| UNITED STATES SECURITIES AND EXCHANGE COMMISSION | ||
| Washington, D.C. 20549 | ||
FORM N-CSR | ||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES | ||
| Investment Company Act file number: | (811-07513) |
| Exact name of registrant as specified in charter: | Putnam Funds Trust |
| Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
| Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
| Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | May 31, 2015 |
| Date of reporting period : | June 1, 2014 — May 31, 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 Dynamic
Asset Allocation
Equity Fund
Annual report
5 | 31 | 15
|
Message from the Trustees |
1 |
|
Performance snapshot |
2 |
|
Interview with your fund’s portfolio manager |
3 |
|
Your fund’s performance |
8 |
|
Your fund’s expenses |
11 |
|
Terms and definitions |
13 |
|
Other information for shareholders |
14 |
|
Important notice regarding Putnam’s privacy policy |
15 |
|
Financial statements |
16 |
|
Federal tax information |
62 |
|
About the Trustees |
63 |
|
Officers |
65 |
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Stock prices may fall or fail to rise over time for several reasons, including general financial market conditions and factors related to a specific issuer or industry. 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. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
Investors today are weighing multiple factors, including the anticipated first interest-rate increase by the U.S. Federal Reserve in nine years and mixed economic data.
Some market participants believe a potential pullback in the economy could be in store for the United States, as recent economic data indicate a slowdown. Many others, however, believe the slight contraction in gross domestic product in the first quarter may be similar to the winter weather downturn in 2014. Meanwhile, Europe has shown some early signs of recovery in the areas of both growth and inflation, despite ongoing concerns about Greece’s fiscal situation.
For the past seven years, the Fed has undertaken unprecedented measures to stimulate the economy through bond buying and interest-rate cuts. Now, the Fed is planning to raise interest rates, likely by the end of the year. While negative for bonds, a gradual rise in interest rates could potentially be positive for stocks, indicating economic growth and possibilities for higher corporate profits.
International markets, some of which have delivered solid returns in the first several months of 2015, would also be affected by higher interest rates in the United States. You will find in the following pages an update on your fund’s performance as well as a market outlook from your fund’s portfolio manager.
During a time of shifting market environments, it is important for you to consult with your financial advisor to ensure that your portfolio matches your tolerance for risk and investment goals and to make any necessary adjustments.
Putnam’s professional managers pursue consistent strategies and have experience 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. We would also like to extend our thanks to Charles Curtis, who has retired from the Board of Trustees, for his many years of dedicated service.
Respectfully yours,
Robert L. Reynolds
President and Chief Executive Officer
Putnam Investments
Jameson A. Baxter
Chair, Board of Trustees
July 14, 2015
Performance
snapshot
Annualized total return (%) comparison as of 5/31/15
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 and 8–10 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.
*Putnam Equity Blended Index is administered by Putnam Management and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
2 Dynamic Asset Allocation Equity Fund
Interview with your fund’s portfolio manager
|
|
|
Robert J. Kea, CFA |
Equities produced solid gains for the 12-month reporting period ended May 31, 2015. How did the fund perform during this period?
It was generally constructive for global equities during the annual period, but the overall performance of the asset class was led primarily by the strength of U.S. stocks. The domestic equity markets fared much better than their counterparts in the developed and emerging markets, where slow or slowing economic growth constrained much of the forward momentum in stock prices, particularly in U.S. dollar terms. For most of the period, the U.S. dollar strengthened considerably against other major currencies, which had the effect of dampening the growth of many international stock prices in dollar terms. A stronger dollar also had some negative effects on large U.S. multinational companies whose overseas revenues lost value.
Overall for the 12-month reporting period, U.S. stocks generated double-digit returns, while international developed and emerging-market stock prices were essentially flat. During the period, Putnam Dynamic Asset Allocation Equity Fund returned 11.69%, excluding sales charges, compared with the 8.80% return of its custom equity blended benchmark. The fund underperformed its primary benchmark, the Russell 3000 Index, which reported an 11.86% return for the 12-month reporting period.
Broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 5/31/15. See pages 2 and 8–10 for additional fund performance information. Index descriptions can be found on page 13.
Dynamic Asset Allocation Equity Fund 3
What was the investment environment like during the reporting period?
In the United States, major equity indexes achieved new record highs during the second half of 2014, as investors bid up stock prices on encouraging economic indicators and solid corporate earnings. Significant rollbacks in oil prices during the closing months of 2014 — the result of unrestrained supply growth and shrinking global energy demand — also helped stir investors’ enthusiasm, especially around consumer-oriented stocks. But for the energy sector worldwide, falling oil prices and their dampening effect on top-line revenue growth were not good news. Even so, during the second half of 2014, U.S. gross domestic product [GDP], a broad measure of overall economic activity, posted solid growth in the range of 2.0% to 2.5% on an annualized basis.
Market enthusiasm soon waned, however. A severe winter in the Northeast and a protracted labor dispute at major West Coast ports, among other factors, combined to stall the early-in-the-period economic momentum in the United States. When first-quarter 2015 GDP numbers were printed later in the period, growth had not only stalled but had actually fallen back into negative territory. Less encouraging economic data helped to support conjecture that the U.S. Federal Reserve might continue to delay its plans to increase short-term interest rates, but at the same time slowing domestic growth, coupled with relatively high equity valuations, were worrisome to many investors. Thus, the latter part of the reporting period exhibited a fair amount of volatility in U.S. equity markets.
In other developed nations, the search for solid equity returns proved largely fruitless. Eurozone stocks were hard pressed to find much growth in the ongoing shade of the region’s stubborn economic woes. While the European Central Bank [ECB] did signal its intention to adopt a more aggressive monetary stimulus regime during the
Top 10 holdings
This table shows the fund’s top 10 holdings by percentage of the fund’s net assets as of 5/31/15. Short-term holdings and derivatives, if any, are excluded. Holdings may vary over time.
4 Dynamic Asset Allocation Equity Fund
“The timing of the Fed’s seemingly
inevitable move to raise short-term
interest rates continues to be the
elephant in the room.’ ”
Bob Kea
period, the specter of Greece’s potential sovereign debt default withdrew most of the lift from the ECB’s accommodative policy stance. Japan’s central bank, too, continued its aggressive attempts to snap the country out of its decades-long period of economic deflation.
In the emerging-market economies of Asia and Latin America, once-torrid economic growth continued to slow measurably, and foreign equity investors in those regions were far less active in pursuing potential opportunities. Again, as stated earlier, the gathering strength of the U.S. dollar during most of the period provided another headwind for emerging-market equities.
What factors drove fund results during the 12-months ended May 31, 2015?
An overweight in U.S. equities for most of the period, combined with strong security selection among large-capitalization U.S. stocks, was helpful to the fund’s overall results. We employ a quantitatively driven security selection strategy when picking stocks within the broad U.S. stock market, and that methodology served us well during the past 12 months. We use a similar quantitative strategy in international security selection. During the period, however, we had somewhat weaker security selection among international stocks — in both developed and emerging markets — which weighed a bit on our relative performance versus the custom benchmark. That said, the downside effect of our international exposure was cushioned somewhat by the affirmative steps we took to hedge our local currency risk against the strong U.S. dollar, primarily using derivative instruments such as currency forwards and currency futures.
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. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
Dynamic Asset Allocation Equity Fund 5
What is your current thinking about whether the equity market is fully valued?
The recent volatility in the equity market created opportunities to add to positions on the “dips,” meaning to buy more shares after a decline in prices with the expectation that eventually there will be an upswing in the market. With that said, however, we do acknowledge that equity market valuations, particularly in the United States, are higher than normal, and that causes us some level of concern because of the fund’s significant exposure to U.S. stocks.
We spoke earlier about the divergence that is occurring in central bank policies across the globe, with the Fed appearing to be poised to begin a normalization of U.S. interest rates and the central banks in the developed and emerging markets beginning to adopt more accommodative monetary policies to stimulate economic growth. Given these factors — that U.S. equities are perhaps at or near the high point of their valuation ranges and that global monetary policy is in a changing pattern — we have begun a slight shift in our equity strategy to focus a bit more on international stocks than we had in the recent past. At period-end, the portfolio’s allocation to international equities had moved from a slight underweight to a neutral stance. We also are maintaining a neutral positioning with regard to the portfolio’s market-cap allocations among our U.S. holdings.
In short, given that we expect the markets to continue to experience a fair amount of volatility during the summer months of 2015, we have sought to reduce risk in the portfolio by hewing closer to benchmark weightings from an asset allocation viewpoint.
What is your outlook for global equities through the remainder of 2015?
The timing of the Fed’s seemingly inevitable move to raise short-term interest rates continues to be “the elephant in the room.” Opinions may differ as to when the first rate hike will occur, but we believe there is no doubt that it will happen. Our belief is that when the Fed does begin to hike interest rates, it will likely be at a measured pace. If history is any guide, it is also fair to note that rate hikes — especially at the short end of the yield curve — may not necessarily have a profound negative impact on equities in the immediate term. Against that overall backdrop, we remain generally constructive in our top-down outlook for equities.
Thank you, Bob, for your time and insights today.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
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 at Amherst. Bob joined Putnam in 1989 and has been in the investment industry since 1988.
In addition to Bob, your fund’s portfolio managers are James A. Fetch; Robert J. Schoen; and Jason R. Vaillancourt, CFA.
6 Dynamic Asset Allocation Equity Fund
IN THE NEWS
Since 1949, U.S. stocks have experienced 11 bull markets — when equity prices rise above their historical average for a prolonged period. As of mid-May, the current bull market has charged ahead for 74 months, the third-longest-running bull market behind the 1990–2000 bull, which lasted for 113 months, and the bull of 1949–1956, which delivered returns for 86 consecutive months, according to a recent report from S&P Capital IQ. The current bull’s duration is tied with the bull of 1974–1980. The remaining seven bull markets each lasted from 26 to 60 months, the report states. The current bull market hit its first all-time high on March 28, 2013, a full 49 months after its start, compared with the average of 29 months for all 11 bull markets since 1949. The three bull stretches of 1966–1968, 1982–1987, and 1990–2000 each reached its first new record high less than ten months after it began, according to the report.
Dynamic Asset Allocation Equity Fund 7
|
Your fund’s performance |
|
This section shows your fund’s performance, price, and distribution information for periods ended May 31, 2015, the end of its most recent 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 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 5/31/15
|
Class A |
Class Y |
||
|
(inception dates) |
(1/23/09) |
(1/23/09) |
|
|
Before |
After |
Net |
|
|
Life of fund |
183.36% |
167.07% |
183.26% |
|
Annual average |
17.80 |
16.71 |
17.79 |
|
5 years |
102.07 |
90.45 |
102.00 |
|
Annual average |
15.11 |
13.75 |
15.10 |
|
3 years |
72.40 |
62.49 |
72.36 |
|
Annual average |
19.91 |
17.56 |
19.90 |
|
1 year |
11.69 |
5.27 |
11.59 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge, levied at the time of purchase. Class Y shares have no initial sales charge or CDSC.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
8 Dynamic Asset Allocation Equity Fund
Comparative index returns For periods ended 5/31/15
|
Russell 3000 Index |
Putnam Equity |
Lipper Multi-Cap |
|
|
Life of fund |
199.97% |
177.61% |
182.71% |
|
Annual average |
18.86 |
17.42 |
17.62 |
|
5 years |
115.01 |
97.73 |
100.23 |
|
Annual average |
16.54 |
14.61 |
14.81 |
|
3 years |
72.47 |
65.69 |
69.55 |
|
Annual average |
19.92 |
18.33 |
19.15 |
|
1 year |
11.86 |
8.80 |
9.75 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
*Over the 1-year, 3-year, 5-year, and life-of-fund periods ended 5/31/15, there were 758, 668, 571, and 512 funds, respectively, in this Lipper category.
†Putnam Equity Blended Index is administered by Putnam Management and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
Change in the value of a $10,000 investmentb ($9,425 after sales charge)
Cumulative total return from 1/23/09 to 5/31/15
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class Y shares would have been valued at $28,326.
Dynamic Asset Allocation Equity Fund 9
Fund price and distribution information For the 12-month period ended 5/31/15
|
Distributions |
Class A |
Class Y |
|
|
Number |
1 |
1 |
|
|
Income |
$0.204 |
$0.204 |
|
|
Capital gains |
|||
|
Long-term gains |
1.487 |
1.487 |
|
|
Short-term gains |
0.589 |
0.589 |
|
|
Total |
$2.280 |
$2.280 |
|
|
Share value |
Before |
After |
Net |
|
5/31/14 |
$13.08 |
$13.88 |
$13.09 |
|
5/31/15 |
12.19 |
12.93 |
12.19 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A 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) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
Fund performance as of most recent calendar quarter
Total return for periods ended 6/30/15
|
Class A |
Class Y |
||
|
(inception dates) |
(1/23/09) |
(1/23/09) |
|
|
Before |
After |
Net |
|
|
Life of fund |
177.55% |
161.59% |
177.45% |
|
Annual average |
17.18 |
16.11 |
17.18 |
|
5 years |
107.09 |
95.18 |
107.01 |
|
Annual average |
15.67 |
14.31 |
15.66 |
|
3 years |
62.44 |
53.10 |
62.40 |
|
Annual average |
17.55 |
15.25 |
17.54 |
|
1 year |
7.27 |
1.10 |
7.17 |
See the discussion following the fund performance table on page 8 for information about the calculation of fund performance.
10 Dynamic Asset Allocation Equity Fund
|
Your fund’s expenses |
|
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative. |
Expense ratios
|
Class A |
Class Y |
|
|
Net expenses for the fiscal year ended 5/31/14* |
1.34%‡ |
1.09% |
|
Total annual operating expenses for the fiscal year ended 5/31/14 |
1.91%‡ |
1.66% |
|
Annualized expense ratio for the six-month period ended 5/31/15† |
1.03% |
1.03% |
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.
*Reflects Putnam Management’s contractual obligation to limit expenses through 9/30/15.
†For the fund’s most recent fiscal half year; may differ from expense ratios based on one-year data in the financial highlights.
‡Includes 0.25% distribution and service fee (12b-1) plan. Currently no payments under the fund’s 12b-1 plan have been authorized by the Trustees.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from December 1, 2014, to May 31, 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 Y |
|
|
Expenses paid per $1,000*† |
$5.28 |
$5.28 |
|
Ending value (after expenses) |
$1,055.60 |
$1,055.40 |
*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 5/31/15. 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.
Dynamic Asset Allocation Equity Fund 11
|
Estimate the expenses you paid |
|
To estimate the ongoing expenses you paid for the six months ended May 31, 2015, use the following calculation method. To find the value of your investment on December 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 Y |
|
|
Expenses paid per $1,000*† |
$5.19 |
$5.19 |
|
Ending value (after expenses) |
$1,019.80 |
$1,019.80 |
*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 5/31/15. 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.
12 Dynamic Asset Allocation Equity 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.
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 Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
MSCI EAFE Index (ND) is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia.
MSCI Emerging Markets Index (GD) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.
Putnam Equity Blended Index is an unmanaged index representing global stock market performance, and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies.
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.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Dynamic Asset Allocation Equity Fund 13
Other information for shareholders
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 Securities and Exchange Commission (SEC) 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 May 31, 2015, Putnam employees had approximately $504,000,000 and the Trustees had approximately $143,000,000 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.
14 Dynamic Asset Allocation Equity Fund
Important notice regarding Putnam’s privacy policy
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.
Under certain circumstances, we must 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. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
Dynamic Asset Allocation Equity Fund 15
Financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, 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 year.
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.
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.
