| 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, 2017 |
| Date of reporting period : | June 1, 2016 — May 31, 2017 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Dynamic Risk
Allocation Fund
Annual report
5 | 31 | 17
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. The fund may invest a portion of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. Allocation of assets among asset classes may hurt performance, and efforts to diversify risk through the use of leverage and allocation decisions may not be successful. Derivatives carry additional risks, such as the inability to terminate or sell derivatives positions and the failure of the other party to meet its obligations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Active trading strategies may lose money or not earn a return sufficient to cover trading and other costs. Use of leverage obtained through derivatives increases these risks by increasing investment exposure. Over-the-counter derivatives are also subject to the risk of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. REITs are subject to the risk of economic downturns that have an adverse impact on real estate markets. The use of short selling may result in losses if the securities appreciate in value. Commodities involve market, political, regulatory, and natural conditions risks. Stock and bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These factors may also lead to increased volatility and reduced liquidity in the bond markets. You can lose money by investing in the fund.
Message from the Trustees
July 11, 2017
Dear Fellow Shareholder:
An impressive level of investor optimism has helped to fuel financial markets through the first half of 2017, and global stock and bond markets have generally fared well. At the same time, however, a number of macroeconomic and political risks around the world could disrupt the positive momentum.
While calm markets are generally welcome, we believe investors should continue to remember time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and speak regularly with your financial advisor. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.
We would like to take this opportunity to announce some changes to your fund’s Board of Trustees. First, we are pleased to welcome the arrival of Catharine Bond Hill and Manoj P. Singh, who bring extensive professional and directorship experience to their new roles as Putnam Trustees. In addition, we would like to extend our appreciation and best wishes to Robert J. Darretta, John A. Hill, and W. Thomas Stephens, who retired from the Board, effective June 30, 2017. We are grateful for their years of work on behalf of you and your fellow shareholders, and we wish them well in their future endeavors.
Thank you for investing with Putnam.
About the fund
Traditional balanced funds can be unbalanced in terms of risk. Instead of balancing stocks and bonds, Putnam Dynamic Risk Allocation Fund makes allocations across four different risk sources — equity, credit, inflation, and interest rates. We believe this flexible approach can produce better risk-adjusted returns for investors over time.
Diversification does not assure a profit or protect against loss. It is possible to lose money in a diversified portfolio.
The fund is not intended to outperform stocks and bonds during strong market rallies.
| 2 Dynamic Risk Allocation Fund |
Illustrations are hypothetical and are not intended to represent the current allocation of any Putnam fund. A traditional balanced fund is represented by a 60%/40% split between equities and fixed income, as defined by Lipper. Risk contribution is from Putnam research, which uses the historical standard deviation for the respective asset classes multiplied by the appropriate asset weight. Leverage may be achieved either through short-term borrowing or through the use of derivatives. Asset weights may exceed 100% in funds that employ leverage due to borrowed capital and/or derivatives exposure. Risk, as measured by standard deviation, gauges how widely a set of values varies from the mean. It is a historical measure of the variability of return earned by an investment portfolio over a 3-year period. Asset weight for Putnam Dynamic Risk Allocation Fund represents a baseline allocation selected by the fund’s portfolio managers and is subject to change. It is inclusive of leverage and represents a starting point for future active allocation.
| Dynamic Risk Allocation Fund 3 |
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 below and pages 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* The Putnam Dynamic Risk Allocation Blended Index is an unmanaged index administered by Putnam Management, 50% of which is the MSCI World Index (ND), 40% of which is the Bloomberg Barclays Global Aggregate Bond Index, and 10% of which is the S&P GSCI. See index descriptions on pages 16–17.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 5/31/17. See above and pages 11–13 for additional fund performance information. Index descriptions can be found on pages 16–17.
| 4 Dynamic Risk Allocation Fund |
Robert J. Kea, CFA
Portfolio Manager
Bob is Co-Head of Global Asset Allocation at Putnam. He has an M.B.A. from Bentley University and a B.A. from the University of Massachusetts, Amherst. Bob joined Putnam in 1989 and has been in the investment industry since 1988.
In addition to Bob, your fund’s portfolio managers are James A. Fetch; Robert J. Schoen; and Jason R. Vaillancourt, CFA.
Bob, what was the investment environment like during the 12-month reporting period ended May 31, 2017?
The period included some surprising geopolitical events and unusual market rallies as investors shrugged off occasional uncertainty while the overall global economy continued to produce stable growth. Near the beginning of the period, U.K. voters provided the first surprise by endorsing the “Brexit” referendum on withdrawal from the European Union and causing a temporary selloff in global stock markets. As concern over the immediate impacts of Brexit moderated, investors turned their attention to the November 2016 U.S. elections. Indicators suggested skittishness about a Trump victory in the months leading up to the election, but on news of the outcome, investors appeared to embrace expectations that the new Republican administration and Congress would usher in fiscal stimulus in the form of tax reform, infrastructure spending, and business deregulation. The second half of the reporting period saw ongoing support for risk assets as U.S. stocks continued to perform strongly, breaching historical highs.
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Allocations are shown as a percentage of the fund’s net assets as of 5/31/17. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
A negative percentage reflects the effect of fund strategies that are designed to enhance performance if certain securities decline in value.
For the 12-month period as a whole, the S&P 500 Index, a broad measure of the U.S. stock market results, returned 17.47% during the period, and U.S. small-cap stocks, as measured by the Russell 2000 Index, gained 20.36% as investors viewed Trump’s potential business-friendly policies as a possible boon to smaller companies. International stocks were more muted during the first half of the reporting period, partly in response to concerns about the impact of potential populist-driven trade protectionism in the United States and Europe. Overseas markets later rallied, lifting the MSCI EAFE Index [ND], which tracks stocks in international developed markets, 16.44% during the period.
How were the other risk allocations affected by the overall investment environment?
Credit markets benefited as investors maintained an appetite for risk. High-yield bonds performed especially well during the period, reflected by a rise of 14.96% for the annual period as measured by the JPMorgan Global High Yield Index. In contrast, interest-rate-sensitive fixed-income markets saw prices fall. U.S. rates increased substantially after the November election amid rising inflation expectations and anticipated interest-rate hikes by the Federal Reserve. Since, however, they have retraced much of their initial spike. The Fed raised the overnight rate a quarter of a percentage point in December 2016 and again in March 2017. The Bloomberg Barclays U.S. Aggregate Bond Index, a measure of the broad investment-grade and rate-sensitive
| 6 Dynamic Risk Allocation Fund | |
fixed-income market, returned a muted 1.58% for the 12-month period.
Early in the 12-month period, commodity prices fell on lower demand. They then traded in a narrow range during the 12 months as energy prices stabilized, before ending down for the period as measured by the S&P GSCI Index, which represents the global commodities market.
How did the fund perform during the 12-month reporting period ended May 31, 2017?
Putnam Dynamic Risk Allocation Fund’s class A shares returned 9.18% excluding sales charges. This result compares with a return of 7.64% for the fund’s custom benchmark, the Putnam Dynamic Risk Allocation Blended Index, which represents a diverse exposure to stocks, bonds, and commodities. The fund allocates its assets across four different risk categories: equities, interest-rate-sensitive fixed-income, credit-sensitive fixed-income, and inflation-sensitive assets. The custom benchmark’s risk allocations comprise roughly 50% in global equities and about 17% each in interest-rate-sensitive fixed-income securities, credit-sensitive high-yield bonds, and commodities and other inflation-sensitive instruments.
The fund’s positive return reflected the strong appetite for risk assets during the period, with a substantial portion of this gain supported by the solid performance of U.S. stocks and high-yield bonds. Within the fund’s inflation-sensitive risk allocation, which includes commodities exposure, results were more mixed. The fund also invests in U.S. TIPS, which are bonds issued by the Treasury that have a feature for adjusting
This table shows the fund’s top 10 holdings by percentage of the fund’s net assets as of 5/31/17. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
| Dynamic Risk Allocation Fund 7 |
their coupons with the level of inflation. With inflation in the United States stable during the period, TIPS contributed to returns as well.
What helped and what hurt the fund’s performance relative to its composite benchmark?
We seek to add value in two basic ways — through asset allocation strategies and through active security selection within those allocations. Our asset allocation strategies during the 12-month reporting period benefited the fund. In particular, our preference for equities over rate-sensitive fixed-income securities was beneficial given the strength seen in equity markets. Within equity allocation, we also had exposure to small-cap stocks, which, given their relative strength, was a positive as well. The fund also benefited from an underweight allocation to commodities during the period.
Security selection was also positive for the 12-month period. Strategic global macro positions helped boost portfolio returns, as did specific security selection within international equities and commodities.
In fixed income, we diversified our holdings by maintaining exposure to residential mortgage-backed securities [RMBS] and commercial mortgage-backed securities [CMBS] in addition to issues that are defined strictly by their duration, or sensitivity to changes in interest rates. This selection decision was helpful to the fund’s relative performance, as was an active currency strategy in which we moved into and out of various world currencies during the period, depending on their relative attractiveness.
Did you make any major strategy shifts during the period?
We became somewhat more optimistic in our view of stocks during the period, based more on fundamentals than election results. Within the United States it has become increasingly evident, in our view, that it will likely take some time for political leaders to work out an economic stimulus program, and we believe this could dampen what have been strong recent returns from risk assets. With that in mind, we will keep a close eye on our allocations to those areas. How the
Allocations are shown as a percentage of the fund’s net assets as of 5/31/17. Risk contribution is from Putnam research, which uses the historical standard deviation for the respective asset classes multiplied by the appropriate asset weight. Holdings and allocations may vary over time.
| 8 Dynamic Risk Allocation Fund | |
markets digest ongoing divergence in global interest-rate policy will help determine our fixed-income selections and future portfolio positioning decisions, in our view.
How were derivatives used during the reporting period?
We can use a variety of derivatives to implement certain strategies or positions within the portfolio; however, evaluating performance of derivatives alone does not provide meaningful insight into the performance of strategies or positions. The fund’s performance was positively affected by the use of futures contracts to manage exposure to market risk, hedge prepayment and interest-rate risks, gain exposure to interest rates, and equitize cash. Total return swaps also provided positive results being used to hedge sector exposure; generate additional income for the portfolio; and manage and gain exposure to specific sectors, securities, baskets of securities, markets, countries, and industries.
Detractors from performance included options written and purchased to hedge duration and convexity, hedge and isolate prepayment risk, and gain exposure to interest rates. In addition, options strategies — implemented to hedge against changes in the values of securities that the fund owned or expected to own, generate additional income for the portfolio, enhance returns on securities owned, gain exposure to securities, and manage downside risks — also had negative results. In addition, interest-rate swaps used to help hedge against interest-rate and prepayment risks, as well as to gain exposure to interest rates, detracted from performance.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks by establishing a combination of long and short exposures to specific equity markets or sectors.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
| Dynamic Risk Allocation Fund 9 |
What is your outlook over the next several months of 2017?
The 12-month period showed that the global economy is strong enough to perform well against an evolving backdrop of political uncertainties, suggesting that the environment may remain favorable for risk assets in the near term, in our view. With tax reform and trade policy legislation slow to develop in the United States, investor hopes for quick legislative stimulus appeared to be waning at the end of the reporting period. At the same time, in our view, global growth looks solid, if not accelerating; consumer confidence remains high; and markets are behaving much as we would expect. In Europe, populist candidates that advocate disrupting trade relationships have mostly failed to gain traction, including most recently in France. We will continue to monitor ongoing elections there, as well as the “Brexit” negotiations between the United Kingdom and the European Union.
In the United States, the Fed has shifted its focus and indicated that it may begin to sell off bonds it purchased during years of quantitative easing. This process would likely push interest rates higher, in our view. How markets may react to this and how much the Fed raises rates directly going forward remains to be seen, but we believe interest-sensitive fixed-income securities would remain under pressure in this scenario. After a strong period of U.S. stock returns, we believe markets outside the United States may provide relative opportunity.
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. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended May 31, 2017, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 5/31/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| Class A (9/19/11) | |||||||
| Before sales charge | 27.82% | 4.40% | 23.19% | 4.26% | 4.12% | 1.35% | 9.18% |
|
| |||||||
| After sales charge | 20.47 | 3.32 | 16.10 | 3.03 | –1.87 | –0.63 | 2.90 |
|
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| Class B (9/19/11) | |||||||
| Before CDSC | 22.46 | 3.62 | 18.67 | 3.48 | 1.74 | 0.58 | 8.41 |
|
| |||||||
| After CDSC | 21.46 | 3.47 | 16.67 | 3.13 | –1.08 | –0.36 | 3.41 |
|
| |||||||
| Class C (9/19/11) | |||||||
| Before CDSC | 22.50 | 3.63 | 18.69 | 3.49 | 1.74 | 0.58 | 8.42 |
|
| |||||||
| After CDSC | 22.50 | 3.63 | 18.69 | 3.49 | 1.74 | 0.58 | 7.42 |
|
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| Class M (9/19/11) | |||||||
| Before sales charge | 24.25 | 3.88 | 20.18 | 3.74 | 2.52 | 0.83 | 8.63 |
|
| |||||||
| After sales charge | 19.91 | 3.24 | 15.97 | 3.01 | –1.06 | –0.36 | 4.83 |
|
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| Class R (9/19/11) | |||||||
| Net asset value | 26.01 | 4.14 | 21.64 | 4.00 | 3.30 | 1.09 | 8.92 |
|
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| Class R6 (7/2/12) | |||||||
| Net asset value | 30.37 | 4.76 | 25.33 | 4.62 | 5.18 | 1.70 | 9.65 |
|
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| Class Y (9/19/11) | |||||||
| Net asset value | 29.81 | 4.69 | 24.80 | 4.53 | 4.97 | 1.63 | 9.56 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
| Dynamic Risk Allocation Fund 11 |
Comparative index returns For periods ended 5/31/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| Putnam Dynamic | |||||||
| Risk Allocation | 30.56% | 4.79% | 28.75% | 5.18% | 1.11% | 0.37% | 7.64% |
| Blended Index* | |||||||
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| Lipper Alternative | |||||||
| Global Macro | |||||||
| Funds category | 21.46 | 3.30 | 19.65 | 3.50 | 2.10 | 0.59 | 6.66 |
| average† | |||||||
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* The Putnam Dynamic Risk Allocation Blended Index is an unmanaged index administered by Putnam Management, 50% of which is the MSCI World Index (ND), 40% of which is the Bloomberg Barclays Global Aggregate Bond Index, and 10% of which is the S&P GSCI. See index descriptions on pages 16–17.
† Over the 1-year, 3-year, 5-year, and life-of-fund periods ended 5/31/17 , there were 305, 264, 193, and 172 funds, respectively, in this Lipper category.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B shares would have been valued at $12,246 ($12,146 after contingent deferred sales charge). A $10,000 investment in the fund’s class C shares would be valued at $12,250, and no contingent deferred sales charge would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $11,991. A $10,000 investment in the fund’s class R, R6, and Y shares would have been valued at $12,601, $13,037, and $12,981, respectively.
| 12 Dynamic Risk Allocation Fund | |
Fund price and distribution information For the 12-month period ended 5/31/17
| Distributions | Class A | Class B | Class C | Class M | Class R | ClassR6 | Class Y | ||
|
| |||||||||
| Number | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||
|
| |||||||||
| Income | $0.248 | $0.159 | $0.151 | $0.204 | $0.180 | $0.291 | $0.277 | ||
|
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| Capital gains | — | — | — | — | — | — | — | ||
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| |||||||||
| Total | $0.248 | $0.159 | $0.151 | $0.204 | $0.180 | $0.291 | $0.277 | ||
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| Before | After | Net | Net | Before | After | Net | Net | Net | |
| sales | sales | asset | asset | sales | sales | asset | asset | asset | |
| Share value | charge | charge | value | value | charge | charge | value | value | value |
|
| |||||||||
| 5/31/16 | $10.28 | $10.91 | $10.08 | $10.09 | $10.27 | $10.64 | $10.21 | $10.26 | $10.30 |
|
| |||||||||
| 5/31/17 | 10.96 | 11.63 | 10.76 | 10.78 | 10.94 | 11.34 | 10.93 | 10.94 | 10.99 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
Fund performance as of most recent calendar quarter Total return for periods ended 6/30/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| Class A (9/19/11) | |||||||
| Before sales charge | 26.77% | 4.19% | 19.26% | 3.59% | 2.20% | 0.73% | 6.42% |
|
| |||||||
| After sales charge | 19.48 | 3.13 | 12.40 | 2.37 | –3.68 | –1.24 | 0.30 |
|
| |||||||
| Class B (9/19/11) | |||||||
| Before CDSC | 21.33 | 3.40 | 14.87 | 2.81 | –0.16 | –0.05 | 5.63 |
|
| |||||||
| After CDSC | 20.33 | 3.25 | 12.87 | 2.45 | –2.93 | –0.99 | 0.63 |
|
| |||||||
| Class C (9/19/11) | |||||||
| Before CDSC | 21.37 | 3.41 | 14.89 | 2.81 | –0.16 | –0.05 | 5.64 |
|
| |||||||
| After CDSC | 21.37 | 3.41 | 14.89 | 2.81 | –0.16 | –0.05 | 4.64 |
|
| |||||||
| Class M (9/19/11) | |||||||
| Before sales charge | 23.12 | 3.66 | 16.24 | 3.05 | 0.55 | 0.18 | 5.88 |
|
| |||||||
| After sales charge | 18.81 | 3.03 | 12.17 | 2.32 | –2.97 | –1.00 | 2.18 |
|
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| Class R (9/19/11) | |||||||
| Net asset value | 24.97 | 3.93 | 17.87 | 3.34 | 1.39 | 0.46 | 6.15 |
|
| |||||||
| Class R6 (7/2/12) | |||||||
| Net asset value | 29.30 | 4.55 | 21.34 | 3.94 | 3.25 | 1.07 | 6.87 |
|
| |||||||
| Class Y (9/19/11) | |||||||
| Net asset value | 28.63 | 4.45 | 20.72 | 3.84 | 2.86 | 0.94 | 6.60 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
| Dynamic Risk Allocation Fund 13 |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Net expenses for the fiscal year | |||||||
| ended 5/31/16*‡ | 1.14% | 1.89% | 1.89% | 1.64% | 1.39% | 0.76% | 0.89% |
|
| |||||||
| Total annual operating expenses for the | |||||||
| fiscal year ended 5/31/16‡ | 1.35% | 2.10% | 2.10% | 1.85% | 1.60% | 0.97% | 1.10% |
|
| |||||||
| Annualized expense ratio for the | |||||||
| six-month period ended 5/31/17† | 1.13% | 1.88% | 1.88% | 1.63% | 1.38% | 0.76% | 0.88% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.01%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 9/30/17.
† Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
‡ Restated to reflect current fees resulting from a change to the fund’s investor servicing arrangements effective 9/1/16.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 12/1/16 to 5/31/17. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Expenses paid per $1,000 *† | $5.83 | $9.68 | $9.69 | $8.40 | $7.12 | $3.93 | $4.55 |
|
| |||||||
| Ending value (after expenses) | $1,070.90 | $1,066.20 | $1,066.30 | $1,067.60 | $1,069.30 | $1,072.40 | $1,072.70 |
* 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 5/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
| 14 Dynamic Risk Allocation Fund |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 5/31/17, use the following calculation method. To find the value of your investment on 12/1/16, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Expenses paid per $1,000 *† | $5.69 | $9.45 | $9.45 | $8.20 | $6.94 | $3.83 | $4.43 |
|
| |||||||
| Ending value (after expenses) | $1,019.30 | $1,015.56 | $1,015.56 | $1,016.80 | $1,018.05 | $1,021.14 | $1,020.54 |
* 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 5/31/17. 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.
| Dynamic Risk Allocation Fund 15 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Bloomberg Barclays Global Aggregate
Bond Index is an unmanaged index of global investment-grade fixed-income securities.
Bloomberg 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.
JPMorgan Global High Yield Index is an unmanaged index of global high-yield fixed-income securities.
MSCI EAFE Index (ND) is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
MSCI World Index (ND) is an unmanaged index of equity securities from developed countries. Calculated with net dividends (ND),
| 16 Dynamic Risk Allocation Fund |
this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
Putnam Dynamic Risk Allocation Blended Index is a benchmark administered by Putnam Management, comprising 50% the MSCI World Index (ND), 40% the Bloomberg Barclays Global Aggregate Bond Index, and 10% the S&P Goldman Sachs Commodity Index.
Russell 2000 Index is an unmanaged index of 2,000 small companies in the Russell 3000 Index.
S&P 500 Index is an unmanaged index of common stock performance.
S&P Goldman Sachs Commodity Index is a composite index of commodity sector returns that represents a broadly diversified, unleveraged, long-only position in commodity futures.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Merrill Lynch, Pierce, Fenner & Smith Incorporated (“BofAML”), used with permission. BofAML permits use of the BofAML indices and related data on an “as is” basis, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BofAML indices or any data included in, related to, or derived therefrom, assumes no liability in connection with the use of the foregoing, and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
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 Risk Allocation Fund 17 |
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, 2016, 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, 2017, Putnam employees had approximately $497,000,000 and the Trustees had approximately $140,000,000 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.
| 18 Dynamic Risk Allocation 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 Risk Allocation Fund 19 |
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.
