5/20/15 |
2,448,740 |
2,488,552 |
39,812 |
||
|
Mexican Peso |
Buy |
7/15/15 |
1,876,130 |
1,891,321 |
(15,191) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
181,499 |
150,003 |
31,496 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
771,525 |
788,633 |
(17,108) |
||
|
British Pound |
Buy |
6/17/15 |
3,568,256 |
3,417,279 |
150,977 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,391,664 |
2,270,179 |
(121,485) |
||
|
Euro |
Buy |
6/17/15 |
565,671 |
400,603 |
165,068 |
||
|
Japanese Yen |
Sell |
5/20/15 |
570,052 |
613,519 |
43,467 |
||
|
Mexican Peso |
Buy |
7/15/15 |
1,617,390 |
1,640,137 |
(22,747) |
||
|
New Taiwan Dollar |
Buy |
5/20/15 |
1,874,816 |
1,856,040 |
18,776 |
||
|
New Taiwan Dollar |
Sell |
5/20/15 |
1,874,816 |
1,812,561 |
(62,255) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
663,538 |
689,933 |
26,395 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
1,945,313 |
1,822,735 |
122,578 |
||
|
Singapore Dollar |
Sell |
5/20/15 |
1,828,786 |
1,749,583 |
(79,203) |
||
|
Swedish Krona |
Sell |
6/17/15 |
1,044,364 |
963,288 |
(81,076) |
||
|
Swiss Franc |
Sell |
6/17/15 |
928,176 |
875,218 |
(52,958) |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
14,030 |
16,207 |
2,177 |
||
|
British Pound |
Sell |
6/17/15 |
86,240 |
57,856 |
(28,384) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,860,972 |
2,710,319 |
(150,653) |
||
|
Chilean Peso |
Buy |
7/15/15 |
13,814 |
14,856 |
(1,042) |
||
|
Danish Krone |
Buy |
6/17/15 |
189,852 |
110,862 |
78,990 |
||
|
Euro |
Sell |
6/17/15 |
1,070,449 |
1,018,017 |
(52,432) |
||
|
Japanese Yen |
Sell |
5/20/15 |
3,387,694 |
3,443,166 |
55,472 |
||
|
Mexican Peso |
Buy |
7/15/15 |
1,647,890 |
1,671,176 |
(23,286) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
239,750 |
222,840 |
(16,910) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
1,401,467 |
1,306,150 |
95,317 |
||
|
Philippine Peso |
Buy |
5/20/15 |
851,918 |
860,442 |
(8,524) |
||
|
Swedish Krona |
Sell |
6/17/15 |
977,025 |
933,090 |
(43,935) |
||
|
Swiss Franc |
Sell |
6/17/15 |
764,462 |
764,717 |
255 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
1,213,409 |
1,252,722 |
(39,313) |
||
|
British Pound |
Buy |
6/17/15 |
1,160,569 |
1,094,117 |
66,452 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,576,969 |
2,392,215 |
(184,754) |
||
|
Chinese Yuan (Onshore) |
Buy |
5/20/15 |
1,859,896 |
1,876,568 |
(16,672) |
||
|
Euro |
Sell |
6/17/15 |
1,829,022 |
1,855,562 |
26,540 |
||
40 Absolute Return 700 Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Indian Rupee |
Buy |
5/20/15 |
$1,400,448 |
$1,417,641 |
$(17,193) |
||
|
Japanese Yen |
Sell |
5/20/15 |
3,456,673 |
3,558,480 |
101,807 |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
856,597 |
895,284 |
38,687 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
35,483 |
34,630 |
853 |
||
|
Singapore Dollar |
Sell |
5/20/15 |
1,935,540 |
1,878,314 |
(57,226) |
||
|
Swedish Krona |
Buy |
6/17/15 |
975,271 |
913,554 |
61,717 |
||
|
Swiss Franc |
Buy |
6/17/15 |
1,737,403 |
1,677,249 |
60,154 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
935,083 |
940,768 |
(5,685) |
||
|
British Pound |
Buy |
6/17/15 |
912,742 |
914,279 |
(1,537) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,637,827 |
2,515,013 |
(122,814) |
||
|
Euro |
Buy |
6/17/15 |
517,136 |
475,181 |
41,955 |
||
|
Japanese Yen |
Sell |
5/20/15 |
2,578,766 |
2,620,202 |
41,436 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
1,153,423 |
1,125,792 |
27,631 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
295,256 |
197,296 |
97,960 |
||
|
Polish Zloty |
Sell |
6/17/15 |
1,776,493 |
1,716,057 |
(60,436) |
||
|
Swedish Krona |
Sell |
6/17/15 |
3,019,095 |
2,953,698 |
(65,397) |
||
|
Turkish Lira |
Buy |
6/17/15 |
551,538 |
605,937 |
(54,399) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
1,252,427 |
1,210,163 |
42,264 |
||
|
British Pound |
Buy |
6/17/15 |
830,491 |
831,933 |
(1,442) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,174,812 |
2,073,413 |
(101,399) |
||
|
Euro |
Buy |
6/17/15 |
267,500 |
127,011 |
140,489 |
||
|
Japanese Yen |
Sell |
5/20/15 |
2,569,769 |
2,610,438 |
40,669 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
1,664,228 |
1,624,524 |
39,704 |
||
|
Norwegian Krone |
Sell |
6/17/15 |
31,795 |
31,039 |
(756) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
439,284 |
464,606 |
(25,322) |
||
|
British Pound |
Buy |
6/17/15 |
827,729 |
829,193 |
(1,464) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
3,498,196 |
3,338,298 |
(159,898) |
||
|
Chinese Yuan |
Sell |
5/20/15 |
109,708 |
132,868 |
23,160 |
||
|
Euro |
Buy |
6/17/15 |
2,960,814 |
2,821,433 |
139,381 |
||
|
Euro |
Sell |
6/17/15 |
2,885,316 |
2,823,014 |
(62,302) |
||
|
Japanese Yen |
Buy |
5/20/15 |
373,633 |
354,737 |
18,896 |
||
|
New Taiwan Dollar |
Buy |
5/20/15 |
1,874,816 |
1,856,340 |
18,476 |
||
|
New Taiwan Dollar |
Sell |
5/20/15 |
1,874,816 |
1,818,889 |
(55,927) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
818,015 |
798,155 |
19,860 |
||
|
Swedish Krona |
Buy |
6/17/15 |
179,717 |
179,427 |
290 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
703,106 |
701,506 |
1,600 |
||
|
British Pound |
Sell |
6/17/15 |
197,956 |
132,678 |
(65,278) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
1,649,035 |
1,532,160 |
(116,875) |
||
Absolute Return 700 Fund 41
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Euro |
Buy |
6/17/15 |
$1,228,411 |
$1,002,705 |
$225,706 |
||
|
Indian Rupee |
Buy |
5/20/15 |
317,684 |
316,589 |
1,095 |
||
|
Japanese Yen |
Sell |
5/20/15 |
341,740 |
390,114 |
48,374 |
||
|
Malaysian Ringgit |
Buy |
5/20/15 |
3,694,780 |
3,600,425 |
94,355 |
||
|
Malaysian Ringgit |
Sell |
5/20/15 |
3,694,779 |
3,610,381 |
(84,398) |
||
|
Mexican Peso |
Buy |
7/15/15 |
2,048,277 |
2,076,568 |
(28,291) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
531,725 |
517,708 |
(14,017) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
862,819 |
788,331 |
74,488 |
||
|
Philippine Peso |
Buy |
5/20/15 |
851,918 |
860,637 |
(8,719) |
||
|
Singapore Dollar |
Sell |
5/20/15 |
214,187 |
227,133 |
12,946 |
||
|
South Korean Won |
Buy |
5/20/15 |
1,878,512 |
1,845,703 |
32,809 |
||
|
South Korean Won |
Sell |
5/20/15 |
1,878,512 |
1,809,927 |
(68,585) |
||
|
Swedish Krona |
Sell |
6/17/15 |
170,590 |
101,763 |
(68,827) |
||
|
Swiss Franc |
Buy |
6/17/15 |
317,336 |
289,668 |
27,668 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
187,836 |
180,736 |
(7,100) |
||
|
British Pound |
Sell |
6/17/15 |
234,324 |
233,028 |
(1,296) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
1,449,488 |
1,347,651 |
(101,837) |
||
|
Euro |
Sell |
6/17/15 |
560,391 |
619,803 |
59,412 |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
187,752 |
176,328 |
(11,424) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
2,208,508 |
2,076,825 |
131,683 |
||
|
Singapore Dollar |
Buy |
5/20/15 |
469,247 |
461,548 |
7,699 |
||
|
Swedish Krona |
Sell |
6/17/15 |
96,584 |
49,432 |
(47,152) |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
67,709 |
62,293 |
(5,416) |
||
|
Brazilian Real |
Buy |
7/2/15 |
1,870,349 |
1,839,827 |
30,522 |
||
|
British Pound |
Buy |
6/17/15 |
229,720 |
151,333 |
78,387 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
2,651,157 |
2,472,848 |
(178,309) |
||
|
Chilean Peso |
Buy |
7/15/15 |
2,186 |
2,173 |
13 |
||
|
Euro |
Buy |
6/17/15 |
3,939,475 |
3,873,378 |
66,097 |
||
|
Hungarian Forint |
Buy |
6/17/15 |
1,786,805 |
1,770,465 |
16,340 |
||
|
Japanese Yen |
Sell |
5/20/15 |
2,561,273 |
2,603,294 |
42,021 |
||
|
Malaysian Ringgit |
Buy |
5/20/15 |
3,532,458 |
3,455,998 |
76,460 |
||
|
Malaysian Ringgit |
Sell |
5/20/15 |
3,532,458 |
3,465,320 |
(67,138) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
2,026,316 |
1,977,924 |
48,392 |
||
|
Norwegian Krone |
Sell |
6/17/15 |
1,720,837 |
1,660,362 |
(60,475) |
||
|
Singapore Dollar |
Sell |
5/20/15 |
415,379 |
359,096 |
(56,283) |
||
|
Swedish Krona |
Buy |
6/17/15 |
2,803,431 |
2,738,603 |
64,828 |
||
|
Swiss Franc |
Sell |
6/17/15 |
154,267 |
150,880 |
(3,387) |
||
|
Turkish Lira |
Sell |
6/17/15 |
430,156 |
380,841 |
(49,315) |
||
42 Absolute Return 700 Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
$2,534,412 |
$2,480,790 |
$53,622 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
738,158 |
704,031 |
(34,127) |
||
|
Euro |
Sell |
6/17/15 |
1,697,013 |
1,698,119 |
1,106 |
||
|
Japanese Yen |
Sell |
5/20/15 |
2,920,360 |
2,954,666 |
34,306 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
2,261,367 |
2,207,075 |
54,292 |
||
|
Total |
|
||||||
|
|
|||||
|
Number of |
Value |
Expiration |
Unrealized |
||
|
DAX Index (Short) |
4 |
$1,290,098 |
Jun-15 |
$59,051 |
|
|
Euro STOXX 50 Index (Long) |
626 |
25,079,616 |
Jun-15 |
(800,157) |
|
|
Euro-CAC 40 Index (Short) |
1 |
56,283 |
May-15 |
2,142 |
|
|
FTSE 100 Index (Long) |
8 |
850,881 |
Jun-15 |
21,469 |
|
|
S&P 500 Index E-Mini (Long) |
82 |
8,523,490 |
Jun-15 |
(15,362) |
|
|
S&P 500 Index E-Mini (Short) |
1,136 |
118,081,520 |
Jun-15 |
(158,359) |
|
|
S&P Mid Cap 400 Index E-Mini (Long) |
366 |