16 Dynamic Asset Allocation Equity Fund
Report of Independent Registered Public Accounting Firm
To the Trustees of Putnam Funds Trust and Shareholders of
Putnam Dynamic Asset Allocation Equity Fund:
In our opinion, the accompanying statement of assets and liabilities, including the portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Putnam Dynamic Asset Allocation Equity Fund (the “fund”) at May 31, 2015, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments owned at May 31, 2015 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 14, 2015
Dynamic Asset Allocation Equity Fund 17
The fund’s portfolio 5/31/15
|
COMMON STOCKS (94.9%)* |
Shares |
Value |
|
|
Advertising and marketing services (0.1%) |
|||
|
Lions Gate Entertainment Corp. |
536 |
$17,736 |
|
|
Publicis Groupe SA (France) |
510 |
40,783 |
|
|
58,519 |
|||
|
Aerospace and defense (2.7%) |
|||
|
Airbus Group NV (France) |
300 |
20,428 |
|
|
BAE Systems PLC (United Kingdom) |
7,116 |
56,012 |
|
|
General Dynamics Corp. |
3,235 |
453,418 |
|
|
Huntington Ingalls Industries, Inc. |
1,005 |
124,610 |
|
|
Northrop Grumman Corp. |
2,287 |
364,045 |
|
|
Orbital ATK, Inc. |
42 |
3,213 |
|
|
Raytheon Co. |
1,037 |
107,081 |
|
|
Safran SA (France) |
1,122 |
79,372 |
|
|
Spirit AeroSystems Holdings, Inc. Class A † |
1,484 |
81,012 |
|
|
Triumph Group, Inc. |
169 |
11,271 |
|
|
1,300,462 |
|||
|
Agriculture (—%) |
|||
|
Andersons, Inc. (The) |
158 |
7,006 |
|
|
7,006 |
|||
|
Airlines (1.0%) |
|||
|
Air Arabia PJSC (United Arab Emirates) † |
38,720 |
16,867 |
|
|
ANA Holdings, Inc. (Japan) |
25,000 |
68,756 |
|
|
Delta Air Lines, Inc. |
512 |
21,975 |
|
|
Hawaiian Holdings, Inc. † |
694 |
16,809 |
|
|
JetBlue Airways Corp. † |
829 |
16,713 |
|
|
Southwest Airlines Co. |
9,515 |
352,530 |
|
|
493,650 |
|||
|
Automotive (1.6%) |
|||
|
Bayerische Motoren Werke (BMW) AG (Germany) |
410 |
45,346 |
|
|
Dana Holding Corp. |
445 |
9,688 |
|
|
Denso Corp. (Japan) |
600 |
31,286 |
|
|
Dogus Otomotiv Servis ve Ticaret AS (Turkey) |
2,138 |
13,571 |
|
|
Fuji Heavy Industries, Ltd. (Japan) |
2,200 |
82,831 |
|
|
Harley-Davidson, Inc. |
2,663 |
142,444 |
|
|
Lear Corp. |
1,141 |
132,379 |
|
|
Peugeot SA (France) † |
2,222 |
46,368 |
|
|
Remy International, Inc. |
198 |
4,376 |
|
|
Tata Motors, Ltd. (India) |
3,864 |
29,128 |
|
|
Toyota Motor Corp. (Japan) |
1,800 |
124,107 |
|
|
Valeo SA (France) |
387 |
61,780 |
|
|
Visteon Corp. † |
122 |
13,361 |
|
|
736,665 |
|||
|
Banking (8.3%) |
|||
|
Access National Corp. |
187 |
4,026 |
|
|
Australia & New Zealand Banking Group, Ltd. (Australia) |
1,410 |
35,595 |
|
|
Axis Bank, Ltd. (India) |
2,695 |
24,643 |
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) |
3,420 |
33,779 |
|
|
Banco Latinoamericano de Exportaciones SA Class E (Panama) |
429 |
13,012 |
|
|
Banco Santander SA (Spain) |
6,369 |
45,356 |
|
|
Bank of America Corp. |
42,797 |
706,151 |
18 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Banking cont. |
|||
|
Bank of China, Ltd. (China) |
54,000 |
$35,828 |
|
|
Bank of New York Mellon Corp. (The) |
1,917 |
83,121 |
|
|
Bank of Yokohama, Ltd. (The) (Japan) |
7,000 |
43,400 |
|
|
Bankia SA (Spain) † |
20,036 |
25,901 |
|
|
Barclays PLC (United Kingdom) |
4,824 |
19,907 |
|
|
BNP Paribas SA (France) |
667 |
40,240 |
|
|
BofI Holding, Inc. † |
135 |
12,712 |
|
|
Cardinal Financial Corp. |
358 |
7,389 |
|
|
China Construction Bank Corp. (China) |
62,000 |
62,283 |
|
|
Citizens & Northern Corp. |
224 |
4,343 |
|
|
Commercial International Bank Egypt SAE GDR (Egypt) |
5,661 |
38,721 |
|
|
Commonwealth Bank of Australia (Australia) |
1,812 |
117,080 |
|
|
Credicorp, Ltd. (Peru) |
67 |
9,456 |
|
|
Credit Agricole SA (France) |
4,485 |
66,967 |
|
|
Credit Suisse Group AG (Switzerland) |
828 |
21,946 |
|
|
Customers Bancorp, Inc. † |
561 |
14,081 |
|
|
DBS Group Holdings, Ltd. (Singapore) |
3,100 |
46,479 |
|
|
Dubai Islamic Bank PJSC (United Arab Emirates) † |
24,276 |
44,877 |
|
|
East West Bancorp, Inc. |
137 |
5,877 |
|
|
Farmers Capital Bank Corp. † |
172 |
4,728 |
|
|
FCB Financial Holdings, Inc. Class A † |
406 |
11,681 |
|
|
Federal Bank, Ltd. (India) |
9,210 |
20,669 |
|
|
Financial Institutions, Inc. |
237 |
5,468 |
|
|
First Community Bancshares, Inc. |
231 |
3,858 |
|
|
First NBC Bank Holding Co. † |
289 |
9,823 |
|
|
FirstMerit Corp. |
282 |
5,538 |
|
|
Flushing Financial Corp. |
252 |
4,884 |
|
|
Gentera SAB de CV (Mexico) |
11,969 |
20,559 |
|
|
Grupo Financiero Banorte SAB de CV (Mexico) |
5,310 |
29,962 |
|
|
Hang Seng Bank, Ltd. (Hong Kong) |
3,500 |
70,154 |
|
|
Hanmi Financial Corp. |
486 |
10,753 |
|
|
Heartland Financial USA, Inc. |
155 |
5,282 |
|
|
Heritage Financial Group, Inc. |
246 |
6,659 |
|
|
Industrial & Commercial Bank of China, Ltd. (China) |
50,000 |
43,522 |
|
|
Itau Unibanco Holding SA ADR (Preference) (Brazil) |
1,774 |
18,982 |
|
|
Joyo Bank, Ltd. (The) (Japan) |
7,000 |
37,754 |
|
|
JPMorgan Chase & Co. |
12,231 |
804,555 |
|
|
King’s Town Bank Co., Ltd. (Taiwan) |
33,000 |
32,310 |
|
|
Lloyds Banking Group PLC (United Kingdom) |
80,610 |
108,136 |
|
|
MainSource Financial Group, Inc. |
354 |
7,087 |
|
|
Meta Financial Group, Inc. |
136 |
5,458 |
|
|
National Australia Bank, Ltd. (Rights) (Australia) F† |
110 |
448 |
|
|
National Australia Bank, Ltd. (Australia) |
1,497 |
39,050 |
|
|
Opus Bank |
224 |
7,076 |
|
|
Pacific Premier Bancorp, Inc. † |
237 |
3,733 |
|
|
PacWest Bancorp |
96 |
4,309 |
|
|
Peoples Bancorp, Inc. |
223 |
5,149 |
|
|
PNC Financial Services Group, Inc. |
1,008 |
96,456 |
Dynamic Asset Allocation Equity Fund 19
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Banking cont. |
|||
|
Popular, Inc. (Puerto Rico) † |
187 |
$6,076 |
|
|
Republic Bancorp, Inc. Class A |
141 |
3,463 |
|
|
Resona Holdings, Inc. (Japan) |
13,300 |
75,886 |
|
|
Skandinaviska Enskilda Banken AB (Sweden) |
3,760 |
46,435 |
|
|
State Street Corp. |
6,549 |
510,364 |
|
|
Swedbank AB Class A (Sweden) |
1,812 |
42,503 |
|
|
Talmer Bancorp, Inc. Class A |
435 |
6,912 |
|
|
UniCredit SpA (Italy) |
4,844 |
33,889 |
|
|
United Community Banks, Inc. |
245 |
4,692 |
|
|
Wells Fargo & Co. |
3,388 |
189,592 |
|
|
Westpac Banking Corp. (Australia) |
1,671 |
42,675 |
|
|
3,949,700 |
|||
|
Basic materials (0.1%) |
|||
|
Sumitomo Metal Mining Co., Ltd. (Japan) |
3,000 |
46,179 |
|
|
U.S. Silica Holdings, Inc. |
199 |
6,139 |
|
|
52,318 |
|||
|
Beverage (1.0%) |
|||
|
Anheuser-Busch InBev NV (Belgium) |
551 |
66,235 |
|
|
Diageo PLC (United Kingdom) |
1,264 |
35,074 |
|
|
Dr. Pepper Snapple Group, Inc. |
3,985 |
305,410 |
|
|
Heineken Holding NV (Netherlands) |
668 |
46,456 |
|
|
SABMiller PLC (United Kingdom) |
618 |
33,003 |
|
|
486,178 |
|||
|
Biotechnology (2.2%) |
|||
|
AMAG Pharmaceuticals, Inc. † |
556 |
38,686 |
|
|
Applied Genetic Technologies Corp. † |
187 |
3,749 |
|
|
Ardelyx, Inc. † |
655 |
7,172 |
|
|
ARIAD Pharmaceuticals, Inc. † |
2,001 |
18,369 |
|
|
Avalanche Biotechnologies, Inc. † |
84 |
3,132 |
|
|
Bluebird Bio, Inc. † |
52 |
10,101 |
|
|
Celgene Corp. † |
3,007 |
344,121 |
|
|
Dyax Corp. † |
184 |
4,847 |
|
|
Dynavax Technologies Corp. † |
600 |
13,662 |
|
|
Emergent BioSolutions, Inc. † |
315 |
10,036 |
|
|
Gilead Sciences, Inc. † |
4,708 |
528,566 |
|
|
Isis Pharmaceuticals, Inc. † |
144 |
9,694 |
|
|
Ligand Pharmaceuticals, Inc. † |
47 |
4,141 |
|
|
Medicines Co. (The) † |
193 |
5,473 |
|
|
Merrimack Pharmaceuticals, Inc. † |
583 |
6,879 |
|
|
Neurocrine Biosciences, Inc. † |
126 |
5,526 |
|
|
OncoMed Pharmaceuticals, Inc. † |
121 |
3,015 |
|
|
Prothena Corp. PLC (Ireland) † |
462 |
18,221 |
|
|
PTC Therapeutics, Inc. † |
102 |
5,925 |
|
|
Puma Biotechnology, Inc. † |
22 |
4,300 |
|
|
Repligen Corp. † |
266 |
10,842 |
|
|
Retrophin, Inc. † |
155 |
4,904 |
|
|
Sage Therapeutics, Inc. † |
61 |
4,567 |
|
|
1,065,928 |
20 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Broadcasting (1.8%) |
|||
|
Discovery Communications, Inc. Class A † |
14,398 |
$488,668 |
|
|
ITV PLC (United Kingdom) |
18,721 |
77,914 |
|
|
Liberty Media Corp. Class A † |
1,701 |
65,174 |
|
|
Scripps Networks Interactive Class A |
1,107 |
74,180 |
|
|
Sirius XM Holdings, Inc. † |
41,532 |
160,314 |
|
|
866,250 |
|||
|
Building materials (0.1%) |
|||
|
Geberit International AG (Switzerland) |
128 |
46,033 |
|
|
PGT, Inc. † |
1,116 |
13,347 |
|
|
59,380 |
|||
|
Capital goods (—%) |
|||
|
OM Group, Inc. |
216 |
5,733 |
|
|
Stoneridge, Inc. † |
554 |
6,609 |
|
|
12,342 |
|||
|
Chemicals (2.6%) |
|||
|
Aceto Corp. |
170 |
4,007 |
|
|
AK Holdings, Inc. (South Korea) |
158 |
13,100 |
|
|
BASF SE (Germany) |
576 |
53,267 |
|
|
Cabot Corp. |
119 |
4,935 |
|
|
Cambrex Corp. † |
532 |
21,291 |
|
|
EMS-Chemie Holding AG (Switzerland) |
83 |
35,347 |
|
|
Innophos Holdings, Inc. |
140 |
7,295 |
|
|
Innospec, Inc. |
191 |
8,190 |
|
|
Koppers Holdings, Inc. |
578 |
14,924 |
|
|
Kraton Performance Polymers, Inc. † |
175 |
4,156 |
|
|
LG Chemical, Ltd. (South Korea) |
66 |
14,789 |
|
|
LSB Industries, Inc. † |
488 |
20,755 |
|
|
LyondellBasell Industries NV Class A |
5,194 |
525,112 |
|
|
Minerals Technologies, Inc. |
65 |
4,375 |
|
|
Nippon Paint Holdings Co., Ltd. (Japan) |
1,800 |
55,565 |
|
|
Orion Engineered Carbons SA (Luxembourg) |
437 |
8,806 |
|
|
PolyOne Corp. |
164 |
6,378 |
|
|
Sherwin-Williams Co. (The) |
1,214 |
349,851 |
|
|
Soulbrain Co., Ltd. (South Korea) |
496 |
20,571 |
|
|
Syngenta AG (Switzerland) |
129 |
58,402 |
|
|
1,231,116 |
|||
|
Commercial and consumer services (1.0%) |
|||
|
Adecco SA (Switzerland) |
429 |
34,097 |
|
|
Babcock International Group PLC (United Kingdom) |
2,135 |
36,710 |
|
|
Bunzl PLC (United Kingdom) |
1,592 |
46,134 |
|
|
Bureau Veritas SA (France) |
1,143 |
26,193 |
|
|
CEB, Inc. |
63 |
5,329 |
|
|
Compass Group PLC (United Kingdom) |
3,560 |
62,246 |
|
|
Ctrip.com International, Ltd. ADR (China) † |
494 |
39,456 |
|
|
Deluxe Corp. |
326 |
20,809 |
|
|
Ennis, Inc. |
296 |
4,979 |
|
|
Experian PLC (United Kingdom) |
2,005 |
38,183 |
|
|
Global Cash Access Holdings, Inc. † |
721 |
5,573 |
|
|
Green Dot Corp. Class A † |
204 |
2,989 |
|
|
Horizon Pharma PLC † |
172 |
5,578 |
Dynamic Asset Allocation Equity Fund 21
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Commercial and consumer services cont. |
|||
|
Landauer, Inc. |
269 |
$9,168 |
|
|
LifeLock, Inc. † |
330 |
5,023 |
|
|
Monster Worldwide, Inc. † |
2,221 |
13,481 |
|
|
Net 1 UEPS Technologies, Inc. (South Africa) † |
1,726 |
25,027 |
|
|
Pitney Bowes, Inc. |
315 |
6,883 |
|
|
Qualicorp SA (Brazil) |
1,600 |
9,541 |
|
|
RE/MAX Holdings, Inc. Class A |
334 |
11,172 |
|
|
Securitas AB Class B (Sweden) |
3,457 |
46,950 |
|
|
Sotheby’s Class A |
193 |
8,652 |
|
|
464,173 |
|||
|
Computers (4.8%) |
|||
|
A10 Networks, Inc. † |
1,134 |
6,861 |
|
|
Apigee Corp. † |
327 |
4,594 |
|
|
Apple, Inc. |
12,101 |
1,576,518 |
|
|
Aspen Technology, Inc. † |
154 |
6,591 |
|
|
AVG Technologies NV (Netherlands) † |
218 |
5,345 |
|
|
Blackbaud, Inc. |
139 |
7,125 |
|
|
Brocade Communications Systems, Inc. |
1,703 |
21,058 |
|
|
Constant Contact, Inc. † |
146 |
3,980 |
|
|
Cornerstone OnDemand, Inc. † |
151 |
4,701 |
|
|
Cray, Inc. † |
183 |
5,596 |
|
|
EMC Corp. |
11,437 |
301,251 |
|
|
Fujitsu, Ltd. (Japan) |
6,000 |
33,549 |
|
|
HCL Technologies, Ltd. (India) |
1,218 |
19,274 |
|
|
Ixia † |
1,078 |
13,561 |
|
|
Lexmark International, Inc. Class A |
119 |
5,472 |
|
|
MTS Systems Corp. |
63 |
4,287 |
|
|
Netscout Systems, Inc. † |
58 |
2,325 |
|
|
Nimble Storage, Inc. † |
147 |
3,804 |
|
|
QAD, Inc. Class A |
304 |
7,266 |
|
|
Quantum Corp. † |
2,927 |
5,971 |
|
|
SS&C Technologies Holdings, Inc. |