| 20 Dynamic Risk Allocation Fund | |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Putnam Funds Trust:
We have audited the accompanying statement of assets and liabilities of Putnam Dynamic Risk Allocation Fund (the fund), a series of Putnam Funds Trust, including the fund’s portfolio, as of May 31, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Dynamic Risk Allocation Fund as of May 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
July 11, 2017
| Dynamic Risk Allocation Fund 21 |
The fund’s portfolio 5/31/17
| COMMON STOCKS (43.8%)* | Shares | Value |
|
| ||
| Basic materials (2.0%) | ||
|
| ||
| Anhui Conch Cement Co., Ltd. (China) | 25,500 | $84,590 |
|
| ||
| Asahi Kasei Corp. (Japan) | 9,000 | 86,506 |
|
| ||
| BASF SE (Germany) | 3,119 | 293,752 |
|
| ||
| Boliden AB (Sweden) | 5,338 | 146,111 |
|
| ||
| China Lesso Group Holdings, Ltd. (China) | 92,000 | 70,365 |
|
| ||
| China Railway Construction Corp., Ltd. (China) | 83,000 | 113,968 |
|
| ||
| CIMIC Group, Ltd. (Australia) | 5,293 | 159,285 |
|
| ||
| Covestro AG (Germany) | 908 | 67,912 |
|
| ||
| Evonik Industries AG (Germany) | 4,952 | 170,528 |
|
| ||
| Fortescue Metals Group, Ltd. (Australia) | 8,671 | 31,249 |
|
| ||
| Hitachi Chemical Co., Ltd. (Japan) | 2,200 | 60,686 |
|
| ||
| Hitachi Metals, Ltd. (Japan) | 1,100 | 14,650 |
|
| ||
| HOCHTIEF AG (Germany) † | 197 | 36,238 |
|
| ||
| Kajima Corp. (Japan) | 5,000 | 38,420 |
|
| ||
| Kuraray Co., Ltd. (Japan) | 3,900 | 70,112 |
|
| ||
| Lotte Chemical Corp. (South Korea) | 420 | 135,236 |
|
| ||
| Mitsubishi Chemical Holdings Corp. (Japan) | 11,700 | 88,582 |
|
| ||
| Mitsubishi Gas Chemical Co., Inc. (Japan) | 1,900 | 39,184 |
|
| ||
| Mitsubishi Materials Corp. (Japan) | 600 | 16,930 |
|
| ||
| PTT Global Chemical PCL (Thailand) | 71,500 | 149,046 |
|
| ||
| Rio Tinto PLC (United Kingdom) | 1,727 | 69,035 |
|
| ||
| Rio Tinto, Ltd. (Australia) | 389 | 18,155 |
|
| ||
| Sappi, Ltd. (South Africa) | 13,970 | 102,908 |
|
| ||
| Sherwin-Williams Co. (The) | 1,783 | 591,546 |
|
| ||
| Shin-Etsu Chemical Co., Ltd. (Japan) | 600 | 53,808 |
|
| ||
| Siam Cement PCL (The) (Thailand) | 9,500 | 146,154 |
|
| ||
| Sinopec Shanghai Petrochemical Co., Ltd. (China) | 186,000 | 109,320 |
|
| ||
| Skanska AB (Sweden) | 7,359 | 175,182 |
|
| ||
| Sonoco Products Co. | 1,582 | 80,223 |
|
| ||
| Taisei Corp. (Japan) | 10,000 | 85,418 |
|
| ||
| UPM-Kymmene OYJ (Finland) | 3,830 | 107,991 |
|
| ||
| voestalpine AG (Austria) | 1,016 | 46,001 |
|
| ||
| 3,459,091 | ||
|
| ||
| Capital goods (2.7%) | ||
|
| ||
| ACS Actividades de Construccion y Servicios SA (Spain) | 4,749 | 189,732 |
|
| ||
| Atlas Copco AB Class A (Sweden) | 1,295 | 47,918 |
|
| ||
| Avery Dennison Corp. | 2,316 | 195,146 |
|
| ||
| Berry Plastics Group, Inc. † | 1,938 | 112,385 |
|
| ||
| BWX Technologies, Inc. | 2,136 | 103,810 |
|
| ||
| China Railway Group, Ltd. (China) | 138,000 | 114,402 |
|
| ||
| Daikin Industries, Ltd. (Japan) | 100 | 9,801 |
|
| ||
| General Dynamics Corp. | 2,432 | 494,304 |
|
| ||
| HEICO Corp. | 508 | 37,699 |
|
| ||
| Honeywell International, Inc. | 5,509 | 732,642 |
|
| ||
| Huntington Ingalls Industries, Inc. | 348 | 68,142 |
|
| ||
| JTEKT Corp (Japan) | 3,000 | 45,047 |
|
| ||
| L3 Technologies, Inc. | 1,739 | 293,178 |
|
| ||
| Mitsubishi Electric Corp. (Japan) | 5,600 | 77,212 |
|
| ||
| 22 Dynamic Risk Allocation Fund |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Capital goods cont. | ||
|
| ||
| Northrop Grumman Corp. | 2,772 | $718,558 |
|
| ||
| NSK, Ltd. (Japan) | 3,900 | 46,483 |
|
| ||
| Raytheon Co. | 4,794 | 786,264 |
|
| ||
| Republic Services, Inc. | 2,789 | 177,408 |
|
| ||
| Sumitomo Heavy Industries, Ltd. (Japan) | 4,000 | 26,077 |
|
| ||
| United Tractors Tbk PT (Indonesia) | 51,400 | 107,180 |
|
| ||
| Waste Management, Inc. | 4,722 | 344,281 |
|
| ||
| 4,727,669 | ||
|
| ||
| Communication services (1.7%) | ||
|
| ||
| AT&T, Inc. | 7,141 | 275,143 |
|
| ||
| BT Group PLC (United Kingdom) | 14,889 | 59,383 |
|
| ||
| China Mobile, Ltd. (China) | 3,500 | 38,829 |
|
| ||
| Equinix, Inc. R | 250 | 110,253 |
|
| ||
| Eutelsat Communications SA (France) | 732 | 18,830 |
|
| ||
| Juniper Networks, Inc. | 19,545 | 573,255 |
|
| ||
| KDDI Corp. (Japan) | 2,900 | 80,284 |
|
| ||
| LG Uplus Corp. (South Korea) | 12,118 | 175,341 |
|
| ||
| Nippon Telegraph & Telephone Corp. (Japan) | 5,000 | 239,639 |
|
| ||
| NTT DoCoMo, Inc. (Japan) | 3,600 | 88,318 |
|
| ||
| Orange SA (France) | 4,759 | 83,612 |
|
| ||
| PCCW, Ltd. (Hong Kong) | 11,000 | 6,409 |
|
| ||
| SK Telecom Co., Ltd. (South Korea) | 657 | 148,758 |
|
| ||
| Sky PLC (United Kingdom) | 12,264 | 156,593 |
|
| ||
| Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 518,000 | 169,167 |
|
| ||
| Telkom SA SOC, Ltd. (South Africa) | 25,251 | 141,995 |
|
| ||
| Telstra Corp., Ltd. (Australia) | 55,471 | 181,358 |
|
| ||
| Verizon Communications, Inc. | 9,940 | 463,602 |
|
| ||
| 3,010,769 | ||
|
| ||
| Conglomerates (0.4%) | ||
|
| ||
| Danaher Corp. | 9,223 | 783,402 |
|
| ||
| 783,402 | ||
|
| ||
| Consumer cyclicals (5.8%) | ||
|
| ||
| Adecco Group AG (Switzerland) | 2,660 | 198,288 |
|
| ||
| Alfa SAB de CV (Mexico) | 19,500 | 28,122 |
|
| ||
| Amazon.com, Inc. † | 39 | 38,790 |
|
| ||
| Aramark | 1,432 | 53,356 |
|
| ||
| Aristocrat Leisure, Ltd. (Australia) | 6,024 | 97,580 |
|
| ||
| Asahi Glass Co., Ltd. (Japan) | 3,000 | 24,488 |
|
| ||
| Automatic Data Processing, Inc. | 6,014 | 615,653 |
|
| ||
| Berkeley Group Holdings PLC (The) (United Kingdom) | 261 | 10,949 |
|
| ||
| Carnival PLC (United Kingdom) | 3,240 | 207,477 |
|
| ||
| CBS Corp. Class B (non-voting shares) | 10,961 | 669,827 |
|
| ||
| CDK Global, Inc. | 3,300 | 202,818 |
|
| ||
| China Dongxiang Group Co., Ltd. (China) | 119,000 | 21,227 |
|
| ||
| Dai Nippon Printing Co., Ltd. (Japan) | 7,000 | 77,806 |
|
| ||
| Dixons Carphone PLC (United Kingdom) | 2,878 | 12,185 |
|
| ||
| Ecolab, Inc. | 1,296 | 172,161 |
|
| ||
| Electrolux AB Ser. B (Sweden) | 2,581 | 82,882 |
|
| ||
| Euronet Worldwide, Inc. † | 1,059 | 92,377 |
|
| ||
| Dynamic Risk Allocation Fund 23 |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| Fiat Chrysler Automobiles NV (Italy) † | 8,040 | $84,402 |
|
| ||
| Fuji Heavy Industries, Ltd. (Japan) | 1,700 | 57,485 |
|
| ||
| Genting Bhd (Malaysia) | 41,100 | 95,740 |
|
| ||
| Great Wall Motor Co., Ltd. (China) | 54,500 | 58,259 |
|
| ||
| Hakuhodo DY Holdings, Inc. (Japan) | 1,700 | 22,488 |
|
| ||
| Hankook Tire Co., Ltd. (South Korea) | 873 | 47,486 |
|
| ||
| Harvey Norman Holdings, Ltd. (Australia) | 25,615 | 71,755 |
|
| ||
| Hasbro, Inc. | 1,328 | 139,785 |
|
| ||
| Hino Motors, Ltd. (Japan) | 1,900 | 23,074 |
|
| ||
| Home Depot, Inc. (The) | 754 | 115,747 |
|
| ||
| Host Hotels & Resorts, Inc. R | 10,750 | 193,393 |
|
| ||
| Imperial Holdings, Ltd. (South Africa) | 2,951 | 37,352 |
|
| ||
| Industrivarden AB Class A (Sweden) | 3,495 | 87,904 |
|
| ||
| ISS A/S (Denmark) | 1,546 | 64,091 |
|
| ||
| Itausa — Investimentos Itau SA (Preference) (Brazil) | 2,700 | 7,468 |
|
| ||
| John Wiley & Sons, Inc. Class A | 403 | 20,432 |
|
| ||
| Kimberly-Clark Corp. | 5,942 | 770,856 |
|
| ||
| Kimberly-Clark de Mexico SAB de CV Class A (Mexico) | 20,200 | 40,084 |
|
| ||
| Kingfisher PLC (United Kingdom) | 40,256 | 168,622 |
|
| ||
| Lagardere SCA (France) | 889 | 27,942 |
|
| ||
| Lear Corp. | 1,340 | 199,714 |
|
| ||
| Lowe’s Cos., Inc. | 8,130 | 640,400 |
|
| ||
| Marks & Spencer Group PLC (United Kingdom) | 19,013 | 93,702 |
|
| ||
| Marriott International, Inc./MD Class A | 350 | 37,678 |
|
| ||
| Mazda Motor Corp. (Japan) | 3,600 | 49,084 |
|
| ||
| Namco Bandai Holdings, Inc. (Japan) | 1,300 | 46,424 |
|
| ||
| Naspers, Ltd. Class N (South Africa) | 89 | 18,428 |
|
| ||
| News Corp. Class B | 1,666 | 22,824 |
|
| ||
| NVR, Inc. † | 100 | 228,238 |
|
| ||
| Peugeot SA (France) | 4,974 | 98,061 |
|
| ||
| Priceline Group, Inc. (The) † | 95 | 178,324 |
|
| ||
| Qualicorp SA (Brazil) | 11,700 | 101,310 |
|
| ||
| Randstad Holding NV (Netherlands) | 941 | 54,439 |
|
| ||
| RELX PLC (United Kingdom) | 2,893 | 61,988 |
|
| ||
| Renault SA (France) † | 931 | 86,899 |
|
| ||
| Ross Stores, Inc. | 6,933 | 443,157 |
|
| ||
| RTL Group SA (Belgium) | 844 | 65,685 |
|
| ||
| Scotts Miracle-Gro Co. (The) Class A | 857 | 74,225 |
|
| ||
| ServiceMaster Global Holdings, Inc. † | 3,986 | 150,671 |
|
| ||
| Smiles SA (Brazil) | 8,100 | 157,697 |
|
| ||
| Suzuki Motor Corp. (Japan) | 300 | 14,126 |
|
| ||
| TABCORP Holdings, Ltd. (Australia) | 33,384 | 113,611 |
|
| ||
| Taylor Wimpey PLC (United Kingdom) | 30,705 | 80,350 |
|
| ||
| TJX Cos., Inc. (The) | 9,003 | 677,116 |
|
| ||
| Toppan Printing Co., Ltd. (Japan) | 8,000 | 88,126 |
|
| ||
| TUI AG (Germany) | 1,835 | 28,324 |
|
| ||
| Twenty-First Century Fox, Inc. | 4,035 | 109,429 |
|
| ||
| Valeo SA (France) | 1,565 | 108,946 |
|
| ||
| Vantiv, Inc. Class A † | 4,071 | 255,333 |
|
| ||
| 24 Dynamic Risk Allocation Fund | |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| Walt Disney Co. (The) | 6,851 | $739,497 |
|
| ||
| William Hill PLC (United Kingdom) | 27,779 | 102,830 |
|
| ||
| Wolters Kluwer NV (Netherlands) | 1,937 | 84,970 |
|
| ||
| World Fuel Services Corp. | 1,718 | 60,714 |
|
| ||
| WPP PLC (United Kingdom) | 5,192 | 116,667 |
|
| ||
| Yue Yuen Industrial Holdings, Ltd. (Hong Kong) | 9,500 | 37,853 |
|
| ||
| 10,167,191 | ||
|
| ||
| Consumer staples (4.1%) | ||
|
| ||
| Altria Group, Inc. | 13,305 | 1,003,729 |
|
| ||
| Ashtead Group PLC (United Kingdom) | 4,644 | 93,703 |
|
| ||
| Beiersdorf AG (Germany) | 226 | 24,271 |
|
| ||
| British American Tobacco PLC (United Kingdom) | 3,389 | 241,471 |
|
| ||
| Coca-Cola Amatil, Ltd. (Australia) | 24,438 | 169,602 |
|
| ||
| Colgate-Palmolive Co. | 302 | 23,061 |
|
| ||
| ConAgra Foods, Inc. | 3,934 | 151,616 |
|
| ||
| CVS Health Corp. | 6,679 | 513,148 |
|
| ||
| Graham Holdings Co. Class B | 67 | 40,120 |
|
| ||
| Gruma SAB de CV Class B (Mexico) | 10,179 | 132,448 |
|
| ||
| Hanwha Corp. (South Korea) | 2,530 | 108,128 |
|
| ||
| Hershey Co. (The) | 3,050 | 351,574 |
|
| ||
| Indofood Sukses Makmur Tbk PT (Indonesia) | 74,100 | 48,677 |
|
| ||
| ITOCHU Corp. (Japan) | 14,700 | 208,786 |
|
| ||
| J Sainsbury PLC (United Kingdom) | 27,964 | 101,245 |
|
| ||
| J.M. Smucker Co. (The) | 2,821 | 360,665 |
|
| ||
| Kao Corp. (Japan) | 4,100 | 258,513 |
|
| ||
| Koninklijke Ahold Delhaize NV (Netherlands) | 8,458 | 186,510 |
|
| ||
| Liberty Expedia Holdings, Inc. Class A † | 550 | 28,694 |
|
| ||
| Marine Harvest ASA (Norway) | 5,317 | 93,134 |
|
| ||
| McDonald’s Corp. | 6,297 | 950,154 |
|
| ||
| METRO AG (Germany) | 5,812 | 194,561 |
|
| ||
| Nestle SA (Switzerland) | 1,878 | 160,257 |
|
| ||
| PepsiCo, Inc. | 546 | 63,811 |
|
| ||
| Pinnacle Foods, Inc. | 3,252 | 202,632 |
|
| ||
| Pool Corp. | 660 | 78,626 |
|
| ||
| Procter & Gamble Co. (The) | 2,718 | 239,429 |
|
| ||
| Recruit Holdings Co., Ltd. (Japan) | 300 | 15,901 |
|
| ||
| Sao Martinho SA (Brazil) | 5,700 | 31,706 |
|
| ||
| Sysco Corp. | 7,328 | 399,816 |
|
| ||
| Tate & Lyle PLC (United Kingdom) | 12,627 | 120,067 |
|
| ||
| Toyota Tsusho Corp. (Japan) | 4,100 | 125,684 |
|
| ||
| Ulta Salon, Cosmetics & Fragrance, Inc. † | 345 | 105,170 |
|
| ||
| Unilever PLC (United Kingdom) | 175 | 9,767 |
|
| ||
| US Foods Holding Corp. † | 853 | 25,556 |
|
| ||
| Walgreens Boots Alliance, Inc. | 1,224 | 99,168 |
|
| ||
| WH Group, Ltd. (Hong Kong) | 121,000 | 113,352 |
|
| ||
| Wilmar International, Ltd. (Singapore) | 16,400 | 41,959 |
|
| ||
| WM Morrison Supermarkets PLC (United Kingdom) | 24,771 | 78,578 |
|
| ||
| Wolseley PLC (United Kingdom) | 341 | 22,451 |
|
| ||
| 7,217,740 | ||
| Dynamic Risk Allocation Fund 25 |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Energy (1.8%) | ||
|
| ||
| Baker Hughes, Inc. | 8,552 | $471,643 |
|
| ||
| Exxon Mobil Corp. | 9,997 | 804,759 |
|
| ||
| Halcon Resources Corp. † | 3,109 | 18,903 |
|
| ||
| Innogy SE (Germany) | 1,003 | 41,159 |
|
| ||
| Marathon Petroleum Corp. | 7,633 | 397,221 |
|
| ||
| OMV AG (Austria) | 5,278 | 275,137 |
|
| ||
| Phillips 66 | 2,300 | 175,053 |
|
| ||
| Repsol SA (Spain) | 12,951 | 216,991 |
|
| ||
| Royal Dutch Shell PLC Class B (United Kingdom) | 4,208 | 116,216 |
|
| ||
| SandRidge Energy, Inc. † | 1,296 | 25,648 |
|
| ||
| SK Innovation Co., Ltd. (South Korea) | 654 | 98,719 |
|
| ||
| Surgutneftegas OJSC ADR (Russia) | 25,346 | 131,799 |
|
| ||
| Tervita Corp. Class A (Canada) | 63 | 396 |
|
| ||
| Total SA (France) | 6,395 | 339,579 |
|
| ||
| Triangle USA Petroleum Corp. F | 448 | 6,164 |
|
| ||
| Vestas Wind Systems A/S (Denmark) | 988 | 87,811 |
|
| ||
| 3,207,198 | ||
|
| ||
| Financials (11.6%) | ||
|
| ||
| 3i Group PLC (United Kingdom) | 25,083 | 289,248 |
|
| ||
| AerCap Holdings NV (Ireland) † | 600 | 26,412 |
|
| ||
| Aflac, Inc. | 6,491 | 489,292 |
|
| ||
| AGNC Investment Corp. R | 15,324 | 318,586 |
|
| ||
| Agree Realty Corp. R | 1,053 | 47,943 |
|
| ||
| Agricultural Bank of China, Ltd. (China) | 360,000 | 174,628 |
|
| ||
| Alexandria Real Estate Equities, Inc. R | 865 | 100,928 |
|
| ||
| Allianz SE (Germany) | 1,580 | 303,329 |
|
| ||
| Allstate Corp. (The) | 5,974 | 515,795 |
|
| ||
| American Homes 4 Rent R | 4,862 | 109,249 |
|
| ||
| Annaly Capital Management, Inc. R | 22,252 | 266,579 |
|
| ||
| Apple Hospitality REIT, Inc. R | 2,745 | 51,386 |
|
| ||
| Aspen Insurance Holdings, Ltd. | 1,021 | 51,867 |
|
| ||
| Assured Guaranty, Ltd. | 1,500 | 58,590 |
|
| ||
| AvalonBay Communities, Inc. R | 1,518 | 290,302 |
|
| ||
| AXA SA (France) | 6,024 | 160,650 |
|
| ||
| Banco do Brasil SA (Brazil) | 9,100 | 79,697 |
|
| ||
| Banco Santander SA (Spain) | 18,302 | 118,855 |
|
| ||
| Bank Negara Indonesia Persero Tbk PT (Indonesia) | 209,000 | 102,774 |
|
| ||
| Bank of China, Ltd. (China) | 235,000 | 117,612 |
|
| ||
| Bank of Communications Co., Ltd. (China) | 162,000 | 125,566 |
|
| ||
| Barratt Developments PLC (United Kingdom) | 10,433 | 82,335 |
|
| ||
| Berkshire Hathaway, Inc. Class B † | 2,637 | 435,843 |
|
| ||
| BNP Paribas SA (France) | 2,692 | 189,971 |
|
| ||
| Boston Properties, Inc. R | 1,791 | 217,284 |
|
| ||
| Brandywine Realty Trust R | 2,726 | 47,514 |
|
| ||
| Broadridge Financial Solutions, Inc. | 898 | 68,149 |
|
| ||
| Camden Property Trust R | 1,878 | 156,456 |
|
| ||
| Chimera Investment Corp. R | 7,072 | 131,539 |
|
| ||
| China Cinda Asset Management Co., Ltd. (China) | 267,000 | 101,077 |
|
| ||
| China Construction Bank Corp. (China) | 274,000 | 226,442 |
|
| ||
| 26 Dynamic Risk Allocation Fund | |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Financials cont. | ||
|
| ||
| China Huarong Asset Management Co., Ltd. (China) † | 42,000 | $17,086 |
|
| ||
| Chongqing Rural Commercial Bank Co., Ltd. (China) | 100,000 | 68,399 |
|
| ||
| CIFI Holdings Group Co., Ltd. (China) | 54,000 | 21,136 |
|
| ||
| CME Group, Inc. | 3,569 | 418,608 |
|
| ||
| CoreLogic, Inc. † | 2,238 | 96,905 |
|
| ||
| Corporate Office Properties Trust R | 2,607 | 87,934 |
|
| ||
| Credit Agricole SA (France) | 6,800 | 104,193 |
|
| ||
| Daiwa Securities Group, Inc. (Japan) | 5,000 | 30,406 |
|
| ||
| DGB Financial Group, Inc. (South Korea) | 5,534 | 56,843 |
|
| ||
| Digital Realty Trust, Inc. R | 2,024 | 239,217 |
|
| ||
| DNB ASA (Norway) | 6,056 | 102,566 |
|
| ||
| DuPont Fabros Technology, Inc. R | 2,560 | 139,853 |
|
| ||
| Easterly Government Properties, Inc. R | 1,393 | 27,665 |
|
| ||
| EastGroup Properties, Inc. R | 1,125 | 91,620 |
|
| ||
| Emlak Konut Gayrimenkul Yatirim Ortakligi AS (Turkey) † R | 64,863 | 56,076 |
|
| ||
| Empire State Realty Trust, Inc. Class A R | 2,066 | 42,973 |
|
| ||
| EPR Properties R | 3,093 | 219,325 |
|
| ||
| Equity Commonwealth † R | 1,572 | 48,921 |
|
| ||
| Equity Lifestyle Properties, Inc. R | 1,135 | 95,794 |
|
| ||
| Equity Residential Trust R | 9,967 | 648,752 |
|
| ||
| Essex Property Trust, Inc. R | 886 | 227,631 |
|
| ||
| Extra Space Storage, Inc. R | 1,463 | 113,339 |
|
| ||
| Forest City Realty Trust, Inc. Class A R | 2,341 | 53,305 |
|
| ||
| Four Corners Property Trust, Inc. R | 2,689 | 66,203 |
|
| ||
| Fubon Financial Holding Co., Ltd. (Taiwan) | 101,000 | 153,956 |
|
| ||
| Fukuoka Financial Group, Inc. (Japan) | 11,000 | 49,463 |
|
| ||
| Gaming and Leisure Properties, Inc. R | 4,551 | 167,067 |
|
| ||
| Getty Realty Corp. R | 922 | 23,188 |
|
| ||
| GGP, Inc. R | 7,264 | 161,842 |
|
| ||
| Guangzhou R&F Properties Co., Ltd. (China) | 83,200 | 134,528 |
|
| ||
| HCP, Inc. R | 5,851 | 183,370 |
|
| ||
| Hersha Hospitality Trust R | 1,906 | 35,471 |
|
| ||
| Highwealth Construction Corp. (Taiwan) | 11,000 | 18,157 |
|
| ||
| Highwoods Properties, Inc. R | 4,203 | 211,831 |
|
| ||
| HSBC Holdings PLC (United Kingdom) | 5,429 | 47,258 |
|
| ||
| Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) | 1,320 | 44,507 |
|
| ||
| Industrial & Commercial Bank of China, Ltd. (China) | 366,000 | 244,703 |
|
| ||
| Industrial Bank of Korea (South Korea) | 20,775 | 239,369 |
|
| ||
| Intercontinental Exchange, Inc. | 870 | 52,365 |
|
| ||
| Investor AB Class B (Sweden) | 5,133 | 237,297 |
|
| ||
| Itau Unibanco Holding SA ADR (Preference) (Brazil) | 6,976 | 76,108 |
|
| ||
| JPMorgan Chase & Co. | 12,873 | 1,057,517 |
|
| ||
| KB Financial Group, Inc. (South Korea) | 252 | 12,064 |
|
| ||
| Kerry Properties, Ltd. (Hong Kong) | 20,000 | 70,709 |
|
| ||
| Kimco Realty Corp. R | 6,069 | 106,450 |
|
| ||
| Lamar Advertising Co. Class A R | 1,993 | 139,530 |
|
| ||
| Liberty Property Trust R | 5,104 | 209,723 |
|
| ||
| Macerich Co. (The) R | 2,026 | 116,313 |
|
| ||
| Macquarie Mexico Real Estate Management SA de CV (Mexico) R | 28,400 | 29,411 |
|
| ||
| Dynamic Risk Allocation Fund 27 |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Financials cont. | ||
|
| ||
| Mapfre SA (Spain) | 15,308 | $54,443 |
|
| ||
| MFA Financial, Inc. R | 8,985 | 74,755 |
|
| ||
| Mid-America Apartment Communities, Inc. R | 1,475 | 150,362 |
|
| ||
| Mitsubishi UFJ Financial Group, Inc. (Japan) | 34,100 | 212,729 |
|
| ||
| Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) | 16,100 | 82,135 |
|
| ||
| Mizuho Financial Group, Inc. (Japan) | 129,800 | 225,963 |
|
| ||
| Monmouth Real Estate Investment Corp. R | 1,594 | 23,272 |
|
| ||
| MRV Engenharia e Participacoes SA (Brazil) | 19,600 | 78,438 |
|
| ||
| Muenchener Rueckversicherungs-Gesellschaft | ||
| AG in Muenchen (Germany) | 853 | 168,407 |
|
| ||
| New World Development Co., Ltd. (Hong Kong) | 81,000 | 100,827 |
|
| ||
| NN Group NV (Netherlands) | 4,862 | 174,775 |
|
| ||
| Nomura Real Estate Holdings, Inc. (Japan) | 2,000 | 43,088 |
|
| ||
| Old Mutual PLC (South Africa) | 55,489 | 134,553 |
|
| ||
| ORIX Corp. (Japan) | 10,700 | 168,881 |
|
| ||
| Park Hotels & Resorts, Inc. R | 1,418 | 36,499 |
|
| ||
| Partners Group Holding AG (Switzerland) | 133 | 81,499 |
|
| ||
| People’s Insurance Co. Group of China, Ltd. (China) | 218,000 | 93,997 |
|
| ||
| Persimmon PLC (United Kingdom) | 2,546 | 80,534 |
|
| ||
| PNC Financial Services Group, Inc. (The) | 6,432 | 763,478 |
|
| ||
| Popular, Inc. (Puerto Rico) | 1,660 | 61,752 |
|
| ||
| Prologis, Inc. R | 5,599 | 310,968 |
|
| ||
| PS Business Parks, Inc. R | 630 | 79,556 |
|
| ||
| Public Storage R | 1,492 | 321,302 |
|
| ||
| Quality Care Properties, Inc. † R | 3,285 | 55,582 |
|
| ||
| Realty Income Corp. R | 463 | 25,433 |
|
| ||
| Reinsurance Group of America, Inc. | 975 | 121,397 |
|
| ||
| Resona Holdings, Inc. (Japan) | 27,400 | 140,204 |
|
| ||
| Retail Properties of America, Inc. Class A R | 6,791 | 83,529 |
|
| ||
| Sberbank of Russia PJSC ADR (Russia) | 8,180 | 91,207 |
|
| ||
| Sekisui Chemical Co., Ltd. (Japan) | 3,500 | 61,499 |
|
| ||
| Shinhan Financial Group Co., Ltd. (South Korea) | 1,647 | 72,744 |
|
| ||
| Simon Property Group, Inc. R | 2,701 | 416,629 |
|
| ||
| Societe Generale SA (France) | 3,657 | 191,725 |
|
| ||
| Spirit Realty Capital, Inc. R | 13,594 | 98,285 |
|
| ||
| Starwood Property Trust, Inc. R | 6,532 | 143,835 |
|
| ||
| Sumitomo Mitsui Financial Group, Inc. (Japan) | 6,700 | 240,414 |
|
| ||
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 1,600 | 54,176 |
|
| ||
| Summit Hotel Properties, Inc. R | 3,810 | 68,199 |
|
| ||
| Sun Hung Kai Properties, Ltd. (Hong Kong) | 5,000 | 73,981 |
|
| ||
| SunTrust Banks, Inc. | 4,867 | 259,752 |
|
| ||
| Swiss Life Holding AG (Switzerland) | 580 | 193,483 |
|
| ||
| Swiss Re AG (Switzerland) | 2,516 | 229,377 |
|
| ||
| Tanger Factory Outlet Centers, Inc. R | 3,031 | 78,988 |
|
| ||
| Travelers Cos., Inc. (The) | 2,627 | 327,981 |
|
| ||
| Two Harbors Investment Corp. R | 8,769 | 87,515 |
|
| ||
| U.S. Bancorp | 6,155 | 313,228 |
|
| ||
| Vornado Realty Trust R | 2,144 | 197,677 |
|
| ||
| Voya Financial, Inc. | 5,303 | 181,257 |
|
| ||
| 28 Dynamic Risk Allocation Fund | |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Financials cont. | ||
|
| ||
| Weingarten Realty Investors R | 3,004 | $90,390 |
|
| ||
| Welltower, Inc. R | 3,815 | 276,740 |
|
| ||
| Wharf Holdings, Ltd. (The) (Hong Kong) | 5,000 | 42,541 |
|
| ||
| Wheelock and Co., Ltd. (Hong Kong) | 17,000 | 127,186 |
|
| ||
| Woori Bank (South Korea) | 4,008 | 54,772 |
|
| ||
| WP Carey, Inc. R | 2,061 | 134,439 |
|
| ||
| 20,409,223 | ||
|
| ||
| Health care (4.6%) | ||
|
| ||
| Alfresa Holdings Corp. (Japan) | 800 | 15,429 |
|
| ||
| Astellas Pharma, Inc. (Japan) | 6,800 | 85,867 |
|
| ||
| AstraZeneca PLC (United Kingdom) | 1,501 | 101,224 |
|
| ||
| Baxter International, Inc. | 1,327 | 78,704 |
|
| ||
| Bayer AG (Germany) | 2,243 | 297,573 |
|
| ||
| Bio-Rad Laboratories, Inc. Class A † | 595 | 132,971 |
|
| ||
| Charles River Laboratories International, Inc. † | 683 | 62,870 |
|
| ||
| DaVita Inc. † | 331 | 21,932 |
|
| ||
| Fresenius SE & Co. KGaA (Germany) | 438 | 37,497 |
|
| ||
| GlaxoSmithKline PLC (United Kingdom) | 15,423 | 338,516 |
|
| ||
| Humana, Inc. | 3,218 | 747,413 |
|
| ||
| Intuitive Surgical, Inc. † | 37 | 33,843 |
|
| ||
| Johnson & Johnson | 10,821 | 1,387,793 |
|
| ||
| Medipal Holdings Corp. (Japan) | 3,700 | 68,087 |
|
| ||
| Merck & Co., Inc. | 6,335 | 412,472 |
|
| ||
| Mitsubishi Tanabe Pharma Corp. (Japan) | 4,800 | 106,749 |
|
| ||
| Novartis AG (Switzerland) | 2,035 | 166,616 |
|
| ||
| Omega Healthcare Investors, Inc. R S | 3,890 | 121,835 |
|
| ||
| Pfizer, Inc. | 31,881 | 1,040,915 |
|
| ||
| Richter Gedeon Nyrt (Hungary) | 5,963 | 152,423 |
|
| ||
| Roche Holding AG (Switzerland) | 1,644 | 451,164 |
|
| ||
| Sanofi (France) | 3,541 | 350,721 |
|
| ||
| Taro Pharmaceutical Industries, Ltd. (Israel) † | 181 | 19,296 |
|
| ||
| Thermo Fisher Scientific, Inc. | 362 | 62,550 |
|
| ||
| UnitedHealth Group, Inc. | 4,514 | 790,763 |
|
| ||
| Ventas, Inc. R | 2,677 | 177,994 |
|
| ||
| WellCare Health Plans, Inc. † | 1,104 | 189,667 |
|
| ||
| Zoetis, Inc. | 10,144 | 631,768 |
|
| ||
| 8,084,652 | ||
|
| ||
| Technology (6.3%) | ||
|
| ||
| Adobe Systems, Inc. † | 2,523 | 357,913 |
|
| ||
| Alibaba Group Holding, Ltd. ADR (China) † S | 1,021 | 125,032 |
|
| ||
| Alphabet, Inc. Class A † | 547 | 539,938 |
|
| ||
| Amadeus IT Holding SA Class A (Spain) | 4,214 | 245,447 |
|
| ||
| Amdocs, Ltd. | 1,496 | 96,911 |
|
| ||
| Apple, Inc. | 6,189 | 945,432 |
|
| ||
| Applied Materials, Inc. | 18,195 | 834,787 |
|
| ||
| AtoS SE (France) | 1,645 | 235,978 |
|
| ||
| AU Optronics Corp. (Taiwan) | 30,000 | 11,719 |
|
| ||
| Cisco Systems, Inc. | 630 | 19,864 |
|
| ||
| CommerceHub, Inc. Ser. C † | 2,488 | 42,744 |
|
| ||
| Dynamic Risk Allocation Fund 29 |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Technology cont. | ||
|
| ||
| Corning, Inc. | 5,243 | $152,571 |
|
| ||
| Dell Technologies, Inc. Class V † | 1,609 | 111,649 |
|
| ||
| eBay, Inc. † | 22,073 | 757,104 |
|
| ||
| F5 Networks, Inc. † | 3,850 | 493,301 |
|
| ||
| Fidelity National Information Services, Inc. | 5,140 | 441,372 |
|
| ||
| Fiserv, Inc. † | 2,605 | 326,354 |
|
| ||
| Foxconn Technology Co., Ltd. (Taiwan) | 47,000 | 133,129 |
|
| ||
| Fujitsu, Ltd. (Japan) | 1,000 | 7,294 |
|
| ||
| Genpact, Ltd. | 2,842 | 77,643 |
|
| ||
| Harris Corp. | 2,738 | 307,094 |
|
| ||
| Hon Hai Precision Industry Co., Ltd. (Taiwan) | 79,000 | 270,521 |
|
| ||
| Hoya Corp. (Japan) | 1,500 | 73,869 |
|
| ||
| Intuit, Inc. | 5,812 | 817,400 |
|
| ||
| Microsoft Corp. | 5,066 | 353,809 |
|
| ||
| Mixi, Inc. (Japan) | 700 | 43,928 |
|
| ||
| NetApp, Inc. | 7,164 | 290,070 |
|
| ||
| NetEase, Inc. ADR (China) | 439 | 125,018 |
|
| ||
| Otsuka Corp. (Japan) | 800 | 49,192 |
|
| ||
| Paychex, Inc. | 4,888 | 289,516 |
|
| ||
| Samsung Electronics Co., Ltd. (South Korea) | 402 | 802,492 |
|
| ||
| SK Hynix, Inc. (South Korea) | 1,914 | 97,444 |
|
| ||
| Synopsys, Inc. † | 2,998 | 224,460 |
|
| ||
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) | 5,600 | 198,016 |
|
| ||
| Tencent Holdings, Ltd. (China) | 6,800 | 233,515 |
|
| ||
| Texas Instruments, Inc. | 10,412 | 858,886 |
|
| ||
| Tripod Technology Corp. (Taiwan) | 15,000 | 44,632 |
|
| ||
| Yahoo!, Inc. † | 3,190 | 160,521 |
|
| ||
| 11,196,565 | ||
|
| ||
| Transportation (1.0%) | ||
|
| ||
| Aena SA (Spain) | 120 | 24,224 |
|
| ||
| AirAsia Bhd (Malaysia) | 78,900 | 54,935 |
|
| ||
| ANA Holdings, Inc. (Japan) | 33,000 | 108,133 |
|
| ||
| Central Japan Railway Co. (Japan) | 1,200 | 196,497 |
|
| ||
| Deutsche Lufthansa AG (Germany) | 857 | 16,650 |
|
| ||
| Deutsche Post AG (Germany) | 6,325 | 231,025 |
|
| ||
| easyJet PLC (United Kingdom) | 809 | 14,739 |
|
| ||
| Eva Airways Corp. (Taiwan) | 81,000 | 39,586 |
|
| ||
| International Consolidated Airlines Group SA (Spain) | 4,796 | 37,384 |
|
| ||
| Japan Airlines Co., Ltd. (Japan) | 700 | 20,510 |
|
| ||
| Landstar System, Inc. | 922 | 77,033 |
|
| ||
| MISC Bhd (Malaysia) | 35,800 | 62,734 |
|
| ||
| Norfolk Southern Corp. | 6,002 | 744,428 |
|
| ||
| Qantas Airways, Ltd. (Australia) | 29,678 | 110,482 |
|
| ||
| Royal Mail PLC (United Kingdom) | 21,011 | 119,494 |
|
| ||
| 1,857,854 | ||
|
| ||
| Utilities and power (1.8%) | ||
|
| ||
| American Electric Power Co., Inc. | 4,341 | 311,597 |
|
| ||
| Centrica PLC (United Kingdom) | 75,041 | 196,564 |
|
| ||
| Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) | 5,800 | 51,979 |
|
| ||
| 30 Dynamic Risk Allocation Fund |
| COMMON STOCKS (43.8%)* cont. | Shares | Value |
|
| ||
| Utilities and power cont. | ||
|
| ||
| CPFL Energia SA (Brazil) | 3,800 | $30,873 |
|
| ||
| E.ON SE (Germany) | 12,285 | 107,477 |
|
| ||
| Edison International | 4,774 | 389,415 |
|
| ||
| Endesa SA (Spain) | 4,123 | 102,890 |
|
| ||
| Enel SpA (Italy) | 47,899 | 256,015 |
|
| ||
| Gas Natural SDG SA (Spain) | 679 | 17,101 |
|
| ||
| Great Plains Energy, Inc. | 12,126 | 348,380 |
|
| ||
| Iberdrola SA (Spain) | 4,620 | 36,838 |
|
| ||
| Kinder Morgan, Inc. | 24,518 | 459,958 |
|
| ||