54,771,900 |
Jun-15 |
478,548 |
|
|
SPI 200 Index (Short) |
6 |
683,370 |
Jun-15 |
10,306 |
|
|
Tokyo Price Index (Long) |
131 |
17,428,266 |
Jun-15 |
888,200 |
|
|
U.S. Treasury Bond 30 yr (Long) |
73 |
11,650,344 |
Jun-15 |
(312,773) |
|
|
U.S. Treasury Bond Ultra 30 yr (Short) |
38 |
6,251,000 |
Jun-15 |
221,862 |
|
|
U.S. Treasury Note 2 yr (Short) |
35 |
7,674,297 |
Jun-15 |
(19,757) |
|
|
U.S. Treasury Note 5 yr (Short) |
442 |
53,098,703 |
Jun-15 |
(506,903) |
|
|
U.S. Treasury Note 10 yr (Long) |
1,547 |
198,596,125 |
Jun-15 |
489,375 |
|
|
Total |
|
||||
|
|
||||
|
Counterparty |
Expiration |
Contract |
Value |
|
|
|
||||
|
2.275/3 month USD-LIBOR-BBA/May-25 |
May-15/2.275 |
$6,956,200 |
$904 |
|
|
2.10/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/2.10 |
4,097,200 |
14,914 |
|
|
2.955/3 month USD-LIBOR-BBA/Sep-25 |
Sep-15/2.955 |
10,510,600 |
20,916 |
|
|
(2.10)/3 month USD-LIBOR-BBA/Jun-25 |
Jun-15/2.10 |
4,097,200 |
35,851 |
|
|
1.66/3 month USD-LIBOR-BBA/Jul-20 |
Jul-15/1.66 |
5,160,400 |
36,948 |
|
|
|
||||
|
2.3775/3 month USD-LIBOR-BBA/May-25 |
May-15/2.3775 |
5,255,300 |
5,781 |
|
|
2.265/3 month USD-LIBOR-BBA/May-25 |
May-15/2.265 |
5,255,300 |
15,871 |
|
Absolute Return 700 Fund 43
|
|
||||
|
Counterparty |
Expiration |
Contract |
Value |
|
|
|
||||
|
(1.481)/3 month USD-LIBOR-BBA/May-20 |
May-15/1.481 |
$5,255,300 |
$6,990 |
|
|
(2.223)/3 month USD-LIBOR-BBA/May-25 |
May-15/2.223 |
1,313,825 |
14,045 |
|
|
(1.509)/3 month USD-LIBOR-BBA/May-20 |
May-15/1.509 |
10,510,600 |
17,763 |
|
|
|
||||
|
(1.865)/3 month USD-LIBOR-BBA/May-25 |
May-15/1.865 |
5,068,600 |
4,156 |
|
|
2.515/3 month USD-LIBOR-BBA/Apr-47 |
Apr-17/2.515 |
1,860,700 |
207,890 |
|
|
|
||||
|
(2.35)/3 month USD-LIBOR-BBA/May-45 |
May-15/2.35 |
1,313,825 |
4,756 |
|
|
(1.991)/3 month USD-LIBOR-BBA/May-25 |
May-15/1.991 |
5,255,300 |
8,829 |
|
|
(2.5025)/3 month USD-LIBOR-BBA/May-45 |
May-15/2.5025 |
1,313,825 |
16,410 |
|
|
(1.885)/3 month USD-LIBOR-BBA/Jan-46 |
Jan-16/1.885 |
2,475,800 |
32,382 |
|
|
1.991/3 month USD-LIBOR-BBA/May-25 |
May-15/1.991 |
5,255,300 |
81,089 |
|
|
|
||||
|
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 |
Mar-18/6.00 |
9,893,000 |
1,476,867 |
|
|
Total |
|
|||
|
|
||||
|
Expiration |
Contract |
Value |
||
|
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) |
Jul-15/$102.64 |
$10,000,000 |
$31,300 |
|
|
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) |
Jul-15/99.86 |
2,000,000 |
6,540 |
|
|
SPDR S&P 500 ETF Trust (Call) |
May-15/217.50 |
261,922 |
17,478 |
|
|
SPDR S&P 500 ETF Trust (Call) |
May-15/214.50 |
261,405 |
46,477 |
|
|
SPDR S&P 500 ETF Trust (Call) |
May-15/215.50 |
261,342 |
4,506 |
|
|
SPDR S&P 500 ETF Trust (Call) |
May-15/214.00 |
262,127 |
2,526 |
|
|
SPDR S&P 500 ETF Trust (Call) |
May-15/213.50 |
696,460 |
696 |
|
|
Total |
|
|||
|
|
|||||
|
Counterparty |
Expiration |
Contract |
Premium |
Unrealized |
|
|
|
|||||
|
1.932/3 month USD-LIBOR-BBA/Jun-25 (Purchased) |
Jun-15/1.932 |
$4,203,700 |
$(17,656) |
$261 |
|
|
2.047/3 month USD-LIBOR-BBA/Jun-25 (Purchased) |
Jun-15/2.047 |
4,203,700 |
(30,687) |
(790) |
|
|
(2.162)/3 month USD-LIBOR-BBA/Jun-25 (Written) |
Jun-15/2.162 |
4,203,700 |
49,183 |
1,391 |
|
|
|
|||||
|
(2.155)/3 month USD-LIBOR-BBA/May-25 (Purchased) |
May-15/2.155 |
3,678,710 |
(10,513) |
(1,067) |
|
44 Absolute Return 700 Fund
|
|
|||||
|
Counterparty |
Expiration |
Contract |
Premium |
Unrealized |
|
|
|
|||||
|
2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) |
Feb-17/2.117 |
$1,313,825 |
$(32,193) |
$1,313 |
|
|
2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) |
Feb-17/2.035 |
1,313,825 |
(33,383) |
(3,086) |
|
|
(3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) |
Feb-17/3.035 |
1,313,825 |
(34,958) |
(3,350) |
|
|
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) |
Apr-17/1.00 |
2,816,100 |
(18,620) |
(4,590) |
|
|
(3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) |
Feb-17/3.117 |
1,313,825 |
(36,787) |
(8,137) |
|
|
1.825/3 month USD-LIBOR-BBA/Jun-25 (Purchased) |
Jun-15/1.825 |
5,068,600 |
(21,795) |
(9,226) |
|
|
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) |
Apr-17/1.00 |
5,632,100 |
(39,566) |
(11,478) |
|
|
1.9425/3 month USD-LIBOR-BBA/Jun-25 (Purchased) |
Jun-15/1.9425 |
5,068,600 |
(37,508) |
(15,409) |
|
|
(2.06)/3 month USD-LIBOR-BBA/Jun-25 (Written) |
Jun-15/2.06 |
5,068,600 |
58,796 |
21,339 |
|
|
2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) |
Feb-17/2.655 |
5,754,600 |
38,124 |
12,200 |
|
|
2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) |
Feb-17/2.56 |
5,754,600 |
36,787 |
8,056 |
|
|
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) |
Apr-17/1.00 |
11,264,200 |
36,045 |
4,866 |
|
|
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) |
Apr-17/1.00 |
5,632,100 |
17,245 |
1,746 |
|
|
(1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) |
Feb-17/1.56 |
5,754,600 |
33,131 |
(2,877) |
|
|
(1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) |
Feb-17/1.655 |
5,754,600 |
32,801 |
(7,884) |
|
|
Total |
$(11,554) |
|
|||
|
|
||||
|
Agency |
Principal |
Settlement |
Value |
|
|
Federal National Mortgage Association, 4 1/2s, May 1, 2045 |
$9,000,000 |
5/13/15 |
$9,794,531 |
|
|
Federal National Mortgage Association, 4s, May 1, 2045 |
8,000,000 |
5/13/15 |
8,550,000 |
|
|
Federal National Mortgage Association, 3s, May 1, 2045 |
1,000,000 |
5/13/15 |
1,017,656 |
|
|
Total |
|
|||
Absolute Return 700 Fund 45
|
|
|||||||
|
Notional amount |
Upfront |
Termination |
Payments |
Payments |
|
||
|
$5,160,400 |
$46,375 |
2/19/25 |
3 month USD-LIBOR-BBA |
1.9575% |
$(10,571) |
||
|
5,160,400 |
(15,033) |
2/19/25 |
2.1575% |
3 month USD-LIBOR-BBA |
(53,740) |
||
|
5,160,400 |
(27,418) |
2/19/25 |
2.0575% |
3 month USD-LIBOR-BBA |
(18,298) |
||
|
1,051,060 |
(24,141) |
4/28/45 |
2.31% |
3 month USD-LIBOR-BBA |
26,711 |
||
|
4,951,600 |
14,294 |
1/6/25 |
2.28% |
3 month USD-LIBOR-BBA |
(97,146) |
||
|
4,951,600 |
61,334 |
1/6/25 |
2.53% |
3 month USD-LIBOR-BBA |
(165,094) |
||
|
2,580,200 |
(34,996) |
4/15/25 |
3 month USD-LIBOR-BBA |
2.172% |
(21,845) |
||
|
2,580,200 |
22,672 |
4/15/25 |
2.052% |
3 month USD-LIBOR-BBA |
38,131 |
||
|
219,225,000 E |
(2,579,548) |
6/17/25 |
3 month USD-LIBOR-BBA |
2.20% |
(1,828,703) |
||
|
5,165,100 E |
42,930 |
6/17/25 |
2.20% |
3 month USD-LIBOR-BBA |
25,240 |
||
|
221,037,300 E |
294,362 |
6/17/17 |
1.10% |
3 month USD-LIBOR-BBA |
(555,084) |
||
|
12,398,000 |
(100) |
4/28/20 |
1.4945% |
3 month USD-LIBOR-BBA |
52,142 |
||
|
838,000 |
(28) |
5/01/45 |
3 month USD-LIBOR-BBA |
2.5385% |
1,384 |
||
|
946,000 |
(32) |
5/01/45 |
3 month USD-LIBOR-BBA |
2.5395% |
1,770 |
||
|
2,523,000 |
(9) |
5/01/17 |
0.82% |
3 month USD-LIBOR-BBA |
155 |
||
|
15,684,200 E |
195,829 |
6/17/45 |
3 month USD-LIBOR-BBA |
2.38% |
(369,696) |
||
|
34,937,100 E |
1,432,710 |
6/17/20 |
2.40% |
3 month USD-LIBOR-BBA |
148,038 |
||
|
55,929,000 |
(210) |
4/13/17 |
0.802% |
3 month USD-LIBOR-BBA |
(12,293) |
||
|
1,918,000 |
(25) |
4/13/25 |
2.007% |
3 month USD-LIBOR-BBA |
20,890 |
||
|
36,023,000 |
(339) |
4/13/20 |
3 month USD-LIBOR-BBA |
1.522% |
(72,851) |
||
|
18,962,000 |
(250) |
4/13/25 |
2.0055% |
3 month USD-LIBOR-BBA |
192,749 |
||
|
3,244,000 |
(110) |
4/13/45 |
3 month USD-LIBOR-BBA |
2.375% |
(107,650) |
||
|
5,202,000 |
(177) |
4/16/45 |
2.36037% |
3 month USD-LIBOR-BBA |
190,026 |
||
46 Absolute Return 700 Fund
|
|
|||||||
|
Notional amount |
Upfront |
Termination |
Payments |
Payments |
|
||
|
$2,742,800 E |
$(15) |
4/20/19 |
3 month USD-LIBOR-BBA |
1.8325% |
$(6,960) |
||
|
698,400 E |
(10) |
4/20/27 |
2.3675% |
3 month USD-LIBOR-BBA |
11,510 |
||
|
4,451,000 |
(59) |
4/20/25 |
3 month USD-LIBOR-BBA |
2.002% |
(48,937) |
||
|
3,534,000 |
(28) |
4/20/20 |
3 month USD-LIBOR-BBA |
1.484% |
(15,036) |
||
|
1,329,200 E |
(7) |
4/20/19 |
3 month USD-LIBOR-BBA |
1.85% |
(2,920) |
||
|
321,000 E |
(5) |
4/20/27 |
2.415% |
3 month USD-LIBOR-BBA |
3,941 |
||
|
2,342,000 |
(80) |
4/20/45 |
3 month USD-LIBOR-BBA |
2.416% |
(57,571) |
||
|
9,842,000 |
(37) |
4/20/17 |
3 month USD-LIBOR-BBA |
0.7615% |
(8,111) |
||
|
19,137,000 |
(72) |
4/28/17 |
3 month USD-LIBOR-BBA |
0.776% |
(15,603) |
||
|
1,463,000 |
(19) |
4/28/25 |
2.0045% |
3 month USD-LIBOR-BBA |
16,443 |
||
|
358,000 |
(12) |
4/28/45 |
2.397% |
3 month USD-LIBOR-BBA |
10,453 |
||
|
5,566,000 |
(73) |
4/29/25 |
3 month USD-LIBOR-BBA |
2.007% |
(61,190) |
||
|
7,717,000 |
(102) |
5/01/25 |
2.14% |
3 month USD-LIBOR-BBA |
(8,143) |
||
|
7,717,000 |
(102) |
5/01/25 |
2.13894% |
3 month USD-LIBOR-BBA |
(7,387) |
||
|
838,000 |
(28) |
5/01/45 |
3 month USD-LIBOR-BBA |
2.54461% |
2,510 |
||
|
5,681,000 |
(46) |
5/01/20 |
1.593% |
3 month USD-LIBOR-BBA |
(2,261) |
||
|
4,708,900 |
(62) |
1/9/25 |
3 month USD-LIBOR-BBA |
2.07% |
14,697 |
||
|
1,032,100 |
2,051 |
2/19/25 |
3 month USD-LIBOR-BBA |
2.15% |
9,075 |
||
|
516,050 |
1,180 |
2/19/25 |
3 month USD-LIBOR-BBA |
2.15% |
4,692 |
||
|
1,051,060 |
(5,585) |
4/28/25 |
3 month USD-LIBOR-BBA |
2.045% |
(13,480) |
||
|
Total |
$(575,021) |
|
|||||
|
|
|||||||
Absolute Return 700 Fund 47