138 |
8,132 |
|
|
Synchronoss Technologies, Inc. † |
145 |
6,386 |
|
|
VeriFone Systems, Inc. † |
245 |
9,352 |
|
|
Verint Systems, Inc. † |
138 |
8,924 |
|
|
Xerox Corp. |
16,351 |
186,728 |
|
|
2,258,651 |
|||
|
Conglomerates (0.1%) |
|||
|
Exor SpA (Italy) |
616 |
30,661 |
|
|
Siemens AG (Germany) |
352 |
37,029 |
|
|
67,690 |
|||
|
Construction (0.4%) |
|||
|
Chicago Bridge & Iron Co. NV |
233 |
12,643 |
|
|
China Singyes Solar Technologies Holdings, Ltd. (China) |
12,000 |
18,578 |
|
|
Continental Building Products, Inc. † |
692 |
15,432 |
|
|
DMCI Holdings, Inc. (Philippines) |
41,100 |
12,258 |
|
|
IRB Infrastructure Developers, Ltd. (India) |
9,714 |
37,461 |
|
|
Koninklijke Boskalis Westminster NV (Netherlands) |
739 |
36,617 |
|
|
Matrix Service Co. † |
514 |
8,671 |
22 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Construction cont. |
|||
|
Mota-Engil Africa NV (Angola) † |
450 |
$3,138 |
|
|
Mota-Engil SGPS SA (Portugal) † |
5,746 |
15,398 |
|
|
US Concrete, Inc. † |
228 |
8,616 |
|
|
Wendel SA (France) |
326 |
41,551 |
|
|
210,363 |
|||
|
Consumer (0.7%) |
|||
|
Kimberly-Clark Corp. |
2,880 |
313,517 |
|
|
Swatch Group AG (The) (Switzerland) † |
57 |
22,634 |
|
|
336,151 |
|||
|
Consumer finance (0.4%) |
|||
|
Cardtronics, Inc. † |
262 |
9,563 |
|
|
Chailease Holding Co., Ltd. (Taiwan) |
13,500 |
34,016 |
|
|
Dewan Housing Finance Corp., Ltd. (India) |
4,798 |
33,101 |
|
|
Encore Capital Group, Inc. † |
280 |
11,119 |
|
|
Far East Horizon, Ltd. (China) |
24,000 |
23,307 |
|
|
Federal Agricultural Mortgage Corp. Class C |
174 |
5,493 |
|
|
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) |
8,800 |
46,092 |
|
|
Nelnet, Inc. Class A |
291 |
11,963 |
|
|
PRA Group, Inc. † |
149 |
8,457 |
|
|
183,111 |
|||
|
Consumer goods (0.6%) |
|||
|
Avon Products, Inc. |
473 |
3,179 |
|
|
Colgate-Palmolive Co. |
1,245 |
83,154 |
|
|
Coty, Inc. Class A † |
474 |
11,817 |
|
|
Kao Corp. (Japan) |
1,400 |
63,472 |
|
|
L’Oreal SA (France) |
252 |
47,591 |
|
|
Reckitt Benckiser Group PLC (United Kingdom) |
445 |
40,162 |
|
|
Unilever NV ADR (Netherlands) |
1,014 |
43,244 |
|
|
292,619 |
|||
|
Consumer services (0.5%) |
|||
|
Geo Group, Inc. (The) R |
85 |
3,224 |
|
|
Liberty Interactive Corp. Class A † |
3,866 |
108,132 |
|
|
Liberty Ventures Ser. A † |
2,568 |
106,572 |
|
|
RetailMeNot, Inc. † |
572 |
11,532 |
|
|
Shutterfly, Inc. † |
48 |
2,232 |
|
|
TrueBlue, Inc. † |
456 |
12,987 |
|
|
244,679 |
|||
|
Containers (0.6%) |
|||
|
Crown Holdings, Inc. † |
4,753 |
262,793 |
|
|
262,793 |
|||
|
Distribution (0.1%) |
|||
|
Beacon Roofing Supply, Inc. † |
304 |
9,533 |
|
|
SpartanNash Co. |
347 |
10,847 |
|
|
United Natural Foods, Inc. † |
73 |
4,896 |
|
|
25,276 |
|||
|
Electric utilities (2.5%) |
|||
|
AES Corp. |
4,403 |
59,881 |
|
|
Alliant Energy Corp. |
355 |
21,762 |
|
|
American Electric Power Co., Inc. |
5,889 |
331,492 |
|
|
China Resources Power Holdings Co., Ltd. (China) |
12,000 |
33,345 |
|
|
Enel SpA (Italy) |
10,085 |
48,935 |
Dynamic Asset Allocation Equity Fund 23
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Electric utilities cont. |
|||
|
Enersis SA ADR (Chile) |
1,128 |
$19,187 |
|
|
Entergy Corp. |
5,503 |
420,814 |
|
|
First Gen Corp. (Philippines) |
29,900 |
18,050 |
|
|
Huadian Fuxin Energy Corp, Ltd. (China) |
40,000 |
20,971 |
|
|
Korea Electric Power Corp. (South Korea) |
345 |
14,323 |
|
|
Malakoff Corp. Bhd (Malaysia) † |
27,300 |
13,181 |
|
|
OGE Energy Corp. |
496 |
15,624 |
|
|
Power Assets Holdings, Ltd. (Hong Kong) |
4,000 |
38,287 |
|
|
Red Electrica Corporacion SA (Spain) |
966 |
81,248 |
|
|
Tokyo Electric Power Co., Inc. (Japan) † |
11,000 |
62,614 |
|
|
1,199,714 |
|||
|
Electrical equipment (0.2%) |
|||
|
ABB, Ltd. (Switzerland) |
2,285 |
49,986 |
|
|
Jiangnan Group, Ltd. (China) |
72,000 |
22,279 |
|
|
LS Industrial Systems Co., Ltd. (South Korea) |
233 |
11,141 |
|
|
OSRAM Licht AG (Germany) |
627 |
33,048 |
|
|
116,454 |
|||
|
Electronics (3.2%) |
|||
|
Agilent Technologies, Inc. |
4,459 |
183,666 |
|
|
Avago Technologies, Ltd. |
1,629 |
241,206 |
|
|
Brother Industries, Ltd. (Japan) |
2,700 |
42,138 |
|
|
Casetek Holdings, Ltd. (Taiwan) |
3,000 |
21,041 |
|
|
Cavium, Inc. † |
47 |
3,307 |
|
|
Ceva, Inc. † |
419 |
8,606 |
|
|
Cirrus Logic, Inc. † |
176 |
6,644 |
|
|
DSP Group, Inc. † |
924 |
10,330 |
|
|
EnerSys |
249 |
16,593 |
|
|
Fairchild Semiconductor International, Inc. † |
249 |
4,960 |
|
|
FANUC Corp. (Japan) |
400 |
87,904 |
|
|
Hollysys Automation Technologies, Ltd. (China) |
830 |
21,132 |
|
|
Hoya Corp. (Japan) |
2,100 |
77,186 |
|
|
Infineon Technologies AG (Germany) |
3,905 |
50,909 |
|
|
L-3 Communications Holdings, Inc. |
2,284 |
269,078 |
|
|
Marvell Technology Group, Ltd. |
9,187 |
128,526 |
|
|
Mellanox Technologies, Ltd. (Israel) † |
140 |
7,045 |
|
|
Mentor Graphics Corp. |
676 |
17,650 |
|
|
Microsemi Corp. † |
163 |
5,932 |
|
|
Monolithic Power Systems, Inc. |
92 |
5,023 |
|
|
ON Semiconductor Corp. † |
550 |
7,293 |
|
|
Plexus Corp. † |
297 |
13,508 |
|
|
QLogic Corp. † |
1,663 |
25,810 |
|
|
Qorvo, Inc. † |
292 |
23,988 |
|
|
Samsung Electronics Co., Ltd. (South Korea) |
109 |
128,265 |
|
|
Sanmina Corp. † |
281 |
6,086 |
|
|
Semtech Corp. † |
150 |
3,204 |
|
|
SK Hynix, Inc. (South Korea) |
672 |
30,770 |
|
|
Skyworth Digital Holdings, Ltd. (China) |
14,000 |
13,376 |
|
|
Synaptics, Inc. † |
303 |
30,191 |
24 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Electronics cont. |
|||
|
Wasion Group Holdings, Ltd. (Hong Kong) |
10,000 |
$15,456 |
|
|
Woodward, Inc. |
332 |
16,912 |
|
|
1,523,735 |
|||
|
Energy (oil field) (1.5%) |
|||
|
Oil States International, Inc. † |
751 |
30,701 |
|
|
Schlumberger, Ltd. |
5,819 |
528,190 |
|
|
Superior Energy Services, Inc. |
6,480 |
149,623 |
|
|
708,514 |
|||
|
Energy (other) (0.2%) |
|||
|
Amec Foster Wheeler PLC (United Kingdom) |
2,609 |
37,882 |
|
|
Canadian Solar, Inc. (Canada) † |
340 |
11,104 |
|
|
Green Plains, Inc. |
358 |
11,764 |
|
|
Pacific Ethanol, Inc. † |
672 |
7,735 |
|
|
REX American Resources Corp. † |
162 |
10,347 |
|
|
78,832 |
|||
|
Engineering and construction (0.3%) |
|||
|
Drake & Scull International PJSC (United Arab Emirates) † |
27,950 |
5,981 |
|
|
KBR, Inc. |
5,318 |
101,840 |
|
|
KEPCO Plant Service & Engineering Co., Ltd. (South Korea) |
124 |
12,024 |
|
|
119,845 |
|||
|
Entertainment (0.4%) |
|||
|
Carmike Cinemas, Inc. † |
619 |
17,227 |
|
|
Eros International PLC † |
220 |
4,389 |
|
|
Live Nation Entertainment, Inc. † |
387 |
11,068 |
|
|
Marriott Vacations Worldwide Corp. |
128 |
11,300 |
|
|
National CineMedia, Inc. |
830 |
13,222 |
|
|
Oriental Land Co., Ltd. (Japan) |
500 |
32,008 |
|
|
Panasonic Corp. (Japan) |
5,000 |
73,303 |
|
|
SeaWorld Entertainment, Inc. |
552 |
11,923 |
|
|
Vail Resorts, Inc. |
50 |
5,187 |
|
|
179,627 |
|||
|
Environmental (0.1%) |
|||
|
MSA Safety, Inc. |
95 |
4,247 |
|
|
Sound Global, Ltd. (China) † F S |
25,000 |
18,776 |
|
|
Tetra Tech, Inc. |
610 |
15,958 |
|
|
38,981 |
|||
|
Financial (2.3%) |
|||
|
Credit Acceptance Corp. † |
23 |
5,300 |
|
|
CTBC Financial Holding Co., Ltd. (Taiwan) |
62,072 |
47,014 |
|
|
Goldman Sachs Group, Inc. (The) |
2,325 |
479,392 |
|
|
HSBC Holdings PLC (United Kingdom) |
10,951 |
104,224 |
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan) |
8,800 |
64,842 |
|
|
Morgan Stanley |
6,936 |
264,955 |
|
|
Moscow Exchange MICEX-RTS OAO (Russia) |
12,918 |
17,683 |
|
|
SBI Holdings, Inc. (Japan) |
3,100 |
44,202 |
|
|
Shriram Transport Finance Co., Ltd. (India) |
843 |
10,841 |
|
|
UBS Group AG (Switzerland) |
2,569 |
55,270 |
|
|
1,093,723 |
|||
|
Food (3.3%) |
|||
|
Bunge, Ltd. |
4,735 |
438,272 |
|
|
Cal-Maine Foods, Inc. |
247 |
14,002 |
Dynamic Asset Allocation Equity Fund 25
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Food cont. |
|||
|
Calbee, Inc. (Japan) |
1,000 |
$38,239 |
|
|
Carrefour SA (France) † |
1,350 |
45,823 |
|
|
Distribuidora Internacional de Alimentacion SA (Spain) |
3,413 |
27,199 |
|
|
DO & CO AG (Turkey) |
163 |
13,744 |
|
|
Farmer Bros Co. † |
137 |
3,363 |
|
|
Gruma SAB de CV Class B (Mexico) |
1,897 |
24,944 |
|
|
JBS SA (Brazil) |
5,273 |
25,816 |
|
|
JG Summit Holdings, Inc. (Philippines) |
10,850 |
16,664 |
|
|
John B. Sanfilippo & Son, Inc. |
394 |
19,940 |
|
|
Mondelez International, Inc. Class A |
14,045 |
584,132 |
|
|
Nestle SA (Switzerland) |
2,241 |
173,824 |
|
|
Pinnacle Foods, Inc. |
366 |
15,427 |
|
|
Sanderson Farms, Inc. |
96 |
7,827 |
|
|
Sao Martinho SA (Brazil) |
1,074 |
12,010 |
|
|
Shoprite Holdings, Ltd. (South Africa) |
1,303 |
17,275 |
|
|
Unilever PLC (United Kingdom) |
761 |
33,579 |
|
|
WH Group, Ltd. 144A (Hong Kong) † |
22,000 |
16,851 |
|
|
X5 Retail Group NV GDR (Russia) † |
822 |
15,988 |
|
|
1,544,919 |
|||
|
Forest products and packaging (0.2%) |
|||
|
Amcor, Ltd. (Australia) |
5,070 |
55,922 |
|
|
Boise Cascade Co. † |
184 |
6,521 |
|
|
Domtar Corp. (Canada) |
171 |
7,391 |
|
|
UPM-Kymmene OYJ (Finland) |
2,590 |
46,452 |
|
|
116,286 |
|||
|
Health-care services (3.4%) |
|||
|
Aetna, Inc. |
1,297 |
153,007 |
|
|
AmerisourceBergen Corp. |
4,415 |
496,952 |
|
|
AmSurg Corp. † |
157 |
10,572 |
|
|
Anthem, Inc. |
2,554 |
428,689 |
|
|
Cardinal Health, Inc. |
2,879 |
253,841 |
|
|
Centene Corp. † |
97 |
7,308 |
|
|
Chemed Corp. |
193 |
23,969 |
|
|
Health Net, Inc. † |
940 |
58,506 |
|
|
HealthEquity, Inc. † |
314 |
8,324 |
|
|
HealthSouth Corp. |
280 |
12,085 |
|
|
Kindred Healthcare, Inc. |
317 |
7,262 |
|
|
Mediclinic International, Ltd. (South Africa) |
2,444 |
21,502 |
|
|
Netcare, Ltd. (South Africa) |
8,245 |
26,416 |
|
|
Omega Healthcare Investors, Inc. R |
131 |
4,720 |
|
|
Press Ganey Holdings, Inc. † |
60 |
1,642 |
|
|
Providence Service Corp. (The) † |
186 |
8,939 |
|
|
Ramsay Health Care, Ltd. (Australia) |
796 |
38,517 |
|
|
Select Medical Holdings Corp. |
830 |
13,571 |
|
|
Threshold Pharmaceuticals, Inc. † |
639 |
2,486 |
|
|
Triple-S Management Corp. Class B (Puerto Rico) † |
215 |
5,160 |
|
|
WellCare Health Plans, Inc. † |
123 |
10,537 |
|
|
1,594,005 |
26 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Household furniture and appliances (0.1%) |
|||
|
Conn’s, Inc. † |
268 |
$9,913 |
|
|
Ethan Allen Interiors, Inc. |
388 |
9,739 |
|
|
Haier Electronics Group Co., Ltd. (China) |
6,000 |
18,137 |
|
|
37,789 |
|||
|
Insurance (3.2%) |
|||
|
Ageas (Belgium) |
1,307 |
48,950 |
|
|
AIA Group, Ltd. (Hong Kong) |
11,600 |
76,184 |
|
|
Allianz SE (Germany) |
441 |
69,141 |
|
|
Allied World Assurance Co. Holdings AG |
353 |
14,999 |
|
|
American Equity Investment Life Holding Co. |
453 |
11,511 |
|
|
American International Group, Inc. |
314 |
18,404 |
|
|
Amtrust Financial Services, Inc. |
245 |
14,744 |
|
|
Aon PLC |
303 |
30,670 |
|
|
Aspen Insurance Holdings, Ltd. |
532 |
24,664 |
|
|
Assicurazioni Generali SpA (Italy) |
2,872 |
55,548 |
|
|
AXA SA (France) |
1,650 |
41,526 |
|
|
Axis Capital Holdings, Ltd. |
1,076 |
59,223 |
|
|
BB Seguridade Participacoes SA (Brazil) |
2,654 |
27,779 |
|
|
CNO Financial Group, Inc. |
483 |
8,694 |
|
|
CNP Assurances (France) |
3,574 |
59,096 |
|
|
Employers Holdings, Inc. |
635 |
14,364 |
|
|
Everest Re Group, Ltd. |
85 |
15,428 |
|
|
Federated National Holding Co. |
625 |
16,050 |
|
|
Genworth Financial, Inc. Class A † |
24,673 |
195,904 |
|
|
Hanwha Life Insurance Co., Ltd. (South Korea) |
3,181 |
23,669 |
|
|
HCI Group, Inc. |
275 |
11,888 |
|
|
Heritage Insurance Holdings, Inc. † |
634 |
13,314 |
|
|
Korean Reinsurance Co. (South Korea) |
1,236 |
13,474 |
|
|
Legal & General Group PLC (United Kingdom) |
12,486 |