| Korea Electric Power Corp. (South Korea) | 1,114 | 42,486 |
|
| ||
| PG&E Corp. | 6,773 | 463,138 |
|
| ||
| Southern Co. (The) | 2,719 | 137,609 |
|
| ||
| Tenaga Nasional Bhd (Malaysia) | 50,700 | 163,235 |
|
| ||
| Tohoku Electric Power Co., Inc. (Japan) | 4,100 | 60,861 |
|
| ||
| 3,176,416 | ||
|
| ||
| Total common stocks (cost $67,267,922) | $77,297,770 | |
|
| ||
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* | amount | Value |
|
| ||
| Basic materials (2.3%) | ||
|
| ||
| A Schulman, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 6/1/23 | $50,000 | $53,125 |
|
| ||
| Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada) | 10,000 | 11,267 |
|
| ||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 9.375%, 6/1/19 | 55,000 | 59,847 |
|
| ||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 5.95%, 1/15/21 | 10,000 | 9,950 |
|
| ||
| ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) | 25,000 | 28,000 |
|
| ||
| Archer-Daniels-Midland Co. sr. unsec. notes 5.45%, 3/15/18 | 114,000 | 117,599 |
|
| ||
| Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. | ||
| notes 6.375%, 10/1/23 | 80,000 | 86,400 |
|
| ||
| Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes | ||
| 9.75%, 10/15/23 | 65,000 | 79,300 |
|
| ||
| BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 65,000 | 67,925 |
|
| ||
| Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 9/1/24 | 85,000 | 88,188 |
|
| ||
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes | ||
| 10.75%, 8/15/23 | 70,000 | 81,200 |
|
| ||
| Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes | ||
| 5.625%, 9/1/24 | 45,000 | 46,688 |
|
| ||
| BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 | 55,000 | 56,238 |
|
| ||
| BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 | 70,000 | 71,225 |
|
| ||
| Celanese US Holdings, LLC company guaranty sr. unsec. unsub. | ||
| notes 4.625%, 11/15/22 (Germany) | 69,000 | 74,865 |
|
| ||
| Chemours Co. (The) company guaranty sr. unsec. notes | ||
| 5.375%, 5/15/27 | 30,000 | 31,200 |
|
| ||
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 5/15/25 | 50,000 | 55,375 |
|
| ||
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
| 6.625%, 5/15/23 | 40,000 | 42,696 |
|
| ||
| Dynamic Risk Allocation Fund 31 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Basic materials cont. | ||
|
| ||
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 4.875%, 7/15/24 | $80,000 | $78,600 |
|
| ||
| CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes | ||
| 8.00%, 10/1/21 | 30,000 | 31,350 |
|
| ||
| Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 | 70,000 | 72,421 |
|
| ||
| E. I. du Pont de Nemours & Co. sr. unsec. unsub. FRN 1.70%, 5/1/20 | 50,000 | 50,249 |
|
| ||
| Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 | 20,000 | 20,698 |
|
| ||
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.00%, 2/15/21 (Canada) | 15,000 | 15,713 |
|
| ||
| Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 | 60,000 | 62,850 |
|
| ||
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes | ||
| 3.55%, 3/1/22 (Indonesia) | 5,000 | 4,675 |
|
| ||
| Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.75%, 2/1/22 (Indonesia) | 30,000 | 31,050 |
|
| ||
| Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 6.875%, 2/15/23 (Indonesia) | 55,000 | 57,613 |
|
| ||
| GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. | ||
| notes 9.50%, 2/1/23 | 115,000 | 131,100 |
|
| ||
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 4.625%, 4/29/24 | 116,000 | 121,157 |
|
| ||
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 4.00%, 4/16/25 | 79,000 | 79,251 |
|
| ||
| Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. | ||
| notes 7.375%, 12/15/23 | 15,000 | 16,181 |
|
| ||
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.625%, 1/15/25 (Canada) | 25,000 | 26,860 |
|
| ||
| Huntsman International, LLC company guaranty sr. unsec. unsub. | ||
| notes 4.875%, 11/15/20 | 112,000 | 118,720 |
|
| ||
| INVISTA Finance, LLC 144A company guaranty sr. notes | ||
| 4.25%, 10/15/19 | 37,000 | 37,879 |
|
| ||
| Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 50,000 | 56,750 |
|
| ||
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 10.50%, 4/15/23 | 60,000 | 69,450 |
|
| ||
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 7.00%, 4/15/25 | 30,000 | 31,575 |
|
| ||
| Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 9/15/24 | 45,000 | 45,563 |
|
| ||
| Mercer International, Inc. company guaranty sr. unsec. notes | ||
| 7.75%, 12/1/22 (Canada) | 55,000 | 58,988 |
|
| ||
| Mercer International, Inc. 144A sr. unsec. notes 6.50%, | ||
| 2/1/24 (Canada) | 15,000 | 15,600 |
|
| ||
| Methanex Corp. sr. unsec. unsub. notes 5.65%, 12/1/44 (Canada) | 30,000 | 28,907 |
|
| ||
| Monsanto Company sr. unsec. sub. notes 5.50%, 8/15/25 | 60,000 | 68,408 |
|
| ||
| New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 6.25%, 11/15/22 (Canada) | 35,000 | 35,788 |
|
| ||
| New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) | 15,000 | 15,375 |
|
| ||
| Norbord, Inc. 144A company guaranty sr. notes 6.25%, | ||
| 4/15/23 (Canada) | 95,000 | 101,707 |
|
| ||
| NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, | ||
| 6/1/27 (Canada) | 56,000 | 56,070 |
|
| ||
| 32 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Basic materials cont. | ||
|
| ||
| NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, | ||
| 6/1/24 (Canada) | $34,000 | $34,085 |
|
| ||
| Novelis Corp. 144A company guaranty sr. unsec. bonds | ||
| 5.875%, 9/30/26 | 70,000 | 72,450 |
|
| ||
| Novelis Corp. 144A company guaranty sr. unsec. notes | ||
| 6.25%, 8/15/24 | 40,000 | 42,100 |
|
| ||
| Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 | 5,000 | 5,575 |
|
| ||
| Park-Ohio Industries, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.625%, 4/15/27 | 55,000 | 57,406 |
|
| ||
| Platform Specialty Products Corp. 144A sr. unsec. notes | ||
| 10.375%, 5/1/21 | 10,000 | 11,088 |
|
| ||
| Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
| 6.875%, 7/15/33 | 40,000 | 44,000 |
|
| ||
| Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 12/1/24 | 20,000 | 21,050 |
|
| ||
| Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 | 15,000 | 16,163 |
|
| ||
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 30,000 | 30,330 |
|
| ||
| Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 7.50%, 11/20/25 (Ireland) | 55,000 | 64,625 |
|
| ||
| Steel Dynamics, Inc. company guaranty sr. unsec. notes | ||
| 5.00%, 12/15/26 | 20,000 | 20,350 |
|
| ||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 8/15/22 | 120,000 | 124,380 |
|
| ||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 10/1/24 | 30,000 | 31,763 |
|
| ||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.25%, 4/15/23 | 33,000 | 34,114 |
|
| ||
| Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | ||
| 4.75%, 1/15/22 (Canada) | 20,000 | 20,900 |
|
| ||
| Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | ||
| 3.75%, 2/1/23 (Canada) | 20,000 | 19,675 |
|
| ||
| Teck Resources, Ltd. 144A company guaranty sr. unsec. notes | ||
| 8.50%, 6/1/24 (Canada) | 10,000 | 11,538 |
|
| ||
| TMS International Corp. 144A company guaranty sr. unsec. sub. | ||
| notes 7.625%, 10/15/21 | 60,000 | 60,750 |
|
| ||
| Tronox Finance, LLC company guaranty sr. unsec. notes | ||
| 6.375%, 8/15/20 | 10,000 | 10,100 |
|
| ||
| Tronox Finance, LLC 144A company guaranty sr. unsec. notes | ||
| 7.50%, 3/15/22 | 40,000 | 41,550 |
|
| ||
| U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 6/1/24 | 60,000 | 62,700 |
|
| ||
| U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 6/1/24 | 25,000 | 26,125 |
|
| ||
| Univar USA, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.75%, 7/15/23 | 50,000 | 52,375 |
|
| ||
| USG Corp. 144A company guaranty sr. unsec. bonds | ||
| 4.875%, 6/1/27 | 40,000 | 40,400 |
|
| ||
| USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 | 50,000 | 53,000 |
|
| ||
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes | ||
| 6.00%, 2/1/23 | 40,000 | 38,800 |
|
| ||
| Dynamic Risk Allocation Fund 33 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Basic materials cont. | ||
|
| ||
| Westlake Chemical Corp. company guaranty sr. unsec. unsub. | ||
| notes 3.60%, 8/15/26 | $150,000 | $149,666 |
|
| ||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes | ||
| 8.20%, 1/15/30 | 60,000 | 82,963 |
|
| ||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes | ||
| 7.95%, 2/15/31 | 32,000 | 44,406 |
|
| ||
| WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/24 | 85,000 | 91,694 |
|
| ||
| Zekelman Industries, Inc. 144A company guaranty sr. notes | ||
| 9.875%, 6/15/23 | 45,000 | 50,850 |
|
| ||
| 4,068,607 | ||
|
| ||
| Capital goods (1.4%) | ||
|
| ||
| Advanced Disposal Services, Inc. 144A sr. unsec. notes | ||
| 5.625%, 11/15/24 | 95,000 | 97,494 |
|
| ||
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. | ||
| notes 7.75%, 11/15/19 | 10,000 | 11,025 |
|
| ||
| ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, | ||
| 6/15/23 (Canada) | 35,000 | 36,435 |
|
| ||
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 5.50%, 9/1/22 | 25,000 | 25,750 |
|
| ||
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 5.25%, 7/15/24 | 30,000 | 30,600 |
|
| ||
| Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 | 25,000 | 26,656 |
|
| ||
| Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 | 20,000 | 20,850 |
|
| ||
| Berry Plastics Corp. company guaranty unsub. notes | ||
| 5.125%, 7/15/23 | 50,000 | 52,400 |
|
| ||
| Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) | 70,000 | 77,788 |
|
| ||
| Briggs & Stratton Corp. company guaranty sr. unsec. notes | ||
| 6.875%, 12/15/20 | 80,000 | 88,000 |
|
| ||
| Covidien International Finance SA company guaranty sr. unsec. | ||
| unsub. notes 6.00%, 10/15/17 (Luxembourg) | 145,000 | 147,409 |
|
| ||
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | ||
| 7.375%, 12/15/26 | 35,000 | 40,600 |
|
| ||
| Gates Global, LLC/Gates Global Co. 144A company guaranty sr. | ||
| unsec. notes 6.00%, 7/15/22 | 155,000 | 157,713 |
|
| ||
| Great Lakes Dredge & Dock Corp. 144A company guaranty sr. | ||
| unsec. notes 8.00%, 5/15/22 | 65,000 | 65,975 |
|
| ||
| Honeywell International, Inc. sr. unsec. unsub. notes | ||
| 5.375%, 3/1/41 | 80,000 | 98,863 |
|
| ||
| Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 | 35,000 | 37,272 |
|
| ||
| Johnson Controls International PLC sr. unsec. unsub. bonds | ||
| 4.50%, 2/15/47 | 40,000 | 42,099 |
|
| ||
| KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 | 80,000 | 84,406 |
|
| ||
| L3 Technologies, Inc. company guaranty sr. unsec. bonds | ||
| 3.85%, 12/15/26 | 10,000 | 10,309 |
|
| ||
| Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) | 15,000 | 19,726 |
|
| ||
| Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 | 115,000 | 133,400 |
|
| ||
| MasTec, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 3/15/23 | 100,000 | 100,750 |
|
| ||
| Medtronic, Inc. company guaranty sr. unsec. sub. notes | ||
| 4.375%, 3/15/35 | 15,000 | 16,229 |
|
| ||
| 34 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Capital goods cont. | ||
|
| ||
| Medtronic, Inc. company guaranty sr. unsec. sub. notes | ||
| 3.50%, 3/15/25 | $15,000 | $15,652 |
|
| ||
| Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 | 55,000 | 57,338 |
|
| ||
| Oshkosh Corp. company guaranty sr. unsec. sub. notes | ||
| 5.375%, 3/1/25 | 65,000 | 67,925 |
|
| ||
| Oshkosh Corp. company guaranty sr. unsec. sub. notes | ||
| 5.375%, 3/1/22 | 135,000 | 140,569 |
|
| ||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds | ||
| Group Issuer Lu 144A company guaranty sr. FRN 4.658%, 7/15/21 | 55,000 | 56,100 |
|
| ||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds | ||
| Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 7/15/24 | 55,000 | 59,193 |
|
| ||
| Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47 | 46,000 | 47,816 |
|
| ||
| Tennant Co. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 5/1/25 | 10,000 | 10,425 |
|
| ||
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.375%, 12/15/24 | 55,000 | 57,475 |
|
| ||
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.00%, 7/15/26 | 25,000 | 25,281 |
|
| ||
| TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, | ||
| 7/15/23 (United Kingdom) | 135,000 | 143,438 |
|
| ||
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 6/15/26 | 35,000 | 35,875 |
|
| ||
| TransDigm, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 7/15/24 | 25,000 | 26,000 |
|
| ||
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 6.50%, 5/15/25 | 20,000 | 20,700 |
|
| ||
| United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 | 205,000 | 205,513 |
|
| ||
| 2,391,049 | ||
|
| ||
| Communication services (2.4%) | ||
|
| ||
| Altice SA 144A company guaranty sr. unsec. notes 7.75%, | ||
| 5/15/22 (Luxembourg) | 200,000 | 212,750 |
|
| ||
| American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R | 40,000 | 38,390 |
|
| ||
| American Tower Corp. sr. unsec. notes 4.00%, 6/1/25 R | 85,000 | 88,234 |
|
| ||
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 67,000 | 64,539 |
|
| ||
| AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 | 68,000 | 66,888 |
|
| ||
| AT&T, Inc. sr. unsec. unsub. notes 1.70%, 6/1/17 | 145,000 | 145,000 |
|
| ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty | ||
| sr. unsec. notes 5.25%, 9/30/22 | 195,000 | 201,825 |
|
| ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
| guaranty sr. unsec. bonds 5.50%, 5/1/26 | 35,000 | 36,996 |
|
| ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
| guaranty sr. unsec. notes 5.875%, 4/1/24 | 85,000 | 91,163 |
|
| ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| notes 5.75%, 2/15/26 | 15,000 | 16,031 |
|
| ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| unsub. notes 5.125%, 5/1/23 | 25,000 | 26,297 |
|
| ||
| CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 | 80,000 | 85,500 |
|
| ||
| CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 | 15,000 | 15,900 |
|
| ||
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
| 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 60,000 | 61,200 |
|
| ||
| Dynamic Risk Allocation Fund 35 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Communication services cont. | ||
|
| ||
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
| 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | $10,000 | $10,206 |
|
| ||
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital Corp. company guaranty sr. | ||
| sub. bonds 6.484%, 10/23/45 | 87,000 | 104,128 |
|
| ||
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital Corp. company guaranty sr. | ||
| sub. notes 4.908%, 7/23/25 | 43,000 | 46,671 |
|
| ||
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital 144A company guaranty sr. | ||
| bonds 5.375%, 5/1/47 | 76,000 | 79,648 |
|
| ||
| Comcast Corp. company guaranty sr. unsec. unsub. bonds | ||
| 2.35%, 1/15/27 | 5,000 | 4,710 |
|
| ||
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.95%, 8/15/37 | 30,000 | 41,762 |
|
| ||
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 11/15/35 | 85,000 | 111,475 |
|
| ||
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.375%, 2/15/25 | 45,000 | 46,564 |
|
| ||
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.15%, 3/1/26 | 5,000 | 5,038 |
|
| ||
| CommScope Technologies Finance, LLC 144A sr. unsec. notes | ||
| 6.00%, 6/15/25 | 40,000 | 42,508 |
|
| ||
| Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22 R | 25,000 | 27,357 |
|
| ||
| Crown Castle International Corp. sr. unsec. unsub. bonds | ||
| 3.70%, 6/15/26 R | 45,000 | 45,424 |
|
| ||
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 135,000 | 137,869 |
|
| ||
| CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 | 160,000 | 176,800 |
|
| ||
| Deutsche Telekom International Finance BV company guaranty sr. | ||
| unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) | 16,000 | 23,835 |
|
| ||
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes | ||
| 5.875%, 11/15/24 | 40,000 | 42,600 |
|
| ||
| Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 | 25,000 | 23,375 |
|
| ||
| Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 | 65,000 | 63,944 |
|
| ||
| Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 | 20,000 | 21,275 |
|
| ||
| Frontier Communications Corp. sr. unsec. unsub. notes | ||
| 7.625%, 4/15/24 | 15,000 | 12,619 |
|
| ||
| Intelsat Jackson Holdings SA company guaranty sr. unsec. notes | ||
| 7.50%, 4/1/21 (Bermuda) | 265,000 | 236,513 |
|
| ||
| Intelsat Jackson Holdings SA 144A company guaranty sr. notes | ||
| 8.00%, 2/15/24 (Bermuda) | 2,000 | 2,159 |
|
| ||
| Intelsat Luxembourg SA company guaranty sr. unsec. bonds | ||
| 7.75%, 6/1/21 (Luxembourg) | 33,000 | 18,398 |
|
| ||
| Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds | ||
| 8.125%, 6/1/23 (Luxembourg) | 80,000 | 42,750 |
|
| ||
| NBCUniversal Media, LLC company guaranty sr. unsec. unsub. | ||
| notes 4.375%, 4/1/21 | 125,000 | 135,496 |
|
| ||
| Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, | ||
| 1/15/23 (Canada) | 35,000 | 37,100 |
|
| ||
| SFR Group SA 144A company guaranty sr. notes 6.00%, | ||
| 5/15/22 (France) | 200,000 | 208,750 |
|
| ||
| 36 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Communication services cont. | ||
|
| ||
| Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 | $290,000 | $320,813 |
|
| ||
| Sprint Corp. company guaranty sr. unsec. sub. notes | ||
| 7.25%, 9/15/21 | 195,000 | 221,385 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 4/1/23 | 50,000 | 53,250 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.375%, 3/1/25 | 30,000 | 32,513 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.00%, 3/1/23 | 20,000 | 21,274 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 5.375%, 4/15/27 | 25,000 | 26,625 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 4.00%, 4/15/22 | 15,000 | 15,545 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.836%, 4/28/23 | 5,000 | 5,344 |
|
| ||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.125%, 1/15/22 | 25,000 | 26,313 |
|
| ||
| Verizon Communications, Inc. sr. unsec. unsub. notes | ||
| 4.522%, 9/15/48 | 84,000 | 78,979 |
|
| ||
| Verizon Communications, Inc. sr. unsec. unsub. notes | ||
| 4.50%, 9/15/20 | 30,000 | 32,141 |
|
| ||
| Verizon Communications, Inc. sr. unsec. unsub. notes | ||
| 4.40%, 11/1/34 | 30,000 | 29,288 |
|
| ||
| Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%, | ||
| 4/15/27 (Canada) | 60,000 | 62,100 |
|
| ||
| Vodafone Group PLC sr. unsec. unsub. notes 1.25%, 9/26/17 | ||
| (United Kingdom) | 251,000 | 250,876 |
|
| ||
| West Corp. 144A company guaranty sr. unsec. sub. notes | ||
| 5.375%, 7/15/22 | 45,000 | 45,731 |
|
| ||
| WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | ||
| company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 | 57,000 | 59,063 |
|
| ||
| Windstream Services, LLC company guaranty sr. unsec. notes | ||
| 6.375%, 8/1/23 | 55,000 | 46,649 |
|
| ||
| 4,227,576 | ||
|
| ||
| Conglomerates (—%) | ||
|
| ||
| General Electric Co. sr. unsec. bonds 4.50%, 3/11/44 | 15,000 | 16,513 |
|
| ||
| 16,513 | ||
|
| ||
| Consumer cyclicals (4.0%) | ||
|
| ||
| 21st Century Fox America, Inc. company guaranty sr. unsec. unsub. | ||
| notes 7.75%, 12/1/45 | 124,000 | 175,922 |
|
| ||
| Amazon.com, Inc. sr. unsec. notes 1.20%, 11/29/17 | 143,000 | 142,995 |
|
| ||
| AMC Entertainment Holdings, Inc. company guaranty sr. unsec. | ||
| sub. notes 5.875%, 2/15/22 | 25,000 | 26,150 |
|
| ||
| AMC Entertainment Holdings, Inc. company guaranty sr. unsec. | ||
| sub. notes 5.75%, 6/15/25 | 35,000 | 36,334 |
|
| ||
| AMC Entertainment Holdings, Inc. 144A company guaranty sr. | ||
| unsec. sub. bonds 6.125%, 5/15/27 | 20,000 | 20,675 |
|
| ||
| AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds | ||
| 5.875%, 11/15/26 | 35,000 | 36,050 |
|
| ||
| American Builders & Contractors Supply Co., Inc. 144A sr. unsec. | ||
| notes 5.75%, 12/15/23 | 60,000 | 63,975 |
|
| ||
| Dynamic Risk Allocation Fund 37 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| American Tire Distributors, Inc. 144A sr. unsec. sub. notes | ||
| 10.25%, 3/1/22 | $85,000 | $88,825 |
|
| ||
| Autonation, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 2/1/20 | 55,000 | 59,007 |
|
| ||
| Bon-Ton Department Stores, Inc. (The) company guaranty notes | ||
| 8.00%, 6/15/21 | 50,000 | 18,500 |
|
| ||
| Boyd Gaming Corp. company guaranty sr. unsec. sub. notes | ||
| 6.875%, 5/15/23 | 40,000 | 43,300 |
|
| ||
| Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 4/1/26 | 20,000 | 21,822 |
|
| ||
| Brookfield Residential Properties, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.50%, 12/15/20 (Canada) | 160,000 | 165,200 |
|
| ||
| Brookfield Residential Properties, Inc./Brookfield Residential | ||
| US Corp. 144A company guaranty sr. unsec. notes 6.125%, | ||
| 7/1/22 (Canada) | 35,000 | 36,050 |
|
| ||
| Caesars Growth Properties Holdings, LLC/Caesars Growth | ||
| Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 | 75,000 | 81,375 |
|
| ||
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.25%, 12/15/21 | 40,000 | 44,450 |
|
| ||
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | ||
| 5.875%, 11/15/24 | 25,000 | 26,938 |
|
| ||
| CBS Corp. company guaranty sr. unsec. debs. 7.875%, 7/30/30 | 74,000 | 102,259 |
|
| ||
| CBS Corp. company guaranty sr. unsec. unsub. bonds | ||
| 2.90%, 1/15/27 | 39,000 | 36,838 |
|
| ||
| CBS Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.50%, 1/15/25 | 49,000 | 49,336 |
|
| ||
| CBS Radio, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 11/1/24 | 15,000 | 15,825 |
|
| ||
| CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 | 20,000 | 20,650 |
|
| ||
| Cinemark USA, Inc. company guaranty sr. unsec. notes | ||
| 5.125%, 12/15/22 | 15,000 | 15,413 |
|
| ||
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | ||
| 4.875%, 6/1/23 | 25,000 | 25,437 |
|
| ||
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. | ||
| unsec. sub. notes 7.625%, 3/15/20 | 30,000 | 30,113 |
|
| ||
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. | ||
| unsec. unsub. notes 6.50%, 11/15/22 | 95,000 | 98,206 |
|
| ||
| Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 | 85,000 | 89,463 |
|
| ||
| Diamond Resorts International, Inc. 144A sr. unsec. notes | ||
| 10.75%, 9/1/24 | 35,000 | 37,100 |
|
| ||
| Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 | 95,000 | 92,188 |
|
| ||
| Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 8/1/23 | 65,000 | 70,525 |
|
| ||
| Eldorado Resorts, Inc. 144A sr. unsec. unsub. notes 6.00%, 4/1/25 | 15,000 | 15,769 |
|
| ||
| EW Scripps Co. (The) 144A company guaranty sr. unsec. notes | ||
| 5.125%, 5/15/25 | 30,000 | 30,713 |
|
| ||
| Expedia, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.00%, 2/15/26 | 140,000 | 152,251 |
|
| ||
| Ford Motor Co. sr. unsec. unsub. notes 9.98%, 2/15/47 | 115,000 | 178,469 |
|
| ||
| Ford Motor Co. sr. unsec. unsub. notes 7.45%, 7/16/31 | 192,000 | 242,310 |
|
| ||
| Gartner, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 4/1/25 | 30,000 | 31,350 |
|
| ||
| 38 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| notes 4.00%, 10/6/26 | $25,000 | $24,710 |
|
| ||
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.30%, 7/13/25 | 20,000 | 20,263 |
|
| ||
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.00%, 1/15/25 | 10,000 | 10,065 |
|
| ||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| sub. notes 4.875%, 11/1/20 | 60,000 | 63,600 |
|
| ||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| unsub. notes 5.375%, 4/15/26 | 25,000 | 27,063 |
|
| ||
| Gray Television, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.875%, 7/15/26 | 50,000 | 50,750 |
|
| ||
| GW Honos Security Corp. 144A company guaranty sr. unsec. notes | ||
| 8.75%, 5/15/25 (Canada) | 60,000 | 61,950 |
|
| ||
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 4.625%, 5/15/24 | 35,000 | 35,000 |
|
| ||
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. | ||
| 144A sr. unsec. bonds 4.875%, 4/1/27 | 170,000 | 175,950 |
|
| ||
| Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 | 90,000 | 91,849 |
|
| ||
| Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22 R | 77,000 | 84,051 |
|
| ||
| Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 | 50,000 | 51,563 |
|
| ||
| Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 | 60,000 | 65,705 |
|
| ||
| iHeartCommunications, Inc. company guaranty sr. notes | ||
| 9.00%, 12/15/19 | 265,000 | 209,846 |
|
| ||
| IHS Markit Ltd. 144A company guaranty notes 4.75%, 2/15/25 | ||
| (United Kingdom) | 35,000 | 36,750 |
|
| ||
| Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | ||
| guaranty notes 10.25%, 11/15/22 | 95,000 | 103,313 |
|
| ||
| Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | ||
| guaranty sr. notes 6.75%, 11/15/21 | 90,000 | 93,263 |
|
| ||
| Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 | 20,000 | 21,100 |
|
| ||
| JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.65%, 6/1/20 | 5,000 | 4,963 |
|
| ||
| Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, | ||
| 10/15/19 ‡‡ | 40,000 | 39,800 |
|
| ||
| Lamar Media Corp. company guaranty sr. unsec. sub. notes | ||
| 5.875%, 2/1/22 | 50,000 | 51,875 |
|
| ||
| Lamar Media Corp. company guaranty sr. unsec. sub. notes | ||
| 5.375%, 1/15/24 | 20,000 | 21,010 |
|
| ||
| Lear Corp. company guaranty sr. unsec. unsub. notes | ||
| 5.375%, 3/15/24 | 25,000 | 26,565 |
|
| ||
| Lennar Corp. company guaranty sr. unsec. unsub. notes | ||
| 4.75%, 11/15/22 | 75,000 | 78,293 |
|
| ||
| Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes | ||
| 5.875%, 11/1/24 | 55,000 | 57,544 |
|
| ||
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 11/1/24 | 25,000 | 25,313 |
|
| ||
| Masonite International Corp. 144A company guaranty sr. unsec. | ||
| notes 5.625%, 3/15/23 | 65,000 | 68,250 |
|
| ||
| Dynamic Risk Allocation Fund 39 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| Mattamy Group Corp. 144A sr. unsec. notes 6.875%, | ||
| 12/15/23 (Canada) | $15,000 | $15,188 |
|
| ||
| Mattamy Group Corp. 144A sr. unsec. notes 6.50%, | ||
| 11/15/20 (Canada) | 65,000 | 66,989 |
|
| ||
| MGM Resorts International company guaranty sr. unsec. notes | ||
| 6.75%, 10/1/20 | 40,000 | 44,450 |
|
| ||
| MGM Resorts International company guaranty sr. unsec. notes | ||
| 5.25%, 3/31/20 | 10,000 | 10,643 |
|
| ||
| MGM Resorts International company guaranty sr. unsec. unsub. | ||
| notes 8.625%, 2/1/19 | 120,000 | 132,600 |
|
| ||
| MGM Resorts International company guaranty sr. unsec. unsub. | ||
| notes 6.625%, 12/15/21 | 5,000 | 5,613 |
|
| ||
| Navistar International Corp. company guaranty sr. unsec. notes | ||
| 8.25%, 11/1/21 | 95,000 | 96,306 |