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
baskets |
2,310,871 |
$— |
10/19/15 |
(3 month USD-LIBOR-BBA plus 0.10%) |
A basket (MLTRFCF4) of common stocks |
$(3,947,130) |
|
|
units |
59,035 |
— |
10/19/15 |
3 month USD-LIBOR-BBA minus 0.07% |
Russell 1000 Total Return Index |
2,295,600 |
|
|
|
|||||||
|
$318,435 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
309 |
||
|
676,638 |
— |
1/12/42 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
7,865 |
||
|
1,115,021 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(5,792) |
||
|
1,029,831 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
999 |
||
|
949,810 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
1,366 |
||
|
7,305,651 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
83,780 |
||
|
2,832,257 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(14,713) |
||
|
540,526 |
— |
1/12/40 |
4.00% (1 month USD-LIBOR) |
Synthetic MBX Index 4.00% 30 year Fannie Mae pools |
664 |
||
|
374,235 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
538 |
||
|
247,669 |
— |
1/12/39 |
6.00% (1 month USD-LIBOR) |
Synthetic TRS Index 6.00% 30 year Fannie Mae pools |
2,017 |
||
|
2,494,665 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(12,959) |
||
|
3,127,111 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
4,498 |
||
|
956,065 |
— |
1/12/40 |
4.00% (1 month USD-LIBOR) |
Synthetic MBX Index 4.00% 30 year Fannie Mae pools |
1,174 |
||
48 Absolute Return 700 Fund
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$111,645 |
$— |
1/12/40 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
$1,228 |
||
|
33,384 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
244 |
||
|
215,185 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
309 |
||
|
2,245,413 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
3,229 |
||
|
4,254,154 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(22,100) |
||
|
3,539,972 |
— |
1/12/40 |
4.00% (1 month USD-LIBOR) |
Synthetic MBX Index 4.00% 30 year Fannie Mae pools |
4,347 |
||
|
1,052,939 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(5,470) |
||
|
5,668,769 |
— |
1/12/40 |
4.50% (1 month USD-LIBOR) |
Synthetic MBX Index 4.50% 30 year Fannie Mae pools |
(414) |
||
|
3,755,982 |
— |
1/12/40 |
4.50% (1 month USD-LIBOR) |
Synthetic MBX Index 4.50% 30 year Fannie Mae pools |
(274) |
||
|
287,319 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
279 |
||
|
8,004 |
— |
1/12/40 |
4.50% (1 month USD-LIBOR) |
Synthetic MBX Index 4.50% 30 year Fannie Mae pools |
(1) |
||
|
11,056,412 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
15,902 |
||
|
278,787 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
270 |
||
|
904,615 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
877 |
||
|
655,689 |
— |
1/12/40 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
636 |
||
|
3,216,718 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(16,710) |
||
Absolute Return 700 Fund 49
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$1,137,650 |
$— |
1/12/39 |
(6.00%) 1 month USD-LIBOR |
Synthetic MBX Index 6.00% 30 year Fannie Mae pools |
$(3,301) |
||
|
482,406 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(1,047) |
||
|
241,203 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(523) |
||
|
241,203 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(523) |
||
|
484,058 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(1,050) |
||
|
1,257,287 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(2,728) |
||
|
484,058 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(1,050) |
||
|
1,019,425 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools |
9,361 |
||
|
646,243 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools |
5,934 |
||
|
789,182 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
5,771 |
||
|
966,536 |
— |
1/12/39 |
(5.50%) 1 month USD-LIBOR |
Synthetic MBX Index 5.50% 30 year Fannie Mae pools |
(2,097) |
||
|
1,061,332 |
— |
1/12/41 |
(5.00%) 1 month USD-LIBOR |
Synthetic TRS Index 5.00% 30 year Fannie Mae pools |
(11,403) |
||
|
698,907 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(3,631) |
||
|
367,873 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
529 |
||
|
9,040,333 |
(35,313) |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
61,507 |
||
|
2,166,951 |
9,480 |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
5,417 |
||
50 Absolute Return 700 Fund
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$1,252,566 |
$— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
$1,802 |
||
|
593,912 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
854 |
||
|
baskets |
527 |
— |
12/17/15 |
(3 month USD-LIBOR-BBA plus 42 bp) |
A basket (CGPUTQL2) of common stocks |
(418,721) |
|
|
baskets |
580,016 |
— |
11/10/15 |
3 month USD-LIBOR-BBA minus 0.50% |
A basket (CGPUTS35) of common stocks |
917,030 |
|
|
units |
11,021 |
— |
12/17/15 |
3 month USD-LIBOR-BBA plus 15 bp |
Russell 1000 Total Return Index |
(342,561) |
|
|
units |
513 |
— |
12/17/15 |
3 month USD-LIBOR-BBA plus 15 bp |
Russell 1000 Total Return Index |
(15,945) |
|
|
units |
106,667 |
— |
3/18/16 |
3 month USD-LIBOR-BBA minus 0.15% |
MSCI Emerging Markets TR Net USD |
(4,212,257) |
|
|
|
|||||||
|
$748,471 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Fannie Mae pools |
1,077 |
||
|
1,948,880 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools |
17,896 |
||
|
1,983,074 |
— |
1/12/41 |
(5.00%) 1 month USD-LIBOR |
Synthetic TRS Index 5.00% 30 year Fannie Mae pools |
(21,306) |
||
|
1,652,998 |
— |
1/12/41 |
(5.00%) 1 month USD-LIBOR |
Synthetic TRS Index 5.00% 30 year Fannie Mae pools |
(17,759) |
||
|
4,076,300 |
— |
1/12/41 |
5.00% (1 month USD-LIBOR) |
Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools |
37,432 |
||
|
4,077,664 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
46,762 |
||
|
3,003,274 |
— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
38,341 |
||
|
2,037,011 |
— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
26,005 |
||
Absolute Return 700 Fund 51
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$1,018,937 |
$— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
$13,008 |
||
|
3,760,569 |
— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
48,009 |
||
|
2,189,405 |
— |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
25,555 |
||
|
3,059,961 |
— |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
35,716 |
||
|
2,355,707 |
— |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
27,496 |
||
|
2,711,449 |
— |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
31,648 |
||
|
2,361,788 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
27,085 |
||
|
|
|||||||
|
baskets |
547,558 |
— |
5/13/15 |
(3 month USD-LIBOR-BBA plus 31 bp) |
A basket (DBCTPL7P) of common stocks |
2,963,155 |
|
|
baskets |
547,558 |
— |
5/13/15 |
(3 month USD-LIBOR-BBA minus 45 bp) |
A basket (DBCTPS7P) of common stocks |
(2,475,183) |
|
|
|
|||||||
|
$848,884 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
6,207 |
||
|
654,851 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
4,788 |
||
|
2,152,564 |
— |
1/12/39 |
6.00% (1 month USD-LIBOR) |
Synthetic TRS Index 6.00% 30 year Fannie Mae pools |
17,530 |
||
|
1,181,141 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
8,637 |
||
|
1,679,759 |
— |
1/12/42 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
19,525 |
||
|
1,679,759 |
— |
1/12/42 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
19,525 |
||
52 Absolute Return 700 Fund
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$868,424 |
$— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
$(4,511) |
||
|
326,272 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(1,695) |
||
|
332,757 |
— |
1/12/40 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
3,661 |
||
|
9,447 |
— |
1/12/39 |
6.00% (1 month USD-LIBOR) |
Synthetic TRS Index 6.00% 30 year Fannie Mae pools |
77 |
||
|
833,593 |
— |
1/12/39 |
6.00% (1 month USD-LIBOR) |
Synthetic TRS Index 6.00% 30 year Fannie Mae pools |
6,789 |
||
|
1,189,649 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(6,180) |
||
|
61,721 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(321) |
||
|
164,542 |
— |
1/12/38 |
(6.50%) 1 month USD-LIBOR |
Synthetic MBX Index 6.50% 30 year Fannie Mae pools |
(855) |
||
|
21,703 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
159 |
||
|
930,290 |
— |
1/12/38 |
6.50% (1 month USD-LIBOR) |
Synthetic TRS Index 6.50% 30 year Fannie Mae pools |
6,802 |
||
|
2,742,554 |
— |
1/12/42 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
31,879 |
||
|
2,540,845 |
— |
1/12/42 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
29,534 |
||
|
1,563,930 |
— |
1/12/39 |
6.00% (1 month USD-LIBOR) |
Synthetic TRS Index 6.00% 30 year Fannie Mae pools |
12,736 |
||
|
1,288,513 |
— |
1/12/41 |
4.50% (1 month USD-LIBOR) |
Synthetic TRS Index 4.50% 30 year Fannie Mae pools |
14,310 |
||
|
2,919,192 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
33,477 |
||
|
2,873,380 |
— |
1/12/41 |
(5.00%) 1 month USD-LIBOR |
Synthetic TRS Index 5.00% 30 year Fannie Mae pools |