50,724 |
|
|
Maiden Holdings, Ltd. (Bermuda) |
397 |
5,550 |
|
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) |
146 |
26,939 |
|
|
Old Mutual PLC (South Africa) |
4,568 |
15,451 |
|
|
Prudential Financial, Inc. |
4,825 |
408,243 |
|
|
Prudential PLC (United Kingdom) |
1,581 |
39,315 |
|
|
Reinsurance Group of America, Inc. Class A |
232 |
21,704 |
|
|
Swiss Life Holding AG (Switzerland) |
158 |
37,909 |
|
|
Symetra Financial Corp. |
397 |
9,711 |
|
|
United Insurance Holdings Corp. |
897 |
12,935 |
|
|
1,493,705 |
|||
|
Investment banking/Brokerage (0.3%) |
|||
|
Ashford, Inc. † |
6 |
579 |
|
|
China Cinda Asset Management Co., Ltd. (China) † |
47,000 |
29,753 |
|
|
Deutsche Bank AG (Germany) |
1,076 |
32,398 |
|
|
Gain Capital Holdings, Inc. |
741 |
6,891 |
|
|
Huatai Securities Co., Ltd. 144A (China) † |
3,200 |
10,235 |
|
|
KCG Holdings, Inc. Class A † |
1,043 |
14,070 |
Dynamic Asset Allocation Equity Fund 27
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Investment banking/Brokerage cont. |
|||
|
NorthStar Asset Management Group, Inc. |
2,168 |
$47,436 |
|
|
Oppenheimer Holdings, Inc. Class A |
256 |
6,641 |
|
|
148,003 |
|||
|
Leisure (0.1%) |
|||
|
Shimano, Inc. (Japan) |
300 |
42,442 |
|
|
Smith & Wesson Holding Corp. † |
777 |
11,430 |
|
|
53,872 |
|||
|
Lodging/Tourism (1.1%) |
|||
|
Grand Korea Leisure Co., Ltd. (South Korea) |
508 |
19,024 |
|
|
Hilton Worldwide Holdings, Inc. † |
8,679 |
251,344 |
|
|
Marcus Corp. |
467 |
9,153 |
|
|
Marriott International, Inc./MD Class A |
630 |
49,134 |
|
|
MGM China Holdings, Ltd. (Hong Kong) |
12,800 |
23,217 |
|
|
Wyndham Worldwide Corp. |
1,782 |
151,310 |
|
|
503,182 |
|||
|
Machinery (1.1%) |
|||
|
Altra Industrial Motion Corp. |
379 |
10,423 |
|
|
Atlas Copco AB Class A (Sweden) |
2,421 |
73,199 |
|
|
Atlas Copco AB Class A (Sweden) † |
2,421 |
1,689 |
|
|
Hyster-Yale Materials Holdings, Inc. |
63 |
4,470 |
|
|
Kadant, Inc. |
210 |
9,891 |
|
|
Middleby Corp. (The) † |
49 |
5,326 |
|
|
Mitsubishi Electric Corp. (Japan) |
6,000 |
81,883 |
|
|
Roper Technologies, Inc. |
1,665 |
291,308 |
|
|
THK Co., Ltd. (Japan) |
1,600 |
38,396 |
|
|
516,585 |
|||
|
Manufacturing (1.0%) |
|||
|
AZZ, Inc. |
115 |
5,512 |
|
|
Chase Corp. |
92 |
3,747 |
|
|
Greenbrier Cos., Inc. (The) |
279 |
16,804 |
|
|
IDEX Corp. |
1,194 |
92,248 |
|
|
Illinois Tool Works, Inc. |
1,004 |
94,205 |
|
|
Ingersoll-Rand PLC |
1,613 |
110,942 |
|
|
Leggett & Platt, Inc. |
1,843 |
87,137 |
|
|
MasTec, Inc. † |
679 |
11,991 |
|
|
Standex International Corp. |
100 |
8,001 |
|
|
Trinity Industries, Inc. |
381 |
11,426 |
|
|
Trinseo SA † |
704 |
20,564 |
|
|
462,577 |
|||
|
Media (0.5%) |
|||
|
Naspers, Ltd. Class N (South Africa) |
278 |
40,861 |
|
|
Viacom, Inc. Class B |
3,235 |
216,357 |
|
|
257,218 |
|||
|
Medical technology (1.3%) |
|||
|
Accuray, Inc. † |
586 |
3,601 |
|
|
Alere, Inc. † |
468 |
24,139 |
|
|
AtriCure, Inc. † |
227 |
5,207 |
|
|
C.R. Bard, Inc. |
1,068 |
181,902 |
|
|
CHC Healthcare Group (Taiwan) |
7,000 |
11,652 |
|
|
Coloplast A/S Class B (Denmark) |
967 |
73,029 |
|
|
Conmed Corp. |
197 |
10,941 |
28 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Medical technology cont. |
|||
|
Edwards Lifesciences Corp. † |
1,456 |
$190,328 |
|
|
Globus Medical, Inc. Class A † |
242 |
6,277 |
|
|
Greatbatch, Inc. † |
295 |
15,334 |
|
|
Hill-Rom Holdings, Inc. |
250 |
12,890 |
|
|
ICU Medical, Inc. † |
215 |
20,855 |
|
|
Insulet Corp. † |
126 |
3,562 |
|
|
MiMedx Group, Inc. † |
535 |
5,537 |
|
|
OraSure Technologies, Inc. † |
925 |
5,726 |
|
|
RadNet, Inc. † |
810 |
5,273 |
|
|
Rockwell Medical, Inc. † |
982 |
10,871 |
|
|
Sientra, Inc. † |
112 |
2,523 |
|
|
Spectranetics Corp. (The) † |
260 |
6,456 |
|
|
STAAR Surgical Co. † |
446 |
4,166 |
|
|
Steris Corp. |
73 |
4,879 |
|
|
Surgical Care Affiliates, Inc. † |
274 |
10,409 |
|
|
Trinity Biotech PLC ADR (Ireland) |
160 |
2,768 |
|
|
West Pharmaceutical Services, Inc. |
257 |
13,914 |
|
|
632,239 |
|||
|
Metals (0.8%) |
|||
|
Antofagasta PLC (United Kingdom) |
2,050 |
23,374 |
|
|
ArcelorMittal SA (France) |
2,591 |
27,598 |
|
|
BHP Billiton PLC (Australia) |
1,419 |
29,919 |
|
|
BHP Billiton, Ltd. (Australia) |
1,732 |
38,847 |
|
|
Constellium NV Class A (Netherlands) † |
672 |
9,153 |
|
|
Glencore PLC (Rights) (United Kingdom) F |
5,990 |
139 |
|
|
Glencore PLC (United Kingdom) |
5,990 |
26,362 |
|
|
Hindustan Zinc, Ltd. (India) |
4,110 |
10,876 |
|
|
Horsehead Holding Corp. † |
984 |
12,221 |
|
|
Kaiser Aluminum Corp. |
210 |
17,037 |
|
|
L.B. Foster Co. Class A |
103 |
3,929 |
|
|
Mining and Metallurgical Co. GMK Norilsk Nickel OJSC ADR (Russia) |
1,057 |
18,619 |
|
|
NN, Inc. |
478 |
13,026 |
|
|
Rio Tinto PLC (United Kingdom) |
739 |
32,258 |
|
|
Sibanye Gold, Ltd. (South Africa) |
9,842 |
17,253 |
|
|
South32, Ltd. (Australia) † |
1,732 |
2,900 |
|
|
South32, Ltd. (Australia) † |
1,419 |
2,342 |
|
|
ThyssenKrupp AG (Germany) |
2,514 |
66,598 |
|
|
Vale Indonesia Tbk PT (Indonesia) |
108,500 |
25,575 |
|
|
378,026 |
|||
|
Natural gas utilities (0.8%) |
|||
|
Centrica PLC (United Kingdom) |
8,628 |
36,607 |
|
|
ENI SpA (Italy) |
2,270 |
40,863 |
|
|
Tokyo Gas Co., Ltd. (Japan) |
12,000 |
66,092 |
|
|
UGI Corp. |
6,086 |
227,616 |
|
|
371,178 |
|||
|
Office equipment and supplies (0.1%) |
|||
|
Canon, Inc. (Japan) |
1,400 |
48,326 |
|
|
48,326 |
Dynamic Asset Allocation Equity Fund 29
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Oil and gas (4.8%) |
|||
|
BG Group PLC (United Kingdom) |
2,016 |
$35,034 |
|
|
BP PLC (United Kingdom) |
14,087 |
97,049 |
|
|
Callon Petroleum Co. † |
1,681 |
13,213 |
|
|
CVR Energy, Inc. |
826 |
32,016 |
|
|
Delek US Holdings, Inc. |
266 |
10,071 |
|
|
Diamondback Energy, Inc. † |
44 |
3,424 |
|
|
EP Energy Corp. Class A † |
590 |
7,759 |
|
|
Exxon Mobil Corp. |
3,293 |
280,564 |
|
|
Ezion Holdings, Ltd. (Singapore) |
15,300 |
11,528 |
|
|
Genel Energy PLC (United Kingdom) † |
2,389 |
19,279 |
|
|
Gulfport Energy Corp. † |
142 |
6,129 |
|
|
Marathon Petroleum Corp. |
3,548 |
367,076 |
|
|
Northern Oil and Gas, Inc. † |
2,066 |
14,111 |
|
|
Occidental Petroleum Corp. |
7,217 |
564,297 |
|
|
Royal Dutch Shell PLC Class A (United Kingdom) |
2,286 |
67,887 |
|
|
Royal Dutch Shell PLC Class B (United Kingdom) |
2,083 |
62,829 |
|
|
SM Energy Co. |
158 |
8,267 |
|
|
Statoil ASA (Norway) |
2,759 |
51,763 |
|
|
Stone Energy Corp. † |
208 |
2,825 |
|
|
Total SA (France) |
1,498 |
75,641 |
|
|
Triangle Petroleum Corp. † |
1,141 |
5,853 |
|
|
Unit Corp. † |
96 |
3,027 |
|
|
Valero Energy Corp. |
8,636 |
511,597 |
|
|
W&T Offshore, Inc. |
229 |
1,239 |
|
|
Whiting Petroleum Corp. † |
244 |
8,050 |
|
|
Woodside Petroleum, Ltd. (Australia) |
967 |
26,926 |
|
|
2,287,454 |
|||
|
Pharmaceuticals (6.2%) |
|||
|
AbbVie, Inc. |
3,004 |
200,036 |
|
|
ACADIA Pharmaceuticals, Inc. † |
200 |
8,240 |
|
|
Akorn, Inc. † |
78 |
3,580 |
|
|
Alimera Sciences, Inc. † |
772 |
3,266 |
|
|
Alkermes PLC † |
55 |
3,361 |
|
|
Astellas Pharma, Inc. (Japan) |
3,400 |
49,341 |
|
|
AstraZeneca PLC (United Kingdom) |
1,250 |
83,537 |
|
|
Bayer AG (Germany) |
667 |
94,611 |
|
|
BioDelivery Sciences International, Inc. † |
494 |
4,209 |
|
|
Biospecifics Technologies Corp. † |
102 |
4,859 |
|
|
Cardiome Pharma Corp. (Canada) † |
1,985 |
18,996 |
|
|
Conatus Pharmaceuticals, Inc. † |
79 |
431 |
|
|
Depomed, Inc. † |
259 |
5,403 |
|
|
DexCom, Inc. † |
107 |
7,674 |
|
|
Enanta Pharmaceuticals, Inc. † |
134 |
5,478 |
|
|
GlaxoSmithKline PLC (United Kingdom) |
3,425 |
76,087 |
|
|
Hua Han Bio-Pharmaceutical Holdings, Ltd. (Rights) (China) F |
20,000 |
1,006 |
|
|
Hua Han Bio-Pharmaceutical Holdings, Ltd. (China) |
40,000 |
8,716 |
|
|
Immune Design Corp. † |
159 |
3,471 |
|
|
Impax Laboratories, Inc. † |
335 |
15,748 |
30 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Pharmaceuticals cont. |
|||
|
Insys Therapeutics, Inc. † |
233 |
$13,887 |
|
|
Jazz Pharmaceuticals PLC † |
294 |
52,729 |
|
|
Johnson & Johnson |
2,249 |
225,215 |
|
|
Merck & Co., Inc. |
11,053 |
673,017 |
|
|
Merck KGaA (Germany) |
333 |
35,612 |
|
|
Novartis AG (Switzerland) |
989 |
101,547 |
|
|
Novo Nordisk A/S Class B (Denmark) |
1,349 |
75,327 |
|
|
Ophthotech Corp. † |
133 |
6,653 |
|
|
Pacira Pharmaceuticals, Inc. † |
109 |
8,525 |
|
|
Pernix Therapeutics Holdings † |
958 |
6,102 |
|
|
Pfizer, Inc. |
22,794 |
792,092 |
|
|
POZEN, Inc. † |
1,449 |
9,346 |
|
|
Prestige Brands Holdings, Inc. † |
160 |
7,027 |
|
|
Receptos, Inc. † |
99 |
16,324 |
|
|
Roche Holding AG-Genusschein (Switzerland) |
410 |
120,489 |
|
|
Sanofi (France) |
717 |
70,204 |
|
|
Shionogi & Co., Ltd. (Japan) |
1,200 |
42,198 |
|
|
Shire PLC (United Kingdom) |
426 |
36,689 |
|
|
Sucampo Pharmaceuticals, Inc. Class A † |
389 |
6,313 |
|
|
TESARO, Inc. † |
103 |
6,052 |
|
|
Teva Pharmaceutical Industries, Ltd. ADR (Israel) |
629 |
37,803 |
|
|
Trevena, Inc. † |
311 |
2,165 |
|
|
uniQure BV (Netherlands) † |
133 |
3,822 |
|
|
XenoPort, Inc. † |
1,085 |
6,467 |
|
|
2,953,655 |
|||
|
Photography/Imaging (0.1%) |
|||
|
FUJIFILM Holdings Corp. (Japan) |
1,300 |
49,591 |
|
|
49,591 |
|||
|
Real estate (3.8%) |
|||
|
AG Mortgage Investment Trust, Inc. R |
108 |
2,035 |
|
|
Agree Realty Corp. R |
206 |
6,244 |
|
|
American Capital Agency Corp. R |
5,004 |
104,383 |
|
|
Apollo Commercial Real Estate Finance, Inc. R |
297 |
5,099 |
|
|
Apollo Residential Mortgage, Inc. R |
497 |
7,912 |
|
|
Arlington Asset Investment Corp. Class A |
131 |
2,710 |
|
|
ARMOUR Residential REIT, Inc. R |
592 |
1,770 |
|
|
Ashford Hospitality Trust, Inc. R |
704 |
6,054 |
|
|
Brixmor Property Group, Inc. R |
3,123 |
77,388 |
|
|
Campus Crest Communities, Inc. R |
940 |
5,320 |
|
|
CBL & Associates Properties, Inc. R |
270 |
4,766 |
|
|
CBRE Group, Inc. Class A † |
9,761 |
373,261 |
|
|
Chimera Investment Corp. R |
1,086 |
15,671 |
|
|
China Overseas Land & Investment, Ltd. (China) |
8,000 |
28,983 |
|
|
China Resources Land, Ltd. (China) |
6,444 |
20,855 |
|
|
CYS Investments, Inc. R |
365 |
3,267 |
|
|
DAMAC Properties Dubai Co. PJSC (United Arab Emirates) † |
23,873 |
19,304 |
|
|
Dexus Property Group (Australia) R |
6,543 |
39,863 |
|
|
Emlak Konut Gayrimenkul Yatirim Ortakligi AS (Turkey) R |
20,724 |
23,274 |
|
|
EPR Properties R |
110 |
6,344 |
Dynamic Asset Allocation Equity Fund 31
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Real estate cont. |
|||
|
Equity Lifestyle Properties, Inc. R |
399 |
$21,861 |
|
|
First Industrial Realty Trust R |
230 |
4,487 |
|
|
General Growth Properties R |
9,904 |
280,580 |
|
|
Hammerson PLC (United Kingdom) R |
2,771 |
28,312 |
|
|
Hersha Hospitality Trust R |
800 |
5,088 |
|
|
Invesco Mortgage Capital, Inc. R |
175 |
2,777 |
|
|
Investors Real Estate Trust R |
531 |
3,844 |
|
|
Jones Lang LaSalle, Inc. |
861 |
149,151 |
|
|
Kawasan Industri Jababeka Tbk PT (Indonesia) |
467,600 |
9,629 |
|
|
KWG Property Holding, Ltd. (China) |
20,000 |
19,081 |
|
|
Lexington Realty Trust R |
1,018 |
9,345 |
|
|
LTC Properties, Inc. R |
249 |
10,480 |
|
|
Mexico Real Estate Management SA de CV (Mexico) R |
9,100 |
13,196 |
|
|
MFA Financial, Inc. R |
5,720 |
45,417 |
|
|
National Health Investors, Inc. R |
155 |
10,252 |
|
|
One Liberty Properties, Inc. R |
242 |
5,372 |
|
|
Outfront Media, Inc. R |
670 |
18,566 |
|
|
Post Properties, Inc. R |
91 |
5,170 |
|
|
Ramco-Gershenson Properties Trust R |
296 |
5,097 |
|
|
Scentre Group (Australia) R |
14,714 |
44,260 |
|
|
Sekisui Chemical Co., Ltd. (Japan) |
3,000 |
40,390 |
|
|
Select Income REIT R |
188 |
4,407 |
|
|
Summit Hotel Properties, Inc. R |
648 |
8,657 |
|
|
Taubman Centers, Inc. R |