|
| ||
| Neiman Marcus Group, LLC (The) company guaranty sr. notes | ||
| 7.125%, 6/1/28 | 65,000 | 46,881 |
|
| ||
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | ||
| notes 8.75%, 10/15/21 ‡‡ | 15,000 | 7,275 |
|
| ||
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | ||
| notes 8.00%, 10/15/21 | 30,000 | 15,525 |
|
| ||
| Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.625%, 8/1/24 | 55,000 | 55,413 |
|
| ||
| Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | ||
| unsec. notes 5.00%, 2/1/25 (Luxembourg) | 30,000 | 30,600 |
|
| ||
| Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | ||
| unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) | 30,000 | 31,088 |
|
| ||
| Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | ||
| sr. unsec. sub. notes 5.00%, 4/15/22 | 40,000 | 41,150 |
|
| ||
| O’Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes | ||
| 3.55%, 3/15/26 | 35,000 | 35,392 |
|
| ||
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes | ||
| 3.60%, 4/15/26 | 72,000 | 73,305 |
|
| ||
| Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
| company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 | 30,000 | 31,500 |
|
| ||
| Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
| company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 45,000 | 47,025 |
|
| ||
| Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 35,000 | 35,394 |
|
| ||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.75%, 10/1/22 | 30,000 | 31,050 |
|
| ||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.50%, 5/15/26 | 35,000 | 34,913 |
|
| ||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 12/1/24 | 45,000 | 45,338 |
|
| ||
| PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 | 20,000 | 18,650 |
|
| ||
| Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 | 61,000 | 62,902 |
|
| ||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.875%, 6/15/32 | 70,000 | 80,619 |
|
| ||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 3/1/26 | 70,000 | 73,981 |
|
| ||
| QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 | 55,000 | 54,476 |
|
| ||
| Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 | 80,000 | 83,500 |
|
| ||
| 40 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | ||
| 144A sr. notes 6.125%, 8/15/21 | $70,000 | $70,875 |
|
| ||
| S&P Global, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.40%, 2/15/26 | 35,000 | 37,689 |
|
| ||
| S&P Global, Inc. company guaranty sr. unsec. unsub. notes | ||
| 2.95%, 1/22/27 | 37,000 | 35,795 |
|
| ||
| Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 | 50,000 | 52,438 |
|
| ||
| Scientific Games International, Inc. company guaranty sr. unsec. | ||
| notes 10.00%, 12/1/22 | 185,000 | 201,419 |
|
| ||
| Scientific Games International, Inc. company guaranty sr. unsec. | ||
| sub. notes 6.25%, 9/1/20 | 15,000 | 14,794 |
|
| ||
| Scientific Games International, Inc. 144A company guaranty sr. | ||
| notes 7.00%, 1/1/22 | 80,000 | 85,400 |
|
| ||
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 8/1/24 | 115,000 | 118,306 |
|
| ||
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 6.00%, 7/15/24 | 40,000 | 42,600 |
|
| ||
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 4/15/27 | 65,000 | 66,950 |
|
| ||
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 7/31/24 | 80,000 | 80,500 |
|
| ||
| Spectrum Brands, Inc. company guaranty sr. unsec. notes | ||
| 5.75%, 7/15/25 | 35,000 | 37,191 |
|
| ||
| Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.125%, 12/15/24 | 30,000 | 31,800 |
|
| ||
| Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 90,000 | 94,613 |
|
| ||
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 85,000 | 87,019 |
|
| ||
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP | ||
| Gaming Finance Corp. 144A company guaranty sr. unsub. notes | ||
| 5.875%, 5/15/25 | 40,000 | 39,450 |
|
| ||
| Time Warner, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 3.80%, 2/15/27 | 90,000 | 89,849 |
|
| ||
| Time Warner, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 2.95%, 7/15/26 | 36,000 | 33,948 |
|
| ||
| Townsquare Media, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.50%, 4/1/23 | 15,000 | 15,113 |
|
| ||
| Toyota Motor Credit Corp. sr. unsec. unsub. bonds Ser. GMTN, | ||
| 1.55%, 7/13/18 | 145,000 | 145,165 |
|
| ||
| Tribune Media Co. company guaranty sr. unsec. notes | ||
| 5.875%, 7/15/22 | 45,000 | 47,419 |
|
| ||
| TRW Automotive, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.50%, 3/1/21 | 15,000 | 15,750 |
|
| ||
| Univision Communications, Inc. 144A company guaranty sr. sub. | ||
| notes 5.125%, 2/15/25 | 55,000 | 54,313 |
|
| ||
| Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6.50%, 8/15/37 | 34,000 | 47,045 |
|
| ||
| WMG Acquisition Corp. 144A company guaranty sr. notes | ||
| 5.00%, 8/1/23 | 45,000 | 46,069 |
|
| ||
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.00%, 9/1/26 | 35,000 | 34,475 |
|
| ||
| Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 | 40,000 | 41,281 |
|
| ||
| Dynamic Risk Allocation Fund 41 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
|
| ||
| Wyndham Worldwide Corp. sr. unsec. unsub. notes 5.625%, 3/1/21 | $30,000 | $32,867 |
|
| ||
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company | ||
| guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 45,000 | 46,238 |
|
| ||
| 7,076,324 | ||
|
| ||
| Consumer staples (1.8%) | ||
|
| ||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 6.00%, 4/1/22 (Canada) | 70,000 | 72,867 |
|
| ||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | ||
| notes 4.625%, 1/15/22 (Canada) | 25,000 | 25,719 |
|
| ||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | ||
| sub. notes 4.25%, 5/15/24 (Canada) | 40,000 | 40,000 |
|
| ||
| Altria Group, Inc. company guaranty sr. unsec. unsub. notes | ||
| 2.85%, 8/9/22 | 96,000 | 97,589 |
|
| ||
| Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. | ||
| unsub. bonds 4.90%, 2/1/46 | 180,000 | 198,505 |
|
| ||
| Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. | ||
| unsub. bonds 3.65%, 2/1/26 | 70,000 | 72,047 |
|
| ||
| Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. | ||
| unsub. notes 2.65%, 2/1/21 | 145,000 | 147,242 |
|
| ||
| Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. | ||
| unsub. notes 1.25%, 1/17/18 | 53,000 | 52,924 |
|
| ||
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. | ||
| unsec. unsub. notes 8.20%, 1/15/39 | 106,000 | 163,265 |
|
| ||
| BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A | ||
| company guaranty sub. notes 9.25%, 3/15/24 | 90,000 | 94,050 |
|
| ||
| CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes | ||
| 8.00%, 2/15/22 | 65,000 | 68,250 |
|
| ||
| Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 | 35,000 | 36,838 |
|
| ||
| Coca-Cola Co. (The) sr. unsec. unsub. bonds 2.25%, 9/1/26 | 30,000 | 28,593 |
|
| ||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. | ||
| bonds 3.70%, 12/6/26 | 20,000 | 20,402 |
|
| ||
| CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 | 80,000 | 88,089 |
|
| ||
| CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18 | 145,000 | 146,005 |
|
| ||
| Dean Foods Co. 144A company guaranty sr. unsec. notes | ||
| 6.50%, 3/15/23 | 45,000 | 47,588 |
|
| ||
| Diageo Investment Corp. company guaranty sr. unsec. notes | ||
| 8.00%, 9/15/22 | 9,000 | 11,245 |
|
| ||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds | ||
| 4.50%, 2/15/45 | 50,000 | 47,935 |
|
| ||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes | ||
| 7.00%, 10/15/37 | 200,000 | 253,956 |
|
| ||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes | ||
| 5.625%, 3/15/42 | 56,000 | 62,737 |
|
| ||
| Fresh Market, Inc. (The) 144A company guaranty sr. notes | ||
| 9.75%, 5/1/23 | 40,000 | 33,750 |
|
| ||
| High Ridge Brands Co. 144A company guaranty sr. unsec. notes | ||
| 8.875%, 3/15/25 | 50,000 | 49,250 |
|
| ||
| Kellogg Co. sr. unsec. unsub. notes 3.25%, 4/1/26 | 70,000 | 70,428 |
|
| ||
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
| 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 45,000 | 47,216 |
|
| ||
| 42 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Consumer staples cont. | ||
|
| ||
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
| 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | $45,000 | $46,814 |
|
| ||
| Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, | ||
| 6.875%, 1/26/39 | 95,000 | 121,418 |
|
| ||
| Kroger Co. (The) company guaranty sr. unsec. unsub. notes | ||
| 6.90%, 4/15/38 | 45,000 | 59,605 |
|
| ||
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 11/1/26 | 140,000 | 143,500 |
|
| ||
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.625%, 11/1/24 | 10,000 | 10,250 |
|
| ||
| Landry’s, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 30,000 | 30,975 |
|
| ||
| Molson Coors Brewing Co. 144A company guaranty sr. unsec. | ||
| unsub. notes 1.90%, 3/15/19 | 125,000 | 125,029 |
|
| ||
| Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 | 90,000 | 95,576 |
|
| ||
| PepsiCo, Inc. sr. unsec. unsub. bonds 3.45%, 10/6/46 | 45,000 | 41,707 |
|
| ||
| PepsiCo, Inc. sr. unsec. unsub. notes 1.25%, 8/13/17 | 144,000 | 143,873 |
|
| ||
| Pilgrim’s Pride Corp. 144A company guaranty sr. unsec. notes | ||
| 5.75%, 3/15/25 | 30,000 | 30,750 |
|
| ||
| Prestige Brands, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.375%, 12/15/21 | 35,000 | 35,700 |
|
| ||
| Revlon Consumer Products Corp. company guaranty sr. unsec. | ||
| notes 6.25%, 8/1/24 | 30,000 | 26,625 |
|
| ||
| Revlon Consumer Products Corp. company guaranty sr. unsec. | ||
| sub. notes 5.75%, 2/15/21 | 75,000 | 70,171 |
|
| ||
| Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes | ||
| 6.125%, 4/1/23 | 90,000 | 89,397 |
|
| ||
| Tyson Foods, Inc. company guaranty sr. unsec. bonds | ||
| 4.875%, 8/15/34 | 23,000 | 24,538 |
|
| ||
| Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 5.15%, 8/15/44 | 32,000 | 35,415 |
|
| ||
| Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes | ||
| 3.30%, 11/18/21 | 35,000 | 36,222 |
|
| ||
| 3,144,055 | ||
|
| ||
| Energy (3.5%) | ||
|
| ||
| Alliance Resource Operating Partners LP/Alliance Resource | ||
| Finance Corp. 144A sr. unsec. notes 7.50%, 5/1/25 | 25,000 | 25,938 |
|
| ||
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A | ||
| company guaranty sr. unsec. notes 7.875%, 12/15/24 | 90,000 | 94,275 |
|
| ||
| Anadarko Petroleum Corp. sr. unsec. notes 6.45%, 9/15/36 | 130,000 | 154,758 |
|
| ||
| Antero Resources Corp. company guaranty sr. unsec. notes | ||
| 5.625%, 6/1/23 | 15,000 | 15,375 |
|
| ||
| Antero Resources Corp. company guaranty sr. unsec. sub. notes | ||
| 5.125%, 12/1/22 | 15,000 | 15,169 |
|
| ||
| Antero Resources Finance Corp. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 11/1/21 | 45,000 | 46,294 |
|
| ||
| Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. | ||
| unsec. notes 10.00%, 4/1/22 | 35,000 | 35,875 |
|
| ||
| Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes | ||
| 5.125%, 6/1/21 (Canada) | 5,000 | 4,656 |
|
| ||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. notes | ||
| 2.315%, 2/13/20 (United Kingdom) | 110,000 | 111,258 |
|
| ||
| Dynamic Risk Allocation Fund 43 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Energy cont. | ||
|
| ||
| Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. | ||
| notes 7.50%, 12/1/20 | $30,000 | $26,700 |
|
| ||
| California Resources Corp. company guaranty sr. unsec. sub. notes | ||
| 5.00%, 1/15/20 | 30,000 | 23,700 |
|
| ||
| California Resources Corp. 144A company guaranty notes | ||
| 8.00%, 12/15/22 | 101,000 | 75,624 |
|
| ||
| Canadian Natural Resources, Ltd. sr. unsec. unsub. bonds 3.85%, | ||
| 6/1/27 (Canada) | 25,000 | 25,149 |
|
| ||
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 197,000 | 219,655 |
|
| ||
| Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, | ||
| 4/15/27 (Canada) | 50,000 | 49,809 |
|
| ||
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes | ||
| 5.875%, 3/31/25 | 110,000 | 118,113 |
|
| ||
| Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. | ||
| bonds 5.125%, 6/30/27 | 85,000 | 86,169 |
|
| ||
| Chesapeake Energy Corp. company guaranty sr. unsec. notes | ||
| 5.75%, 3/15/23 | 10,000 | 9,375 |
|
| ||
| Chesapeake Energy Corp. 144A company guaranty notes | ||
| 8.00%, 12/15/22 | 82,000 | 88,663 |
|
| ||
| Chesapeake Energy Corp. 144A company guaranty sr. unsec. | ||
| bonds 8.00%, 6/15/27 | 25,000 | 24,500 |
|
| ||
| Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 8.00%, 1/15/25 | 20,000 | 19,900 |
|
| ||
| Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19 | 30,000 | 29,947 |
|
| ||
| Chevron Corp. sr. unsec. unsub. notes 1.104%, 12/5/17 | 143,000 | 142,852 |
|
| ||
| Concho Resources, Inc. company guaranty sr. unsec. notes | ||
| 5.50%, 4/1/23 | 60,000 | 61,950 |
|
| ||
| Concho Resources, Inc. company guaranty sr. unsec. notes | ||
| 4.375%, 1/15/25 | 125,000 | 127,500 |
|
| ||
| Concho Resources, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 10/1/22 | 25,000 | 25,781 |
|
| ||
| ConocoPhillips Co. company guaranty sr. unsec. unsub. notes | ||
| 1.05%, 12/15/17 | 145,000 | 144,735 |
|
| ||
| Continental Resources, Inc. company guaranty sr. unsec. bonds | ||
| 4.90%, 6/1/44 | 40,000 | 34,225 |
|
| ||
| Continental Resources, Inc. company guaranty sr. unsec. notes | ||
| 3.80%, 6/1/24 | 20,000 | 18,688 |
|
| ||
| Continental Resources, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.00%, 9/15/22 | 75,000 | 75,094 |
|
| ||
| Continental Resources, Inc. company guaranty sr. unsec. unsub. | ||
| notes 4.50%, 4/15/23 | 45,000 | 43,988 |
|
| ||
| Covey Park Energy, LLC/Covey Park Finance Corp. 144A company | ||
| guaranty sr. unsec. notes 7.50%, 5/15/25 | 75,000 | 76,875 |
|
| ||
| DCP Midstream Operating LP company guaranty sr. unsec. notes | ||
| 3.875%, 3/15/23 | 15,000 | 14,655 |
|
| ||
| DCP Midstream Operating LP company guaranty sr. unsec. notes | ||
| 2.70%, 4/1/19 | 40,000 | 39,800 |
|
| ||
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 8/15/21 | 45,000 | 34,369 |
|
| ||
| Denbury Resources, Inc. 144A company guaranty notes | ||
| 9.00%, 5/15/21 | 66,000 | 67,650 |
|
| ||
| 44 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Energy cont. | ||
|
| ||
| Devon Financing Company, LLC company guaranty sr. unsec. | ||
| unsub. bonds 7.875%, 9/30/31 | $50,000 | $66,452 |
|
| ||
| Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 5/31/25 | 80,000 | 82,400 |
|
| ||
| Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.75%, 11/1/24 | 20,000 | 20,050 |
|
| ||
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| notes 8.125%, 9/15/23 | 60,000 | 63,750 |
|
| ||
| EP Energy, LLC/Everest Acquisition Finance, Inc. company | ||
| guaranty sr. unsec. sub. notes 9.375%, 5/1/20 | 135,000 | 123,525 |
|
| ||
| EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company | ||
| guaranty notes 8.00%, 2/15/25 | 55,000 | 47,025 |
|
| ||
| EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company | ||
| guaranty sr. notes 8.00%, 11/29/24 | 15,000 | 15,488 |
|
| ||
| EQT Midstream Partners LP company guaranty sr. unsec. sub. | ||
| notes 4.00%, 8/1/24 | 5,000 | 5,138 |
|
| ||
| FTS International, Inc. 144A company guaranty sr. sub. FRN | ||
| 8.631%, 6/15/20 | 15,000 | 15,263 |
|
| ||
| Halcon Resources Corp. 144A company guaranty notes | ||
| 12.00%, 2/15/22 | 10,000 | 11,550 |
|
| ||
| Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 | 35,000 | 42,395 |
|
| ||
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 6.00%, 8/1/24 | 55,000 | 58,025 |
|
| ||
| Laredo Petroleum, Inc. company guaranty sr. unsec. notes | ||
| 7.375%, 5/1/22 | 90,000 | 92,700 |
|
| ||
| Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes | ||
| 5.625%, 1/15/22 | 15,000 | 14,719 |
|
| ||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, | ||
| 3/31/24 (Canada) | 35,000 | 30,275 |
|
| ||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 6.375%, 1/30/23 (Canada) | 15,000 | 12,863 |
|
| ||
| MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 15,000 | 14,663 |
|
| ||
| Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 | 50,000 | 53,993 |
|
| ||
| MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 | 40,000 | 40,649 |
|
| ||
| Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24 | 60,000 | 62,850 |
|
| ||
| Murray Energy Corp. 144A notes 11.25%, 4/15/21 | 40,000 | 30,600 |
|
| ||
| Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.625%, 9/15/21 | 40,000 | 40,300 |
|
| ||
| Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 50,000 | 53,000 |
|
| ||
| Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 | 30,000 | 31,350 |
|
| ||
| Noble Holding International, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 7.75%, 1/15/24 | 55,000 | 48,520 |
|
| ||
| Noble Holding International, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 6.05%, 3/1/41 | 19,000 | 13,300 |
|
| ||
| Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 3/15/22 | 85,000 | 85,956 |
|
| ||
| Occidental Petroleum Corp. sr. unsec. unsub. bonds | ||
| 4.40%, 4/15/46 | 55,000 | 57,276 |
|
| ||
| Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty | ||
| sr. unsec. sub. notes 5.375%, 1/15/25 | 20,000 | 20,250 |
|
| ||
| Dynamic Risk Allocation Fund 45 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Energy cont. | ||
|
| ||
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, | ||
| 5/20/23 (Indonesia) | $200,000 | $207,480 |
|
| ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| bonds 7.375%, 1/17/27 (Brazil) | 70,000 | 75,026 |
|
| ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| bonds 7.25%, 3/17/44 (Brazil) | 212,000 | 210,092 |
|
| ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 8.75%, 5/23/26 (Brazil) | 58,000 | 67,498 |
|
| ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.25%, 3/17/24 (Brazil) | 135,000 | 139,388 |
|
| ||
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. | ||
| notes 6.00%, 11/15/26 (Venezuela) | 110,000 | 42,240 |
|
| ||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds | ||
| 5.625%, 1/23/46 (Mexico) | 95,000 | 85,690 |
|
| ||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 4.50%, 1/23/26 (Mexico) | 295,000 | 289,543 |
|
| ||
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes | ||
| 7.75%, 12/15/23 (Canada) | 50,000 | 51,625 |
|
| ||
| Range Resources Corp. 144A company guaranty sr. unsec. sub. | ||
| notes 5.75%, 6/1/21 | 90,000 | 93,375 |
|
| ||
| Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
| guaranty sr. unsec. sub. notes 5.625%, 11/15/23 | 30,000 | 29,869 |
|
| ||
| Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
| guaranty sr. unsec. sub. notes 5.625%, 7/15/22 | 20,000 | 20,100 |
|
| ||
| Sabine Pass Liquefaction, LLC sr. notes 5.875%, 6/30/26 | 30,000 | 33,848 |
|
| ||
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 61,000 | 65,256 |
|
| ||
| Sabine Pass Liquefaction, LLC 144A sr. bonds 4.20%, 3/15/28 | 40,000 | 40,538 |
|
| ||
| SemGroup Corp. 144A company guaranty sr. unsec. notes | ||
| 6.375%, 3/15/25 | 35,000 | 34,563 |
|
| ||
| Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, | ||
| 5/1/23 (Canada) | 35,000 | 36,838 |
|
| ||
| Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, | ||
| 5/15/20 (Canada) | 60,000 | 62,700 |
|
| ||
| Seventy Seven Energy, Inc. escrow sr. unsec. notes | ||
| 6.50%, 7/15/22 F | 50,000 | 5 |
|
| ||
| Shelf Drilling Holdings, Ltd. 144A company guaranty notes | ||
| 9.50%, 11/2/20 | 40,000 | 39,900 |
|
| ||
| SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 | 45,000 | 45,450 |
|
| ||
| SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 30,000 | 27,750 |
|
| ||
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 30,000 | 29,400 |
|
| ||
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 | 20,000 | 19,700 |
|
| ||
| SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 80,000 | 79,150 |
|
| ||
| Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 | 55,000 | 54,167 |
|
| ||
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 | 30,000 | 31,275 |
|
| ||
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 | 15,000 | 15,525 |
|
| ||
| Tesoro Logistics LP/Tesoro Logistics Finance Corp. company | ||
| guaranty sr. unsec. notes 5.25%, 1/15/25 | 20,000 | 21,150 |
|
| ||
| Total Capital International SA company guaranty sr. unsec. unsub. | ||
| notes 1.55%, 6/28/17 (France) | 143,000 | 143,035 |
|
| ||
| 46 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Energy cont. | ||
|
| ||
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, | ||
| 3/15/77 (Canada) | $70,000 | $71,750 |
|
| ||
| Valero Energy Partners LP sr. unsec. unsub. notes | ||
| 4.375%, 12/15/26 | 14,000 | 14,489 |
|
| ||
| Weatherford International, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 8.25%, 6/15/23 | 10,000 | 10,600 |
|
| ||
| Weatherford International, Ltd. 144A company guaranty sr. unsec. | ||
| sub. notes 9.875%, 2/15/24 | 20,000 | 22,500 |
|
| ||
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.75%, 3/15/21 | 16,000 | 15,720 |
|
| ||
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.00%, 3/15/19 | 50,000 | 49,875 |
|
| ||
| Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 | 43,000 | 55,470 |
|
| ||
| Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 | 55,000 | 57,866 |
|
| ||
| Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes | ||
| 4.875%, 3/15/24 | 65,000 | 67,356 |
|
| ||
| WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 15,000 | 16,425 |
|
| ||
| WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 | 60,000 | 63,300 |
|
| ||
| WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 | 110,000 | 111,100 |
|
| ||
| 6,112,016 | ||
|
| ||
| Financials (5.8%) | ||
|
| ||
| Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21 | 55,000 | 56,729 |
|
| ||
| Alliance Data Systems Corp. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 8/1/22 | 55,000 | 55,688 |
|
| ||
| Alliant Holdings Intermediate, LLC 144A sr. unsec. notes | ||
| 8.25%, 8/1/23 | 40,000 | 42,300 |
|
| ||
| Ally Financial, Inc. company guaranty sr. unsec. notes | ||
| 8.00%, 11/1/31 | 100,000 | 120,750 |
|
| ||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.25%, 12/1/17 | 230,000 | 234,945 |
|
| ||
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 110,000 | 114,263 |
|
| ||
| American Express Co. sr. unsec. notes 7.00%, 3/19/18 | 94,000 | 97,933 |
|
| ||
| American Express Co. sr. unsec. notes 6.15%, 8/28/17 | 107,000 | 108,196 |
|
| ||
| American International Group, Inc. jr. unsec. sub. FRB | ||
| 8.175%, 5/15/58 | 290,000 | 385,700 |
|
| ||
| ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 | 40,000 | 39,200 |
|
| ||
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, | ||
| perpetual maturity | 75,000 | 80,250 |
|
| ||
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, | ||
| perpetual maturity | 25,000 | 27,656 |
|
| ||
| Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, | ||
| 3.248%, 10/21/27 | 75,000 | 72,741 |
|
| ||
| Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 | 149,000 | 149,369 |
|
| ||
| Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, | ||
| 2.151%, 11/9/20 | 20,000 | 19,952 |
|
| ||
| Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, | ||
| 1.70%, 8/25/17 | 95,000 | 95,058 |
|
| ||
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 170,000 | 203,446 |
|
| ||
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, | ||
| 3/7/22 (Canada) | 25,000 | 25,289 |
|
| ||
| Dynamic Risk Allocation Fund 47 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Financials cont. | ||
|
| ||
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%, | ||
| 10/21/20 (Canada) | $80,000 | $80,415 |
|
| ||
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 1.375%, | ||
| 12/18/17 (Canada) | 145,000 | 145,071 |
|
| ||
| Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 | ||
| (United Kingdom) | 160,000 | 202,169 |
|
| ||
| BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 | 10,000 | 10,517 |
|
| ||
| BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) | 200,000 | 212,887 |
|
| ||
| Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 | 25,000 | 27,477 |
|
| ||
| Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 | 90,000 | 101,048 |
|
| ||
| CBRE Services, Inc. company guaranty sr. unsec. notes | ||
| 5.25%, 3/15/25 | 47,000 | 51,414 |
|
| ||
| CBRE Services, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.00%, 3/15/23 | 40,000 | 41,700 |
|
| ||
| CBRE Services, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 3/1/26 | 53,000 | 56,827 |
|
| ||
| CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 | 20,000 | 20,525 |
|
| ||
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 35,000 | 37,625 |
|
| ||
| CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 | 115,000 | 124,453 |
|
| ||
| CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 | 52,000 | 54,860 |
|
| ||
| Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.90%, perpetual maturity | 3,000 | 3,184 |
|
| ||
| Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity | 48,000 | 50,580 |
|
| ||
| Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity | 6,000 | 6,248 |
|
| ||
| Citigroup, Inc. jr. unsec. sub. FRN Ser. T, 6.25%, perpetual maturity | 63,000 | 68,749 |
|
| ||
| Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 | 50,000 | 50,492 |
|
| ||
| Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 | 130,000 | 132,514 |
|
| ||
| Citigroup, Inc. unsec. sub. notes 5.50%, 9/13/25 | 65,000 | 72,645 |
|
| ||
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 95,000 | 99,631 |
|
| ||
| Commonwealth Bank of Australia/New York, NY sr. unsec. bonds | ||
| Ser. GMTN, 1.625%, 3/12/18 | 330,000 | 330,318 |
|
| ||
| Credit Acceptance Corp. company guaranty sr. unsec. notes | ||
| 7.375%, 3/15/23 | 25,000 | 25,313 |
|
| ||
| Credit Acceptance Corp. company guaranty sr. unsec. notes | ||
| 6.125%, 2/15/21 | 55,000 | 55,413 |
|
| ||
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual | ||
| maturity (Switzerland) | 200,000 | 209,500 |
|
| ||
| DFC Finance Corp. 144A company guaranty sr. notes | ||
| 10.50%, 6/15/20 | 45,000 | 26,550 |
|
| ||
| Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 180,000 | 223,259 |
|
| ||
| Duke Realty LP company guaranty sr. unsec. unsub. notes | ||
| 4.375%, 6/15/22 R | 21,000 | 22,451 |
|
| ||
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.25%, 5/1/25 R | 55,000 | 56,201 |
|
| ||
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 8/13/24 | 60,000 | 61,970 |
|
| ||
| Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity | 38,000 | 38,048 |
|
| ||
| GE Capital International Funding Co. Unlimited Co. company | ||
| guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland) | 202,000 | 217,598 |
|
| ||