(30,871) |
||
Absolute Return 700 Fund 53
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
$7,427,924 |
$— |
1/12/43 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
$86,700 |
||
|
3,714,803 |
— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
47,424 |
||
|
2,058,599 |
— |
1/12/44 |
3.50% (1 month USD-LIBOR) |
Synthetic TRS Index 3.50% 30 year Fannie Mae pools |
26,281 |
||
|
baskets |
28,160 |
— |
12/15/15 |
(1 month USD-LIBOR-BBA plus 90 bp) |
A basket (GSCBSAUD) of common stocks |
2,737,076 |
|
|
baskets |
1,654,783 |
— |
12/15/20 |
(3 month USD-LIBOR-BBA plus 44 bp) |
A basket (GSCBPUR1) of common stocks |
(5,363,158) |
|
|
units |
483,786 |
— |
8/11/15 |
(0.45%) |
Goldman Sachs Volatility Carry US Scaled 3X Excess Return Strategy Index |
260,332 |
|
|
|
|||||||
|
$1,203,316 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
13,800 |
||
|
3,893,567 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
44,651 |
||
|
2,919,586 |
— |
1/12/41 |
4.00% (1 month USD-LIBOR) |
Synthetic TRS Index 4.00% 30 year Fannie Mae pools |
33,482 |
||
|
2,873,754 |
— |
1/12/41 |
(5.00%) 1 month USD-LIBOR |
Synthetic TRS Index 5.00% 30 year Fannie Mae pools |
(30,875) |
||
|
baskets |
1,622,747 |
— |
4/25/16 |
3 month USD-LIBOR-BBA minus 44 bp |
A basket (JPCMPTSH) of common stocks |
3,305,298 |
|
|
shares |
554,378 |
— |
1/25/16 |
3 month USD-LIBOR-BBA minus 30 bp |
iShares MSCI Emerging Markets Index |
448,924 |
|
|
|
|||||||
|
units |
192,740 |
— |
5/19/15 |
3 month USD-LIBOR-BBA minus 0.10% |
MSCI Emerging Markets TR Net USD |
(5,352,196) |
|
|
units |
149,964 |
— |
5/19/15 |
3 month USD-LIBOR-BBA minus 0.10% |
MSCI Emerging Markets TR Net USD |
(4,164,350) |
|
|
Total |
$(25,833) |
|
|||||
54 Absolute Return 700 Fund
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$18,582 |
$326,000 |
5/11/63 |
300 bp |
$22,298 |
||
|
CMBX NA |
BBB–/P |
19,446 |
315,000 |
5/11/63 |
300 bp |
23,037 |
||
|
CMBX NA |
BBB–/P |
9,522 |
158,000 |
5/11/63 |
300 bp |
11,323 |
||
|
CMBX NA |
BBB–/P |
4,785 |
70,000 |
5/11/63 |
300 bp |
5,583 |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
31,595 |
285,000 |
5/11/63 |
300 bp |
34,844 |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
(53,832) |
12,634,000 |
5/11/63 |
300 bp |
90,195 |
||
|
CMBX NA |
BBB–/P |
(6,292) |
9,615,000 |
5/11/63 |
300 bp |
103,319 |
||
|
CMBX NA |
BBB–/P |
10,005 |
7,697,000 |
5/11/63 |
300 bp |
97,751 |
||
|
CMBX NA |
BBB–/P |
11,998 |
5,233,000 |
5/11/63 |
300 bp |
71,654 |
||
|
CMBX NA |
BBB–/P |
36,295 |
5,066,000 |
5/11/63 |
300 bp |
94,048 |
||
|
CMBX NA |
BBB–/P |
14,858 |
4,547,000 |
5/11/63 |
300 bp |
66,694 |
||
|
CMBX NA |
BBB–/P |
10,407 |
4,547,000 |
5/11/63 |
300 bp |
62,243 |
||
|
CMBX NA |
BBB–/P |
16,796 |
3,685,000 |
5/11/63 |
300 bp |
58,805 |
||
|
CMBX NA |
BBB–/P |
19,510 |
3,339,000 |
5/11/63 |
300 bp |
57,574 |
||
|
CMBX NA |
BBB–/P |
(20,347) |
1,594,000 |
5/11/63 |
300 bp |
(2,574) |
||
|
CMBX NA |
BBB–/P |
(24,594) |
1,569,000 |
5/11/63 |
300 bp |
(6,969) |
||
|
CMBX NA |
BBB–/P |
(25,367) |
1,519,000 |
5/11/63 |
300 bp |
(8,050) |
||
|
CMBX NA |
BBB–/P |
24,458 |
596,000 |
5/11/63 |
300 bp |
31,252 |
||
|
CMBX NA |
BBB–/P |
24,736 |
310,000 |
5/11/63 |
300 bp |
28,270 |
||
|
CMBX NA |
BBB–/P |
24,002 |
310,000 |
5/11/63 |
300 bp |
27,536 |
||
|
CMBX NA |
BBB–/P |
20,393 |
310,000 |
5/11/63 |
300 bp |
23,927 |
||
|
CMBX NA |
BBB–/P |
3,483 |
300,000 |
5/11/63 |
300 bp |
6,903 |
||
Absolute Return 700 Fund 55
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$33,557 |
$297,000 |
5/11/63 |
300 bp |
$36,943 |
||
|
CMBX NA |
BBB–/P |
4,548 |
296,000 |
5/11/63 |
300 bp |
7,922 |
||
|
CMBX NA |
BBB–/P |
8,915 |
293,000 |
5/11/63 |
300 bp |
12,255 |
||
|
CMBX NA |
BBB–/P |
19,183 |
241,000 |
5/11/63 |
300 bp |
21,930 |
||
|
CMBX NA |
BBB–/P |
822 |
106,000 |
5/11/63 |
300 bp |
2,031 |
||
|
CMBX NA |
BBB–/P |
7,123 |
807,000 |
1/17/47 |
300 bp |
(60) |
||
|
CMBX NA |
BBB–/P |
4,130 |
1,445,000 |
1/17/47 |
300 bp |
(8,008) |
||
|
CMBX NA |
BBB–/P |
4,644 |
1,445,000 |
1/17/47 |
300 bp |
(7,494) |
||
|
CMBX NA |
BBB–/P |
3,745 |
1,495,000 |
1/17/47 |
300 bp |
(8,813) |
||
|
CMBX NA |
BBB–/P |
5,016 |
1,569,000 |
1/17/47 |
300 bp |
(8,425) |
||
|
CMBX NA |
BBB–/P |
5,016 |
1,569,000 |
1/17/47 |
300 bp |
(8,425) |
||
|
CMBX NA |
BBB–/P |
10,181 |
1,594,000 |
1/17/47 |
300 bp |
(3,607) |
||
|
CMBX NA |
BBB–/P |
7,929 |
1,594,000 |
1/17/47 |
300 bp |
(5,859) |
||
|
CMBX NA |
BBB–/P |
5,202 |
1,624,000 |
1/17/47 |
300 bp |
(8,439) |
||
|
CMBX NA |
BBB–/P |
3,476 |
1,624,000 |
1/17/47 |
300 bp |
(10,166) |
||
|
CMBX NA |
BBB–/P |
2,900 |
1,624,000 |
1/17/47 |
300 bp |
(10,742) |
||
|
CMBX NA |
BBB–/P |
35,126 |
1,988,000 |
1/17/47 |
300 bp |
18,427 |
||
|
CMBX NA |
BBB–/P |
12,170 |
2,434,000 |
1/17/47 |
300 bp |
(8,276) |
||
|
CMBX NA |
BBB–/P |
12,170 |
2,434,000 |
1/17/47 |
300 bp |
(8,276) |
||
|
CMBX NA |
BBB–/P |
5,578 |
3,138,000 |
1/17/47 |
300 bp |
(21,304) |
||
|
CMBX NA |
BBB–/P |
36,261 |
3,399,000 |
1/17/47 |
300 bp |
7,710 |
||
|
CMBX NA |
BBB–/P |
48,108 |
3,542,000 |
1/17/47 |
300 bp |
18,355 |
||
|
CMBX NA |
BBB–/P |
89,778 |
3,685,000 |
1/17/47 |
300 bp |
58,824 |
||
56 Absolute Return 700 Fund
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$100,381 |
$4,054,000 |
1/17/47 |
300 bp |
$66,328 |
||
|
CMBX NA |
BBB–/P |
15,748 |
4,417,000 |
1/17/47 |
300 bp |
(21,355) |
||
|
CMBX NA |
BBB–/P |
45 |
4,485,000 |
1/17/47 |
300 bp |
(37,629) |
||
|
CMBX NA |
BBB–/P |
114,343 |
4,678,000 |
1/17/47 |
300 bp |
75,047 |
||
|
CMBX NA |
BBB–/P |
183,805 |
7,772,000 |
1/17/47 |
300 bp |
118,520 |
||
|
CMBX NA |
BBB–/P |
308,180 |
7,861,000 |
1/17/47 |
300 bp |
242,147 |
||
|
CMBX NA BB Index |
— |
1,034 |
100,000 |
5/11/63 |
(500 bp) |
70 |
||
|
CMBX NA BB Index |
— |
2,140 |
107,000 |
5/11/63 |
(500 bp) |
1,109 |
||
|
CMBX NA BB Index |
— |
(1,152) |
150,000 |
5/11/63 |
(500 bp) |
(2,597) |
||
|
CMBX NA BB Index |
— |
(1,437) |
150,000 |
5/11/63 |
(500 bp) |
(2,882) |
||
|
CMBX NA BB Index |
— |
(1,368) |
150,000 |
5/11/63 |
(500 bp) |
(2,813) |
||
|
CMBX NA BB Index |
— |
5,493 |
208,000 |
5/11/63 |
(500 bp) |
3,489 |
||
|
CMBX NA BB Index |
— |
3,310 |
214,000 |
5/11/63 |
(500 bp) |
1,248 |
||
|
CMBX NA BB Index |
— |
(5,274) |
302,000 |
5/11/63 |
(500 bp) |
(8,184) |
||
|
CMBX NA BB Index |
— |
(2,356) |
451,000 |
5/11/63 |
(500 bp) |
(6,701) |
||
|
CMBX NA BB Index |
— |
8,737 |
584,000 |
5/11/63 |
(500 bp) |
3,111 |
||
|
CMBX NA BB Index |
— |
(4,353) |
1,195,000 |
5/11/63 |
(500 bp) |
(15,865) |
||
|
CMBX NA BB Index |
— |
21,416 |
1,210,000 |
5/11/63 |
(500 bp) |
9,760 |
||
|
CMBX NA BB Index |
— |
7,359 |
1,357,000 |
5/11/63 |
(500 bp) |
(5,714) |
||
|
CMBX NA BB Index |
— |
(5,819) |
300,000 |
5/11/63 |
(500 bp) |
(8,709) |
||
|
CMBX NA |
BBB–/P |
21,383 |
874,000 |
5/11/63 |
300 bp |
31,347 |
||
|
CMBX NA |
BBB–/P |
(8,820) |
585,000 |
5/11/63 |
300 bp |
(2,151) |
||
|
CMBX NA |
BBB–/P |
(7,209) |
585,000 |
5/11/63 |
300 bp |
(540) |
||
|
CMBX NA |
BBB–/P |
763 |
575,000 |
5/11/63 |
300 bp |
7,318 |
||
|
CMBX NA |
BBB–/P |
(10,745) |
555,000 |
5/11/63 |
300 bp |
(4,418) |
||
|
CMBX NA |
BBB–/P |
1,811 |
391,000 |
5/11/63 |
300 bp |
6,268 |
||
|
CMBX NA |
BBB–/P |
(3,898) |
388,000 |
5/11/63 |
300 bp |
526 |
||
|
CMBX NA |
BBB–/P |
225 |
338,000 |
5/11/63 |
300 bp |
4,078 |
||
|
CMBX NA |
BBB–/P |
1,936 |
319,000 |
5/11/63 |
300 bp |
5,573 |
||
Absolute Return 700 Fund 57
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$1,455 |
$314,000 |
5/11/63 |
300 bp |
$5,034 |
||
|
CMBX NA |
BBB–/P |
11,967 |
277,000 |
5/11/63 |
300 bp |
15,125 |
||
|
CMBX NA |
BBB–/P |
5,210 |
276,000 |
5/11/63 |
300 bp |
8,357 |
||
|
CMBX NA |
BBB–/P |
5,977 |
276,000 |
5/11/63 |
300 bp |
9,123 |
||
|
CMBX NA |
BBB–/P |
(4,968) |
275,000 |
5/11/63 |
300 bp |
(1,833) |
||
|
CMBX NA |
BBB–/P |
190 |
274,000 |
5/11/63 |
300 bp |
3,314 |
||
|
CMBX NA |
BBB–/P |
949 |
274,000 |
5/11/63 |
300 bp |
4,073 |
||
|
CMBX NA |
BBB–/P |
3,110 |
261,000 |
5/11/63 |
300 bp |
6,086 |
||
|
CMBX NA |
BBB–/P |
2,595 |
261,000 |
5/11/63 |
300 bp |
5,570 |
||
|
CMBX NA |
BBB–/P |
(2,443) |
261,000 |
5/11/63 |
300 bp |
532 |
||
|
CMBX NA |
BBB–/P |
704 |
261,000 |
5/11/63 |
300 bp |
3,679 |
||
|
CMBX NA |
BBB–/P |
(869) |
260,000 |
5/11/63 |
300 bp |
2,095 |
||
|
CMBX NA |
BBB–/P |
(880) |
260,000 |
5/11/63 |
300 bp |
2,084 |
||
|
CMBX NA |
BBB–/P |
(864) |
259,000 |
5/11/63 |
300 bp |
2,089 |
||
|
CMBX NA |
BBB–/P |
(2,585) |
258,000 |
5/11/63 |
300 bp |
357 |
||
|
CMBX NA |
BBB–/P |
(2,159) |
258,000 |
5/11/63 |
300 bp |
782 |
||
|
CMBX NA |
BBB–/P |
10,625 |
222,000 |
5/11/63 |
300 bp |
13,155 |
||
|
CMBX NA |
BBB–/P |
(784) |
130,000 |
5/11/63 |
300 bp |
698 |
||
|
CMBX NA |
BBB–/P |
(1,230) |
129,000 |
5/11/63 |
300 bp |
240 |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
(17,751) |
3,889,000 |
5/11/63 |
300 bp |
26,584 |
||
|
CMBX NA |
BBB–/P |
7,781 |
2,984,000 |
5/11/63 |
300 bp |
41,798 |
||
58 Absolute Return 700 Fund
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$2,551 |
$715,000 |
1/17/47 |
300 bp |
$(3,455) |
||
|
CMBX NA |
BBB–/P |
2,562 |
718,000 |
1/17/47 |
300 bp |