290 |
21,469 |
|
|
Tokyo Tatemono Co., Ltd. (Japan) |
7,000 |
54,121 |
|
|
Two Harbors Investment Corp. R |
11,083 |
118,477 |
|
|
Universal Health Realty Income Trust R |
52 |
2,491 |
|
|
Westfield Corp. (Australia) R |
5,341 |
39,245 |
|
|
Wheelock and Co., Ltd. (Hong Kong) |
13,000 |
69,706 |
|
|
1,805,431 |
|||
|
Restaurants (0.1%) |
|||
|
Bloomin’ Brands, Inc. |
246 |
5,525 |
|
|
Minor International PCL (Thailand) |
12,920 |
11,714 |
|
|
Papa John’s International, Inc. |
118 |
8,108 |
|
|
Popeyes Louisiana Kitchen, Inc. † |
111 |
6,173 |
|
|
Sonic Corp. |
340 |
10,248 |
|
|
41,768 |
|||
|
Retail (5.7%) |
|||
|
Adidas AG (Germany) |
292 |
22,940 |
|
|
Ascena Retail Group, Inc. † |
690 |
10,198 |
|
|
Big Lots, Inc. |
269 |
11,809 |
|
|
Caleres, Inc. |
367 |
11,351 |
|
|
Children’s Place, Inc. (The) |
126 |
8,240 |
|
|
Compagnie Financiere Richemont SA (Switzerland) |
318 |
27,474 |
|
|
CVS Health Corp. |
6,201 |
634,858 |
|
|
Deckers Outdoor Corp. † |
134 |
9,132 |
|
|
Dillards, Inc. Class A |
119 |
13,805 |
|
|
Five Below, Inc. † |
139 |
4,622 |
|
|
Home Depot, Inc. (The) |
6,026 |
671,417 |
32 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Retail cont. |
|||
|
Hyundai Department Store Co., Ltd. (South Korea) |
144 |
$19,865 |
|
|
Iconix Brand Group, Inc. † |
379 |
9,786 |
|
|
Isetan Mitsukoshi Holdings, Ltd. (Japan) |
2,300 |
38,485 |
|
|
KAR Auction Services, Inc. |
2,188 |
81,525 |
|
|
Koninklijke Ahold NV (Netherlands) |
3,225 |
65,580 |
|
|
Lowe’s Cos., Inc. |
5,858 |
409,943 |
|
|
Macy’s, Inc. |
2,848 |
190,674 |
|
|
Marks & Spencer Group PLC (United Kingdom) |
4,887 |
43,546 |
|
|
Men’s Wearhouse, Inc. (The) |
243 |
14,096 |
|
|
NIKE, Inc. Class B |
3,150 |
320,261 |
|
|
Nutraceutical International Corp. † |
160 |
3,510 |
|
|
Skechers U.S.A., Inc. Class A † |
47 |
4,976 |
|
|
Steven Madden, Ltd. † |
121 |
4,571 |
|
|
USANA Health Sciences, Inc. † |
42 |
5,380 |
|
|
Vista Outdoor, Inc. † |
85 |
3,918 |
|
|
Wal-Mart de Mexico SAB de CV (Mexico) |
6,635 |
16,416 |
|
|
Woolworths, Ltd. (Australia) |
702 |
14,974 |
|
|
2,673,352 |
|||
|
Schools (—%) |
|||
|
Bright Horizons Family Solutions, Inc. † |
100 |
5,567 |
|
|
Grand Canyon Education, Inc. † |
288 |
12,300 |
|
|
ITT Educational Services, Inc. † |
155 |
677 |
|
|
18,544 |
|||
|
Semiconductor (0.8%) |
|||
|
Advanced Energy Industries, Inc. † |
525 |
14,973 |
|
|
Advanced Semiconductor Engineering, Inc. (Taiwan) |
21,000 |
29,972 |
|
|
Cypress Semiconductor Corp. † |
1,366 |
18,755 |
|
|
Maxim Integrated Products, Inc. |
3,346 |
117,344 |
|
|
Power Integrations, Inc. |
107 |
5,431 |
|
|
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) |
19,000 |
90,505 |
|
|
Teradyne, Inc. |
5,154 |
109,007 |
|
|
Xcerra Corp. † |
1,503 |
11,603 |
|
|
397,590 |
|||
|
Shipping (1.3%) |
|||
|
Adani Ports & Special Economic Zone, Ltd. (India) |
2,173 |
11,014 |
|
|
Aegean Marine Petroleum Network, Inc. (Greece) |
914 |
12,997 |
|
|
ArcBest Corp. |
301 |
10,291 |
|
|
Saia, Inc. † |
267 |
10,931 |
|
|
Scorpio Tankers, Inc. |
760 |
6,931 |
|
|
Swift Transportation Co. † |
897 |
20,873 |
|
|
Teekay Corp. (Bermuda) |
1,158 |
53,060 |
|
|
United Parcel Service, Inc. Class B |
4,784 |
474,668 |
|
|
600,765 |
|||
|
Software (3.3%) |
|||
|
Amdocs, Ltd. |
2,541 |
139,374 |
|
|
Glu Mobile, Inc. † |
3,034 |
19,660 |
|
|
Intuit, Inc. |
2,487 |
259,021 |
|
|
Manhattan Associates, Inc. † |
160 |
8,776 |
|
|
Microsoft Corp. |
1,962 |
91,939 |
|
|
MobileIron, Inc. † |
492 |
2,962 |
Dynamic Asset Allocation Equity Fund 33
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Software cont. |
|||
|
NetEase, Inc. ADR (China) |
166 |
$23,474 |
|
|
NTT Data Corp. (Japan) |
600 |
26,547 |
|
|
Oracle Corp. |
14,396 |
626,082 |
|
|
Proofpoint, Inc. † |
106 |
6,268 |
|
|
PROS Holdings, Inc. † |
171 |
3,292 |
|
|
Rovi Corp. † |
311 |
5,212 |
|
|
SAP AG (Germany) |
271 |
20,058 |
|
|
Symantec Corp. |
8,687 |
213,917 |
|
|
SYNNEX Corp. |
126 |
10,416 |
|
|
Tencent Holdings, Ltd. (China) |
3,500 |
69,942 |
|
|
Ultimate Software Group, Inc. † |
43 |
6,957 |
|
|
Veeva Systems, Inc. Class A † |
199 |
5,397 |
|
|
1,539,294 |
|||
|
Staffing (0.2%) |
|||
|
Barrett Business Services, Inc. |
76 |
2,737 |
|
|
Kforce, Inc. |
441 |
9,706 |
|
|
Korn/Ferry International |
231 |
7,413 |
|
|
ManpowerGroup, Inc. |
507 |
42,918 |
|
|
On Assignment, Inc. † |
707 |
26,505 |
|
|
89,279 |
|||
|
Technology (0.2%) |
|||
|
CACI International, Inc. Class A † |
155 |
13,271 |
|
|
SoftBank Corp. (Japan) |
1,000 |
59,696 |
|
|
72,967 |
|||
|
Technology services (3.9%) |
|||
|
Alibaba Group Holding, Ltd. ADR (China) † |
365 |
32,602 |
|
|
Baidu, Inc. ADR (China) † |
274 |
54,088 |
|
|
Barracuda Networks, Inc. † |
164 |
6,452 |
|
|
Computer Sciences Corp. |
3,690 |
253,134 |
|
|
Dun & Bradstreet Corp. (The) |
410 |
52,451 |
|
|
eBay, Inc. † |
9,599 |
588,995 |
|
|
Engility Holdings, Inc. |
361 |
10,079 |
|
|
Google, Inc. Class A † |
1,168 |
636,934 |
|
|
Infosys, Ltd. (India) |
741 |
23,453 |
|
|
Leidos Holdings, Inc. |
2,856 |
121,380 |
|
|
MAXIMUS, Inc. |
84 |
5,491 |
|
|
NCSoft Corp. (South Korea) |
126 |
22,364 |
|
|
NIC, Inc. |
204 |
3,437 |
|
|
Pandora Media, Inc. † |
204 |
3,809 |
|
|
Perficient, Inc. † |
310 |
5,865 |
|
|
Tyler Technologies, Inc. † |
70 |
8,504 |
|
|
Web.com Group, Inc. † |
429 |
9,725 |
|
|
1,838,763 |
|||
|
Telecommunications (2.0%) |
|||
|
ARRIS Group, Inc. † |
77 |
2,542 |
|
|
BT Group PLC (United Kingdom) |
10,269 |
70,110 |
|
|
CalAmp Corp. † |
596 |
11,765 |
|
|
China Mobile, Ltd. (China) |
5,000 |
65,626 |
|
|
Comtech Telecommunications Corp. |
451 |
13,548 |
|
|
EchoStar Corp. Class A † |
330 |
16,533 |
34 Dynamic Asset Allocation Equity Fund
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Telecommunications cont. |
|||
|
Idea Cellular, Ltd. (India) |
5,271 |
$14,259 |
|
|
Inteliquent, Inc. |
347 |
6,118 |
|
|
Iridium Communications, Inc. † |
557 |
5,765 |
|
|
Juniper Networks, Inc. |
9,744 |
270,883 |
|
|
magicJack VocalTec, Ltd. (Israel) † |
927 |
7,648 |
|
|
NeuStar, Inc. Class A † |
213 |
5,819 |
|
|
NTT DoCoMo, Inc. (Japan) |
2,700 |
48,416 |
|
|
Orange SA (France) |
2,853 |
44,996 |
|
|
SBA Communications Corp. Class A † |
1,823 |
203,830 |
|
|
ShoreTel, Inc. † |
680 |
4,678 |
|
|
Spok Holdings, Inc. |
265 |
4,598 |
|
|
TCL Communication Technology Holdings, Ltd. (China) |
13,000 |
13,912 |
|
|
Telefonica SA (Spain) |
2,619 |
37,049 |
|
|
Telenor ASA (Norway) † |
1,705 |
38,658 |
|
|
Telstra Corp., Ltd. (Australia) |
10,932 |
51,739 |
|
|
Vodafone Group PLC (United Kingdom) |
7,157 |
27,932 |
|
|
966,424 |
|||
|
Telephone (1.4%) |
|||
|
CenturyLink, Inc. |
7,984 |
265,388 |
|
|
Deutsche Telekom AG (Germany) |
3,235 |
55,587 |
|
|
IDT Corp. Class B |
235 |
4,228 |
|
|
Verizon Communications, Inc. |
6,849 |
338,615 |
|
|
663,818 |
|||
|
Textiles (0.5%) |
|||
|
Carter’s, Inc. |
1,576 |
162,675 |
|
|
G&K Services, Inc. Class A |
130 |
9,058 |
|
|
Oxford Industries, Inc. |
166 |
12,594 |
|
|
Sequential Brands Group, Inc. † |
515 |
7,195 |
|
|
VF Corp. |
628 |
44,230 |
|
|
235,752 |
|||
|
Tire and rubber (0.3%) |
|||
|
Apollo Tyres, Ltd. (India) |
4,688 |
13,910 |
|
|
Continental AG (Germany) |
406 |
93,753 |
|
|
Cooper Tire & Rubber Co. |
362 |
13,289 |
|
|
120,952 |
|||
|
Tobacco (0.8%) |
|||
|
Altria Group, Inc. |
1,262 |
64,614 |
|
|
British American Tobacco PLC (United Kingdom) |
958 |
52,792 |
|
|
Imperial Tobacco Group PLC (United Kingdom) |
1,161 |
59,800 |
|
|
Philip Morris International, Inc. |
2,256 |
187,406 |
|
|
364,612 |
|||
|
Transportation services (0.2%) |
|||
|
ComfortDelgro Corp., Ltd. (Singapore) |
21,100 |
47,860 |
|
|
Deutsche Post AG (Germany) |
1,226 |
36,955 |
|
|
Matson, Inc. |
98 |
3,947 |
|
|
Universal Truckload Services, Inc. |
31 |
627 |
|
|
89,389 |
|||
|
Trucks and parts (0.5%) |
|||
|
Allison Transmission Holdings, Inc. |
5,585 |
170,901 |
|
|
American Axle & Manufacturing Holdings, Inc. † |
196 |
4,922 |
|
|
Cooper-Standard Holding, Inc. † |
166 |
10,387 |
Dynamic Asset Allocation Equity Fund 35
|
COMMON STOCKS (94.9%)* cont. |
Shares |
Value |
|
|
Trucks and parts cont. |
|||
|
Douglas Dynamics, Inc. |
148 |
$3,004 |
|
|
Meritor, Inc. † |
808 |
11,562 |
|
|
Miller Industries, Inc. |
243 |
4,984 |
|
|
Standard Motor Products, Inc. |
355 |
12,485 |
|
|
Tenneco, Inc. † |
100 |
5,872 |
|
|
Tower International, Inc. † |
266 |
7,318 |
|
|
Wabash National Corp. † |
1,047 |
14,176 |
|
|
245,611 |
|||
|
Water utilities (0.1%) |
|||
|
United Utilities Group PLC (United Kingdom) |
3,475 |
52,899 |
|
|
52,899 |
|||
|
Total common stocks (cost $39,145,538) |
|
||
|
INVESTMENT COMPANIES (0.9%)* |
Shares |
Value |
|
|
ChinaAMC CSI 300 Index ETF (China) |
3,000 |
$23,712 |
|
|
Hercules Technology Growth Capital, Inc. |
413 |
5,299 |
|
|
iShares MSCI EAFE ETF |
5,110 |
340,530 |
|
|
Market Vectors Russia ETF (Russia) |
912 |
17,282 |
|
|
Market Vectors Vietnam ETF (Vietnam) |
589 |
10,419 |
|
|
Medley Capital Corp. |
886 |
8,302 |
|
|
Solar Capital, Ltd. |
354 |
6,768 |
|
|
Total investment companies (cost $409,797) |
|
||
|
WARRANTS (0.2%)* † |
Expiration date |
Strike |
Warrants |
Value |
|
|
AI Tayyar Travel Group 144A (Saudi Arabia) |
6/10/15 |
$0.00 |
459 |
$13,134 |
|
|
China State Construction Engineering Corp., Ltd. 144A (China) |
4/16/16 |
0.00 |
10,000 |
15,020 |
|
|
Daqin Railway Co., Ltd. 144A (China) |
3/31/16 |
0.00 |
9,176 |
18,046 |
|
|
Kuwait Food Co. (Americana) 144A (Kuwait) |
2/24/16 |
0.00 |
1,162 |
10,126 |
|
|
Qingdao Haier Co., Ltd. 144A (China) |
3/16/17 |
0.00 |
4,000 |
18,953 |
|
|
Wuliangye Yibin Co., Ltd. 144A (China) |
4/15/16 |
0.00 |
4,300 |
18,612 |
|
|
Total warrants (cost $91,071) |
|
||||
|
PURCHASED OPTIONS |
Expiration date/strike price |
Contract amount |
Value |
|
|
iShares MSCI Emerging Markets ETF (Put) |
Jun-15/$35.00 |
$28,165 |
$306 |
|
|
Total purchased options outstanding (cost $18,871) |
|
|||
|
SHORT-TERM INVESTMENTS (7.6%)* |
Principal amount/shares |
Value |
||
|
Putnam Cash Collateral Pool, LLC 0.23% d |
Shares |
1,588,925 |
$1,588,925 |
|
|
Putnam Short Term Investment Fund 0.07% L |
Shares |
1,617,817 |
1,617,817 |
|
|
SSgA Prime Money Market Fund Class N 0.03% P |
Shares |
110,000 |
110,000 |
|
|
U.S. Treasury Bills 0.02%, August 20, 2015 # |
$30,000 |
29,999 |
||
|
U.S. Treasury Bills 0.02%, August 13, 2015 # |
100,000 |
99,999 |
36 Dynamic Asset Allocation Equity Fund
|
SHORT-TERM INVESTMENTS (7.6%)* cont. |
Principal |
Value |
|
|
U.S. Treasury Bills 0.02%, October 8, 2015 |
$50,000 |
$49,997 |
|
|
U.S. Treasury Bills 0.03%, July 2, 2015 # |
100,000 |
99,998 |
|
|
Total short-term investments (cost $3,596,733) |
|
||
|
TOTAL INVESTMENTS |
||
|
Total investments (cost $43,262,010) |
$49,093,509 |
|
|
||
|
ADR |
American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
|
|
ETF |
Exchange Traded Fund |
|
|
GDR |
Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
|
|
OAO |
Open Joint Stock Company |
|
|
OJSC |
Open Joint Stock Company |
|
|
PJSC |
Public Joint Stock Company |
|
|
Notes to the fund’s portfolio |
|
|
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from June 1, 2014 through May 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter. |
|
|
* |
Percentages indicated are based on net assets of $47,394,650. |
|
† |
This security is non-income-producing. |
|
# |
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. |
|
d |
Affiliated company. See Note 1 to the financial statements regarding securities lending. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
|
F |
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. |
|
S |