| Goldman Sachs Group, Inc. (The) sr. unsec. notes 7.50%, 2/15/19 | 44,000 | 47,914 |
|
| ||
| 48 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Financials cont. | ||
|
| ||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 3.85%, 1/26/27 | $160,000 | $163,140 |
|
| ||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 2.60%, 12/27/20 | 360,000 | 362,575 |
|
| ||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| Ser. GLOB, 2.375%, 1/22/18 | 2,000 | 2,009 |
|
| ||
| Healthcare Realty Trust, Inc. sr. unsec. unsub. notes | ||
| 3.875%, 5/1/25 R | 25,000 | 25,111 |
|
| ||
| Hospitality Properties Trust sr. unsec. unsub. notes | ||
| 4.50%, 3/15/25 R | 20,000 | 20,592 |
|
| ||
| HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21 | 122,000 | 138,781 |
|
| ||
| Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. | ||
| notes 8.125%, 7/15/19 ‡‡ | 10,000 | 10,025 |
|
| ||
| HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 | 80,000 | 83,600 |
|
| ||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.75%, 2/1/24 | 30,000 | 31,350 |
|
| ||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.25%, 2/1/22 | 30,000 | 31,238 |
|
| ||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.00%, 8/1/20 | 42,000 | 43,103 |
|
| ||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 5.875%, 2/1/22 | 60,000 | 61,425 |
|
| ||
| ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) | 220,000 | 249,238 |
|
| ||
| Intelsat Connect Finance SA 144A company guaranty sr. unsec. | ||
| sub. notes 12.50%, 4/1/22 (Luxembourg) | 3,000 | 2,610 |
|
| ||
| iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R | 20,000 | 20,350 |
|
| ||
| iStar, Inc. sr. unsec. notes 5.00%, 7/1/19 R | 20,000 | 20,225 |
|
| ||
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, | ||
| perpetual maturity | 79,000 | 82,211 |
|
| ||
| JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 | 75,000 | 74,701 |
|
| ||
| JPMorgan Chase & Co. sr. unsec. unsub. notes 2.00%, 8/15/17 | 144,000 | 144,172 |
|
| ||
| JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 | 165,000 | 163,960 |
|
| ||
| JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 | 60,000 | 62,519 |
|
| ||
| KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18 | 4,000 | 4,025 |
|
| ||
| KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. | ||
| unsub. bonds 5.125%, 6/1/44 | 25,000 | 26,446 |
|
| ||
| KKR Group Finance Co., LLC 144A company guaranty sr. unsec. | ||
| unsub. notes 6.375%, 9/29/20 | 55,000 | 62,046 |
|
| ||
| Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. | ||
| bonds 7.80%, 3/15/37 | 240,000 | 290,400 |
|
| ||
| Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual | ||
| maturity (United Kingdom) | 200,000 | 220,000 |
|
| ||
| Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, | ||
| perpetual maturity (United Kingdom) | 30,000 | 33,450 |
|
| ||
| LPL Holdings, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.75%, 9/15/25 | 55,000 | 56,788 |
|
| ||
| Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, | ||
| 7/29/20 (Australia) | 65,000 | 65,947 |
|
| ||
| Macquarie Group Ltd. 144A sr. unsec. notes 7.625%, | ||
| 8/13/19 (Australia) | 110,000 | 121,900 |
|
| ||
| MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21 | 100,000 | 109,088 |
|
| ||
| Dynamic Risk Allocation Fund 49 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Financials cont. | ||
|
| ||
| MGM Growth Properties Operating Partnership LP/MGP Finance | ||
| Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R | $25,000 | $26,969 |
|
| ||
| Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23 R | 30,000 | 31,980 |
|
| ||
| Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 | 160,000 | 161,461 |
|
| ||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | ||
| guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 | 80,000 | 81,700 |
|
| ||
| Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. | ||
| 144A sr. unsec. notes 4.875%, 4/15/45 | 40,000 | 38,100 |
|
| ||
| OneMain Financial Holdings, LLC 144A company guaranty sr. | ||
| unsec. sub. notes 6.75%, 12/15/19 | 25,000 | 26,188 |
|
| ||
| OneMain Financial Holdings, LLC 144A company guaranty sr. | ||
| unsec. unsub. notes 7.25%, 12/15/21 | 30,000 | 31,575 |
|
| ||
| Peachtree Corners Funding Trust 144A company guaranty sr. | ||
| unsec. unsub. bonds 3.976%, 2/15/25 | 100,000 | 101,843 |
|
| ||
| Progressive Corp. (The) jr. unsec. sub. FRN 6.70%, 6/15/37 | 116,000 | 116,145 |
|
| ||
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. | ||
| unsec. notes 6.375%, 6/15/25 | 60,000 | 61,200 |
|
| ||
| Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, | ||
| 3/2/20 (Canada) | 70,000 | 70,237 |
|
| ||
| Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%, | ||
| 7/27/18 (Canada) | 145,000 | 145,907 |
|
| ||
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, | ||
| 1/27/26 (Canada) | 40,000 | 42,795 |
|
| ||
| Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20 R | 10,000 | 10,158 |
|
| ||
| Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18 R | 10,000 | 10,054 |
|
| ||
| Simon Property Group LP 144A sr. unsec. unsub. notes | ||
| 1.50%, 2/1/18 R | 131,000 | 130,891 |
|
| ||
| Societe Generale SA company guaranty sr. unsec. notes 2.75%, | ||
| 10/12/17 (France) | 250,000 | 251,151 |
|
| ||
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | ||
| notes 8.25%, 12/15/20 | 20,000 | 22,050 |
|
| ||
| Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 | 20,000 | 20,550 |
|
| ||
| State Street Corp. jr. unsec. sub. FRB 2.131%, 6/15/37 | 36,000 | 33,480 |
|
| ||
| Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. | ||
| notes 4.25%, 12/6/42 | 80,000 | 81,506 |
|
| ||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
| 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 | 30,000 | 30,713 |
|
| ||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
| 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 | 20,000 | 20,900 |
|
| ||
| Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. | ||
| unsec. notes 6.75%, 6/1/25 | 45,000 | 46,013 |
|
| ||
| TIERS Trust/United States 144A sr. bonds stepped-coupon zero % | ||
| (8.125%, 9/15/17), 3/15/46 †† | 100,000 | 112,500 |
|
| ||
| TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty | ||
| sr. notes 8.50%, 9/15/18 | 20,000 | 19,000 |
|
| ||
| Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, | ||
| 9/15/31 (Canada) | 59,000 | 57,917 |
|
| ||
| Travelers Property Casualty Corp. company guaranty sr. unsec. | ||
| unsub. bonds 7.75%, 4/15/26 | 9,000 | 12,117 |
|
| ||
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty | ||
| sr. unsec. unsub. notes 5.875%, 6/15/24 | 55,000 | 57,613 |
|
| ||
| 50 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Financials cont. | ||
|
| ||
| UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. | ||
| notes 3.00%, 4/15/21 (Switzerland) | $200,000 | $203,162 |
|
| ||
| USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 | 55,000 | 55,688 |
|
| ||
| VEREIT Operating Partnership LP company guaranty sr. unsec. | ||
| notes 4.60%, 2/6/24 R | 60,000 | 62,568 |
|
| ||
| Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, | ||
| perpetual maturity | 70,000 | 76,563 |
|
| ||
| Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, | ||
| 3/6/20 (Australia) | 275,000 | 276,089 |
|
| ||
| Westpac Banking Corp. sr. unsec. unsub. notes 2.00%, | ||
| 8/19/21 (Australia) | 60,000 | 59,194 |
|
| ||
| 10,264,033 | ||
|
| ||
| Health care (1.8%) | ||
|
| ||
| AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 | 12,000 | 12,283 |
|
| ||
| AbbVie, Inc. sr. unsec. notes 2.90%, 11/6/22 | 18,000 | 18,138 |
|
| ||
| Allergan Funding SCS company guaranty sr. unsec. notes 4.75%, | ||
| 3/15/45 (Luxembourg) | 43,000 | 45,458 |
|
| ||
| Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, | ||
| 3/15/22 (Luxembourg) | 21,000 | 21,777 |
|
| ||
| AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. | ||
| notes 7.875%, 9/1/23 | 50,000 | 48,375 |
|
| ||
| AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 | ||
| (United Kingdom) | 16,000 | 21,363 |
|
| ||
| AstraZeneca PLC sr. unsec. unsub. notes 5.90%, 9/15/17 | ||
| (United Kingdom) | 145,000 | 146,803 |
|
| ||
| Becton Dickinson and Co. sr. unsec. unsub. bonds 4.669%, 6/6/47 | 101,000 | 101,773 |
|
| ||
| Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 | 86,000 | 86,164 |
|
| ||
| Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 | 75,000 | 78,775 |
|
| ||
| Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 | 60,000 | 65,194 |
|
| ||
| Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 | 15,000 | 15,488 |
|
| ||
| Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 55,000 | 57,365 |
|
| ||
| CHS/Community Health Systems, Inc. company guaranty sr. notes | ||
| 6.25%, 3/31/23 | 25,000 | 25,919 |
|
| ||
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. notes 6.875%, 2/1/22 | 120,000 | 106,650 |
|
| ||
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. unsub. notes 8.00%, 11/15/19 | 5,000 | 5,025 |
|
| ||
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. unsub. notes 7.125%, 7/15/20 | 20,000 | 19,700 |
|
| ||
| Concordia International Corp. 144A company guaranty sr. unsec. | ||
| notes 7.00%, 4/15/23 (Canada) | 60,000 | 12,150 |
|
| ||
| Concordia International Corp. 144A sr. notes 9.00%, | ||
| 4/1/22 (Canada) | 10,000 | 7,450 |
|
| ||
| Eagle Holding Co II, LLC 144A sr. unsec. unsub. notes | ||
| 7.625%, 5/15/22 # | 20,000 | 20,631 |
|
| ||
| Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. | ||
| unsec. unsub. notes 5.375%, 1/15/23 | 40,000 | 36,300 |
|
| ||
| Halyard Health, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.25%, 10/15/22 | 45,000 | 46,688 |
|
| ||
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 60,000 | 65,178 |
|
| ||
| HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 | 170,000 | 186,788 |
|
| ||
| Dynamic Risk Allocation Fund 51 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Health care cont. | ||
|
| ||
| HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 | $40,000 | $42,856 |
|
| ||
| HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 | 50,000 | 51,125 |
|
| ||
| Jaguar Holding Co. II/Pharmaceutical Product Development, LLC | ||
| 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 | 55,000 | 58,163 |
|
| ||
| Johnson & Johnson sr. unsec. notes 5.15%, 7/15/18 | 91,000 | 94,781 |
|
| ||
| Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. | ||
| notes 12.50%, 11/1/21 | 25,000 | 28,063 |
|
| ||
| Mallinckrodt International Finance SA/Mallinckrodt CB, | ||
| LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, | ||
| 4/15/25 (Luxembourg) | 40,000 | 36,800 |
|
| ||
| Merck & Co., Inc. sr. unsec. unsub. notes 1.30%, 5/18/18 | 125,000 | 124,931 |
|
| ||
| Molina Healthcare, Inc. company guaranty sr. unsec. notes | ||
| 5.375%, 11/15/22 | 40,000 | 42,450 |
|
| ||
| Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 6/15/25 | 10,000 | 10,075 |
|
| ||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. | ||
| notes 4.50%, 4/1/27 R | 60,000 | 59,850 |
|
| ||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.95%, 4/1/24 R | 109,000 | 114,052 |
|
| ||
| Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics | ||
| SA 144A sr. unsec. notes 6.625%, 5/15/22 | 65,000 | 61,913 |
|
| ||
| Patheon Holdings I BV 144A sr. unsec. sub. notes 7.50%, | ||
| 2/1/22 (Netherlands) | 65,000 | 69,469 |
|
| ||
| Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 | 50,000 | 51,500 |
|
| ||
| Service Corp. International/US sr. unsec. unsub. notes | ||
| 5.375%, 5/15/24 | 275,000 | 289,754 |
|
| ||
| Shire Acquisitions Investments Ireland DAC company guaranty sr. | ||
| unsec. unsub. notes 3.20%, 9/23/26 (Ireland) | 50,000 | 48,930 |
|
| ||
| Shire Acquisitions Investments Ireland DAC company guaranty sr. | ||
| unsec. unsub. notes 2.875%, 9/23/23 (Ireland) | 35,000 | 34,674 |
|
| ||
| Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes | ||
| 6.50%, 5/15/23 | 40,000 | 41,200 |
|
| ||
| Tenet Healthcare Corp. company guaranty sr. FRN 4.631%, 6/15/20 | 60,000 | 60,450 |
|
| ||
| Tenet Healthcare Corp. company guaranty sr. notes | ||
| 6.25%, 11/1/18 | 100,000 | 105,500 |
|
| ||
| Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 | 10,000 | 10,338 |
|
| ||
| Tenet Healthcare Corp. company guaranty sr. sub. notes | ||
| 6.00%, 10/1/20 | 55,000 | 58,919 |
|
| ||
| Teva Pharmaceutical Finance Netherlands III BV company | ||
| guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) | 34,000 | 31,931 |
|
| ||
| UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 | 65,000 | 67,010 |
|
| ||
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 | 58,000 | 62,795 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 6.125%, 4/15/25 | 90,000 | 72,450 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 5.875%, 5/15/23 | 65,000 | 52,934 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 5.625%, 12/1/21 | 5,000 | 4,288 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 5.50%, 3/1/23 | 25,000 | 20,193 |
|
| ||
| 52 Dynamic Risk Allocation Fund | |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Health care cont. | ||
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 5.375%, 3/15/20 | $70,000 | $65,191 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsub. notes 7.00%, 3/15/24 | 55,000 | 58,163 |
|
| ||
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsub. notes 6.50%, 3/15/22 | 20,000 | 20,996 |
|
| ||
| WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 | 25,000 | 26,344 |
|
| ||
| 3,229,523 | ||
|
| ||
| Technology (1.5%) | ||
|
| ||
| Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 | 25,000 | 26,229 |
|
| ||
| Apple, Inc. sr. unsec. notes 2.10%, 5/6/19 | 250,000 | 252,787 |
|
| ||
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 38,000 | 40,737 |
|
| ||
| Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 100,000 | 99,182 |
|
| ||
| Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 | ||
| (In default) † | 300,000 | 245,250 |
|
| ||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company | ||
| guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 87,000 | 88,446 |
|
| ||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 7.125%, 6/15/24 | 204,000 | 227,349 |
|
| ||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds | ||
| 8.35%, 7/15/46 | 22,000 | 28,256 |
|
| ||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes | ||
| 5.45%, 6/15/23 | 173,000 | 187,901 |
|
| ||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. | ||
| notes 5.875%, 6/15/21 | 10,000 | 10,569 |
|
| ||
| eBay, Inc. sr. unsec. unsub. notes 1.35%, 7/15/17 | 145,000 | 144,983 |
|
| ||
| Fidelity National Information Services, Inc. sr. unsec. unsub. notes | ||
| 5.00%, 10/15/25 | 25,000 | 27,886 |
|
| ||
| First Data Corp. 144A company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 12/1/23 | 75,000 | 81,000 |
|
| ||
| First Data Corp. 144A notes 5.75%, 1/15/24 | 65,000 | 68,656 |
|
| ||
| First Data Corp. 144A sr. notes 5.375%, 8/15/23 | 55,000 | 57,750 |
|
| ||
| Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. | ||
| notes 8.625%, 11/15/24 | 60,000 | 63,956 |
|
| ||
| Infor Software Parent LLC/Infor Software Parent, Inc. 144A | ||
| company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡ | 105,000 | 108,413 |
|
| ||
| Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 | 75,000 | 78,094 |
|
| ||
| Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 | 10,000 | 10,375 |
|
| ||
| Intel Corp. sr. unsec. unsub. notes 1.35%, 12/15/17 | 145,000 | 145,033 |
|
| ||
| Iron Mountain, Inc. company guaranty sr. unsec. notes | ||
| 6.00%, 8/15/23 R | 60,000 | 63,600 |
|
| ||
| Iron Mountain, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.00%, 10/1/20 R | 25,000 | 26,063 |
|
| ||
| Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 | 14,000 | 14,630 |
|
| ||
| Micron Technology, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.875%, 2/15/22 | 55,000 | 57,475 |
|
| ||
| Microsoft Corp. sr. unsec. unsub. bonds 3.30%, 2/6/27 | 60,000 | 62,085 |
|
| ||
| Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 | 90,000 | 86,775 |
|
| ||
| Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 | 180,000 | 177,212 |
|
| ||
| Dynamic Risk Allocation Fund 53 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Technology cont. | ||
|
| ||
| Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 | $120,000 | $116,491 |
|
| ||
| Plantronics, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 5/31/23 | 60,000 | 62,250 |
|
| ||
| 2,659,433 | ||
|
| ||
| Transportation (0.1%) | ||
|
| ||
| Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 70,000 | 67,025 |
|
| ||
| Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes | ||
| 5.75%, 5/1/40 | 15,000 | 18,886 |
|
| ||
| Penske Truck Leasing Co. Lp/PTL Finance Corp. 144A sr. unsec. | ||
| bonds 3.40%, 11/15/26 | 16,000 | 15,710 |
|
| ||
| United Airlines, Inc. Pass-Through Trust pass-through certificates | ||
| Ser. 14-2, Class A, 3.75%, 9/3/26 | 22,845 | 23,444 |
|
| ||
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. | ||
| unsec. notes 6.375%, 4/1/23 | 100,000 | 103,750 |
|
| ||
| 228,815 | ||
|
| ||
| Utilities and power (1.1%) | ||
|
| ||
| AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 | 240,000 | 275,400 |
|
| ||
| AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 | 140,000 | 145,250 |
|
| ||
| AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 | 25,000 | 25,375 |
|
| ||
| American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds | ||
| 5.00%, 9/1/44 | 65,000 | 72,489 |
|
| ||
| Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds | ||
| 6.125%, 4/1/36 | 10,000 | 12,780 |
|
| ||
| Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB | ||
| 4.45%, 7/15/27 | 20,000 | 20,631 |
|
| ||
| Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 | 110,000 | 104,363 |
|
| ||
| Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 | 50,000 | 52,000 |
|
| ||
| Calpine Corp. 144A company guaranty sr. sub. notes | ||
| 5.875%, 1/15/24 | 15,000 | 15,488 |
|
| ||
| Consolidated Edison Co. of New York, Inc. sr. unsec. notes | ||
| 7.125%, 12/1/18 | 96,000 | 103,495 |
|
| ||
| Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, | ||
| 2.00%, 3/15/20 | 10,000 | 10,013 |
|
| ||
| Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 | 45,000 | 44,325 |
|
| ||
| Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 | 25,000 | 25,719 |
|
| ||
| Dynegy, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.625%, 11/1/24 | 20,000 | 19,400 |
|
| ||
| El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. | ||
| notes 8.375%, 6/15/32 | 20,000 | 25,906 |
|
| ||
| Emera US Finance LP company guaranty sr. unsec. notes | ||
| 3.55%, 6/15/26 | 17,000 | 17,002 |
|
| ||
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 60,000 | 63,300 |
|
| ||
| Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 | 105,000 | 112,088 |
|
| ||
| Energy Transfer Partners LP sr. unsec. unsub. bonds | ||
| 6.125%, 12/15/45 | 20,000 | 22,300 |
|
| ||
| Energy Transfer Partners LP sr. unsec. unsub. bonds | ||
| 4.20%, 4/15/27 | 55,000 | 56,057 |
|
| ||
| 54 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.7%)* cont. | amount | Value |
|
| ||
| Utilities and power cont. | ||
|
| ||
| GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 | $100,000 | $90,500 |
|
| ||
| Great Plains Energy, Inc. sr. unsec. unsub. bonds 4.85%, 4/1/47 | 60,000 | 61,791 |
|
| ||
| Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A | ||
| company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 | 10,000 | 10,400 |
|
| ||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. | ||
| notes 5.40%, 9/1/44 | 44,000 | 45,196 |
|
| ||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. | ||
| unsub. notes 3.45%, 2/15/23 | 60,000 | 60,748 |
|
| ||
| MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 | 20,000 | 26,388 |
|
| ||
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 7.25%, 5/15/26 | 45,000 | 45,900 |
|
| ||
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 1/15/27 | 65,000 | 63,863 |
|
| ||
| NRG Energy, Inc. company guaranty sr. unsec. sub. notes | ||
| 7.875%, 5/15/21 | 27,000 | 27,945 |
|
| ||
| Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 | 85,000 | 82,452 |
|
| ||
| Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 | 90,000 | 84,600 |
|
| ||
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 | 25,000 | 27,999 |
|
| ||
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 | 35,000 | 36,949 |
|
| ||
| Remote Escrow Finance Vehicle, LLC 144A sr. notes 10.50%, 6/1/22 | 15,000 | 15,600 |
|
| ||
| Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 | 65,000 | 65,975 |
|
| ||
| Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 | 46,000 | 48,364 |
|
| ||
| 2,018,051 | ||
|
| ||
| Total corporate bonds and notes (cost $44,464,867) | $45,435,995 | |
|
| ||
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (11.1%)* | amount | Value |
|
| ||
| U.S. Government Guaranteed Mortgage Obligations (3.0%) | ||
|
| ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 3.50%, TBA, 6/1/47 | $5,000,000 | $5,216,797 |
|
| ||
| 5,216,797 | ||
|
| ||
| U.S. Government Agency Mortgage Obligations (8.1%) | ||
|
| ||
| Federal National Mortgage Association Pass-Through Certificates | ||
|
| ||
| 6.00%, TBA, 6/1/47 | 1,000,000 | 1,132,656 |
|
| ||
| 4.00%, TBA, 6/1/47 | 3,000,000 | 3,169,453 |
|
| ||
| 3.00%, TBA, 7/1/47 | 3,000,000 | 3,011,367 |
|
| ||
| 3.00%, TBA, 6/1/47 | 4,000,000 | 4,021,562 |
|
| ||
| 3.00%, TBA, 6/1/32 | 2,000,000 | 2,063,125 |
|
| ||
| 2.50%, TBA, 6/1/47 | 1,000,000 | 970,469 |
|
| ||
| 14,368,632 | ||
|
| ||
| Total U.S. government and agency mortgage obligations (cost $19,462,073) | $19,585,429 | |
|
| ||
| Dynamic Risk Allocation Fund 55 |
| Principal | ||
| COMMODITY LINKED NOTES (4.5%)*††† | amount | Value |
|
| ||
| Citigroup Global Markets Holdings Inc. sr. notes Ser. N, 1-month USD | ||
| LIBOR less 0.10%, 2017 (Indexed to the S&P GSCI™ 3 Month Forward Total | ||
| Return Index multiplied by 3) | $3,340,000 | $2,902,306 |
|
| ||
| UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2018 | ||
| (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) | ||
| (United Kingdom) | 1,900,000 | 1,770,999 |
|
| ||
| UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2018 | ||
| (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) | ||
| (United Kingdom) | 575,000 | 434,105 |
|
| ||
| UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed | ||
| to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) | 2,551,000 | 2,800,111 |
|
| ||
| Total commodity Linked Notes (cost $8,366,000) | $7,907,521 | |
|
| ||
| Principal | ||
| MORTGAGE-BACKED SECURITIES (3.1%)* | amount | Value |
|
| ||
| Agency collateralized mortgage obligations (0.3%) | ||
|
| ||
| Federal Home Loan Mortgage Corporation | ||
|
| ||
| IFB Ser. 3829, Class AS, IO, 5.961%, 3/15/41 | $242,126 | $45,484 |
|
| ||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M1, | ||
| 2.124%, 12/25/28 | 156,384 | 156,889 |
|
| ||
| Federal National Mortgage Association | ||
|
| ||
| IFB Ser. 12-58, Class SM, IO, 5.476%, 6/25/42 | 290,341 | 49,998 |
|
| ||
| Ser. 12-147, Class AI, IO, 3.00%, 10/25/27 | 747,519 | 68,211 |
|
| ||
| Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1, | ||
| 2.224%, 7/25/24 | 7,740 | 7,755 |
|
| ||
| Government National Mortgage Association | ||
|
| ||
| IFB Ser. 13-99, Class AS, IO, 5.04%, 6/20/43 | 347,854 | 67,235 |
|
| ||
| Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 | 518,055 | 107,254 |
|
| ||
| Ser. 15-H26, Class DI, IO, 2.232%, 10/20/65 | 357,995 | 38,699 |
|
| ||
| 541,525 | ||
|
| ||
| Commercial mortgage-backed securities (2.0%) | ||
|
| ||
| Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB | ||
| Ser. 05-1, Class AJ, 5.378%, 11/10/42 | 12,435 | 12,429 |
|
| ||
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, | ||
| 5.753%, 12/15/47 | 100,000 | 100,330 |
|
| ||
| Citigroup Commercial Mortgage Trust | ||
|
| ||
| FRB Ser. 13-GC17, Class C, 5.104%, 11/10/46 | 34,000 | 36,043 |
|
| ||
| Ser. 14-GC21, Class AS, 4.026%, 5/10/47 | 74,000 | 77,465 |
|
| ||
| FRB Ser. 14-GC19, Class XA, IO, 1.222%, 3/10/47 | 1,478,623 | 84,296 |
|
| ||
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, | ||
| Class XA, IO, 2.053%, 9/10/45 | 867,028 | 62,547 |
|
| ||
| COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, | ||
| Class AJ, 5.868%, 5/15/46 | 72,000 | 71,907 |
|
| ||
| COMM Mortgage Trust | ||
|
| ||
| FRB Ser. 14-UBS6, Class C, 4.465%, 12/10/47 | 129,000 | 128,268 |
|
| ||
| FRB Ser. 14-LC15, Class XA, IO, 1.347%, 4/10/47 | 1,753,312 | 98,676 |
|
| ||
| FRB Ser. 14-CR16, Class XA, IO, 1.194%, 4/10/47 | 316,907 | 16,226 |
|
| ||
| FRB Ser. 14-CR17, Class XA, IO, 1.149%, 5/10/47 | 1,138,031 | 58,836 |
|
| ||
| FRB Ser. 13-CR11, Class XA, IO, 1.142%, 8/10/50 | 725,206 | 38,423 |
|
| ||
| FRB Ser. 14-UBS6, Class XA, IO, 1.044%, 12/10/47 | 1,455,102 | 75,956 |
|
| ||
| CSMC Trust FRB Ser. 16-NXSR, Class C, 4.365%, 12/15/49 | 125,000 | 128,312 |
|
| ||
| 56 Dynamic Risk Allocation Fund | |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (3.1%)* cont. | amount | Value |
|
| ||
| Commercial mortgage-backed securities cont. | ||
|
| ||
| GS Mortgage Securities Trust | ||
|
| ||
| FRB Ser. 13-GC12, Class C, 4.179%, 6/10/46 | $172,000 | $168,887 |
|
| ||
| FRB Ser. 14-GC22, Class XA, IO, 1.037%, 6/10/47 | 2,066,700 | 107,247 |
|
| ||
| GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, | ||
| 6.058%, 8/10/43 | 158,403 | 166,672 |
|
| ||
| JPMBB Commercial Mortgage Securities Trust | ||
|
| ||
| FRB Ser. 14-C19, Class C, 4.666%, 4/15/47 | 60,000 | 61,083 |
|
| ||
| FRB Ser. 13-C14, Class C, 4.579%, 8/15/46 | 56,000 | 58,062 |
|
| ||
| FRB Ser. 14-C25, Class C, 4.448%, 11/15/47 | 182,000 | 181,606 |
|
| ||
| FRB Ser. 14-C26, Class C, 4.425%, 1/15/48 | 38,000 | 37,634 |
|
| ||
| JPMorgan Chase Commercial Mortgage Securities Trust | ||
|
| ||
| FRB Ser. 06-LDP7, Class B, 5.943%, 4/17/45 | 118,000 | 20,060 |
|
| ||
| FRB Ser. 05-LDP5, Class F, 5.632%, 12/15/44 | 71,607 | 71,256 |
|
| ||
| Ser. 04-LN2, Class A2, 5.115%, 7/15/41 | 1,706 | 1,708 |
|
| ||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
|
| ||
| FRB Ser. 10-C1, Class D, 6.194%, 6/15/43 | 142,000 | 82,893 |
|
| ||
| FRB Ser. 11-C3, Class E, 5.614%, 2/15/46 | 240,000 | 236,472 |
|
| ||
| FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 | 60,000 | 54,176 |
|
| ||
| LB-UBS Commercial Mortgage Trust | ||
|
| ||
| Ser. 07-C6, Class A4, 5.858%, 7/15/40 | 4,783 | 4,783 |
|
| ||
| Ser. 06-C6, Class D, 5.502%, 9/15/39 (In default) † | 125,000 | 6,740 |
|
| ||
| LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, | ||
| 3.211%, 4/20/48 | 123,000 | 108,506 |
|
| ||
| Morgan Stanley Bank of America Merrill Lynch Trust | ||
|
| ||
| Ser. 12-C5, Class AS, 3.792%, 8/15/45 | 41,000 | 42,952 |