(3,469) |
||
|
CMBX NA |
BBB–/P |
6,292 |
1,472,000 |
1/17/47 |
300 bp |
(6,073) |
||
|
CMBX NA |
BBB–/P |
5,248 |
1,472,000 |
1/17/47 |
300 bp |
(7,117) |
||
|
CMBX NA |
BBB–/P |
5,248 |
1,472,000 |
1/17/47 |
300 bp |
(7,117) |
||
|
CMBX NA |
BBB–/P |
12,449 |
1,599,000 |
1/17/47 |
300 bp |
(1,516) |
||
|
CMBX NA |
BBB–/P |
17,229 |
1,730,000 |
1/17/47 |
300 bp |
2,697 |
||
|
CMBX NA |
BBB–/P |
11,227 |
2,862,000 |
1/17/47 |
300 bp |
(12,813) |
||
|
CMBX NA |
BBB–/P |
3,249 |
3,008,000 |
1/17/47 |
300 bp |
(22,016) |
||
|
CMBX NA |
BBB–/P |
34,198 |
4,035,000 |
1/17/47 |
300 bp |
(1,714) |
||
|
CMBX NA |
BBB–/P |
162,223 |
6,016,000 |
1/17/47 |
300 bp |
111,693 |
||
|
CMBX NA BB Index |
— |
2,419 |
107,000 |
5/11/63 |
(500 bp) |
1,389 |
||
|
CMBX NA BB Index |
— |
(1,441) |
150,000 |
5/11/63 |
(500 bp) |
(2,886) |
||
|
CMBX NA BB Index |
— |
(2,216) |
209,000 |
5/11/63 |
(500 bp) |
(4,230) |
||
|
CMBX NA BB Index |
— |
10,419 |
619,000 |
5/11/63 |
(500 bp) |
4,456 |
||
|
CMBX NA BB Index |
— |
775 |
638,000 |
5/11/63 |
(500 bp) |
(5,371) |
||
|
CMBX NA BB Index |
— |
6,816 |
665,000 |
5/11/63 |
(500 bp) |
410 |
||
|
CMBX NA BB Index |
— |
(1,180) |
592,000 |
1/17/47 |
(500 bp) |
4,009 |
||
|
CMBX NA |
BBB–/P |
4,501 |
394,000 |
5/11/63 |
300 bp |
8,992 |
||
|
CMBX NA |
BBB–/P |
(4,582) |
275,000 |
5/11/63 |
300 bp |
(1,447) |
||
|
CMBX NA |
BBB–/P |
1,557 |
261,000 |
5/11/63 |
300 bp |
4,533 |
||
|
CMBX NA |
BBB–/P |
(1,043) |
260,000 |
5/11/63 |
300 bp |
1,921 |
||
|
CMBX NA |
BBB–/P |
(2,423) |
259,000 |
5/11/63 |
300 bp |
529 |
||
|
CMBX NA |
BBB–/P |
(2,598) |
259,000 |
5/11/63 |
300 bp |
355 |
||
|
CMBX NA |
BBB–/P |
(2,598) |
259,000 |
5/11/63 |
300 bp |
355 |
||
Absolute Return 700 Fund 59
|
|
||||||||
|
Swap counterparty/ |
Rating*** |
Upfront |
Notional |
Termi- |
Payments |
Unrealized |
||
|
|
||||||||
|
CMBX NA |
BBB–/P |
$(2,072) |
$258,000 |
5/11/63 |
300 bp |
$869 |
||
|
CMBX NA BBB– Index |
BBB–/P |
(1,407) |
129,000 |
5/11/63 |
300 bp |
63 |
||
|
CMBX NA BBB– Index |
BBB–/P |
(136) |
51,000 |
5/11/63 |
300 bp |
445 |
||
|
Total |
$1,564,992 |
|
||||||
|
|
||||||||
|
|
||||||||
|
|
||||||||
60 Absolute Return 700 Fund
|
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows: |
|
|
Level 1: Valuations based on quoted prices for identical securities in active markets. |
|
|
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
|
|
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. |
|
|
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period: |
|
Valuation inputs |
||||
|
Investments in securities: |
Level 1 |
Level 2 |
Level 3 |
|
|
Common stocks*: |
||||
|
Basic materials |
$14,945,460 |
$16,342,952 |
$— |
|
|
Capital goods |
25,220,979 |
2,727,079 |
— |
|
|
Communication services |
7,461,604 |
6,841,755 |
— |
|
|
Conglomerates |
5,296,981 |
13,669,235 |
— |
|
|
Consumer cyclicals |
48,918,240 |
6,671,056 |
— |
|
|
Consumer staples |
41,817,177 |
11,236,907 |
— |
|
|
Energy |
23,882,115 |
4,939,871 |
— |
|
|
Financials |
84,063,482 |
29,295,779 |
— |
|
|
Health care |
51,452,929 |
2,893,001 |
— |
|
|
Technology |
70,391,010 |
29,451,736 |
— |
|
|
Transportation |
10,364,361 |
10,792,943 |
— |
|
|
Utilities and power |
17,172,696 |
9,319,137 |
— |
|
|
Total common stocks |
400,987,034 |
144,181,451 |
— |
|
|
Commodity linked notes |
$— |
$94,438,829 |
$— |
|
|
Corporate bonds and notes |
— |
85,158,703 |
— |
|
|
Foreign government and agency bonds and notes |
— |
8,765,065 |
— |
|
|
Investment companies |
83,770,462 |
— |
— |
|
|
Mortgage-backed securities |
— |
175,568,222 |
3,743,488 |
|
|
Purchased options outstanding |
— |
8,303,804 |
— |
|
|
Purchased swap options outstanding |
— |
844,093 |
— |
|
|
Senior loans |
— |
45,927,158 |
— |
|
|
U.S. government and agency mortgage obligations |
— |
297,256,298 |
— |
|
|
Warrants |
— |
24,802,966 |
— |
|
|
Short-term investments |
152,136,322 |
36,191,672 |
— |
|
|
Totals by level |
$636,893,818 |
$921,438,261 |
$3,743,488 |
|
Absolute Return 700 Fund 61
|
Valuation inputs |
||||
|
Other financial instruments: |
Level 1 |
Level 2 |
Level 3 |
|
|
Forward currency contracts |
$— |
$413,198 |
$— |
|
|
Futures contracts |
357,642 |
— |
— |
|
|
Written options outstanding |
— |
(109,523) |
— |
|
|
Written swap options outstanding |
— |
(2,002,362) |
— |
|
|
Forward premium swap option contracts |
— |
(16,722) |
— |
|
|
TBA sale commitments |
— |
(19,362,187) |
— |
|
|
Interest rate swap contracts |
— |
(2,214,992) |
— |
|
|
Total return swap contracts |
— |
(12,492,702) |
— |
|
|
Credit default contracts |
— |
69,989 |
— |
|
|
Totals by level |
$357,642 |
$(35,715,301) |
$— |
|
|
*Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation. |
||||
|
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.
62 Absolute Return 700 Fund
|
Statement of assets and liabilities 4/30/15 (Unaudited) |
||
|
ASSETS |
||
|
Investment in securities, at value (Note 1): |
||
|
Unaffiliated issuers (identified cost $1,361,045,385) |
$1,417,559,245 |
|
|
Affiliated issuers (identified cost $144,516,322) (Notes 1 and 5) |
144,516,322 |
|
|
Cash |
725,513 |
|
|
Foreign currency (cost $508,814) (Note 1) |
521,512 |
|
|
Dividends, interest and other receivables |
5,140,390 |
|
|
Receivable for shares of the fund sold |
5,136,486 |
|
|
Receivable for investments sold |
7,664,702 |
|
|
Receivable for sales of delayed delivery securities (Note 1) |
19,446,182 |
|
|
Receivable for variation margin (Note 1) |
872,618 |
|
|
Unrealized appreciation on forward currency contracts (Note 1) |
3,380,838 |
|
|
Unrealized appreciation on forward premium swap option contracts (Note 1) |
51,172 |
|
|
Unrealized appreciation on OTC swap contracts (Note 1) |
15,964,208 |
|
|
Premium paid on OTC swap contracts (Note 1) |
274,405 |
|
|
Prepaid assets |
84,916 |
|
|
Total assets |
1,621,338,509 |
|
|
LIABILITIES |
||
|
Payable for investments purchased |
9,738,618 |
|
|
Payable for purchases of delayed delivery securities (Note 1) |
291,631,866 |
|
|
Payable for shares of the fund repurchased |
2,202,425 |
|
|
Payable for compensation of Manager (Note 2) |
813,538 |
|
|
Payable for custodian fees (Note 2) |
30,782 |
|
|
Payable for investor servicing fees (Note 2) |
251,245 |
|
|
Payable for Trustee compensation and expenses (Note 2) |
77,713 |
|
|
Payable for administrative services (Note 2) |
3,548 |
|
|
Payable for distribution fees (Note 2) |
251,733 |
|
|
Payable for variation margin (Note 1) |
1,210,060 |
|
|
Unrealized depreciation on OTC swap contracts (Note 1) |
26,847,762 |
|
|
Premium received on OTC swap contracts (Note 1) |
1,813,564 |
|
|
Unrealized depreciation on forward currency contracts (Note 1) |
2,967,640 |
|
|
Unrealized depreciation on forward premium swap option contracts (Note 1) |
67,894 |
|
|
Written options outstanding, at value (premiums $3,203,915) (Notes 1 and 3) |
2,111,885 |
|
|
TBA sale commitments, at value (proceeds receivable $19,371,641) (Note 1) |
19,362,187 |
|
|
Collateral on certain derivative contracts, at value (Note 1) |
7,620,000 |
|
|
Other accrued expenses |
217,036 |
|
|
Total liabilities |
367,219,496 |
|
|
Net assets |
$1,254,119,013 |
|
|
(Continued on next page) |
The accompanying notes are an integral part of these financial statements.
Absolute Return 700 Fund 63
|
Statement of assets and liabilities (Continued) |
||
|
REPRESENTED BY |
||
|
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) |
$1,168,472,648 |
|
|
Distributions in excess of net investment income (Note 1) |
(24,529,540) |
|
|
Accumulated net realized gain on investments and foreign currency transactions (Note 1) |
65,467,634 |
|
|
Net unrealized appreciation of investments and assets and liabilities in foreign currencies |
44,708,271 |
|
|
Total — Representing net assets applicable to capital shares outstanding |
$1,254,119,013 |
|
|
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE |
||
|
Net asset value and redemption price per class A share ($364,311,479 divided by 29,275,640 shares) |
$12.44 |
|
|
Offering price per class A share (100/94.25 of $12.44)* |
$13.20 |
|
|
Net asset value and offering price per class B share ($29,992,480 divided by 2,457,137 shares)** |
$12.21 |
|
|
Net asset value and offering price per class C share ($183,903,632 divided by 15,075,480 shares)** |
$12.20 |
|
|
Net asset value and redemption price per class M share ($6,373,759 divided by 519,332 shares) |
$12.27 |
|
|
Offering price per class M share (100/96.50 of $12.27)* |
$12.72 |
|
|
Net asset value, offering price and redemption price per class R share ($1,897,875 divided by 154,088 shares) |
$12.32 |
|
|
Net asset value, offering price and redemption price per class R5 share ($11,691 divided by 936 shares) |
$12.49 |
|
|
Net asset value, offering price and redemption price per class R6 share ($6,937,093 divided by 555,521 shares) |
$12.49 |
|
|
Net asset value, offering price and redemption price per class Y share ($660,691,004 divided by 53,049,462 shares) |
$12.45 |
|
|
* |
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. |
|
The accompanying notes are an integral part of these financial statements.