Security on loan, in part or in entirety, at the close of the reporting period (Note 1). |
|
At the close of the reporting period, the fund maintained liquid assets totaling $151,305 to cover certain derivative contracts, and the settlement of certain securities. |
|
|
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. |
Dynamic Asset Allocation Equity Fund 37
|
DIVERSIFICATION BY COUNTRY |
|
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): |
|
United States |
76.4% |
|
Japan |
4.0 |
|
United Kingdom |
3.7 |
|
China |
1.8 |
|
France |
1.8 |
|
Switzerland |
1.7 |
|
Germany |
1.6 |
|
Australia |
1.3 |
|
Hong Kong |
0.7 |
|
South Korea |
0.7 |
|
Taiwan |
0.6 |
|
Spain |
0.5 |
|
India |
0.5 |
|
Other |
4.7 |
|
Total |
100.0% |
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
$3,433 |
$3,416 |
$17 |
||
|
British Pound |
Buy |
6/17/15 |
16,810 |
16,909 |
(99) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
361,041 |
354,471 |
(6,570) |
||
|
Euro |
Buy |
6/17/15 |
302,090 |
307,754 |
(5,664) |
||
|
Mexican Peso |
Buy |
7/15/15 |
43,800 |
44,235 |
(435) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
8,772 |
8,209 |
563 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
45,157 |
46,855 |
(1,698) |
||
|
British Pound |
Buy |
6/17/15 |
24,452 |
24,897 |
(445) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
10,446 |
10,007 |
(439) |
||
|
Euro |
Sell |
6/17/15 |
10,655 |
10,086 |
(569) |
||
|
Hong Kong Dollar |
Sell |
8/19/15 |
12,380 |
12,389 |
9 |
||
|
Japanese Yen |
Sell |
8/19/15 |
177,481 |
182,632 |
5,151 |
||
|
Mexican Peso |
Buy |
7/15/15 |
45,774 |
46,470 |
(696) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
45,794 |
48,638 |
2,844 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
42,960 |
41,298 |
1,662 |
||
|
Singapore Dollar |
Sell |
8/19/15 |
98,703 |
100,310 |
1,607 |
||
|
Swedish Krona |
Sell |
6/17/15 |
69,872 |
70,086 |
214 |
||
|
Swiss Franc |
Buy |
6/17/15 |
160,000 |
155,326 |
4,674 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
50,726 |
50,501 |
(225) |
||
|
British Pound |
Buy |
6/17/15 |
18,645 |
18,493 |
152 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
69,990 |
69,073 |
(917) |
||
|
Chilean Peso |
Buy |
7/15/15 |
1,193 |
1,219 |
(26) |
||
|
Danish Krone |
Sell |
6/17/15 |
26,452 |
28,873 |
2,421 |
||
|
Euro |
Buy |
6/17/15 |
46,028 |
47,730 |
(1,702) |
||
|
Japanese Yen |
Sell |
8/19/15 |
48,898 |
50,345 |
1,447 |
||
|
Mexican Peso |
Buy |
7/15/15 |
53,892 |
54,700 |
(808) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
15,548 |
16,529 |
(981) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
16,220 |
15,385 |
835 |
||
38 Dynamic Asset Allocation Equity Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Philippine Peso |
Buy |
8/19/15 |
$17,284 |
$17,293 |
$(9) |
||
|
Swedish Krona |
Sell |
6/17/15 |
22,149 |
21,655 |
(494) |
||
|
Swiss Franc |
Sell |
6/17/15 |
639 |
1,020 |
381 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
96,341 |
97,937 |
(1,596) |
||
|
British Pound |
Buy |
6/17/15 |
101,322 |
95,266 |
6,056 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
16,875 |
15,050 |
(1,825) |
||
|
Euro |
Sell |
6/17/15 |
122,154 |
122,305 |
151 |
||
|
Indian Rupee |
Buy |
8/19/15 |
33,590 |
33,439 |
151 |
||
|
Japanese Yen |
Buy |
8/19/15 |
642,778 |
665,265 |
(22,487) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
26,006 |
28,598 |
2,592 |
||
|
Norwegian Krone |
Sell |
6/17/15 |
7,859 |
7,910 |
51 |
||
|
Singapore Dollar |
Sell |
8/19/15 |
44,131 |
44,849 |
718 |
||
|
Swedish Krona |
Sell |
6/17/15 |
869 |
1,768 |
899 |
||
|
Swiss Franc |
Buy |
6/17/15 |
53,334 |
50,000 |
3,334 |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
27,689 |
26,714 |
(975) |
||
|
British Pound |
Buy |
6/17/15 |
42,179 |
42,425 |
(246) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
55,446 |
54,472 |
(974) |
||
|
Euro |
Buy |
6/17/15 |
244,308 |
229,930 |
14,378 |
||
|
Japanese Yen |
Sell |
8/19/15 |
12,539 |
12,978 |
439 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
17,384 |
18,200 |
(816) |
||
|
Norwegian Krone |
Sell |
6/17/15 |
22,844 |
22,992 |
148 |
||
|
Polish Zloty |
Sell |
6/17/15 |
37,176 |
37,299 |
123 |
||
|
Swedish Krona |
Sell |
6/17/15 |
32,766 |
33,483 |
717 |
||
|
Swiss Franc |
Sell |
6/17/15 |
8,303 |
8,187 |
(116) |
||
|
Turkish Lira |
Buy |
6/17/15 |
14,506 |
15,648 |
(1,142) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
40,581 |
40,327 |
254 |
||
|
British Pound |
Buy |
6/17/15 |
17,269 |
17,803 |
(534) |
||
|
Canadian Dollar |
Sell |
7/15/15 |
8,437 |
8,289 |
(148) |
||
|
Euro |
Sell |
6/17/15 |
121,385 |
124,205 |
2,820 |
||
|
Japanese Yen |
Buy |
8/19/15 |
288,485 |
298,632 |
(10,147) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
38,868 |
40,695 |
(1,827) |
||
|
Norwegian Krone |
Sell |
6/17/15 |
11,216 |
11,292 |
76 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
16,629 |
17,662 |
(1,033) |
||
|
British Pound |
Sell |
6/17/15 |
104,225 |
113,017 |
8,792 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
47,169 |
46,522 |
(647) |
||
|
Euro |
Sell |
6/17/15 |
46,357 |
47,156 |
799 |
||
|
Japanese Yen |
Buy |
8/19/15 |
32,710 |
33,862 |
(1,152) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
14,558 |
15,235 |
(677) |
||
|
Swedish Krona |
Sell |
6/17/15 |
20,542 |
21,272 |
730 |
||
Dynamic Asset Allocation Equity Fund 39
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
$32,266 |
$31,223 |
$1,043 |
||
|
British Pound |
Buy |
6/17/15 |
57,767 |
57,200 |
567 |
||
|
Canadian Dollar |
Buy |
7/15/15 |
128,972 |
128,757 |
215 |
||
|
Euro |
Sell |
6/17/15 |
553,098 |
586,478 |
33,380 |
||
|
Indian Rupee |
Buy |
8/19/15 |
3,532 |
3,526 |
6 |
||
|
Japanese Yen |
Sell |
8/19/15 |
767,506 |
794,539 |
27,033 |
||
|
Mexican Peso |
Buy |
7/15/15 |
40,310 |
40,942 |
(632) |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
16,395 |
18,266 |
1,871 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
55,385 |
54,866 |
519 |
||
|
Philippine Peso |
Buy |
8/19/15 |
29,106 |
29,090 |
16 |
||
|
Singapore Dollar |
Sell |
8/19/15 |
43,391 |
43,807 |
416 |
||
|
Swedish Krona |
Buy |
6/17/15 |
6,183 |
8,678 |
(2,495) |
||
|
Swiss Franc |
Buy |
6/17/15 |
13,200 |
12,552 |
648 |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
26,316 |
27,224 |
(908) |
||
|
British Pound |
Buy |
6/17/15 |
37,900 |
39,560 |
(1,660) |
||
|
Canadian Dollar |
Buy |
7/15/15 |
27,080 |
29,350 |
(2,270) |
||
|
Euro |
Buy |
6/17/15 |
18,345 |
16,747 |
1,598 |
||
|
Japanese Yen |
Sell |
8/19/15 |
65,350 |
67,080 |
1,730 |
||
|
New Zealand Dollar |
Sell |
7/15/15 |
18,586 |
19,170 |
584 |
||
|
Norwegian Krone |
Buy |
6/17/15 |
43,385 |
43,560 |
(175) |
||
|
Singapore Dollar |
Buy |
8/19/15 |
8,145 |
8,527 |
(382) |
||
|
Swedish Krona |
Sell |
6/17/15 |
70,752 |
70,618 |
(134) |
||
|
|
|||||||
|
Australian Dollar |
Sell |
7/15/15 |
25,782 |
25,299 |
(483) |
||
|
Brazilian Real |
Buy |
7/2/15 |
41,169 |
42,452 |
(1,283) |
||
|
British Pound |
Sell |
6/17/15 |
32,246 |
31,326 |
(920) |
||
|
Canadian Dollar |
Buy |
7/15/15 |
65,813 |
65,942 |
(129) |
||
|
Chilean Peso |
Buy |
7/15/15 |
49 |
49 |
— |
||
|
Euro |
Sell |
6/17/15 |
406,778 |
394,833 |
(11,945) |
||
|
Hungarian Forint |
Buy |
6/17/15 |
37,887 |
39,031 |
(1,144) |
||
|
Japanese Yen |
Sell |
8/19/15 |
160,409 |
166,324 |
5,915 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
16,748 |
17,535 |
(787) |
||
|
Norwegian Krone |
Sell |
6/17/15 |
14,406 |
14,496 |
90 |
||
|
Singapore Dollar |
Sell |
8/19/15 |
37,541 |
37,858 |
317 |
||
|
Swedish Krona |
Buy |
6/17/15 |
24,448 |
23,695 |
753 |
||
|
Swiss Franc |
Buy |
6/17/15 |
2,768 |
2,730 |
38 |
||
|
Turkish Lira |
Sell |
6/17/15 |
11,029 |
9,850 |
(1,179) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
3,281 |
4,215 |
(934) |
||
|
British Pound |
Sell |
6/17/15 |
1,987 |
7,524 |
5,537 |
||
|
Canadian Dollar |
Sell |
7/15/15 |
248,381 |
243,355 |
(5,026) |
||
|
Chilean Peso |
Buy |
7/15/15 |
49 |
49 |
— |
||
40 Dynamic Asset Allocation Equity Fund
|
|
|||||||
|
Counterparty |
Currency |
Contract |
Delivery |
Value |
Aggregate |
Unrealized |
|
|
|
|||||||
|
Euro |
Buy |
6/17/15 |
$363,387 |
$352,797 |
$10,590 |
||
|
Israeli Shekel |
Buy |
7/15/15 |
285 |
1,008 |
(723) |
||
|
Japanese Yen |
Sell |
8/19/15 |
161,896 |
167,607 |
5,711 |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
8,551 |
8,766 |
(215) |
||
|
Norwegian Krone |
Buy |
6/17/15 |
20,129 |
17,661 |
2,468 |
||
|
Swedish Krona |
Buy |
6/17/15 |
352 |
1,646 |
(1,294) |
||
|
Swiss Franc |
Sell |
6/17/15 |
201,624 |
198,845 |
(2,779) |
||
|
|
|||||||
|
Australian Dollar |
Buy |
7/15/15 |
5,721 |
6,624 |
(903) |
||
|
Canadian Dollar |
Buy |
7/15/15 |
64,928 |
63,354 |
1,574 |
||
|
Euro |
Buy |
6/17/15 |
291,654 |
298,478 |
(6,824) |
||
|
Japanese Yen |
Buy |
8/19/15 |
185,924 |
192,462 |
(6,538) |
||
|
New Zealand Dollar |
Buy |
7/15/15 |
30,670 |
32,107 |
(1,437) |
||
|
Total |
|
||||||
|
|
|||||
|
Number of |
Value |
Expiration |
Unrealized |
||
|
Euro STOXX 50 Index (Long) |
9 |
$352,093 |
Jun-15 |
$26 |
|
|
FTSE 100 Index (Short) |
4 |
425,782 |
Jun-15 |
(3,266) |
|
|
Russell 2000 Index Mini (Short) |
8 |
995,440 |
Jun-15 |
(11,681) |
|
|
S&P 500 Index E-Mini (Long) |
16 |
1,684,800 |
Jun-15 |
21,764 |
|
|
SPI 200 Index (Short) |
3 |
$331,318 |
Jun-15 |
3,774 |
|
|
Total |
|
||||
|
|
||||
|
Expiration date/ strike price |
Contract |
Value |
||
|
iShares MSCI Emerging Markets ETF (Put) |
Jun-15/$33.00 |
$28,165 |
$132 |
|
|
WisdomTree India Earnings ETF (Call) |
Jun-15/23.00 |
2,867 |
357 |
|
|
Total |
|
|||
|
|
|||||||
|
Swap counterparty/ |
Upfront |
Termination |
Payments |
Total return |
|
||
|
|
|||||||
|
baskets |
102 |
$— |
4/14/16 |
(3 month USD-LIBOR-BBA plus 55 bp) |
A basket (UBSPUTNH) of common stocks |
$(523) |
|
|
Total |
$— |
|
|||||
Dynamic Asset Allocation Equity Fund 41
|
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows: |
|
|
Level 1: Valuations based on quoted prices for identical securities in active markets. |
|
|
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
|
|
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. |
|
|
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period: |
|
Valuation inputs |
||||
|
Investments in securities: |
Level 1 |
Level 2 |
Level 3 |
|
|
Common stocks*: |
||||
|
Basic materials |
$1,849,085 |
$349,860 |
$— |
|
|
Capital goods |
2,891,151 |
232,825 |
— |
|
|
Communication services |
1,232,460 |
193,952 |
— |
|
|
Conglomerates |
67,690 |
— |
— |
|
|
Consumer cyclicals |
5,310,837 |
547,743 |
— |
|
|
Consumer staples |
3,681,976 |
150,200 |
— |
|
|
Energy |
3,036,346 |
38,454 |
— |
|
|
Financials |
7,133,269 |
1,540,404 |
— |
|
|
Health care |
6,094,397 |
151,430 |
— |
|
|
Technology |
6,839,562 |
841,029 |
— |
|
|
Transportation |
1,056,174 |
127,630 |
— |
|
|
Utilities and power |
1,370,109 |
253,682 |
— |
|
|
Total common stocks |
40,563,056 |
4,427,209 |
— |
|
|
Investment companies |
$388,600 |
$23,712 |
$— |
|
|
Purchased options outstanding |
— |
306 |
— |
|
|
Warrants |
— |
93,891 |
— |
|
|
Short-term investments |
1,727,817 |
1,868,918 |
— |
|
|
Totals by level |
$42,679,473 |
$6,414,036 |
$— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation inputs |
||||
|
Other financial instruments: |
Level 1 |
Level 2 |
Level 3 |
|
|
Forward currency contracts |
$— |
$46,506 |
$— |
|
|
Futures contracts |
10,617 |
— |
— |
|
|
Written options outstanding |
— |
(489) |
— |
|
|
Total return swap contracts |
— |
(523) |
— |
|
|
Totals by level |
$10,617 |
$45,494 |
$— |
|
|
* 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.