|
| ||
| FRB Ser. 14-C17, Class XA, IO, 1.246%, 8/15/47 | 737,685 | 39,060 |
|
| ||
| FRB Ser. 13-C12, Class XA, IO, 0.906%, 10/15/46 | 826,280 | 26,111 |
|
| ||
| Morgan Stanley Capital I Trust | ||
|
| ||
| Ser. 06-HQ9, Class C, 5.842%, 7/12/44 | 117,000 | 116,790 |
|
| ||
| Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44 | 27,063 | 26,969 |
|
| ||
| FRB Ser. 06-HQ8, Class D, 5.45%, 3/12/44 | 125,000 | 50,706 |
|
| ||
| Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, | ||
| 5.155%, 7/15/49 | 90,000 | 92,880 |
|
| ||
| UBS-Barclays Commercial Mortgage Trust 144A | ||
|
| ||
| FRB Ser. 12-C3, Class C, 4.958%, 8/10/49 | 50,000 | 53,045 |
|
| ||
| FRB Ser. 12-C2, Class D, 4.91%, 5/10/63 | 48,000 | 47,611 |
|
| ||
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21, | ||
| Class D, 5.292%, 10/15/44 | 56,000 | 55,699 |
|
| ||
| Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, | ||
| 4.295%, 7/15/46 | 45,000 | 46,323 |
|
| ||
| WF-RBS Commercial Mortgage Trust | ||
|
| ||
| Ser. 14-C19, Class C, 4.646%, 3/15/47 | 23,000 | 23,653 |
|
| ||
| FRB Ser. 13-C15, Class C, 4.479%, 8/15/46 | 38,000 | 38,905 |
|
| ||
| Ser. 13-C18, Class AS, 4.387%, 12/15/46 | 108,000 | 116,015 |
|
| ||
| Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 | 48,000 | 51,562 |
|
| ||
| FRB Ser. 14-C22, Class XA, IO, 0.925%, 9/15/57 | 2,534,683 | 118,598 |
|
| ||
| WF-RBS Commercial Mortgage Trust 144A | ||
|
| ||
| FRB Ser. 11-C3, Class D, 5.64%, 3/15/44 | 47,000 | 48,170 |
|
| ||
| FRB Ser. 11-C2, Class D, 5.602%, 2/15/44 | 45,000 | 46,719 |
|
| ||
| Dynamic Risk Allocation Fund 57 |
| Principal | |||
| MORTGAGE-BACKED SECURITIES (3.1%)* cont. | amount | Value | |
|
| |||
| Commercial mortgage-backed securities cont. | |||
|
| |||
| WF-RBS Commercial Mortgage Trust 144A | |||
|
| |||
| FRB Ser. 12-C9, Class XA, IO, 2.076%, 11/15/45 | $714,282 | $54,507 | |
|
| |||
| FRB Ser. 11-C5, Class XA, IO, 1.764%, 11/15/44 | 1,039,986 | 64,053 | |
|
| |||
| FRB Ser. 12-C10, Class XA, IO, 1.648%, 12/15/45 | 937,750 | 63,223 | |
|
| |||
| FRB Ser. 13-C12, Class XA, IO, 1.373%, 3/15/48 | 150,677 | 7,774 | |
|
| |||
| 3,588,824 | |||
|
| |||
| Residential mortgage-backed securities (non-agency) (0.8%) | |||
|
| |||
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, | |||
| 3.145%, 5/25/35 | 101,207 | 103,231 | |
|
| |||
| Countrywide Alternative Loan Trust | |||
|
| |||
| FRB Ser. 06-OA7, Class 1A2, 1.631%, 6/25/46 | 292,984 | 273,486 | |
|
| |||
| FRB Ser. 07-OH1, Class A1D, 1.234%, 4/25/47 | 38,342 | 32,184 | |
|
| |||
| Federal National Mortgage Association | |||
|
| |||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, | |||
| 6.924%, 10/25/28 | 260,800 | 304,573 | |
|
| |||
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | |||
| 6.724%, 4/25/28 | 100,000 | 114,183 | |
|
| |||
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, | |||
| 6.574%, 4/25/28 | 10,000 | 11,278 | |
|
| |||
| Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, | |||
| 5.274%, 4/25/29 | 10,000 | 11,052 | |
|
| |||
| GSAA Trust FRB Ser. 07-6, Class 1A1, 1.144%, 5/25/47 | 42,830 | 34,533 | |
|
| |||
| Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, | |||
| 2.976%, 2/25/35 | 32,358 | 32,662 | |
|
| |||
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, | |||
| 0.598%, 8/26/47 | 80,000 | 65,600 | |
|
| |||
| Structured Asset Securities Corp. Mortgage Loan Trust FRB | |||
| Ser. 06-AM1, Class A4, 1.184%, 4/25/36 | 71,800 | 70,567 | |
|
| |||
| WaMu Mortgage Pass-Through Certificates Trust | |||
|
| |||
| FRB Ser. 05-AR10, Class 1A3, 2.798%, 9/25/35 | 41,703 | 42,549 | |
|
| |||
| FRB Ser. 04-AR12, Class A2B, 1.484%, 10/25/44 | 285,658 | 269,571 | |
|
| |||
| 1,365,469 | |||
|
| |||
| Total mortgage-backed securities (cost $5,592,744) | $5,495,818 | ||
|
| |||
| FOREIGN GOVERNMENT AND AGENCY | Principal amount/ | ||
| BONDS AND NOTES (0.7%)* | units | Value | |
|
| |||
| Argentina (Republic of) sr. unsec. unsub. bonds 7.625%, | |||
| 4/22/46 (Argentina) | $150,000 | $159,450 | |
|
| |||
| Argentina (Republic of) sr. unsec. unsub. notes 6.875%, | |||
| 1/26/27 (Argentina) | 150,000 | 159,375 | |
|
| |||
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, | |||
| 3/16/24 (Argentina) | 150,000 | 170,680 | |
|
| |||
| Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, | |||
| 4/4/42 (Russia) | 600,000 | 675,750 | |
|
| |||
| Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) | TRY | 83,000 | 24,056 |
|
| |||
| Total foreign government and agency bonds and notes (cost $1,083,080) | $1,189,311 | ||
|
| |||
| 58 Dynamic Risk Allocation Fund | |
| INVESTMENT COMPANIES (0.6%)* | Shares | Value |
|
| ||
| iShares MSCI India ETF (India) | 34,450 | $1,121,348 |
|
| ||
| Total investment companies (cost $999,060) | $1,121,348 | |
| Expiration | |||
| date/strike | Contract | ||
| PURCHASED OPTIONS OUTSTANDING (0.3%)* | price | amount | Value |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | May-18/$210.00 | $29,847 | $159,608 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Apr-18/205.00 | 31,278 | 127,178 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Mar-18/205.00 | 29,994 | 106,697 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Feb-18/200.00 | 29,926 | 73,808 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Jan-18/195.00 | 32,352 | 55,896 |
|
| |||
| SPDR S&P 500 ETF Trust (Put) | Dec-17/195.00 | 32,059 | 43,288 |
|
| |||
| Total purchased options outstanding (cost $1,073,207) | $566,475 | ||
|
| |||
| Principal | ||
| SENIOR LOANS (0.3%)*c | amount | Value |
|
| ||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN | ||
| Ser. B6, 11.75%, 3/1/18 (In default) † | $140,187 | $164,866 |
|
| ||
| Caesars Growth Properties Holdings, LLC bank term loan FRN | ||
| Ser. L, 3.795%, 5/8/21 | 133,967 | 134,804 |
|
| ||
| CPG International, Inc. bank term loan FRN 4.897%, 5/3/24 | 9,827 | 9,839 |
|
| ||
| Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 | 73,733 | 67,620 |
|
| ||
| Neiman Marcus Group, Ltd., Inc. bank term loan FRN | ||
| 4.25%, 10/25/20 | 72,563 | 56,803 |
|
| ||
| Revlon Consumer Products Corp. bank term loan FRN Ser. B, | ||
| 4.544%, 9/7/23 | 64,675 | 61,684 |
|
| ||
| Total senior loans (cost $485,287) | $495,616 | |
|
| ||
| Expiration | Strike | |||
| WARRANTS (0.2%)* † | date | price | Warrants | Value |
|
| ||||
| China State Construction Engineering Corp., | ||||
| Ltd. 144A (China) | 1/22/18 | $0.00 | 77,700 | $107,534 |
|
| ||||
| Halcon Resources Corp. | 9/9/20 | 14.04 | 844 | 717 |
|
| ||||
| Shanghai Automotive Co. 144A (China) | 2/2/18 | 0.00 | 34,500 | 152,091 |
|
| ||||
| Zhengzhou Yutong Bus Co., Ltd. 144A (China) | 7/24/17 | 0.00 | 8,100 | 24,213 |
|
| ||||
| Total warrants (cost $259,554) | $284,555 | |||
|
| ||||
| Principal | ||
| ASSET-BACKED SECURITIES (—%)* | amount | Value |
|
| ||
| Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, | ||
| 1.924%, 2/25/49 | $81,000 | $81,000 |
|
| ||
| Total asset-backed securities (cost $81,000) | $81,000 | |
|
| ||
| CONVERTIBLE PREFERRED STOCKS (—%)* | Shares | Value |
|
| ||
| EPR Properties Ser. C, $1.438 cv. pfd. R | 1,550 | $43,957 |
|
| ||
| Triangle USA Petroleum Corp. 6.75% cv. pfd. F | 11 | 11,000 |
|
| ||
| Total convertible preferred stocks (cost $45,286) | $54,957 | |
|
| ||
| Dynamic Risk Allocation Fund 59 |
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (22.2%)* | shares | Value | |
|
| |||
| Putnam Cash Collateral Pool, LLC 1.12% d | Shares | 226,725 | $226,725 |
|
| |||
| Putnam Short Term Investment Fund 0.89% L | Shares | 30,538,557 | 30,538,557 |
|
| |||
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 0.72% P | Shares | 311,000 | 311,000 |
|
| |||
|
U.S. Treasury Bills 0.811%, 7/20/17 # Δ § |
$4,662,000 | 4,656,513 | |
|
| |||
|
U.S. Treasury Bills 0.783%, 7/13/17 Δ § |
368,000 | 367,645 | |
|
| |||
|
U.S. Treasury Bills 0.800%, 7/6/17 # Δ § |
3,066,000 | 3,063,780 | |
|
| |||
| Total short-term investments (cost $39,164,542) | $39,164,220 | ||
|
| |||
| TOTAL INVESTMENTS | |||
|
| |||
| Total investments (cost $188,344,622) | $198,680,015 | ||
|
| |||
| Key to holding’s currency abbreviations | |
| TRY | Turkish Lira |
| Key to holding’s abbreviations | |
| ADR | American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| bp | Basis Points |
| DAC | Designated Activity Company |
| ETF | Exchange Traded Fund |
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period |
| GMTN | Global Medium Term Notes |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the |
| market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is | |
| the current interest rate at the close of the reporting period. | |
| IO | Interest Only |
| MTN | Medium Term Notes |
| OJSC | Open Joint Stock Company |
| PJSC | Public Joint Stock Company |
| SPDR | S&P Depository Receipts |
| TBA | To Be Announced Commitments |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from June 1, 2016 through May 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures,references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $176,570,008.
††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value
relative to the change in the underlying index.
† This security is non-income-producing.
†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
| 60 Dynamic Risk Allocation Fund |
Δ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 6).
d Affiliated company. See Notes 1 and 5 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 by Putnam Management 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 (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 $121,823,377 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
| DIVERSIFICATION BY COUNTRY |
|
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any
(as a percentage of Portfolio Value):
| United States | 78.7% | Switzerland | 1.0% | |
|
|
| |||
| United Kingdom | 4.7 | Australia | 0.7 | |
|
|
| |||
| Japan | 2.2 | India | 0.6 | |
|
|
| |||
| France | 1.4 | Brazil | 0.6 | |
|
|
| |||
| China | 1.4 | Spain | 0.5 | |
|
|
| |||
| Canada | 1.2 | Russia | 0.5 | |
|
|
| |||
| South Korea | 1.1 | Other | 4.3 | |
|
|
| |||
| Germany | 1.1 | Total | 100.0% | |
|
|
||||
| Dynamic Risk Allocation Fund 61 |
| FORWARD CURRENCY CONTRACTS at 5/31/17 (aggregate face value $58,471,000) | ||||||
|
| ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Bank of America N.A. | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | $131,722 | $134,579 | $(2,857) | |
|
| ||||||
| Brazilian Real | Buy | 7/3/17 | 503,545 | 516,046 | (12,501) | |
|
| ||||||
| Brazilian Real | Sell | 7/3/17 | 505,326 | 500,575 | (4,751) | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 271,250 | 271,037 | 213 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 271,250 | 271,536 | 286 | |
|
| ||||||
| Chilean Peso | Buy | 7/19/17 | 511,227 | 518,960 | (7,733) | |
|
| ||||||
| Chilean Peso | Sell | 7/19/17 | 508,611 | 524,050 | 15,439 | |
|
| ||||||
| Euro | Buy | 6/21/17 | 903,961 | 860,970 | 42,991 | |
|
| ||||||
| Hong Kong Dollar | Sell | 8/16/17 | 430,346 | 431,083 | 737 | |
|
| ||||||
| Indian Rupee | Buy | 8/16/17 | 268,510 | 269,658 | (1,148) | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 29,090 | 28,720 | 370 | |
|
| ||||||
| Mexican Peso | Buy | 7/19/17 | 261,476 | 256,481 | 4,995 | |
|
| ||||||
| Mexican Peso | Sell | 7/19/17 | 261,694 | 253,690 | (8,004) | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 257,790 | 254,332 | (3,458) | |
|
| ||||||
| Norwegian Krone | Buy | 6/21/17 | 12,739 | 12,744 | (5) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 267,699 | 262,334 | (5,365) | |
|
| ||||||
| Singapore Dollar | Buy | 8/16/17 | 264,975 | 265,223 | (248) | |
|
| ||||||
| Singapore Dollar | Sell | 8/16/17 | 267,868 | 265,581 | (2,287) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 530,292 | 511,453 | 18,839 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 389,357 | 386,263 | (3,094) | |
|
| ||||||
| Barclays Bank PLC | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 378,980 | 388,489 | (9,509) | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 272,410 | 257,954 | 14,456 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 272,410 | 262,768 | (9,642) | |
|
| ||||||
| Canadian Dollar | Sell | 7/19/17 | 10,002 | 5,943 | (4,059) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 401,436 | 380,445 | 20,991 | |
|
| ||||||
| Japanese Yen | Sell | 8/16/17 | 266,245 | 262,901 | (3,344) | |
|
| ||||||
| New Zealand Dollar | Buy | 7/19/17 | 136,398 | 129,166 | 7,232 | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 268,486 | 258,872 | 9,614 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 268,486 | 266,960 | (1,526) | |
|
| ||||||
| Swiss Franc | Buy | 6/21/17 | 270,329 | 263,840 | 6,489 | |
|
| ||||||
| Citibank, N.A. | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 116,575 | 119,135 | (2,560) | |
|
| ||||||
| Australian Dollar | Sell | 7/19/17 | 392,939 | 392,509 | (430) | |
|
| ||||||
| Brazilian Real | Buy | 7/3/17 | 250,714 | 258,563 | (7,849) | |
|
| ||||||
| Brazilian Real | Sell | 7/3/17 | 257,405 | 244,740 | (12,665) | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 269,316 | 265,186 | 4,130 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 316,630 | 303,267 | (13,363) | |
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | 356,819 | 361,054 | (4,235) | |
|
| ||||||
| Danish Krone | Sell | 6/21/17 | 200,921 | 189,025 | (11,896) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 1,410,871 | 1,358,757 | 52,114 | |
|
| ||||||
| Euro | Sell | 6/21/17 | 515,681 | 496,590 | (19,091) | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 389,193 | 384,343 | 4,850 | |
|
| ||||||
| Japanese Yen | Sell | 8/16/17 | 267,424 | 263,878 | (3,546) | |
|
| ||||||
| 62 Dynamic Risk Allocation Fund | |
| FORWARD CURRENCY CONTRACTS at 5/31/17 (aggregate face value $58,471,000) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Citibank, N.A. cont. | ||||||
|
| ||||||
| New Taiwan Dollar | Sell | 8/16/17 | $265,011 | $264,217 | $(794) | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 305,639 | 301,310 | (4,329) | |
|
| ||||||
| Norwegian Krone | Buy | 6/21/17 | 259,483 | 259,592 | (109) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 259,483 | 261,046 | 1,563 | |
|
| ||||||
| South African Rand | Buy | 7/19/17 | 269,740 | 274,864 | (5,124) | |
|
| ||||||
| South African Rand | Sell | 7/19/17 | 252,552 | 246,247 | (6,305) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 947,235 | 916,400 | 30,835 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 809,260 | 793,306 | (15,954) | |
|
| ||||||
| Credit Suisse International | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 145,830 | 150,827 | (4,997) | |
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | 262,132 | 262,598 | (466) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 391,091 | 371,389 | 19,702 | |
|
| ||||||
| Japanese Yen | Sell | 8/16/17 | 267,578 | 262,954 | (4,624) | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 117,783 | 120,084 | 2,301 | |
|
| ||||||
| Norwegian Krone | Buy | 6/21/17 | 259,625 | 259,738 | (113) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 259,625 | 258,356 | (1,269) | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 264,720 | 271,607 | 6,887 | |
|
| ||||||
| Swedish Krona | Sell | 9/20/17 | 267,778 | 268,276 | 498 | |
|
| ||||||
| Goldman Sachs International | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 6,163 | 5,349 | 814 | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 269,316 | 269,078 | 238 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 269,316 | 270,346 | 1,030 | |
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | 2,741 | 2,920 | (179) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 130,438 | 122,177 | 8,261 | |
|
| ||||||
| Indian Rupee | Buy | 8/16/17 | 527,467 | 530,973 | (3,506) | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 3,164 | 3,124 | 40 | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 205,906 | 205,796 | (110) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 539,933 | 523,479 | (16,454) | |
|
| ||||||
| South African Rand | Buy | 7/19/17 | 20,817 | 22,019 | (1,202) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 944,724 | 917,236 | 27,488 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 944,724 | 933,011 | (11,713) | |
|
| ||||||
| Swiss Franc | Buy | 6/21/17 | 270,432 | 264,024 | 6,408 | |
|
| ||||||
| HSBC Bank USA, National Association | ||||||
|
| ||||||
| British Pound | Buy | 6/21/17 | 69,102 | 68,976 | 126 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 262,999 | 264,650 | 1,651 | |
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | 260,205 | 262,205 | (2,000) | |
|
| ||||||
| Canadian Dollar | Sell | 7/19/17 | 264,280 | 261,476 | (2,804) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 555,825 | 528,788 | 27,037 | |
|
| ||||||
| Euro | Sell | 6/21/17 | 141,458 | 133,570 | (7,888) | |
|
| ||||||
| New Zealand Dollar | Buy | 7/19/17 | 265,647 | 264,258 | 1,389 | |
|
| ||||||
| JPMorgan Chase Bank N.A. | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 477,288 | 490,522 | (13,234) | |
|
| ||||||
| Brazilian Real | Sell | 7/3/17 | 92 | 95 | 3 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 493,638 | 494,585 | 947 | |
|
| ||||||
| Dynamic Risk Allocation Fund 63 |
| FORWARD CURRENCY CONTRACTS at 5/31/17 (aggregate face value $58,471,000) cont. | ||||||
|
| ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| JPMorgan Chase Bank N.A. cont. | ||||||
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | $561,160 | $566,352 | $(5,192) | |
|
| ||||||
| Czech Koruna | Buy | 7/19/17 | 281,296 | 264,945 | 16,351 | |
|
| ||||||
| Czech Koruna | Sell | 7/19/17 | 281,296 | 261,134 | (20,162) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 7,657,521 | 7,270,076 | 387,445 | |
|
| ||||||
| Euro | Buy | 7/19/17 | 274,219 | 260,395 | 13,824 | |
|
| ||||||
| Euro | Sell | 7/19/17 | 274,219 | 262,799 | (11,420) | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 4,673,445 | 4,615,161 | 58,284 | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 646,528 | 639,222 | (7,306) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 9,140 | 7,041 | (2,099) | |
|
| ||||||
| Singapore Dollar | Sell | 8/16/17 | 73,351 | 72,756 | (595) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 461,218 | 445,874 | 15,344 | |
|
| ||||||
| Swiss Franc | Sell | 6/21/17 | 421,258 | 404,798 | (16,460) | |
|
| ||||||
| Royal Bank of Scotland PLC (The) | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 742,812 | 759,228 | (16,416) | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 272,281 | 257,865 | 14,416 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 272,281 | 271,763 | (518) | |
|
| ||||||
| Czech Koruna | Buy | 7/19/17 | 281,296 | 264,836 | 16,460 | |
|
| ||||||
| Czech Koruna | Sell | 7/19/17 | 281,296 | 261,394 | (19,902) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 403,122 | 388,482 | 14,640 | |
|
| ||||||
| Euro | Buy | 7/19/17 | 274,332 | 260,496 | 13,836 | |
|
| ||||||
| Euro | Sell | 7/19/17 | 274,332 | 262,357 | (11,975) | |
|
| ||||||
| Euro | Buy | 9/20/17 | 267,550 | 267,815 | (265) | |
|
| ||||||
| Japanese Yen | Sell | 8/16/17 | 266,696 | 263,361 | (3,335) | |
|
| ||||||
| New Zealand Dollar | Buy | 7/19/17 | 779 | 215 | 564 | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 533,516 | 526,020 | (7,496) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 806,495 | 789,759 | 16,736 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 806,495 | 796,067 | (10,428) | |
|
| ||||||
| Turkish Lira | Sell | 6/21/17 | 14,034 | 20,843 | 6,809 | |
|
| ||||||
| State Street Bank and Trust Co. | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 114,942 | 118,796 | (3,854) | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 107,778 | 96,135 | (11,643) | |
|
| ||||||
| Euro | Sell | 6/21/17 | 712,688 | 661,886 | (50,802) | |
|
| ||||||
| Israeli Shekel | Buy | 7/19/17 | 7,412 | 7,232 | 180 | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 238,252 | 235,258 | 2,994 | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 122,100 | 119,166 | (2,934) | |
|
| ||||||
| Norwegian Krone | Buy | 6/21/17 | 267,036 | 260,348 | 6,688 | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 267,036 | 267,125 | 89 | |
|
| ||||||
| Singapore Dollar | Sell | 8/16/17 | 267,724 | 265,488 | (2,236) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 289,852 | 280,525 | 9,327 | |
|
| ||||||
| UBS AG | ||||||
|
| ||||||
| Australian Dollar | Buy | 7/19/17 | 260,400 | 265,010 | (4,610) | |
|
| ||||||
| Australian Dollar | Sell | 7/19/17 | 917,229 | 922,430 | 5,201 | |
|
| ||||||
| British Pound | Buy | 6/21/17 | 264,030 | 263,546 | 484 | |
|
| ||||||
| British Pound | Sell | 6/21/17 | 264,030 | 262,020 | (2,010) | |
|
| ||||||
| 64 Dynamic Risk Allocation Fund | |
| FORWARD CURRENCY CONTRACTS at 5/31/17 (aggregate face value $58,471,000) cont. | ||||||
|
| ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| UBS AG cont. | ||||||
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | $265,762 | $264,907 | $855 | |
|
| ||||||
| Canadian Dollar | Sell | 7/19/17 | 265,021 | 263,471 | (1,550) | |
|
| ||||||
| Euro | Buy | 6/21/17 | 1,243,775 | 1,179,754 | 64,021 | |
|
| ||||||
| Euro | Sell | 6/21/17 | 1,051,941 | 1,008,968 | (42,973) | |
|
| ||||||
| Japanese Yen | Buy | 8/16/17 | 259,986 | 256,781 | 3,205 | |
|
| ||||||
| Japanese Yen | Sell | 8/16/17 | 266,084 | 266,480 | 396 | |
|
| ||||||
| New Zealand Dollar | Buy | 7/19/17 | 534,479 | 526,032 | 8,447 | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 402,116 | 396,542 | (5,574) | |
|
| ||||||
| Norwegian Krone | Sell | 6/21/17 | 533,942 | 525,171 | (8,771) | |
|
| ||||||
| Swedish Krona | Buy | 6/21/17 | 810,031 | 789,678 | 20,353 | |
|
| ||||||
| Swedish Krona | Sell | 6/21/17 | 810,031 | 795,921 | (14,110) | |
|
| ||||||
| Turkish Lira | Buy | 6/21/17 | 271,076 | 257,344 | 13,732 | |
|
| ||||||
| Turkish Lira | Sell | 6/21/17 | 265,101 | 261,694 | (3,407) | |
|
| ||||||
| WestPac Banking Corp. | ||||||
|
| ||||||
| Australian Dollar | Sell | 7/19/17 | 117,392 | 116,852 | (540) | |
|
| ||||||
| Canadian Dollar | Buy | 7/19/17 | 265,688 | 263,752 | 1,936 | |
|
| ||||||
| Euro | Buy | 6/21/17 | 261,326 | 265,127 | (3,801) | |
|
| ||||||
| New Zealand Dollar | Sell | 7/19/17 | 258,923 | 255,339 | (3,584) | |
|
| ||||||
| Total | $499,273 | |||||
|
| ||||||
| FUTURES CONTRACTS OUTSTANDING at 5/31/17 | |||||
|
| |||||
| Unrealized | |||||
| Number of | Expiration | appreciation/ | |||
| contracts | Value | date | (depreciation) | ||
|
| |||||
| Euro-Bobl 5 yr (Long) | 38 | $5,642,831 | Jun-17 | $14,407 | |
|
| |||||
| Euro-Bund 10 yr (Long) | 38 | 6,928,999 | Jun-17 | 61,363 | |
|
| |||||
| Euro-Buxl 30 yr (Long) | 18 | 3,403,075 | Jun-17 | 34,728 | |
|
| |||||
| Euro-Schatz 2 yr (Long) | 25 | 3,152,961 | Jun-17 | (913) | |
|
| |||||
| Japanese Government Bond | |||||
| 10 yr (Long) | 16 | 21,767,223 | Jun-17 | 96,640 | |
|
| |||||
| Russell 2000 Index Mini (Long) | 92 | 6,297,860 | Jun-17 | 10,065 | |
|
| |||||
| Russell 2000 Index Mini (Short) | 56 | 3,833,480 | Jun-17 | (6,325) | |
|
| |||||
| S&P 500 Index E-Mini (Short) | 71 | 8,559,405 | Jun-17 | (125,048) | |
|
| |||||
| Tokyo Price Index (Long) | 22 | 3,118,736 | Jun-17 | 58,412 | |
|
| |||||
| U.K. Gilt 10 yr (Long) | 33 | 5,439,864 | Sep-17 | (11,123) | |
|
| |||||
| U.S. Treasury Bond 30 yr (Long) | 8 | 1,230,500 | Sep-17 | 9,859 | |
|
| |||||
| U.S. Treasury Bond Ultra 30 yr (Long) | 12 | 1,981,500 | Sep-17 | 22,476 | |
|
| |||||
| U.S. Treasury Note 2 yr (Long) | 26 | 5,628,594 | Sep-17 | 1,167 | |
|
| |||||
| U.S. Treasury Note 5 yr (Long) | 53 | 6,270,563 | Sep-17 | 10,246 | |
|
| |||||
| U.S. Treasury Note 10 yr (Long) | 53 | 6,693,734 | Sep-17 | 21,840 | |
|
| |||||
| U.S. Treasury Note 10 yr (Short) | 132 | 16,671,188 | Sep-17 | (56,716) | |
|
| |||||
| Total | $141,078 | ||||
|
| |||||
| Dynamic Risk Allocation Fund 65 |
| WRITTEN OPTIONS OUTSTANDING at 5/31/17 (premiums $3,731) | |||
|
| |||
| Expiration | Contract | ||
| date/strike price | amount | Value | |
|
| |||
| SPDR S&P 500 ETF Trust (Call) | Jun-17/$245.00 | $37,309 | $7,032 |
|
| |||
| Total | $7,032 | ||
|
| |||
| TBA SALE COMMITMENTS OUTSTANDING at 5/31/17 (proceeds receivable $5,034,414) | ||||
|
| ||||
| Principal | Settlement | |||
| Agency | amount | date | Value | |
|
| ||||
| Federal National Mortgage Association, 3.50%, 6/1/47 | $1,000,000 | 6/13/17 | $1,032,813 | |
|
| ||||
| Federal National Mortgage Association, 3.00%, 6/1/47 | 4,000,000 | 6/13/17 | 4,021,562 | |
|
| ||||
| Total | $5,054,375 | |||
|
| ||||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 5/31/17 | ||||||
|
| ||||||
| Upfront | Payments | Payments | Unrealized | |||
| premium | Termination | made by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |
|
| ||||||
| $3,502,200 E | $(708) | 6/21/19 | 3 month USD- | 1.75% | $14,421 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 8,136,200 E | (188) | 6/21/19 | 1.75% | 3 month USD- | (35,336) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 7,570,900 E | (24,184) | 6/21/22 | 3 month USD- | 2.20% | 108,814 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 2,691,200 E | 1,867 | 6/21/22 | 2.20% | 3 month USD- | (45,410) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 45,661,000 E | (71,209) | 6/21/27 | 3 month USD- | 2.50% | 1,405,148 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 11,807,700 E | 8,104 | 6/21/27 | 2.50% | 3 month USD- | (373,675) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 1,291,500 E | 9,191 | 6/21/47 | 3 month USD- | 2.70% | 89,693 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 922,000 E | 9,568 | 6/21/47 | 2.70% | 3 month USD- | (47,902) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 129,500 | (2) | 4/21/27 | 2.16803% | 3 month USD- | (567) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 69,000 | (1) | 4/24/27 | 2.20876% | 3 month USD- | (552) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 233,000 | (3) | 4/28/27 | 2.3095% | 3 month USD- | (3,958) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 51,000 | (1) | 5/2/27 | 3 month USD- | 2.2855% | 747 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 32,000 | — | 5/3/27 | 2.2765% | 3 month USD- | (442) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 144,700 | (2) | 5/9/27 | 2.31% | 3 month USD- | (2,409) | |
| LIBOR-BBA | ||||||
|
| ||||||
| 79,000 | (1) | 5/19/27 | 3 month USD- | 2.1365% | 29 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 79,000 | (1) | 5/19/27 | 3 month USD- | 2.13618% | 27 | |
| LIBOR-BBA | ||||||
|
| ||||||
| 638,000 | (8) | 5/30/27 | 2.213% | 3 month USD- | (4,445) | |
| LIBOR-BBA | ||||||
|
| ||||||
| Total | $(67,578) | $1,104,183 | ||||
E Extended effective date.