64 Absolute Return 700 Fund
|
Statement of operations Six months ended 4/30/15 (Unaudited) |
||
|
INVESTMENT INCOME |
||
|
Interest (including interest income of $97,434 from investments in affiliated issuers) (Note 5) |
$9,728,979 |
|
|
Dividends (net of foreign tax of $109,995) |
6,017,953 |
|
|
Total investment income |
15,746,932 |
|
|
EXPENSES |
||
|
Compensation of Manager (Note 2) |
4,790,599 |
|
|
Investor servicing fees (Note 2) |
740,170 |
|
|
Custodian fees (Note 2) |
51,862 |
|
|
Trustee compensation and expenses (Note 2) |
21,426 |
|
|
Distribution fees (Note 2) |
1,443,098 |
|
|
Administrative services (Note 2) |
17,105 |
|
|
Other |
271,452 |
|
|
Total expenses |
7,335,712 |
|
|
Expense reduction (Note 2) |
(21,270) |
|
|
Net expenses |
7,314,442 |
|
|
Net investment income |
8,432,490 |
|
|
Net realized gain on investments (Notes 1 and 3) |
30,370,088 |
|
|
Net realized gain on swap contracts (Note 1) |
12,426,464 |
|
|
Net realized gain on futures contracts (Note 1) |
17,762,057 |
|
|
Net realized gain on foreign currency transactions (Note 1) |
10,341,815 |
|
|
Net realized loss on written options (Notes 1 and 3) |
(1,939,045) |
|
|
Net unrealized depreciation of assets and liabilities in foreign currencies during the period |
(5,563,709) |
|
|
Net unrealized depreciation of investments, futures contracts, swap contracts, written options, and TBA sale commitments during the period |
(28,031,954) |
|
|
Net gain on investments |
35,365,716 |
|
|
Net increase in net assets resulting from operations |
$43,798,206 |
The accompanying notes are an integral part of these financial statements.
Absolute Return 700 Fund 65
|
Statement of changes in net assets |
|||
|
INCREASE IN NET ASSETS |
Six months ended 4/30/15* |
Year ended 10/31/14 |
|
|
Operations: |
|||
|
Net investment income |
$8,432,490 |
$16,910,148 |
|
|
Net realized gain on investments and foreign currency transactions |
68,961,379 |
39,633,447 |
|
|
Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies |
(33,595,663) |
451,455 |
|
|
Net increase in net assets resulting from operations |
43,798,206 |
56,995,050 |
|
|
Distributions to shareholders (Note 1): |
|||
|
From ordinary income |
|||
|
Net investment income |
|||
|
Class A |
(4,757,439) |
(3,999,508) |
|
|
Class B |
(215,483) |
(127,876) |
|
|
Class C |
(1,330,345) |
(660,606) |
|
|
Class M |
(55,120) |
(30,942) |
|
|
Class R |
(23,421) |
(18,601) |
|
|
Class R5 |
(197) |
(147) |
|
|
Class R6 |
(122,131) |
(95,842) |
|
|
Class Y |
(10,035,025) |
(6,740,179) |
|
|
From net realized long-term gain on investments |
|||
|
Class A |
(14,604,208) |
— |
|
|
Class B |
(1,295,170) |
— |
|
|
Class C |
(7,440,380) |
— |
|
|
Class M |
(238,434) |
— |
|
|
Class R |
(84,957) |
— |
|
|
Class R5 |
(501) |
— |
|
|
Class R6 |
(303,202) |
— |
|
|
Class Y |
(25,810,808) |
— |
|
|
Increase from capital share transactions (Note 4) |
180,529,556 |
50,609,801 |
|
|
Total increase in net assets |
158,010,941 |
95,931,150 |
|
|
NET ASSETS |
|||
|
Beginning of period |
1,096,108,072 |
1,000,176,922 |
|
|
End of period (including distributions in excess of net investment income of $24,529,540 and $16,422,869, respectively) |
$1,254,119,013 |
$1,096,108,072 |
|
|
* |
Unaudited. |
The accompanying notes are an integral part of these financial statements.
66 Absolute Return 700 Fund
This page left blank intentionally.
Absolute Return 700 Fund 67
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 |
Redemption |
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 |
Ratio of |
Portfolio turnover (%) |
|
Class A |
||||||||||||||
|
April 30, 2015** |
$12.71 |
.09 |
.40 |
.49 |
(.19) |
(.57) |
(.76) |
— |
$12.44 |
3.95* |
$364,311 |
.63* |
.72* |
244 e* |
|
October 31, 2014 |
12.17 |
.20 |
.48 |
.68 |
(.14) |
— |
(.14) |
— |
12.71 |
5.65 |
328,250 |
1.24 |
1.63 |
313e |
|
October 31, 2013 |
11.78 |
.24 |
.16 |
.40 |
(.01) |
— |
(.01) |
— |
12.17 |
3.42 |
346,385 |
1.25 |
2.04 |
199f |
|
October 31, 2012 |
11.35 |
.21 |
.66 |
.87 |
(.44) |
— |
(.44) |
— |
11.78 |
7.97 |
331,370 |
1.33d |
1.82d |
164f |
|
October 31, 2011 |
11.45 |
.33 |
(.04) |
.29 |
(.34) |
(.05) |
(.39) |
— |
11.35 |
2.55 |
364,714 |
1.37d |
2.86d |
174f |
|
October 31, 2010 |
11.16 |
.43 |
.06 |
.49 |
(.15) |
(.05) |
(.20) |
—g |
11.45 |
4.44 |
279,592 |
1.63d |
3.81d |
244f |
|
Class B |
||||||||||||||
|
April 30, 2015** |
$12.44 |
.04 |
.40 |
.44 |
(.10) |
(.57) |
(.67) |
— |
$12.21 |
3.60* |
$29,992 |
1.00* |
.35* |
244 e* |
|
October 31, 2014 |
11.91 |
.11 |
.47 |
.58 |
(.05) |
— |
(.05) |
— |
12.44 |
4.92 |
28,072 |
1.99 |
.88 |
313e |
|
October 31, 2013 |
11.60 |
.15 |
.16 |
.31 |
— |
— |
— |
— |
11.91 |
2.67 |
28,175 |
2.00 |
1.29 |
199f |
|
October 31, 2012 |
11.19 |
.12 |
.65 |
.77 |
(.36) |
— |
(.36) |
— |
11.60 |
7.13 |
26,015 |
2.08d |
1.06d |
164f |
|
October 31, 2011 |
11.31 |
.24 |
(.03) |
.21 |
(.28) |
(.05) |
(.33) |
— |
11.19 |
1.84 |
22,984 |
2.12d |
2.14d |
174f |
|
October 31, 2010 |
11.08 |
.34 |
.05 |
.39 |
(.11) |
(.05) |
(.16) |
—g |
11.31 |
3.54 |
18,375 |
2.38d |
3.05d |
244f |
|
Class C |
||||||||||||||
|
April 30, 2015** |
$12.44 |
.04 |
.39 |
.43 |
(.10) |
(.57) |
(.67) |
— |
$12.20 |
3.58* |
$183,904 |
1.00* |
.35* |
244 e* |
|
October 31, 2014 |
11.91 |
.11 |
.47 |
.58 |
(.05) |
— |
(.05) |
— |
12.44 |
4.91 |
160,682 |
1.99 |
.88 |
313e |
|
October 31, 2013 |
11.60 |
.15 |
.16 |
.31 |
— |
— |
— |
— |
11.91 |
2.67 |
148,531 |
2.00 |
1.29 |
199f |
|
October 31, 2012 |
11.19 |
.12 |
.65 |
.77 |
(.36) |
— |
(.36) |
— |
11.60 |
7.16 |
138,619 |
2.08d |
1.06d |
164f |
|
October 31, 2011 |
11.31 |
.24 |
(.04) |
.20 |
(.27) |
(.05) |
(.32) |
— |
11.19 |
1.79 |
132,156 |
2.12d |
2.12d |
174f |
|
October 31, 2010 |
11.09 |
.34 |
.06 |
.40 |
(.13) |
(.05) |
(.18) |
—g |
11.31 |
3.59 |
98,655 |
2.38d |
3.05d |
244f |
|
Class M |
||||||||||||||
|
April 30, 2015** |
$12.52 |
.06 |
.39 |
.45 |
(.13) |
(.57) |
(.70) |
— |
$12.27 |
3.72* |
$6,374 |
.88* |
.47* |
244 e* |
|
October 31, 2014 |
11.99 |
.14 |
.47 |
.61 |
(.08) |
— |
(.08) |
— |
12.52 |
5.12 |
5,286 |
1.74 |
1.12 |
313e |
|
October 31, 2013 |
11.65 |
.18 |
.16 |
.34 |
— |
— |
— |
— |
11.99 |
2.92 |
4,535 |
1.75 |
1.53 |
199f |
|
October 31, 2012 |
11.23 |
.15 |
.65 |
.80 |
(.38) |
— |
(.38) |
— |
11.65 |
7.40 |
4,105 |
1.83d |
1.31d |
164f |
|
October 31, 2011 |
11.32 |
.27 |
(.03) |
.24 |
(.28) |
(.05) |
(.33) |
— |
11.23 |
2.12 |
3,830 |
1.87d |
2.34d |
174f |
|
October 31, 2010 |
11.10 |
.37 |
.03 |
.40 |
(.13) |
(.05) |
(.18) |
—g |
11.32 |
3.64 |
3,134 |
2.13d |
3.30d |
244f |
|
Class R |
||||||||||||||
|
April 30, 2015** |
$12.57 |
.07 |
.41 |
.48 |
(.16) |
(.57) |
(.73) |
— |
$12.32 |
3.93* |
$1,898 |
.75* |
.61* |
244 e* |
|
October 31, 2014 |
12.04 |
.17 |
.48 |
.65 |
(.12) |
— |
(.12) |
— |
12.57 |
5.40 |
1,848 |
1.49 |
1.39 |
313e |
|
October 31, 2013 |
11.68 |
.21 |
.15 |
.36 |
—g |
— |
—f |
— |
12.04 |
3.11 |
2,005 |
1.50 |
1.77 |
199f |
|
October 31, 2012 |
11.25 |
.17 |
.67 |
.84 |
(.41) |
— |
(.41) |
— |
11.68 |
7.77 |
1,235 |
1.58d |
1.52d |
164f |
|
October 31, 2011 |
11.37 |
.30 |
(.05) |
.25 |
(.32) |
(.05) |
(.37) |
— |
11.25 |
2.26 |
643 |
1.62d |
2.60d |
174f |
|
October 31, 2010 |
11.12 |
.40 |
.04 |
.44 |
(.14) |
(.05) |
(.19) |
—g |
11.37 |
3.97 |
431 |
1.88d |
3.56d |
244f |
|
Class R5 |
||||||||||||||
|
April 30, 2015** |
$12.78 |
.11 |
.39 |
.50 |
(.22) |
(.57) |
(.79) |
— |
$12.49 |
4.08* |
$12 |
.50* |
.86* |
244 e* |
|
October 31, 2014 |
12.22 |
.24 |
.49 |
.73 |
(.17) |
— |
(.17) |
— |
12.78 |
6.03 |
11 |
.96 |
1.90 |
313e |
|
October 31, 2013 |
11.81 |
.28 |
.15 |
.43 |
(.02) |
— |
(.02) |
— |
12.22 |
3.66 |
11 |
1.02 |
2.29 |
199f |
|
October 31, 2012† |
11.56 |
.07 |
.18 |
.25 |
— |
— |
— |
— |
11.81 |
2.16* |
10 |
.34*d |
.54*d |
164f |
|
Class R6 |
||||||||||||||
|
April 30, 2015** |
$12.77 |
.11 |
.41 |
.52 |
(.23) |
(.57) |
(.80) |
— |
$12.49 |
4.22* |
$6,937 |
.47* |
.89* |
244 e* |
|
October 31, 2014 |
12.23 |
.24 |
.48 |
.72 |
(.18) |
— |
(.18) |
— |
12.77 |
5.97 |
6,678 |
.91 |
1.96 |
313e |
|
October 31, 2013 |
11.81 |
.25 |
.20 |
.45 |
(.03) |
— |
(.03) |
— |
12.23 |
3.79 |
6,500 |
.92 |
2.09 |
199f |
|
October 31, 2012† |
11.56 |
.07 |
.18 |
.25 |
— |
— |
— |
— |
11.81 |
2.16* |
10 |
.31*d |
.58*d |
164f |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
|
68 |
Absolute Return 700 Fund |
Absolute Return 700 Fund |
69 |
Financial highlights (Continued)
|
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 |
Redemption |
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 |
Ratio of |
Portfolio turnover (%) |
|
Class Y |
||||||||||||||
|
April 30, 2015** |
$12.74 |
.11 |
.39 |
.50 |
(.22) |
(.57) |
(.79) |
— |
$12.45 |
4.08* |
$660,691 |
.51* |
.85* |
244 e* |
|
October 31, 2014 |
12.20 |
.23 |
.49 |
.72 |
(.18) |
— |
(.18) |
— |
12.74 |
5.93 |
565,281 |
.99 |
1.88 |
313e |
|
October 31, 2013 |
11.81 |
.27 |
.16 |
.43 |
(.04) |
— |
(.04) |
— |
12.20 |
3.67 |
464,035 |
1.00 |
2.27 |
199f |
|
October 31, 2012 |
11.37 |
.23 |
.67 |
.90 |
(.46) |
— |
(.46) |
— |
11.81 |
8.31 |
283,356 |
1.08d |
2.04d |
164f |
|
October 31, 2011 |
11.47 |
.36 |
(.05) |
.31 |
(.36) |
(.05) |
(.41) |
— |
11.37 |
2.75 |
195,030 |
1.12d |
3.13d |
174f |
|
October 31, 2010 |
11.17 |
.46 |
.05 |
.51 |
(.16) |
(.05) |
(.21) |
—g |
11.47 |
4.64 |
169,634 |
1.38d |
4.04d |
244f |
* Not annualized.