42 Dynamic Asset Allocation Equity Fund
|
Statement of assets and liabilities 5/31/15 |
||
|
ASSETS |
||
|
Investment in securities, at value, including $1,547,641 of securities on loan (Note 1): |
||
|
Unaffiliated issuers (identified cost $40,055,268) |
$45,886,767 |
|
|
Affiliated issuers (identified cost $3,206,742) (Notes 1 and 5) |
3,206,742 |
|
|
Cash |
553 |
|
|
Foreign currency (cost $30,271) (Note 1) |
30,388 |
|
|
Dividends, interest and other receivables |
106,464 |
|
|
Receivable for shares of the fund sold |
972,149 |
|
|
Receivable for investments sold |
10,528,805 |
|
|
Receivable from Manager (Note 2) |
7,517 |
|
|
Receivable for variation margin (Note 1) |
12,971 |
|
|
Unrealized appreciation on forward currency contracts (Note 1) |
167,824 |
|
|
Prepaid assets |
8,905 |
|
|
Total assets |
60,929,085 |
|
|
LIABILITIES |
||
|
Payable for investments purchased |
11,136,075 |
|
|
Payable for shares of the fund repurchased |
400,814 |
|
|
Payable for custodian fees (Note 2) |
40,659 |
|
|
Payable for investor servicing fees (Note 2) |
16,226 |
|
|
Payable for Trustee compensation and expenses (Note 2) |
3,617 |
|
|
Payable for administrative services (Note 2) |
143 |
|
|
Payable for variation margin (Note 1) |
32,606 |
|
|
Unrealized depreciation on OTC swap contracts (Note 1) |
523 |
|
|
Unrealized depreciation on forward currency contracts (Note 1) |
121,318 |
|
|
Written options outstanding, at value (premiums $12,576) (Notes 1 and 3) |
489 |
|
|
Collateral on securities loaned, at value (Note 1) |
1,588,925 |
|
|
Collateral on certain derivative contracts, at value (Note 1) |
110,000 |
|
|
Other accrued expenses |
83,040 |
|
|
Total liabilities |
13,534,435 |
|
|
Net assets |
$47,394,650 |
|
|
REPRESENTED BY |
||
|
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) |
$39,852,385 |
|
|
Undistributed net investment income (Note 1) |
416,726 |
|
|
Accumulated net realized gain on investments and foreign currency transactions (Note 1) |
1,226,570 |
|
|
Net unrealized appreciation of investments and assets and liabilities in foreign currencies |
5,898,969 |
|
|
Total — Representing net assets applicable to capital shares outstanding |
$47,394,650 |
|
|
(Continued on next page) |
The accompanying notes are an integral part of these financial statements.
Dynamic Asset Allocation Equity Fund 43
|
Statement of assets and liabilities (Continued) |
||
|
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE |
||
|
Net asset value and redemption price per class A share ($33,993 divided by 2,789 shares) |
$12.19 |
|
|
Offering price per class A share (100/94.25 of $12.19)* |
$12.93 |
|
|
Net asset value, offering price and redemption price per class Y share ($47,360,657 divided by 3,884,807 shares) |
$12.19 |
|
|
* |
On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced. |
|
The accompanying notes are an integral part of these financial statements.
44 Dynamic Asset Allocation Equity Fund
|
Statement of operations Year ended 5/31/15 |
||
|
INVESTMENT INCOME |
||
|
Dividends (net of foreign tax of $21,277) |
$704,702 |
|
|
Interest (including interest income of $941 from investments in affiliated issuers) (Note 5) |
1,103 |
|
|
Securities lending (Note 1) |
817 |
|
|
Total investment income |
706,622 |
|
|
EXPENSES |
||
|
Compensation of Manager (Note 2) |
200,803 |
|
|
Investor servicing fees (Note 2) |
79,357 |
|
|
Custodian fees (Note 2) |
113,622 |
|
|
Trustee compensation and expenses (Note 2) |
1,370 |
|
|
Administrative services (Note 2) |
885 |
|
|
Auditing and tax fees |
82,832 |
|
|
Other |
42,814 |
|
|
Fees waived and reimbursed by Manager (Note 2) |
(171,017) |
|
|
Total expenses |
350,666 |
|
|
Expense reduction (Note 2) |
(2,919) |
|
|
Net expenses |
347,747 |
|
|
Net investment income |
358,875 |
|
|
Net realized gain on investments (net of foreign tax of $1,897) (Notes 1 and 3) |
3,737,699 |
|
|
Net realized gain on futures contracts (Note 1) |
53,301 |
|
|
Net realized gain on foreign currency transactions (Note 1) |
435,849 |
|
|
Net realized gain on written options (Notes 1 and 3) |
11,480 |
|
|
Net unrealized appreciation of assets and liabilities in foreign currencies during the year |
56,129 |
|
|
Net unrealized depreciation of investments, futures contracts, swap contracts and written options during the year |
(856,182) |
|
|
Net gain on investments |
3,438,276 |
|
|
Net increase in net assets resulting from operations |
$3,797,151 |
The accompanying notes are an integral part of these financial statements.
Dynamic Asset Allocation Equity Fund 45
|
Statement of changes in net assets |
|||
|
INCREASE IN NET ASSETS |
Year ended 5/31/15 |
Year ended 5/31/14 |
|
|
Operations: |
|||
|
Net investment income |
$358,875 |
$279,502 |
|
|
Net realized gain on investments and foreign currency transactions |
4,238,329 |
2,957,898 |
|
|
Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies |
(800,053) |
1,494,504 |
|
|
Net increase in net assets resulting from operations |
3,797,151 |
4,731,904 |
|
|
Distributions to shareholders (Note 1): |
|||
|
From ordinary income |
|||
|
Net investment income |
|||
|
Class A |
(611) |
(280) |
|
|
Class Y |
(491,345) |
(198,279) |
|
|
Net realized short-term gain on investments |
|||
|
Class A |
(1,154) |
(947) |
|
|
Class Y |
(1,417,444) |
(671,328) |
|
|
From net realized long-term gain on investments |
|||
|
Class A |
(2,914) |
(1,580) |
|
|
Class Y |
(3,578,504) |
(1,120,844) |
|
|
Increase from capital share transactions (Note 4) |
21,147,943 |
176,731 |
|
|
Total increase in net assets |
19,453,122 |
2,915,377 |
|
|
NET ASSETS |
|||
|
Beginning of year |
27,941,528 |
25,026,151 |
|
|
End of year (including undistributed net investment income of $416,726 and $104,910, respectively) |
$47,394,650 |
$27,941,528 |
|
The accompanying notes are an integral part of these financial statements.
46 Dynamic Asset Allocation Equity Fund
This page left blank intentionally.
Dynamic Asset Allocation Equity Fund 47
Financial highlights (For a common share outstanding throughout the period)
|
INVESTMENT OPERATIONS: |
LESS DISTRIBUTIONS: |
RATIOS AND SUPPLEMENTAL DATA: |
|||||||||||
|
Period ended |
Net asset value, beginning of period |
Net investment income (loss)a |
Net realized and unrealized gain (loss) on investments |
Total from investment operations |
From |
From |
Total |
Net asset value, end of period |
Total return at net asset value (%)b |
Net assets, end of period (in thousands) |
Ratio of expenses to average net assets (%)c,d |
Ratio of net investment income (loss) to average net assets (%)d |
Portfolio turnover (%) |
|
Class A |
|||||||||||||
|
May 31, 2015 |
$13.08 |
.13 |
1.26 |
1.39 |
(.20) |
(2.08) |
(2.28) |
$12.19 |
11.69 |
$34 |
1.03 |
.96 |
132 |
|
May 31, 2014 |
11.81 |
.14 |
2.14 |
2.28 |
(.10) |
(.91) |
(1.01) |
13.08 |
19.95 |
39 |
1.08 |
1.08 |
69 |
|
May 31, 2013 |
10.11 |
.16 |
2.60 |
2.76 |
(.13) |
(.93) |
(1.06) |
11.81 |
28.69 |
33 |
1.06 |
1.42 |
73 |
|
May 31, 2012 |
12.28 |
.13 |
(1.12) |
(.99) |
— |
(1.18) |
(1.18) |
10.11 |
(7.40) |
28 |
1.07 |
1.20 |
82 |
|
May 31, 2011 |
11.53 |
.10 |
2.79 |
2.89 |
(.30) |
(1.84) |
(2.14) |
12.28 |
26.57 |
31 |
1.06 |
.86 |
110 |
|
Class Y |
|||||||||||||
|
May 31, 2015 |
$13.09 |
.13 |
1.25 |
1.38 |
(.20) |
(2.08) |
(2.28) |
$12.19 |
11.59 |
$47,361 |
1.03 |
1.04 |
132 |
|
May 31, 2014 |
11.81 |
.13 |
2.16 |
2.29 |
(.10) |
(.91) |
(1.01) |
13.09 |
20.04 |
27,902 |
1.08 |
1.08 |
69 |
|
May 31, 2013 |
10.11 |
.16 |
2.60 |
2.76 |
(.13) |
(.93) |
(1.06) |
11.81 |
28.68 |
24,993 |
1.06 |
1.43 |
73 |
|
May 31, 2012 |
12.28 |
.13 |
(1.12) |
(.99) |
— |
(1.18) |
(1.18) |
10.11 |
(7.41) |
18,698 |
1.07 |
1.20 |
82 |
|
May 31, 2011 |
11.53 |
.11 |
2.78 |
2.89 |
(.30) |
(1.84) |
(2.14) |
12.28 |
26.57 |
33,597 |
1.06 |
.87 |
110 |
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 (Note 2):
|
Percentage of |
|
|
May 31, 2015 |
0.50% |
|
May 31, 2014 |
0.57 |
|
May 31, 2013 |
0.76 |
|
May 31, 2012 |
0.75 |
|
May 31, 2011 |
0.49 |
The accompanying notes are an integral part of these financial statements.
|
48 |
Dynamic Asset Allocation Equity Fund |
Dynamic Asset Allocation Equity Fund |
49 |
Notes to financial statements 5/31/15
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from June 1, 2014 through May 31, 2015.
Putnam Dynamic Asset Allocation Equity 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 long-term growth by investing mainly in common stocks (growth or value stocks or both) of large and midsize companies worldwide. While Putnam Management typically allocates approximately 75% of the fund’s assets to investments in U.S. companies, and 25% of the fund’s assets to investments in international companies, these allocations may vary. The fund invests mainly in developed countries, but may invest in emerging markets.
The fund offers class A and class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75%, and generally do not pay a contingent deferred sales charge. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, but do not bear a distribution fee. Class Y shares are generally only available to corporate and institutional clients and clients in other approved programs. As of the end of the reporting period, all of the Class Y shares are held by the Putnam RetirementReady Funds.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The 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.
50 Dynamic Asset Allocation Equity Fund
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. 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.
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. 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.
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 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
Dynamic Asset Allocation Equity Fund 51
unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to manage exposure to market risk, 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.
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.
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 manage exposure to specific securities, and to gain exposure to a basket of securities.
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
52 Dynamic Asset Allocation Equity Fund
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.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $60,335 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements.
Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund received cash collateral of $1,588,925 and the value of securities loaned amounted to $1,547,641. Certain of these securities were sold prior to the close of the reporting period and are included in Receivable for investments sold on the Statement of assets and liabilities.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $392.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings 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.
Dynamic Asset Allocation Equity Fund 53
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.
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.
These differences include temporary and/or permanent differences from losses on wash sale transactions, and from foreign currency gains and losses. 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. At the close of the reporting period, the fund reclassified $444,897 to increase undistributed net investment income, and $444,897 to decrease accumulated net realized gain.
The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
|
Unrealized appreciation |
$6,577,307 |
|
Unrealized depreciation |
(866,674) |
|
Net unrealized appreciation |
5,710,633 |
|
Undistributed ordinary income |
457,482 |
|
Undistributed long-term gain |
1,043,443 |
|
Undistributed short-term gain |
310,840 |
|
Cost for federal income tax purposes |
$43,382,876 |
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
|
0.750% |
of the first $5 billion, |
|
0.700% |
of the next $5 billion, |
|
0.650% |
of the next $10 billion, |
|
0.600% |
of the next $10 billion, |
|
0.550% |
of the next $50 billion, |
|
0.530% |
of the next $50 billion, |
|
0.520% |
of the next $100 billion and |
|
0.515% |
of any excess thereafter. |
Putnam Management has contractually agreed, through September 30, 2016, 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 reduced by $171,017 as a result of this limit.
54 Dynamic Asset Allocation Equity Fund
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 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 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. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
|
Class A |
$109 |
|
Class Y |
79,248 |
|
Total |
$79,357 |
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 $384 under the expense offset arrangements and by $2,535 under the brokerage/service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $24, 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 a distribution plan (the Plan) pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plan is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, for services provided and expenses incurred in distributing shares of the fund. The Plan provides for payment by the fund to Putnam Retail Management Limited Partnership
Dynamic Asset Allocation Equity Fund 55
at an annual rate of up to 0.35% of the average net assets attributable to class A shares. The Trustees currently have not approved payments under the Plan.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no money on class A redemptions.
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 (Long-term) |
$59,416,593 |
$43,902,449 |
|
U.S. government securities (Long-term) |
— |
— |
|
Total |
$59,416,593 |
$43,902,449 |
|
Written option contract amounts |
Written option premiums |
|
|
Written options outstanding at the beginning of the reporting period |
$463 |
$896 |
|
Options opened |
74,837 |
29,235 |
|
Options exercised |
— |
— |
|
Options expired |
(26,110) |
(10,129) |
|
Options closed |
(18,158) |
(7,426) |
|
Written options outstanding at the end of the reporting period |
$31,032 |
$12,576 |
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:
|
Year ended 5/31/15 |
Year ended 5/31/14 |
|||
|
Class A |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
2,694 |
$36,426 |
— |
$— |
|
Shares issued in connection with reinvestment of distributions |
410 |
4,679 |
230 |
2,807 |
|
3,104 |
41,105 |
230 |
2,807 |
|
|
Shares repurchased |
(3,311) |
(43,930) |
(2) |
(15) |
|
Net increase (decrease) |
(207) |
$(2,825) |
228 |
$2,792 |
|
Year ended 5/31/15 |
Year ended 5/31/14 |
|||
|
Class Y |
Shares |
Amount |
Shares |
Amount |
|
Shares sold |
5,506,528 |
$68,448,082 |
2,146,905 |
$26,643,900 |
|
Shares issued in connection with reinvestment of distributions |
477,156 |
5,487,293 |
163,018 |
1,990,451 |
|
5,983,684 |
73,935,375 |
2,309,923 |
28,634,351 |
|
|
Shares repurchased |
(4,231,047) |
(52,784,607) |
(2,293,935) |
(28,460,412) |
|
Net increase |
1,752,637 |
$21,150,768 |
15,988 |
$173,939 |
At the close of the reporting period, Putnam Investments, LLC owned 2,325 class A shares of the fund (83.4% of class A shares outstanding), valued at $28,342.
56 Dynamic Asset Allocation Equity Fund
Note 5: Affiliated transactions
Transactions during the reporting period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
|
Name of affiliates |
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 Short Term Investment Fund* |
$645,569 |
$12,354,145 |
$11,381,897 |
$941 |
$1,617,817 |
*Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: 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.
Note 7: 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) |
$15,000 |
|
Written equity option contracts (contract amount) (Note 3) |
$17,000 |
|
Futures contracts (number of contracts) |
30 |
|
Forward currency contracts (contract amount) |
$15,900,000 |
|
OTC total return swap contracts (notional) |
$2,000 |
|
Warrants (number of warrants) |
33,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period
|
Asset derivatives |
Liability derivatives |
|||
|
Derivatives not accounted for as hedging instruments under ASC 815 |
Statement of |
Fair value |
Statement of |
Fair value |
|
Foreign exchange |
Receivables |
167,824 |
Payables |
121,318 |
|
Equity contracts |
Investments, Receivables, Net assets — Unrealized appreciation |
119,761* |
Payables, Net assets — Unrealized depreciation |
15,959* |
|
Total |
$287,585 |
$137,277 |
||
*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.