| 66 Dynamic Risk Allocation Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/17 | |||||||
|
| |||||||
| Upfront | Payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Bank of America N.A. | |||||||
|
| |||||||
| $3,800,000 | $— | 9/21/21 | (2.305%) | USA Non Revised | $(285,038) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 4,000,000 | — | 6/10/24 | (2.50%) | USA Non Revised | (334,240) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 2,100,000 | — | 5/6/26 | (1.88%) | USA Non Revised | 44,831 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 2,000,000 | — | 7/8/26 | (1.76) | USA Non Revised | 65,520 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| baskets | 160,159 | — | 3/7/18 | (3 month USD- | A basket (MLFCF11) of | 455,222 | |
| LIBOR-BBA plus | common stocks | ||||||
| 0.10%) | |||||||
|
| |||||||
| units | 3,884 | — | 8/2/17 | 3 month USD- | Russell 1000 Total | (256,291) | |
| LIBOR-BBA | Return Index | ||||||
| minus 0.07% | |||||||
|
| |||||||
| Barclays Bank PLC | |||||||
|
| |||||||
| $1,837,313 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (13,566) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 62,416 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | (516) | ||
| USD-LIBOR) | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 4,800,000 | — | 12/5/26 | (2.308%) | USA Non Revised | (104,640) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 3,600,000 | — | 5/5/27 | (2.17%) | USA Non Revised | (35,597) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| Citibank, N.A. | |||||||
|
| |||||||
| 1,300,000 | — | 8/7/22 | 2.515% | USA Non Revised | 125,047 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 1,500,000 | — | 4/7/26 | (1.858%) | USA Non Revised | 31,590 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| baskets | 50 | — | 12/1/17 | (3 month USD- | A basket (CGPUTQL2) | 80,856 | |
| LIBOR-BBA plus | of common stocks | ||||||
| 0.37%) | |||||||
|
| |||||||
| units | 992 | — | 11/27/17 | 3 month USD- | Russell 1000 Total | (40,873) | |
| LIBOR-BBA plus | Return Index | ||||||
| 0.09% | |||||||
| Dynamic Risk Allocation Fund 67 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/17 cont. | |||||||
|
| |||||||
| Upfront | Payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Credit Suisse International | |||||||
|
| |||||||
| $2,600,000 | $— | 1/9/23 | (2.76%) | USA Non Revised | $(320,910) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 3,400,000 | — | 8/7/22 | (2.515%) | USA Non Revised | (325,805) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 1,600,000 | — | 8/8/22 | (2.5325%) | USA Non Revised | (156,333) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 700,000 | — | 9/10/22 | (2.5925%) | USA Non Revised | (70,641) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 3,300,000 | — | 2/8/23 | (2.81%) | USA Non Revised | (414,176) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 6,900,000 | — | 7/19/23 | (2.57%) | USA Non Revised | (641,797) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 165,798 | — | 1/12/45 | 3.50% (1 month | Synthetic TRS Index | (1,526) | ||
| USD-LIBOR) | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Goldman Sachs International | |||||||
|
| |||||||
| 7,000,000 | — | 11/3/26 | (2.0413%) | USA Non Revised | 41,020 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| JPMorgan Chase Bank N.A. | |||||||
|
| |||||||
| 10,900,000 | — | 8/7/22 | (2.515%) | USA Non Revised | (1,048,470) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 1,400,000 | — | 8/7/25 | (1.92%) | USA Non Revised | 2,646 | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| JPMorgan Securities LLC | |||||||
|
| |||||||
| 1,837,313 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 13,565 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Total | $— | $(3,190,122) | |||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/17 | |||||||
|
| |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt * | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| Barclays Bank PLC | |||||||
| EM Series 27 Index | BBB–/P | $644,100 | $11,300,000 | 6/20/22 | 100 bp | $168,307 | |
|
| |||||||
| Credit Suisse International | |||||||
|
| |||||||
| CMBX NA A Index | A/P | 2,157 | 41,000 | 5/11/63 | 200 bp | 828 | |
|
| |||||||
| CMBX NA A Index | A/P | 943 | 24,000 | 1/17/47 | 200 bp | 455 | |
|
| |||||||
| CMBX NA A Index | A/P | 1,040 | 25,000 | 1/17/47 | 200 bp | 532 | |
|
| |||||||
| 68 Dynamic Risk Allocation Fund |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/17 cont. | |||||||
|
| |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt * | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| Credit Suisse International cont. | |||||||
|
| |||||||
| CMBX NA A Index | A/P | $1,288 | $35,000 | 1/17/47 | 200 bp | $577 | |
|
| |||||||
| CMBX NA BB Index | — | (3,530) | 200,000 | 5/11/63 | (500 bp) | 34,015 | |
|
| |||||||
| CMBX NA BB Index | — | (5,880) | 31,000 | 1/17/47 | (500 bp) | (916) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,090 | 18,000 | 5/11/63 | 300 bp | 111 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,279 | 18,000 | 5/11/63 | 300 bp | 301 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 48,114 | 450,000 | 5/11/63 | 300 bp | (1,348) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,167 | 33,000 | 1/17/47 | 300 bp | (374) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 8,616 | 109,000 | 1/17/47 | 300 bp | 221 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 11,605 | 157,000 | 1/17/47 | 300 bp | (487) | |
|
| |||||||
| Goldman Sachs International | |||||||
|
| |||||||
| CMBX NA BB Index | — | (4,603) | 45,000 | 5/11/63 | (500 bp) | 3,844 | |
|
| |||||||
| CMBX NA BB Index | — | (303) | 2,000 | 1/17/47 | (500 bp) | 18 | |
|
| |||||||
| CMBX NA A Index | A/P | 781 | 15,000 | 5/11/63 | 200 bp | 294 | |
|
| |||||||
| CMBX NA A Index | A/P | 759 | 15,000 | 5/11/63 | 200 bp | 273 | |
|
| |||||||
| CMBX NA A Index | A/P | 759 | 15,000 | 5/11/63 | 200 bp | 273 | |
|
| |||||||
| CMBX NA A Index | A/P | 3,736 | 62,000 | 5/11/63 | 200 bp | 1,727 | |
|
| |||||||
| CMBX NA A Index | A/P | 3,918 | 77,000 | 5/11/63 | 200 bp | 1,423 | |
|
| |||||||
| CMBX NA BB Index | — | (6,904) | 34,000 | 1/17/47 | (500 bp) | (1,459) | |
|
| |||||||
| CMBX NA BB Index | — | (2,130) | 13,000 | 1/17/47 | (500 bp) | (48) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 317 | 4,000 | 5/11/63 | 300 bp | (123) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,056 | 9,000 | 5/11/63 | 300 bp | 67 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 613 | 9,000 | 5/11/63 | 300 bp | (376) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 469 | 9,000 | 5/11/63 | 300 bp | (520) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,303 | 12,000 | 5/11/63 | 300 bp | (16) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,298 | 12,000 | 5/11/63 | 300 bp | (21) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,266 | 15,000 | 5/11/63 | 300 bp | (383) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,382 | 16,000 | 5/11/63 | 300 bp | (377) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,941 | 23,000 | 5/11/63 | 300 bp | (587) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 4,261 | 35,000 | 5/11/63 | 300 bp | 414 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 8,253 | $88,000 | 5/11/63 | 300 bp | (1,419) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 8,194 | 109,000 | 5/11/63 | 300 bp | (3,787) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 222 | 3,000 | 1/17/47 | 300 bp | (9) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 315 | 4,000 | 1/17/47 | 300 bp | 7 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 684 | 8,000 | 1/17/47 | 300 bp | 68 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 732 | 9,000 | 1/17/47 | 300 bp | 39 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,874 | 22,000 | 1/17/47 | 300 bp | 180 | |
|
| |||||||
| JPMorgan Securities LLC | |||||||
|
| |||||||
| CMBX NA A Index | A/P | 3,354 | 57,000 | 5/11/63 | 200 bp | 1,507 | |
|
| |||||||
| CMBX NA A Index | A/P | 14,343 | 238,000 | 5/11/63 | 200 bp | 6,629 | |
|
| |||||||
| CMBX NA A Index | — | (1,159) | 55,000 | 1/17/47 | (200 bp) | (39) | |
|
| |||||||
| CMBX NA BB Index | — | (1,595) | 12,000 | 5/11/63 | (500 bp) | 657 | |
|
| |||||||
| CMBX NA BB Index | — | (719) | 5,000 | 5/11/63 | (500 bp) | 220 | |
|
| |||||||
| CMBX NA BB Index | — | (281) | 2,000 | 5/11/63 | (500 bp) | 94 | |
|
| |||||||
| CMBX NA BB Index | — | (8,388) | 49,000 | 1/17/47 | (500 bp) | (542) | |
|
| |||||||
| Dynamic Risk Allocation Fund 69 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/17 cont. | |||||||
|
| |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt * | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| JPMorgan Securities LLC cont. | |||||||
|
| |||||||
| CMBX NA BB Index | — | $(1,786) | $11,000 | 1/17/47 | (500 bp) | $(25) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 438 | 3,000 | 5/11/63 | 300 bp | 108 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 276 | 4,000 | 5/11/63 | 300 bp | (163) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 247 | 4,000 | 5/11/63 | 300 bp | (193) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 794 | 7,000 | 5/11/63 | 300 bp | 25 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 796 | 7,000 | 5/11/63 | 300 bp | 27 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 448 | 7,000 | 5/11/63 | 300 bp | (321) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 373 | 7,000 | 5/11/63 | 300 bp | (396) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 357 | 7,000 | 5/11/63 | 300 bp | (413) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,125 | 9,000 | 5/11/63 | 300 bp | 136 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,064 | 13,000 | 5/11/63 | 300 bp | (365) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,008 | 18,000 | 5/11/63 | 300 bp | 29 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 795 | 18,000 | 5/11/63 | 300 bp | (1,183) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 1,706 | 20,000 | 5/11/63 | 300 bp | (493) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 4,001 | 36,000 | 5/11/63 | 300 bp | 44 | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 4,812 | 45,000 | 5/11/63 | 300 bp | (134) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,600 | 47,000 | 5/11/63 | 300 bp | (2,566) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 2,864 | 54,000 | 5/11/63 | 300 bp | (3,072) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 4,862 | 62,000 | 5/11/63 | 300 bp | (1,953) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 29,536 | 350,000 | 5/11/63 | 300 bp | (8,935) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 221 | 4,000 | 1/17/47 | 300 bp | (87) | |
|
| |||||||
| CMBX NA BBB– Index | BBB–/P | 338 | 13,000 | 1/17/47 | 300 bp | (664) | |
|
| |||||||
| Total | $808,612 | $189,656 | |||||
|
| |||||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index.
The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at May 31, 2017. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| 70 Dynamic Risk Allocation Fund | |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/17 | ||||||||
|
| ||||||||
| Upfront | Payments | |||||||
| premium | Termi- | received | Unrealized | |||||
| received | Notional | nation | (paid) by fund | appreciation/ | ||||
| Referenced debt * | Rating*** | (paid)** | amount | date | per annum | (depreciation) | ||
|
| ||||||||
| NA HY Series 28 | B+/P | $(952,603) | $13,814,000 | 6/20/22 | 500 bp | $206,265 | ||
| Index | ||||||||
|
| ||||||||
| NA HY Series 28 | B+/P | 45,609 | 618,000 | 6/20/22 | 500 bp | (5,664) | ||
| Index | ||||||||
|
| ||||||||
| NA IG Series 28 | BBB+/P | (67,752) | 4,250,000 | 6/20/22 | 100 bp | 17,791 | ||
| Index | ||||||||
|
| ||||||||
| Total | $(974,746) | $218,392 | ||||||
|
| ||||||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at May 31, 2017. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| Dynamic Risk Allocation Fund 71 |
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 | $3,459,091 | $— | $— |
|
| |||
| Capital goods | 4,727,669 | — | — |
|
| |||
| Communication services | 3,010,769 | — | — |
|
| |||
| Conglomerates | 783,402 | — | — |
|
| |||
| Consumer cyclicals | 10,167,191 | — | — |
|
| |||
| Consumer staples | 7,217,740 | — | — |
|
| |||
| Energy | 3,200,638 | 6,560 | — |
|
| |||
| Financials | 20,409,223 | — | — |
|
| |||
| Health care | 8,084,652 | — | — |
|
| |||
| Technology | 11,196,565 | — | — |
|
| |||
| Transportation | 1,857,854 | — | — |
|
| |||
| Utilities and power | 3,176,416 | — | — |
|
| |||
| Total common stocks | 77,291,210 | 6,560 | — |
| Asset-backed securities | — | 81,000 | — |
|
| |||
| Commodity linked notes | — | 7,907,521 | — |
|
| |||
| Convertible preferred stocks | — | 54,957 | — |
|
| |||
| Corporate bonds and notes | — | 45,323,490 | 112,505 |
|
| |||
| Foreign government and agency bonds and notes | — | 1,189,311 | — |
|
| |||
| Investment companies | 1,121,348 | — | — |
|
| |||
| Mortgage-backed securities | — | 5,495,818 | — |
|
| |||
| Purchased options outstanding | — | 566,475 | — |
|
| |||
| Senior loans | — | 495,616 | — |
|
| |||
| U.S. government and agency mortgage obligations | — | 19,585,429 | — |
|
| |||
| Warrants | 717 | 283,838 | — |
|
| |||
| Short-term investments | 30,849,557 | 8,314,663 | — |
|
| |||
| Totals by level | $109,262,832 | $89,304,678 | $112,505 |
| 72 Dynamic Risk Allocation Fund | |
| Valuation inputs | |||
|
| |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
|
| |||
| Forward currency contracts | $— | $499,273 | $— |
|
| |||
| Futures contracts | 141,078 | — | — |
|
| |||
| Written options outstanding | — | (7,032) | — |
|
| |||
| TBA sale commitments | — | (5,054,375) | — |
|
| |||
| Interest rate swap contracts | — | 1,171,761 | — |
|
| |||
| Total return swap contracts | — | (3,190,122) | — |
|
| |||
| Credit default contracts | — | 574,182 | — |
|
| |||
| Totals by level | $141,078 | $(6,006,313) | $— |
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. Transfers are accounted for using the end of period pricing valuation method.
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.
| Dynamic Risk Allocation Fund 73 |
Statement of assets and liabilities 5/31/17
| ASSETS | |
|
| |
| Investment in securities, at value, including $219,834 of securities on loan (Note 1): | |
| Unaffiliated issuers (identified cost $157,579,340) | $167,914,733 |
| Affiliated issuers (identified cost $30,765,282) (Notes 1 and 5) | 30,765,282 |
|
| |
| Cash | 15,486 |
|
| |
| Foreign currency (cost $233,918) (Note 1) | 237,623 |
|
| |
| Dividends, interest and other receivables | 1,046,818 |
|
| |
| Foreign tax reclaim | 55,392 |
|
| |
| Receivable for shares of the fund sold | 436,741 |
|
| |
| Receivable for investments sold | 357,636 |
|
| |
| Receivable for sales of delayed delivery securities (Note 1) | 2,052,284 |
|
| |
| Receivable for variation margin (Note 1) | 101,137 |
|
| |
| Unrealized appreciation on forward currency contracts (Note 1) | 1,053,581 |
|
| |
| Unrealized appreciation on OTC swap contracts (Note 1) | 1,083,747 |
|
| |
| Premium paid on OTC swap contracts (Note 1) | 37,278 |
|
| |
| Prepaid assets | 31,471 |
|
| |
| Total assets | 205,189,209 |
|
| |
| LIABILITIES | |
|
| |
| Payable for investments purchased | 556,445 |
|
| |
| Payable for purchases of delayed delivery securities (Note 1) | 16,501,329 |
|
| |
| Payable for shares of the fund repurchased | 180,074 |
|
| |
| Payable for compensation of Manager (Note 2) | 17,782 |
|
| |
| Payable for custodian fees (Note 2) | 48,523 |
|
| |
| Payable for investor servicing fees (Note 2) | 46,300 |
|
| |
| Payable for Trustee compensation and expenses (Note 2) | 20,197 |
|
| |
| Payable for administrative services (Note 2) | 650 |
|
| |
| Payable for distribution fees (Note 2) | 16,738 |
|
| |
| Payable for variation margin (Note 1) | 58,710 |
|
| |
| Unrealized depreciation on OTC swap contracts (Note 1) | 4,084,213 |
|
| |
| Premium received on OTC swap contracts (Note 1) | 845,890 |
|
| |
| Unrealized depreciation on forward currency contracts (Note 1) | 554,308 |
|
| |
| Written options outstanding, at value (premiums $3,731) (Notes 1 and 3) | 7,032 |
|
| |
| TBA sale commitments, at value (proceeds receivable $5,034,414) (Note 1) | 5,054,375 |
|
| |
| Collateral on securities loaned, at value (Note 1) | 226,725 |
|
| |
| Collateral on certain derivative contracts, at value (Note 1) | 311,000 |
|
| |
| Other accrued expenses | 88,910 |
|
| |
| Total liabilities | 28,619,201 |
| Net assets | $176,570,008 |
|
| |
(Continued on next page)
The accompanying notes are an integral part of these financial statements.
| 74 Dynamic Risk Allocation Fund | |
Statement of assets and liabilities cont.
| REPRESENTED BY | |
|
| |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $173,208,004 |
|
| |
| Undistributed net investment income (Note 1) | 2,611,074 |
|
| |
| Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (8,527,118) |
|
| |
| Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 9,278,048 |
|
| |
| Total — Representing net assets applicable to capital shares outstanding | $176,570,008 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
|
| |
| Net asset value and redemption price per class A share ($18,581,901 divided by 1,695,188 shares) | $10.96 |
|
| |
| Offering price per class A share (100/94.25 of $10.96)* | $11.63 |
|
| |
| Net asset value and offering price per class B share ($2,668,802 divided by 247,979 shares)** | $10.76 |
|
| |
| Net asset value and offering price per class C share ($7,356,206 divided by 682,447 shares)** | $10.78 |
|
| |
| Net asset value and redemption price per class M share ($289,156 divided by 26,424 shares) | $10.94 |
|
| |
| Offering price per class M share (100/96.50 of $10.94)* | $11.34 |
|
| |
| Net asset value, offering price and redemption price per class R share | |
| ($109,525 divided by 10,020 shares) | $10.93 |
|
| |
| Net asset value, offering price and redemption price per class R6 share | |
| ($102,097,458 divided by 9,333,192 shares) | $10.94 |
|
| |
| Net asset value, offering price and redemption price per class Y share | |
| ($45,466,960 divided by 4,138,619 shares) | $10.99 |
* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
| Dynamic Risk Allocation Fund 75 |
Statement of operations Year ended 5/31/17
| INVESTMENT INCOME | |
|
| |
| Interest (including interest income of $195,099 from investments in affiliated issuers) (Note 5) | $2,904,867 |
|
| |
| Dividends (net of foreign taxes paid and refunded of $62,460) | 1,965,053 |
|
| |
| Securities lending (net of expenses) (Notes 1 and 5) | 5,377 |
|
| |
| Total investment income | 4,875,297 |
| EXPENSES | |
|
| |
| Compensation of Manager (Note 2) | 1,271,883 |
|
| |
| Investor servicing fees (Note 2) | 190,167 |
|
| |
| Custodian fees (Note 2) | 94,751 |
|
| |
| Trustee compensation and expenses (Note 2) | 10,601 |
|
| |
| Distribution fees (Note 2) | 165,664 |
|
| |
| Administrative services (Note 2) | 5,090 |
|
| |
| Other | 241,083 |
|
| |
| Fees waived and reimbursed by Manager (Note 2) | (394,460) |
|
| |
| Total expenses | 1,584,779 |
| Expense reduction (Note 2) | (433) |
|
| |
| Net expenses | 1,584,346 |
| Net investment income | 3,290,951 |
|
| |
| Net realized gain on investments (Notes 1 and 3) | 6,416,010 |
|
| |
| Net increase from payments by affiliates (Note 2) | 1,227 |
|
| |
| Net realized loss on swap contracts (Note 1) | (2,335,601) |
|
| |
| Net realized gain on futures contracts (Note 1) | 1,989,974 |
|
| |
| Net realized loss on foreign currency transactions (Note 1) | (306,419) |
|
| |
| Net realized loss on written options (Notes 1 and 3) | (231,676) |
|
| |
| Net unrealized appreciation of assets and liabilities in foreign currencies during the year | 718,051 |
|
| |
| Net unrealized appreciation of investments, futures contracts, swap contracts, written options, | |
| and TBA sale commitments during the year | 6,267,633 |
|
| |
| Net gain on investments | 12,519,199 |
| Net increase in net assets resulting from operations | $15,810,150 |
|
| |
The accompanying notes are an integral part of these financial statements.