** Unaudited.
† For the period July 3, 2012 (commencement of operations) to October 31, 2012.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage service arrangements, 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):
|
10/31/12 |
10/31/11 |
10/31/10 |
|
|
Class A |
0.05% |
0.08% |
0.03% |
|
Class B |
0.05 |
0.08 |
0.03 |
|
Class C |
0.05 |
0.08 |
0.03 |
|
Class M |
0.05 |
0.08 |
0.03 |
|
Class R |
0.05 |
0.08 |
0.03 |
|
Class R5 |
— |
N/A |
N/A |
|
Class R6 |
— |
N/A |
N/A |
|
Class Y |
0.05 |
0.08 |
0.03 |
e Portfolio turnover includes TBA purchase and sale commitments.
f 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 the following:
|
Portfolio turnover % |
|
|
October 31, 2013 |
463% |
|
October 31, 2012 |
487 |
|
October 31, 2011 |
407 |
|
October 31, 2010 |
464 |
g Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
|
70 |
Absolute Return 700 Fund |
Absolute Return 700 Fund |
71 |
Notes to financial statements 4/30/15 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from November 1, 2014 through April 30, 2015.
Putnam Absolute Return 700 Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek to earn a positive total return that exceeds the return on U.S. Treasury bills by 700 basis points (or 7.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions. The fund is designed to pursue a consistent absolute return by combining two independent investment strategies — a beta strategy, which provides broad exposure to investment markets, and an alpha strategy, which seeks returns from active trading. The beta strategy seeks to balance risk and to provide positive total return by investing, without limit, in many different asset classes, including U.S., international, and emerging markets equity securities (growth or value stocks or both) and fixed-income securities; mortgage- and asset-backed securities; below-investment-grade securities (sometimes referred to as “junk bonds”); inflation-protected securities; commodities; and real estate investment trusts (REITs). The alpha strategy involves the potential use of active trading strategies designed to provide additional total return through active security selection, tactical asset allocation, currency transactions and options transactions. In pursuing a consistent absolute return, the fund’s strategies are also generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. These traditional asset classes might include, for example, equities or equity-like investments.
Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments, and, among other factors, credit, interest rate and prepayment risks when deciding whether to buy or sell fixed-income investments. Putnam Management may also take into account general market conditions when making investment decisions. Putnam Management typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, to a significant extent for hedging purposes and to increase the fund’s exposure to the asset classes and strategies mentioned above, which may create investment leverage.
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
72 Absolute Return 700 Fund
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 Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have 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 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, 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
Absolute Return 700 Fund 73
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. 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 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
74 Absolute Return 700 Fund
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 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 to currencies.
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.
Absolute Return 700 Fund 75
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, and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
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.
76 Absolute Return 700 Fund
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, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA 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 its obligations. 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 posted to the fund which cannot be sold or repledged totaled $1,550,561 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
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 $17,099,529 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $18,346,998 and may include amounts related to unsettled agreements.
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
Absolute Return 700 Fund 77
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 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 $1,506,046,852, resulting in gross unrealized appreciation and depreciation of $86,366,236 and $30,337,521, respectively, or net unrealized appreciation of $56,028,715.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (base fee) (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
|
1.030% |
of the first $5 billion, |
|
0.980% |
of the next $5 billion, |
|
0.930% |
of the next $10 billion, |
|
0.880% |
of the next $10 billion, |
|
0.830% |
of the next $50 billion, |
|
0.810% |
of the next $50 billion, |
|
0.800% |
of the next $100 billion and |
|
0.795% |
of any excess thereafter. |
78 Absolute Return 700 Fund
The applicable base fee is increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease is calculated monthly based on a performance adjustment rate that is equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by the fund’s class A shares) and the annualized performance of the BofA Merrill Lynch U.S. Treasury Bill Index plus 7.00% over the thirty-six month period then ended (the “performance period”). The maximum annualized performance adjustment rate is +/– 0.28%. Each month, the performance adjustment rate is multiplied by the fund’s average net assets over the performance period and the result is divided by twelve. The resulting dollar amount is added to, or subtracted from, the base fee for that month. The monthly base fee is determined based on the fund’s average net assets for the month, while the performance adjustment is determined based on the fund’s average net assets over the performance period of up to thirty-six months. This means it is possible that, if the fund underperforms significantly over the performance period, and the fund’s assets have declined significantly over that period, the negative performance adjustment may exceed the base fee. In this event, Putnam Management would make a payment to the fund.
Because the performance adjustment is based on the fund’s performance relative to its applicable benchmark index, and not its absolute performance, the performance adjustment could increase Putnam Management’s fee even if the fund’s shares lose value during the performance period provided that the fund outperformed its benchmark index, and could decrease Putnam Management’s fee even if the fund’s shares increase in value during the performance period provided that the fund underperformed its benchmark index.
For the reporting period, the base fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.430% of the fund’s average net assets before a decrease of $206,619 (0.018% of the fund’s average net assets) based on performance.
Putnam Management has contractually agreed to limit the fund’s total expenses through February 29, 2016, to the extent that the total expenses of the fund (before performance adjustments to the fund’s management fee and excluding brokerage, interest, taxes, investment related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s distribution plans) will not exceed an annual rate of 1.10% of the fund’s average net assets. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Management has 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 Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for class R5 and R6 shares) that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund and each of the other funds in its specified category, which was totaled and then allocated to each fund in the category based on its average daily net assets; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) for the portion of the fund’s fiscal year beginning after January 1, 2015, a specified rate based on the average net assets in retail accounts. Putnam Investor Services has agreed that the
Absolute Return 700 Fund 79
aggregate investor servicing fees for each fund’s retail and defined contribution accounts will not exceed an annual rate of 0.320% of the fund’s average assets attributable to such accounts. Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%. Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
|
Class A |
$217,980 |
|
Class B |
18,644 |
|
Class C |
109,978 |
|
Class M |
3,542 |
|
Class R |
1,207 |
|
Class R5 |
7 |
|
Class R6 |
1,745 |
|
Class Y |
387,067 |
|
Total |
$740,170 |
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 $1,957 under the expense offset arrangements and by $19,313 under the brokerage/service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $714, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:
|
Class A |
$422,862 |
|
Class B |
144,309 |
|
Class C |
850,671 |
|
Class M |
20,551 |
|
Class R |
4,705 |
|
Total |
$1,443,098 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $82,166 and $882 from the sale of class A and class M shares, respectively, and received $6,551 and $1,951 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 $11 and no monies on class A and class M redemptions, respectively.
80 Absolute Return 700 Fund
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
|
Cost of purchases |
Proceeds from sales |
|
|
Investments in securities, including TBA commitments |
$3,081,010,151 |
$2,659,150,336 |
|
U.S. government securities (Long-term) |
— |
— |
|
Total |
$3,081,010,151 |
$2,659,150,336 |
Written option transactions during the reporting period are summarized as follows:
|
Written swap option contract amounts |
Written swap option premiums |
Written option contract amounts |
Written option premiums |
|
|
Written options outstanding at the beginning of the reporting period |
$110,319,300 |
$2,533,025 |
$87,635,997 |
$961,558 |
|
Options opened |
367,043,925 |
2,371,033 |
92,608,116 |
3,898,039 |
|
Options exercised |
(23,294,950) |
(160,879) |
— |
— |
|
Options expired |
(52,308,700) |
(294,048) |
(115,367,978) |
(2,363,277) |
|
Options closed |
(261,724,300) |
(1,953,866) |
(51,132,879) |
(1,787,670) |
|
Written options outstanding at the end of the reporting period |
$140,035,275 |
$2,495,265 |
$13,743,256 |
$708,650 |
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class A |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
5,483,609 |
$68,441,282 |
6,653,561 |
$82,804,806 |
|
Shares issued in connection with reinvestment of distributions |
1,467,086 |
17,883,782 |
299,439 |
3,641,187 |
|
6,950,695 |
86,325,064 |
6,953,000 |
86,445,993 |
|
|
Shares repurchased |
(3,503,366) |
(43,854,777) |
(9,595,180) |
(119,560,403) |
|
Net increase (decrease) |
3,447,329 |
$42,470,287 |
(2,642,180) |
$(33,114,410) |
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class B |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
198,092 |
$2,432,931 |
271,121 |
$3,307,619 |
|
Shares issued in connection with reinvestment of distributions |
120,767 |
1,447,992 |
10,150 |
121,599 |
|
318,859 |
3,880,923 |
281,271 |
3,429,218 |
|
|
Shares repurchased |
(119,221) |
(1,467,472) |
(389,485) |
(4,754,786) |
|
Net increase (decrease) |
199,638 |
$2,413,451 |
(108,214) |
$(1,325,568) |
Absolute Return 700 Fund 81
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class C |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
2,676,756 |
$32,741,994 |
3,297,436 |
$40,293,927 |
|
Shares issued in connection with reinvestment of distributions |
643,103 |
7,704,376 |
47,345 |
567,189 |
|
3,319,859 |
40,446,370 |
3,344,781 |
40,861,116 |
|
|
Shares repurchased |
(1,166,069) |
(14,317,067) |
(2,895,365) |
(35,335,371) |
|
Net increase |
2,153,790 |
$26,129,303 |
449,416 |
$5,525,745 |
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class M |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
94,673 |
$1,166,149 |
113,895 |
$1,396,714 |
|
Shares issued in connection with reinvestment of distributions |
23,860 |
287,513 |
2,463 |
29,630 |
|
118,533 |
1,453,662 |
116,358 |
1,426,344 |
|
|
Shares repurchased |
(21,346) |
(263,977) |
(72,443) |
(886,521) |
|
Net increase |
97,187 |
$1,189,685 |
43,915 |
$539,823 |
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class R |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
30,132 |
$373,621 |
39,691 |
$488,699 |
|
Shares issued in connection with reinvestment of distributions |
8,972 |
108,378 |
1,542 |
18,601 |
|
39,104 |
481,999 |
41,233 |
507,300 |
|
|
Shares repurchased |
(31,986) |
(395,090) |
(60,755) |
(745,697) |
|
Net increase (decrease) |
7,118 |
$86,909 |
(19,522) |
$(238,397) |
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class R5 |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
— |
$— |
— |
$— |
|
Shares issued in connection with reinvestment of distributions |
57 |
698 |
12 |
147 |
|
57 |
698 |
12 |
147 |
|
|
Shares repurchased |
— |
— |
— |
— |
|
Net increase |
57 |
$698 |
12 |
$147 |
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class R6 |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
107,199 |
$1,343,939 |
123,039 |
$1,536,117 |
|
Shares issued in connection with reinvestment of distributions |
34,806 |
425,333 |
7,862 |
95,842 |
|
142,005 |
1,769,272 |
130,901 |
1,631,959 |
|
|
Shares repurchased |
(109,285) |
(1,370,983) |
(139,598) |
(1,736,634) |
|
Net increase (decrease) |
32,720 |
$398,289 |
(8,697) |
$(104,675) |
82 Absolute Return 700 Fund
|
Six months ended 4/30/15 |
Year ended 10/31/14 |
|||
|
Class Y |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
16,648,518 |
$208,036,965 |
18,967,042 |
$236,701,531 |
|
Shares issued in connection with reinvestment of distributions |
2,564,915 |
31,266,314 |
470,609 |
5,722,600 |
|
19,213,433 |
239,303,279 |
19,437,651 |
242,424,131 |
|
|
Shares repurchased |
(10,539,453) |
(131,462,345) |
(13,103,798) |
(163,096,995) |
|
Net increase |
8,673,980 |
$107,840,934 |
6,333,853 |
$79,327,136 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
|
Shares owned |
Percentage of ownership |
Value |
|
|
Class R5 |
936 |
100% |
11,691 |
|
Class R6 |
938 |
0.17 |
11,716 |
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* |
$— |
$71,939,094 |
$71,939,093 |
$6,970 |
$1 |
|
Putnam Short Term Investment Fund* |
191,814,213 |
232,929,246 |
280,227,138 |
90,464 |
144,516,321 |
|
Totals |
$191,814,213 |
$304,868,340 |
$352,166,231 |
$97,434 |
$144,516,322 |
*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.