Dynamic Asset Allocation Equity Fund 57
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 |
Total |
|
Foreign exchange |
$— |
$— |
$— |
$423,864 |
$423,864 |
|
Equity contracts |
6,825 |
(579) |
53,301 |
— |
$59,547 |
|
Total |
$6,825 |
$(579) |
$53,301 |
$423,864 |
$483,411 |
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 |
Swaps |
Total |
|
Foreign exchange |
$— |
$— |
$— |
55,586 |
$— |
$55,586 |
|
Equity contracts |
(747) |
(5,883) |
31,051 |
— |
(523) |
$23,898 |
|
Total |
$(747) |
$(5,883) |
$31,051 |
$55,586 |
$(523) |
$79,484 |
58 Dynamic Asset Allocation Equity Fund
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Dynamic Asset Allocation Equity Fund 59
Note 8: 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 |
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: |
||||||||||||||
|
OTC Total return swap contracts*# |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
12,971 |
— |
— |
— |
— |
12,971 |
|
Forward currency contracts# |
580 |
16,161 |
5,236 |
13,952 |
15,805 |
3,150 |
10,321 |
65,714 |
— |
3,912 |
7,113 |
24,306 |
1,574 |
167,824 |
|
Purchased options**# |
306 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
306 |
|
Total Assets |
$886 |
$16,161 |
$5,236 |
$13,952 |
$15,805 |
$3,150 |
$10,321 |
$65,714 |
$12,971 |
$3,912 |
$7,113 |
$24,306 |
$1,574 |
$181,101 |
|
Liabilities: |
||||||||||||||
|
OTC Total return swap contracts*# |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
523 |
— |
523 |
|
Futures contracts§ |
— |
— |
— |
— |
— |
— |
— |
— |
32,606 |
— |
— |
— |
— |
32,606 |
|
Forward currency contracts# |
12,768 |
3,847 |
5,162 |
25,908 |
4,269 |
12,656 |
3,509 |
3,127 |
— |
5,529 |
17,870 |
10,971 |
15,702 |
121,318 |
|
Written options# |
489 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
489 |
|
Total Liabilities |
$13,257 |
$3,847 |
$5,162 |
$25,908 |
$4,269 |
$12,656 |
$3,509 |
$3,127 |
$32,606 |
$5,529 |
$17,870 |
$11,494 |
$15,702 |
$154,936 |
|
Total Financial and Derivative Net Assets |
$(12,371) |
$12,314 |
$74 |
$(11,956) |
$11,536 |
$(9,506) |
$6,812 |
$62,587 |
$(19,635) |
$(1,617) |
$(10,757) |
$12,812 |
$(14,128) |
$26,165 |
|
Total collateral received (pledged)†## |
$— |
$— |
$— |
$— |
$— |
$— |
$— |
$62,587 |
$— |
$— |
$— |
$— |
$— |
|
|
Net amount |
$(12,371) |
$12,314 |
$74 |
$(11,956) |
$11,536 |
$(9,506) |
$6,812 |
$— |
$(19,635) |
$(1,617) |
$(10,757) |
$12,812 |
$(14,128) |
|
* |
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. |
|
60 |
Dynamic Asset Allocation Equity Fund |
Dynamic Asset Allocation Equity Fund |
61 |
Federal tax information (Unaudited)
Pursuant to §852 of the Internal Revenue Code, as amended, the fund hereby designates $3,546,168 as a capital gain dividend with respect to the taxable year ended May 31, 2015, or, if subsequently determined to be different, the net capital gain of such year.
The fund designated 26.64% of ordinary income distributions as qualifying for the dividends received deduction for corporations.
For the reporting period, the fund hereby designates 41.74%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.
The Form 1099 that will be mailed to you in January 2016 will show the tax status of all distributions paid to your account in calendar 2015.
62 Dynamic Asset Allocation Equity Fund
About the Trustees
Independent Trustees
Liaquat Ahamed
Born 1952, Trustee since 2012
Principal occupations during past five years: Pulitzer Prize-winning author of Lords of Finance: The Bankers Who Broke the World, whose articles on economics have appeared in such publications as the New York Times, Foreign Affairs, and the Financial Times. Director of Aspen Insurance Co., a New York Stock Exchange company, and Chair of the Aspen Board’s Investment Committee. Trustee of the Brookings Institution.
Other directorships: The Rohatyn Group, an emerging-market fund complex that manages money for institutions
Ravi Akhoury
Born 1947, Trustee since 2009
Principal occupations during past five years: Trustee of American India Foundation and of the Rubin Museum. From 1992 to 2007, was Chairman and CEO of MacKay Shields, a multi-product investment management firm.
Other directorships: RAGE Frameworks, Inc., a private software company; English Helper, Inc., a private software company
Barbara M. Baumann
Born 1955, Trustee since 2010
Principal occupations during past five years: President and Owner of Cross Creek Energy Corporation, a strategic consultant to domestic energy firms and direct investor in energy projects. Current Board member of The Denver Foundation. Former Chair and current Board member of Girls Incorporated of Metro Denver. Member of the Finance Committee, the Children’s Hospital of Colorado.
Other directorships: Buckeye Partners, L.P., a publicly traded master limited partnership focused on pipeline transport, storage, and distribution of petroleum products; Devon Energy Corporation, a leading independent natural gas and oil exploration and production company
Jameson A. Baxter
Born 1943, Trustee since 1994, Vice Chair from 2005 to 2011, and Chair since 2011
Principal occupations during past five years: President of Baxter Associates, Inc., a private investment firm. Chair of Mutual Fund Directors Forum. Chair Emeritus of the Board of Trustees of Mount Holyoke College. Director of the Adirondack Land Trust and Trustee of the Nature Conservancy’s Adirondack Chapter.
Robert J. Darretta
Born 1946, Trustee since 2007
Principal occupations during past five years: From 2009 until 2012, served as Health Care Industry Advisor to Permira, a global private equity firm. Until April 2007, was Vice Chairman of the Board of Directors of Johnson & Johnson. Served as Johnson & Johnson’s Chief Financial Officer for a decade.
Other directorships: UnitedHealth Group, a diversified health-care company
Katinka Domotorffy
Born 1975, Trustee since 2012
Principal occupations during past five years: Voting member of the Investment Committees of the Anne Ray Charitable Trust and Margaret A. Cargill Foundation, part of the Margaret A. Cargill Philanthropies. Until 2011, Partner, Chief Investment Officer, and Global Head of Quantitative Investment Strategies at Goldman Sachs Asset Management.
Other directorships: Reach Out and Read of Greater New York, an organization dedicated to promoting childhood literacy; Great Lakes Science Center
John A. Hill
Born 1942, Trustee since 1985 and Chairman from 2000 to 2011
Principal occupations during past five years: Founder and Vice-Chairman of First Reserve Corporation, the leading private equity buyout firm focused on the worldwide energy industry. Trustee and Chairman of the Board of Trustees of Sarah Lawrence College. Member of the Advisory Board of the Millstein Center for Global Markets and Corporate Ownership at The Columbia University Law School.
Other directorships: Devon Energy Corporation, a leading independent natural gas and oil exploration and production company
Dynamic Asset Allocation Equity Fund 63
Paul L. Joskow
Born 1947, Trustee since 1997
Principal occupations during past five years: Economist and President of the Alfred P. Sloan Foundation, a philanthropic institution focused primarily on research and education on issues related to science, technology, and economic performance. Elizabeth and James Killian Professor of Economics, Emeritus at the Massachusetts Institute of Technology (MIT). Prior to 2007, served as the Director of the Center for Energy and Environmental Policy Research at MIT.
Other directorships: Yale University; Exelon Corporation, an energy company focused on power services; Boston Symphony Orchestra; Prior to April 2013, served as Director of TransCanada Corporation and TransCanada Pipelines Ltd., energy companies focused on natural gas transmission, oil pipelines and power services
Kenneth R. Leibler
Born 1949, Trustee since 2006
Principal occupations during past five years: Founder and former Chairman of Boston Options Exchange, an electronic marketplace for the trading of derivative securities. Serves on the Board of Trustees of Beth Israel Deaconess Hospital in Boston, Massachusetts. Director of Beth Israel Deaconess Care Organization. Until November 2010, director of Ruder Finn Group, a global communications and advertising firm.
Other directorships: Eversource Corporation, which operates New England’s largest energy delivery system
Robert E. Patterson
Born 1945, Trustee since 1984
Principal occupations during past five years: Co-Chairman of Cabot Properties, Inc., a private equity firm investing in commercial real estate, and Chairman of its Investment Committee. Past Chairman and Trustee of the Joslin Diabetes Center.
George Putnam, III
Born 1951, Trustee since 1984
Principal occupations during past five years: Chairman of New Generation Research, Inc., a publisher of financial advisory and other research services. Founder and President of New Generation Advisors, LLC, a registered investment advisor to private funds. Director of The Boston Family Office, LLC, a registered investment advisor.
W. Thomas Stephens
Born 1942, Trustee from 1997 to 2008 and since 2009
Principal occupations during past five years: Retired as Chairman and Chief Executive Officer of Boise Cascade, LLC, a paper, forest products, and timberland assets company, in December 2008. Prior to 2010, Director of Boise Inc., a manufacturer of paper and packaging products.
Other directorships: Prior to April 2014, served as Director of TransCanada Pipelines Ltd., an energy infrastructure company
Interested Trustee
Robert L. Reynolds*
Born 1952, Trustee since 2008 and President of the Putnam Funds since 2009
Principal occupations during past five years: President and Chief Executive Officer of Putnam Investments since 2008 and, since 2014, President and Chief Executive Officer of Great-West Financial, a financial services company that provides retirement savings plans, life insurance, and annuity and executive benefits products, and of Great-West Lifeco U.S. Inc., a holding company that owns Putnam Investments and Great-West Financial. Prior to joining Putnam Investments, served as Vice Chairman and Chief Operating Officer of Fidelity Investments from 2000 to 2007.
*Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of May 31, 2015, there were 117 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
64 Dynamic Asset Allocation Equity Fund
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
Jonathan S. Horwitz (Born 1955)
Executive Vice President, Principal Executive Officer, and Compliance Liaison
Since 2004
Steven D. Krichmar (Born 1958)
Vice President and Principal Financial Officer
Since 2002
Chief of Operations, Putnam Investments and Putnam Management
Robert T. Burns (Born 1961)
Vice President and Chief Legal Officer
Since 2011
General Counsel, Putnam Investments, Putnam Management, and Putnam Retail Management
Robert R. Leveille (Born 1969)
Vice President and Chief Compliance Officer
Since 2007
Chief Compliance Officer, Putnam Investments, Putnam Management, and Putnam Retail Management
Michael J. Higgins (Born 1976)
Vice President, Treasurer, and Clerk
Since 2010
Manager of Finance, Dunkin’ Brands (2008–2010); Senior Financial Analyst, Old Mutual Asset Management (2007–2008); Senior Financial Analyst, Putnam Investments (1999–2007)
Janet C. Smith (Born 1965)
Vice President, Principal Accounting Officer, and Assistant Treasurer
Since 2007
Director of Fund Administration Services, Putnam Investments and Putnam Management
Susan G. Malloy (Born 1957)
Vice President and Assistant Treasurer
Since 2007
Director of Accounting & Control Services, Putnam Investments and Putnam Management
James P. Pappas (Born 1953)
Vice President
Since 2004
Director of Trustee Relations, Putnam Investments and Putnam Management
Mark C. Trenchard (Born 1962)
Vice President and BSA Compliance Officer
Since 2002
Director of Operational Compliance, Putnam Investments and Putnam Retail Management
Nancy E. Florek (Born 1957)
Vice President, Director of Proxy Voting and Corporate Governance, Assistant Clerk, and Associate Treasurer
Since 2000
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is One Post Office Square, Boston, MA 02109.
Dynamic Asset Allocation Equity Fund 65
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.
66 Dynamic Asset Allocation Equity Fund
Absolute Return
Absolute Return 100 Fund®
Absolute Return 300 Fund®
Absolute Return 500 Fund®
Absolute Return 700 Fund®
Global Sector
Global Consumer Fund
Global Energy Fund
Global Financials Fund
Global Health Care Fund
Global Industrials Fund
Global Natural Resources Fund
Global Sector Fund
Global Technology Fund
Global Telecommunications Fund
Global Utilities Fund
Asset Allocation
George Putnam Balanced Fund
Global Asset Allocation Funds — four investment portfolios that spread your money across a variety of stocks, bonds, and money market instruments.
Dynamic Asset Allocation Balanced Fund
Dynamic Asset Allocation Conservative Fund
Dynamic Asset Allocation Growth Fund
Dynamic Risk Allocation Fund
Retirement Income Lifestyle Funds — portfolios with managed allocations to stocks, bonds, and money market investments to generate retirement income.
Retirement Income Fund Lifestyle 1
Retirement Income Fund Lifestyle 2
Retirement Income Fund Lifestyle 3
RetirementReady® Funds — portfolios with adjusting allocations to stocks, bonds, and money market instruments, becoming more conservative over time.
RetirementReady® 2055 Fund
RetirementReady® 2050 Fund
RetirementReady® 2045 Fund
RetirementReady® 2040 Fund
RetirementReady® 2035 Fund
RetirementReady® 2030 Fund
RetirementReady® 2025 Fund
RetirementReady® 2020 Fund
RetirementReady® 2015 Fund
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
Dynamic Asset Allocation Equity Fund 67
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.
68 Dynamic Asset Allocation Equity Fund
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
Investment Manager
Putnam Investment
Management, LLC
One Post Office Square
Boston, MA 02109
Investment Sub-Manager
Putnam Investments Limited
57–59 St James’s Street
London, England SW1A 1LD
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
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Trustees
Jameson A. Baxter, Chair
Liaquat Ahamed
Ravi Akhoury
Barbara M. Baumann
Robert J. Darretta
Katinka Domotorffy
John A. Hill
Paul L. Joskow
Kenneth R. Leibler
Robert E. Patterson
George Putnam, III
Robert L. Reynolds
W. Thomas Stephens
Officers
Robert L. Reynolds
President
Jonathan S. Horwitz
Executive Vice President,
Principal Executive Officer, and
Compliance Liaison
Steven D. Krichmar
Vice President and
Principal Financial Officer
Robert T. Burns
Vice President and
Chief Legal Officer
Robert R. Leveille
Vice President and
Chief Compliance Officer
Michael J. Higgins
Vice President, Treasurer,
and Clerk
Janet C. Smith
Vice President,
Principal Accounting Officer,
and Assistant Treasurer
Susan G. Malloy
Vice President and
Assistant Treasurer
James P. Pappas
Vice President
Mark C. Trenchard
Vice President and
BSA Compliance Officer
Nancy E. Florek
Vice President, Director of
Proxy Voting and Corporate
Governance, Assistant Clerk,
and Associate Treasurer
This report is for the information of shareholders of Putnam Dynamic Asset Allocation Equity 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: |
| (a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
| (c) In July 2013, the Code of Ethics of Putnam Investment Management, LLC was amended. The changes to the Code of Ethics were as follows: (i) eliminating the requirement for employees to hold their shares of Putnam mutual funds for specified periods of time, (ii) removing the requirement to preclear transactions in certain kinds of exchange-traded funds and exchange-traded notes, although reporting of all such instruments remains required; (iii) eliminating the excessive trading rule related to employee transactions in securities requiring preclearance under the Code; (iv) adding provisions related to monitoring of employee trading; (v) changing from a set number of shares to a set dollar value of stock of mid- and large-cap companies on the Restricted List that can be purchased or sold; (vi) adding a requirement starting in March 2014 for employees to generally use certain approved brokers that provide Putnam with an electronic feed of transactions and statements for their personal brokerage accounts; and (vii) certain other changes. |
| Item 3. Audit Committee Financial Expert: |
| The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta, and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated, and the funds’ amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification. |
| Item 4. Principal Accountant Fees and Services: |
| The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor: |
| Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
| May 31, 2015 | $62,743 | $ — | $17,407 | $ — | |
| May 31, 2014 | $72,122 | $ — | $15,689 | $ — | |
| For the fiscal years ended May 31, 2015 and May 31, 2014, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $635,606 and $515,689 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
| Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
| Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
| Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
| Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
| The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
| The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. |
| Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
| May 31, 2015 | $ — | $618,199 | $ — | $ — | |
| May 31, 2014 | $ — | $500,000 | $ — | $ — | |
| 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) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. |
| (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. |
| SIGNATURES |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Putnam Funds Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: July 29, 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: July 29, 2015 |
| By (Signature and Title): |
| /s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
| Date: July 29, 2015 |