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 in higher yielding, lower rated bonds that may have a higher rate of default. 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.
Absolute Return 700 Fund 83
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) |
$1,700,000 |
|
Purchased TBA commitment option contracts (contract amount) |
$23,300,000 |
|
Purchased swap option contracts (contract amount) |
$135,800,000 |
|
Written equity option contracts (contract amount) (Note 3) |
$1,700,000 |
|
Written TBA commitment option contracts (contract amount) (Note 3) |
$43,100,000 |
|
Written swap option contracts (contract amount) (Note 3) |
$112,300,000 |
|
Futures contracts (number of contracts) |
5,000 |
|
Forward currency contracts (contract amount) |
$267,800,000 |
|
Centrally cleared interest rate swap contracts (notional) |
$835,100,000 |
|
OTC total return swap contracts (notional) |
$1,875,100,000 |
|
OTC credit default contracts (notional) |
$135,800,000 |
|
Warrants (number of warrants) |
—* |
*For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.
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 |
$961,352 |
Payables, Net |
$891,363 |
|
Foreign exchange |
Receivables |
3,380,838 |
Payables |
2,967,640 |
|
Equity contracts |
Investments, Receivables, Net assets — Unrealized appreciation |
47,456,001* |
Payables, Net |
27,337,062* |
|
Interest rate contracts |
Investments, Receivables, Net assets — Unrealized appreciation |
4,109,398* |
Payables, Net |
6,756,133* |
|
Total |
$55,907,589 |
$37,952,198 |
||
*Includes cumulative appreciation/depreciation of futures contracts and/or 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.
84 Absolute Return 700 Fund
The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
|
Derivatives not accounted for as hedging instruments under ASC 815 |
Warrants |
Options |
Futures |
Forward currency contracts |
Swaps |
Total |
|
Credit contracts |
$— |
$— |
$— |
$— |
$1,313,787 |
$1,313,787 |
|
Foreign exchange |
— |
— |
— |
10,246,731 |
— |
10,246,731 |
|
Equity contracts |
112,176 |
(8,218,376) |
3,156,452 |
— |
17,007,538 |
12,057,790 |
|
Interest rate |
— |
(441,176) |
14,605,605 |
— |
(5,894,861) |
8,269,568 |
|
Total |
$112,176 |
$(8,659,552) |
$17,762,057 |
$10,246,731 |
$12,426,464 |
$31,887,876 |
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 |
Warrants |
Options |
Futures |
Forward currency contracts |
Swaps |
Total |
|
Credit contracts |
$— |
$— |
$— |
$— |
$1,289,185 |
$1,289,185 |
|
Foreign exchange |
— |
— |
— |
(4,715,936) |
— |
(4,715,936) |
|
Equity contracts |
823,214 |
3,416,468 |
(3,971,231) |
— |
(32,416,065) |
(32,147,614) |
|
Interest rate |
— |
741,159 |
2,105,773 |
— |
(837,953) |
2,008,979 |
|
Total |
$823,214 |
$4,157,627 |
$(1,865,458) |
$(4,715,936) |
$(31,964,833) |
$(33,565,386) |
Absolute Return 700 Fund 85
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§ |
$— |
$— |
$284,838 |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$284,838 |
|
OTC Total return swap contracts*# |
2,295,600 |
248,946 |
— |
919,686 |
376,030 |
2,963,155 |
3,373,449 |
— |
3,846,155 |
— |
— |
— |
— |
— |
14,023,021 |
|
OTC Credit default contracts*# |
9,906 |
3,249 |
— |
— |
837,240 |
— |
110,957 |
— |
— |
— |
— |
— |
— |
— |
961,352 |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
— |
587,780 |
— |
— |
— |
— |
587,780 |
|
Forward currency contracts# |
288,764 |
527,261 |
— |
232,211 |
356,210 |
208,982 |
263,126 |
220,063 |
519,041 |
— |
198,794 |
423,060 |
— |
143,326 |
3,380,838 |
|
Forward premium swap option contracts# |
— |
1,652 |
— |
— |
— |
— |
— |
— |
49,520 |
— |
— |
— |
— |
— |
51,172 |
|
Purchased swap options**# |
171,277 |
34,054 |
— |
67,797 |
342,247 |
— |
228,718 |
— |
— |
— |
— |
— |
— |
— |
844,093 |
|
Purchased options**# |
— |
875,298 |
— |
— |
— |
— |
— |
— |
7,428,506 |
— |
— |
— |
— |
— |
8,303,804 |
|
Total Assets |
$2,765,547 |
$1,690,460 |
$284,838 |
$1,219,694 |
$1,911,727 |
$3,172,137 |
$3,976,250 |
$220,063 |
$11,843,222 |
$587,780 |
$198,794 |
$423,060 |
$— |
$143,326 |
$28,436,898 |
|
Liabilities: |
|||||||||||||||
|
Centrally cleared interest rate swap contracts§ |
— |
— |
513,555 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
513,555 |
|
OTC Total return swap contracts*# |
3,947,130 |
109,849 |
— |
4,989,484 |
39,065 |
2,475,183 |
5,407,591 |
— |
30,875 |
— |
— |
— |
9,516,546 |
— |
26,515,723 |
|
OTC Credit default contracts*# |
— |
— |
— |
— |
654,983 |
— |
236,380 |
— |
— |
— |
— |
— |
— |
— |
891,363 |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
— |
696,505 |
— |
— |
— |
— |
696,505 |
|
Forward currency contracts# |
93,457 |
436,832 |
— |
325,166 |
315,158 |
310,268 |
103,597 |
304,913 |
454,990 |
— |
168,809 |
420,323 |
— |
34,127 |
2,967,640 |
|
Forward premium swap option contracts# |
— |
790 |
— |
— |
— |
— |
1,067 |
— |
66,037 |
— |
— |
— |
— |
— |
67,894 |
|
Written swap options# |
109,533 |
21,652 |
— |
38,798 |
212,046 |
— |
143,466 |
— |
1,476,867 |
— |
— |
— |
— |
— |
2,002,362 |
|
Written options# |
63,955 |
7,032 |
— |
— |
— |
696 |
— |
— |
37,840 |
— |
— |
— |
— |
— |
109,523 |
|
Total Liabilities |
$4,214,075 |
$576,155 |
$513,555 |
$5,353,448 |
$1,221,252 |
$2,786,147 |
$5,892,101 |
$304,913 |
$2,066,609 |
$696,505 |
$168,809 |
$420,323 |
$9,516,546 |
$34,127 |
$33,764,565 |
|
Total Financial and Derivative Net Assets |
$(1,448,528) |
$1,114,305 |
$(228,717) |
$(4,133,754) |
$690,475 |
$385,990 |
$(1,915,851) |
$(84,850) |
$9,776,613 |
$(108,725) |
$29,985 |
$2,737 |
$(9,516,546) |
$109,199 |
$(5,327,667) |
|
Total collateral received (pledged)†## |
$(677,000) |
$830,000 |
$— |
$(4,133,754) |
$690,475 |
$385,990 |
$1,083,601 |
$— |
$5,530,000 |
$— |
$29,985 |
$— |
$(9,516,546) |
$— |
|
|
Net amount |
$(771,528) |
$284,305 |
$(228,717) |
$— |
$— |
$— |
$(2,999,452) |
$(84,850) |
$4,246,613 |
$(108,725) |
$— |
$2,737 |
$— |
$109,199 |
|
* |
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. |
|
86 |
Absolute Return 700 Fund |
Absolute Return 700 Fund |
87 |
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.
88 Absolute Return 700 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.
Absolute Return 700 Fund 89
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.
90 Absolute Return 700 Fund
Putnam’s commitment
to confidentiality
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Within the Putnam organization, your information is shared with those who need it to service your account or provide you with information about other Putnam products or services. Under certain circumstances, we must also share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. It is also our policy to share account information with your financial advisor, if you've provided us with information about your advisor and that person is listed on your Putnam account.
If you would like clarification about our confidentiality policies or have any questions or concerns, please don't hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:00 a.m. to 8:00 p.m. Eastern Time.
Absolute Return 700 Fund 91
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
Investment Sub-Advisor
The Putnam Advisory
Company, LLC
One Post Office Square
Boston, MA 02109
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
92 Absolute Return 700 Fund
This report is for the information of shareholders of Putnam Absolute Return 700 Fund®. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. Controls and Procedures: |
| (a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
| Item 12. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| Putnam Funds Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: June 26, 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: June 26, 2015 |
| By (Signature and Title): |
| /s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
| Date: June 26, 2015 |
| Certifications | |
| I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; | |
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and | |
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and | |
5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting. | |
Date: June 25, 2015 | |
/s/ Jonathan S. Horwitz | |
| _______________________ | |
| Jonathan S. Horwitz | |
| Principal Executive Officer | |
Certifications | |
| I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; | |
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and | |
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and | |
5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting. | |
Date: June 25, 2015 | |
/s/ Steven D. Krichmar | |
| _______________________ | |
| Steven D. Krichmar | |
| Principal Financial Officer | |
Attachment A | |
Period (s) ended April 30, 2015 | |
| Putnam Managed Municipal Income Trust | |
| Putnam Municipal Opportunities Trust | |
| Putnam Multi-Cap Value Fund | |
| The Putnam Fund for Growth and Income | |
| Putnam Capital Opportunities Fund | |
| Putnam Income Fund | |
| Putnam Global Income Trust | |
| Putnam Global Equity Fund | |
| Putnam Convertible Securities Fund | |
| Putnam Absolute Return 100 Fund | |
| Putnam Absolute Return 300 Fund | |
| Putnam Absolute Return 500 Fund | |
| Putnam Absolute Return 700 Fund | |
| Putnam Capital Spectrum Fund | |
| Putnam Equity Spectrum Fund | |
| Putnam Asia Pacific Equity Fund | |
| Putnam Global Sector Fund | |
| Putnam Multi-Cap Core Fund |
| Section 906 Certifications | |
| I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge: | |
1. The form N-CSR of the Funds listed on Attachment A for the period ended April 30, 2015 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | |
2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended April 30, 2015 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. | |
Date: June 25, 2015 | |
/s/ Jonathan S. Horwitz | |
| ______________________ | |
| Jonathan S. Horwitz | |
| Principal Executive Officer | |
Section 906 Certifications | |
| I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge: | |
1. The form N-CSR of the Funds listed on Attachment A for the period ended April 30, 2015 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | |
2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended April 30, 2015 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. | |
Date: June 25, 2015 | |
/s/ Steven D. Krichmar | |
| ______________________ | |
| Steven D. Krichmar | |
| Principal Financial Officer | |
Attachment A | |
N-CSR | |
Period (s) ended April 30, 2015 | |
| Putnam Managed Municipal Income Trust | |
| Putnam Municipal Opportunities Trust | |
| Putnam Multi-Cap Value Fund | |
| The Putnam Fund for Growth and Income | |
| Putnam Capital Opportunities Fund | |
| Putnam Income Fund | |
| Putnam Global Income Trust | |
| Putnam Global Equity Fund | |
| Putnam Convertible Securities Fund | |
| Putnam Absolute Return 100 Fund | |
| Putnam Absolute Return 300 Fund | |
| Putnam Absolute Return 500 Fund | |
| Putnam Absolute Return 700 Fund | |
| Putnam Capital Spectrum Fund | |
| Putnam Equity Spectrum Fund | |
| Putnam Asia Pacific Equity Fund | |
| Putnam Global Sector Fund | |
| Putnam Multi-Cap Core Fund |