| 76 Dynamic Risk Allocation Fund | |
Statement of changes in net assets
| DECREASE IN NET ASSETS | Year ended 5/31/17 | Year ended 5/31/16 |
|
| ||
| Operations | ||
|
| ||
| Net investment income | $3,290,951 | $3,206,666 |
|
| ||
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | 5,533,515 | (12,490,899) |
|
| ||
| Net unrealized appreciation (depreciation) of investments | ||
| and assets and liabilities in foreign currencies | 6,985,684 | (2,173,716) |
|
| ||
| Net increase (decrease) in net assets resulting | ||
| from operations | 15,810,150 | (11,457,949) |
|
| ||
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
|
| ||
| Class A | (454,645) | (74,916) |
|
| ||
| Class B | (40,778) | — |
|
| ||
| Class C | (121,685) | — |
|
| ||
| Class M | (5,263) | — |
|
| ||
| Class R | (1,236) | — |
|
| ||
| Class R5 | — | (74) |
|
| ||
| Class R6 | (2,656,399) | (795,984) |
|
| ||
| Class Y | (1,214,828) | (179,166) |
|
| ||
| From net realized long-term gain on investments | ||
| Class A | — | (465,387) |
|
| ||
| Class B | — | (66,529) |
|
| ||
| Class C | — | (240,843) |
|
| ||
| Class M | — | (4,874) |
|
| ||
| Class R | — | (2,787) |
|
| ||
| Class R5 | — | (215) |
|
| ||
| Class R6 | — | (1,919,727) |
|
| ||
| Class Y | — | (1,049,399) |
|
| ||
| Decrease from capital share transactions (Note 4) | (11,669,627) | (19,667,807) |
|
| ||
| Total decrease in net assets | (354,311) | (35,925,657) |
|
| ||
| NET ASSETS | ||
|
| ||
| Beginning of year | 176,924,319 | 212,849,976 |
|
| ||
| End of year (including undistributed net investment | ||
| income of $2,611,074 and $3,525,943, respectively) | $176,570,008 | $176,924,319 |
The accompanying notes are an integral part of these financial statements.
| Dynamic Risk Allocation Fund 77 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
|
| |||||||||||||
| Ratio | Ratio of net | ||||||||||||
| Net asset | Net realized | of expenses | investment | ||||||||||
| value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
| beginning | Net investment | gain (loss) | investment | From net | realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss) a | on investments | operations | investment income | on investments | distributions | of period | value (%) b | (in thousands) | (%) c,d | net assets (%) d | (%) |
|
| |||||||||||||
| Class A | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.28 | .17 | .76 | .93 | (.25) | — | (.25) | $10.96 | 9.18 | $18,582 | 1.13 | 1.64 | 299e |
|
| |||||||||||||
| May 31, 2016 | 11.10 | .15 | (.73) | (.58) | (.03) | (.21) | (.24) | 10.28 | (5.14) | 20,236 | 1.25 | 1.49 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.58 | .10 | (.05) | .05 | (.27) | (.26) | (.53) | 11.10 | .53 | 28,223 | 1.41 | .91 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.63 | .04 | .98 | 1.02 | (.07) | — | (.07) | 11.58 | 9.59 | 33,884 | 1.40 | .33 | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.24 | .01 | .81 | .82 | (.20) | (.23) | (.43) | 10.63 | 7.97 | 68,440 | 1.40 | .06 | 130f,g |
|
| |||||||||||||
| Class B | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.08 | .09 | .75 | .84 | (.16) | — | (.16) | $10.76 | 8.41 | $2,669 | 1.88 | .89 | 299e |
|
| |||||||||||||
| May 31, 2016 | 10.94 | .08 | (.73) | (.65) | — | (.21) | (.21) | 10.08 | (5.91) | 3,207 | 2.00 | .75 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.44 | .02 | (.06) | (.04) | (.20) | (.26) | (.46) | 10.94 | (.26) | 3,829 | 2.16 | .17 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.53 | (.03) | .95 | .92 | (.01) | — | (.01) | 11.44 | 8.78 | 3,705 | 2.15 | (.32) | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.20 | (.07) | .81 | .74 | (.18) | (.23) | (.41) | 10.53 | 7.22 | 2,852 | 2.15 | (.61) | 130f,g |
|
| |||||||||||||
| Class C | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.09 | .09 | .75 | .84 | (.15) | — | (.15) | $10.78 | 8.42 | $7,356 | 1.88 | .88 | 299e |
|
| |||||||||||||
| May 31, 2016 | 10.95 | .08 | (.73) | (.65) | — | (.21) | (.21) | 10.09 | (5.90) | 9,659 | 2.00 | .74 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.44 | .02 | (.06) | (.04) | (.19) | (.26) | (.45) | 10.95 | (.27) | 15,125 | 2.16 | .16 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.51 | (.04) | .97 | .93 | — | — | — | 11.44 | 8.85 | 16,325 | 2.15 | (.38) | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.19 | (.06) | .80 | .74 | (.19) | (.23) | (.42) | 10.51 | 7.18 | 21,015 | 2.15 | (.57) | 130f,g |
|
| |||||||||||||
| Class M | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.27 | .12 | .75 | .87 | (.20) | — | (.20) | $10.94 | 8.63 | $289 | 1.63 | 1.15 | 299e |
|
| |||||||||||||
| May 31, 2016 | 11.11 | .11 | (.74) | (.63) | — | (.21) | (.21) | 10.27 | (5.63) | 250 | 1.75 | 1.02 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.60 | .05 | (.06) | (.01) | (.22) | (.26) | (.48) | 11.11 | .01 | 336 | 1.91 | .42 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.66 | (.01) | .97 | .96 | (.02) | — | (.02) | 11.60 | 9.03 | 339 | 1.90 | (.09) | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.21 | (.05) | .82 | .77 | (.09) | (.23) | (.32) | 10.66 | 7.52 | 358 | 1.90 | (.47) | 130f,g |
|
| |||||||||||||
| Class R | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.21 | .15 | .75 | .90 | (.18) | — | (.18) | $10.93 | 8.92 | $110 | 1.38 | 1.40 | 299e |
|
| |||||||||||||
| May 31, 2016 | 11.02 | .12 | (.72) | (.60) | — | (.21) | (.21) | 10.21 | (5.40) | 135 | 1.50 | 1.17 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.52 | .07 | (.05) | .02 | (.26) | (.26) | (.52) | 11.02 | .25 | 261 | 1.66 | .66 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.59 | .02 | .97 | .99 | (.06) | — | (.06) | 11.52 | 9.34 | 484 | 1.65 | .17 | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.23 | (.01) | .80 | .79 | (.20) | (.23) | (.43) | 10.59 | 7.70 | 458 | 1.65 | (.11) | 130f,g |
|
| |||||||||||||
| Class R6 | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.26 | .22 | .75 | .97 | (.29) | — | (.29) | $10.94 | 9.65 | $102,097 | .75 | 2.04 | 299e |
|
| |||||||||||||
| May 31, 2016 | 11.10 | .22 | (.76) | (.54) | (.09) | (.21) | (.30) | 10.26 | (4.83) | 96,118 | .81 | 2.17 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.61 | .14 | (.07) | .07 | (.32) | (.26) | (.58) | 11.10 | .79 | 30,007 | 1.11 | 1.23 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.68 | .07 | .98 | 1.05 | (.12) | — | (.12) | 11.61 | 9.93 | 2,055 | 1.11 | .68 | 117f |
|
| |||||||||||||
| May 31, 2013† | 10.56 | .08 | .49 | .57 | (.22) | (.23) | (.45) | 10.68 | 5.31* | 2,713 | 1.05* | .63* | 130f,g |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 78 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 79 |
Financial highlights cont.
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
|
| |||||||||||||
| Ratio | Ratio of net | ||||||||||||
| Net asset | Net realized | of expenses | investment | ||||||||||
| value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
| beginning | Net investment | gain (loss) | investment | From net | realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss) a | on investments | operations | investment income | on investments | distributions | of period | value (%) b | (in thousands) | (%) c,d | net assets (%) d | (%) |
|
| |||||||||||||
| Class Y | |||||||||||||
|
| |||||||||||||
| May 31, 2017 | $10.30 | .20 | .77 | .97 | (.28) | — | (.28) | $10.99 | 9.56 | $45,467 | .88 | 1.90 | 299e |
|
| |||||||||||||
| May 31, 2016 | 11.10 | .17 | (.72) | (.55) | (.04) | (.21) | (.25) | 10.30 | (4.94) | 47,321 | 1.00 | 1.62 | 300e |
|
| |||||||||||||
| May 31, 2015 | 11.59 | .13 | (.06) | .07 | (.30) | (.26) | (.56) | 11.10 | .79 | 135,058 | 1.16 | 1.17 | 245e |
|
| |||||||||||||
| May 31, 2014 | 10.65 | .07 | .98 | 1.05 | (.11) | — | (.11) | 11.59 | 9.87 | 133,332 | 1.15 | .64 | 117f |
|
| |||||||||||||
| May 31, 2013 | 10.26 | .03 | .82 | .85 | (.23) | (.23) | (.46) | 10.65 | 8.21 | 153,051 | 1.15 | .32 | 130f,g |
* Not annualized
† For the period July 3, 2012 (commencement of operations) to May 31, 2013.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
| Percentage of average net assets | |||||
| 5/31/17 | 5/31/16 | 5/31/15 | 5/31/14 | 5/31/13 | |
|
| |||||
| Class A | 0.23% | 0.17% | 0.10% | 0.10% | 0.16% |
|
| |||||
| Class B | 0.23 | 0.17 | 0.10 | 0.10 | 0.16 |
|
| |||||
| Class C | 0.23 | 0.17 | 0.10 | 0.10 | 0.16 |
|
| |||||
| Class M | 0.23 | 0.17 | 0.10 | 0.10 | 0.16 |
|
| |||||
| Class R | 0.23 | 0.17 | 0.10 | 0.10 | 0.16 |
|
| |||||
| Class R6 | 0.23 | 0.20 | N/A | N/A | N/A |
|
| |||||
| Class Y | 0.23 | 0.17 | 0.10 | 0.10 | 0.16 |
|
| |||||
e Portfolio turnover includes TBA purchase and sale commitments.
f Portfolio turnover excludes TBA purchase and sale commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been following:
| Portfolio turnover % | |
|
| |
| May 31, 2014 | 212% |
|
| |
| May 31, 2013 | 230 |
|
| |
g Reflects revision of portfolio turnover rate presented in the fund’s May 31, 2013 audited financial statements.
The accompanying notes are an integral part of these financial statements.
| 80 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 81 |
Notes to financial statements 5/31/17
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, 2016 through May 31, 2017.
Putnam Dynamic Risk Allocation Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek total return. Total return is composed of capital appreciation and income. The fund invests in a diversified set of asset classes. By investing in a broader set of asset classes than a traditional balanced fund, and by using leverage to increase the fund’s exposures to asset classes, Putnam Management believes the fund may achieve a higher total return than a traditional balanced fund with approximately the same amount of risk as a traditional balanced fund. Risk is measured by the volatility of the fund’s investment portfolio. The fund may invest without limit in U.S., international, and emerging markets equity securities (growth or value stocks or both) of companies of any size and fixed-income securities (including in below-investment-grade securities, which are sometimes referred to as “junk bonds”); mortgage- and asset-backed securities; inflation-protected securities; commodities; and real estate investment trusts (REITs). These asset classes offer different return potential and exposure to different investment risks. Putnam Management allocates the fund’s assets among classes in a manner intended to diversify the fund’s exposure to these different risk types, typically using leverage to adjust or increase the fund’s exposure to asset classes in order to diversify or balance risk exposure. Putnam Management expects that, on average, net notional investment exposure of approximately 150% of the net assets of the fund will result from the fund’s allocation strategy under normal market conditions, although the amounts of leverage may be significantly higher or lower at any given time. In managing the fund’s assets, Putnam Management uses quantitative analysis, qualitative techniques and active trading strategies, which may introduce additional leverage. Putnam Management typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, to a significant extent for hedging purposes, to obtain leverage, and to adjust the return and volatility characteristics of the fund’s investments. The fund may also engage in short sales of securities.
The fund offers class A, class B, class C, class M, class R, class R6 and class Y shares. The fund registered class T shares in February 2017, however, as of the date of this report, class T shares had not commenced operations and are not available for purchase. Effective April 1, 2017, purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
| 82 Dynamic Risk Allocation Fund |
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.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled 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 scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain 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. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management 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.
| Dynamic Risk Allocation Fund 83 |
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
| 84 Dynamic Risk Allocation Fund | |
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s
| Dynamic Risk Allocation Fund 85 |
books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries, and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded
| 86 Dynamic Risk Allocation Fund | |
in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $45,190 at the close of the reporting period.
| Dynamic Risk Allocation Fund 87 |
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,211,948 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,110,692 and may include amounts related to unsettled agreements.
Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. 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, net of expenses, 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 $226,725 and the value of securities loaned amounted to $219,834.
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 $317.5 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 higher of (1) the Federal Funds rate and (2) the overnight LIBOR 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 plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In
| 88 Dynamic Risk Allocation Fund | |
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.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At May 31, 2017, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
| Loss carryover | ||
|
| ||
| Short-term | Long-term | Total |
|
| ||
| $5,719,266 | $— | $5,719,266 |
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer certain capital losses of $2,442,708 recognized during the period between November 1, 2016 and May 31, 2017 to its fiscal year ending May 31, 2018.
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, from foreign currency gains and losses, from late year loss deferrals, from nontaxable dividends, from realized gains and losses on certain futures contracts, from unrealized gains and losses on passive foreign investment companies, from security impairments, and from income on swap contracts. 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 $289,014 to increase undistributed net investment income, $144 to increase paid-in capital and $289,158 to increase accumulated net realized loss.
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 | $13,428,344 |
|
| |
| Unrealized depreciation | (3,473,427) |
|
| |
| Net unrealized appreciation | 9,954,917 |
|
| |
| Undistributed ordinary income | 3,772,318 |
|
| |
| Capital loss carryforward | (5,719,266) |
|
| |
| Post-October capital loss deferral | (2,442,708) |
|
| |
| Cost of federal income tax purposes | $188,725,098 |
|
| |
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 all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
| 0.880% | of the first $5 billion, | 0.680% | of the next $50 billion, | |
|
|
| |||
| 0.830% | of the next $5 billion, | 0.660% | of the next $50 billion, | |
|
|
| |||
| 0.780% | of the next $10 billion, | 0.650% | of the next $100 billion and | |
|
|
| |||
| 0.730% | of the next $10 billion, | 0.645% | of any excess thereafter. | |
|
|
| |||
| Dynamic Risk Allocation Fund 89 |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.726% of the fund’s average net assets.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through September 30, 2018, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.70% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $394,460 as a result of this limit.
Putnam Management has also contractually agreed, through September 30, 2018, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay 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.
Putnam Management voluntarily reimbursed the fund $1,227 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.
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 for class A, class B, class C, class M, class R, and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $35,515 | Class R | 185 | |
|
|
| |||
| Class B | 5,140 | Class R6 | 48,997 | |
|
|
| |||
| Class C | 15,858 | Class Y | 83,971 | |
|
|
| |||
| Class M | 501 | Total | $190,167 | |
|
|
||||
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 $215 under the expense offset arrangements and by $218 under the brokerage/ service arrangements.
| 90 Dynamic Risk Allocation Fund | |
Each Independent Trustee of the fund receives an annual Trustee fee, of which $132, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
|
| |||
| Class A | 0.35% | 0.25% | $48,476 |
|
| |||
| Class B | 1.00% | 1.00% | 28,051 |
|
| |||
| Class C | 1.00% | 1.00% | 86,583 |
|
| |||
| Class M | 1.00% | 0.75% | 2,051 |
|
| |||
| Class R | 1.00% | 0.50% | 503 |
|
| |||
| Total | $165,664 | ||
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $6,212 and $80 from the sale of class A and class M shares, respectively, and received $993 and $203 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
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 monies 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, including TBA commitments (Long-term) | $452,923,929 | $459,673,030 |
|
| ||
| U.S. government securities (Long-term) | — | — |
|
| ||
| Total | $452,923,929 | $459,673,030 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
| Dynamic Risk Allocation Fund 91 |
Written option transactions during the reporting period are summarized as follows:
| Written option | Written option | |
| contract amounts | premiums | |
|
| ||
| Written options outstanding at the beginning of the reporting period | $123,879 | $33,865 |
|
| ||
| Options opened | 901,924 | 262,241 |
|
| ||
| Options exercised | — | — |
|
| ||
| Options expired | (719,922) | (199,973) |
|
| ||
| Options closed | (268,572) | (92,402) |
|
| ||
| Written options outstanding at the end of the reporting period | $37,309 | $3,731 |
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 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class A | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 258,228 | $2,736,926 | 180,818 | $1,879,181 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 42,224 | 435,747 | 52,060 | 510,706 |
|
| ||||
| 300,452 | 3,172,673 | 232,878 | 2,389,887 | |
|
| ||||
| Shares repurchased | (573,823) | (6,060,105) | (806,504) | (8,199,938) |
|
| ||||
| Net decrease | (273,371) | $(2,887,432) | (573,626) | $(5,810,051) |
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class B | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 10,886 | $112,780 | 23,542 | $236,972 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 3,843 | 39,087 | 5,678 | 54,850 |
|
| ||||
| 14,729 | 151,867 | 29,220 | 291,822 | |
|
| ||||
| Shares repurchased | (84,726) | (883,609) | (61,259) | (610,669) |
|
| ||||
| Net decrease | (69,997) | $(731,742) | (32,039) | $(318,847) |
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class C | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 93,863 | $982,467 | 74,427 | $769,260 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 10,882 | 110,885 | 22,934 | 221,770 |
|
| ||||
| 104,745 | 1,093,352 | 97,361 | 991,030 | |
|
| ||||
| Shares repurchased | (379,296) | (3,965,432) | (521,578) | (5,243,599) |
|
| ||||
| Net decrease | (274,551) | $(2,872,080) | (424,217) | $(4,252,569) |
| 92 Dynamic Risk Allocation Fund | |
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class M | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 3,323 | $35,302 | 1,239 | $12,540 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 509 | 5,263 | 496 | 4,874 |
|
| ||||
| 3,832 | 40,565 | 1,735 | 17,414 | |
|
| ||||
| Shares repurchased | (1,735) | (18,164) | (7,637) | (82,260) |
|
| ||||
| Net increase (decrease) | 2,097 | $22,401 | (5,902) | $(64,846) |
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class R | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 3,531 | $37,463 | 1,608 | $16,154 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 93 | 957 | 262 | 2,561 |
|
| ||||
| 3,624 | 38,420 | 1,870 | 18,715 | |
|
| ||||
| Shares repurchased | (6,815) | (71,573) | (12,328) | (126,837) |
|
| ||||
| Net decrease | (3,191) | $(33,153) | (10,458) | $(108,122) |
| PERIOD ENDED 5/31/16* | ||||
| Class R5 | Shares | Amount | ||
|
| ||||
| Shares sold | — | $— | ||
|
| ||||
| Shares issued in connection with reinvestment of distributions | 29 | 289 | ||
|
| ||||
| 29 | 289 | |||
|
| ||||
| Shares repurchased | (1,077) | (10,335) | ||
|
| ||||
| Net decrease | (1,048) | $(10,046) | ||
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class R6 | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 662,523 | $7,012,621 | 7,119,700 | $71,592,034 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 258,405 | 2,656,399 | 277,680 | 2,715,711 |
|
| ||||
| 920,928 | 9,669,020 | 7,397,380 | 74,307,745 | |
|
| ||||
| Shares repurchased | (954,414) | (10,065,791) | (733,872) | (7,150,026) |
|
| ||||
| Net increase (decrease) | (33,486) | $(396,771) | 6,663,508 | $67,157,719 |
| YEAR ENDED 5/31/17 | YEAR ENDED 5/31/16 | |||
| Class Y | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 578,921 | $6,130,295 | 1,429,206 | $14,870,635 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 115,333 | 1,191,390 | 118,797 | 1,167,773 |
|
| ||||
| 694,254 | 7,321,685 | 1,548,003 | 16,038,408 | |
|
| ||||
| Shares repurchased | (1,148,165) | (12,092,535) | (9,121,084) | (92,299,453) |
|
| ||||
| Net decrease | (453,911) | $(4,770,850) | (7,573,081) | $(76,261,045) |
* Effective February 1, 2016, the fund terminated its class R5 shares.
| Dynamic Risk Allocation Fund 93 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| Shares owned | Percentage of ownership | Value | |
|
| |||
| Class R | 5,408 | 54.0% | $59,109 |
|
| |||
| Class R6 | 1,113 | <0.1 | 12,176 |
At the close of the reporting period, two shareholders of record owned 16.4% and 40.3% respectively, of the outstanding shares of the fund.
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Fair value at the | Fair value at the | ||||
| beginning of the | Investment | end of the | |||
| Name of affiliate | reporting period | Purchase cost | Sale proceeds | income | reporting period |
|
| |||||
| Putnam Cash Collateral | |||||
| Pool, LLC* | $538,794 | $9,836,629 | $10,148,698 | $4,773 | $226,725 |
|
| |||||
| Putnam Money Market | |||||
| Liquidity Fund** | — | 4,699,077 | 4,699,077 | 276 | — |
|
| |||||
| Putnam Short Term | |||||
| Investment Fund*** | 35,007,773 | 56,944,018 | 61,413,234 | 194,823 | 30,538,557 |
|
| |||||
| Totals | $35,546,567 | $71,479,724 | $76,261,009 | $199,872 | $30,765,282 |
* No management fees are charged to Putnam Cash Collateral Pool, LLC (Note 1). Investment income shown is included in securities lending income on the Statement of operations.
** Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
*** 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. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
| 94 Dynamic Risk Allocation Fund | |
Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $190,000 |
|
| |
| Purchased currency options (contract amount) | $950,000 |
|
| |
| Written equity option contracts (contract amount) (Note 3) | $54,000 |
|
| |
| Written currency options (contract amount) (Note 3) | $950,000 |
|
| |
| Futures contracts (number of contracts) | 700 |
|
| |
| Forward currency contracts (contract amount) | $76,700,000 |
|
| |
| Centrally cleared interest rate swap contracts (notional) | $87,800,000 |
|
| |
| OTC total return swap contracts (notional) | $139,300,000 |
|
| |
| OTC credit default contracts (notional) | $14,600,000 |
|
| |
| Centrally cleared credit default contracts (notional) | $13,900,000 |
|
| |
| Warrants (number of warrants) | 86,000 |
|
| |
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 | Statement of | Statement of | |||
| hedging instruments | assets and | assets and | |||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value | |
|
| |||||
| Receivables, Net | |||||
| assets — Unrealized | Payables, Net assets — | ||||
| Credit contracts | appreciation | $1,317,508* | Unrealized depreciation | $743,326* | |
|
| |||||
| Foreign | |||||
| exchange contracts | Receivables | 1,053,581 | Payables | 554,308 | |
|
| |||||
| Investments, | |||||
| Receivables, Net | |||||
| assets — Unrealized | Payables, Net assets — | ||||
| Equity contracts | appreciation | 1,455,585* | Unrealized depreciation | 435,569* | |
|
| |||||
| Receivables, Net | |||||
| assets — Unrealized | Payables, Net assets — | ||||
| Interest rate contracts | appreciation | 2,302,737* | Unrealized depreciation | 4,356,038* | |
|
| |||||
| Total | $6,129,411 | $6,089,241 | |||
* 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 Risk Allocation Fund 95 |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | ||||||
|
| ||||||
| Derivatives not | ||||||
| accounted for as | Forward | |||||
| hedging instruments | currency | |||||
| under ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
|
| ||||||
| Credit contracts | $— | $— | $— | $— | $675,750 | $675,750 |
|
| ||||||
| Foreign exchange | ||||||
| contracts | — | 39,195 | — | (254,308) | — | $(215,113) |
|
| ||||||
| Equity contracts | 67,237 | (2,161,726) | 1,559,395 | — | 445,713 | $(89,381) |
|
| ||||||
| Interest rate contracts | — | — | 430,579 | — | (3,457,064) | $(3,026,485) |
|
| ||||||
| Total | $67,237 | $(2,122,531) | $1,989,974 | $(254,308) | $(2,335,601) | $(2,655,229) |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | ||||||
| on investments | ||||||
|
| ||||||
| Derivatives not | ||||||
| accounted for as | Forward | |||||
| hedging instruments | currency | |||||
| under ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
|
| ||||||
| Credit contracts | $— | $— | $— | $— | $325,859 | $325,859 |
|
| ||||||
| Foreign exchange | ||||||
| contracts | — | — | — | 714,340 | — | $714,340 |
|
| ||||||
| Equity contracts | 25,001 | 199,014 | 33,587 | — | 664,478 | $922,080 |
|
| ||||||
| Interest rate contracts | — | — | (41,228) | — | 3,741,637 | $3,700,409 |
|
| ||||||
| Total | $25,001 | $199,014 | $(7,641) | $714,340 | $4,731,974 | $5,662,688 |
| 96 Dynamic Risk Allocation Fund | |
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| Dynamic Risk Allocation Fund 97 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. | Barclays Bank PLC | Barclays Capital Inc. (clearing broker) |
Citibank, N.A. | Credit Suisse International | Goldman Sachs International |
HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. |
JPMorgan Securities LLC |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | Royal Bank of Scotland PLC (The) | State Street Bank and Trust Co. | UBS AG | WestPac Banking Corp. |
Total | ||||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Assets: | ||||||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Centrally cleared interest rate | ||||||||||||||||||||||||||||||
| swap contracts§ | $— | $— | $72,200 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $72,200 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| OTC Total return swap contracts*# | 565,573 | — | — | 237,493 | — | 41,020 | — | 2,646 | 13,565 | — | — | — | — | — | 860,297 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| OTC Credit default contracts*# | — | — | — | — | 42,509 | 16,295 | — | — | 14,293 | — | — | — | — | — | 73,097 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Centrally cleared credit | ||||||||||||||||||||||||||||||
| default contracts§ | — | — | 1,797 | — | — | — | — | — | — | — | — | — | — | — | 1,797 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | 27,140 | — | — | — | — | 27,140 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Forward currency contracts # | 83,870 | 58,782 | — | 93,492 | 29,388 | 44,279 | 30,203 | 492,198 | — | — | 83,461 | 19,278 | 116,694 | 1,936 | 1,053,581 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Purchased options**# | — | — | — | 200,986 | — | — | — | 365,489 | — | — | — | — | — | — | 566,475 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Total Assets | $649,443 | $58,782 | $73,997 | $531,971 | $71,897 | $101,594 | $30,203 | $860,333 | $27,858 | $27,140 | $83,461 | $19,278 | $116,694 | $1,936 | $2,654,587 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Liabilities: | ||||||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Centrally cleared interest rate | ||||||||||||||||||||||||||||||
| swap contracts§ | — | — | 4,641 | — | — | — | — | — | — | — | — | — | — | — | 4,641 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| OTC Total return swap contracts*# | 875,569 | 154,319 | — | 40,873 | 1,931,188 | — | — | 1,048,470 | — | — | — | — | — | — | 4,050,419 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| OTC Credit default contracts*# | — | 475,793 | — | — | 79,483 | 46,986 | — | — | 89,791 | — | — | — | — | — | 692,053 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Centrally cleared credit | ||||||||||||||||||||||||||||||
| default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | 54,069 | — | — | — | — | 54,069 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Forward currency contracts # | 51,451 | 28,080 | — | 108,250 | 11,469 | 33,164 | 12,692 | 76,468 | — | — | 70,335 | 71,469 | 83,005 | 7,925 | 554,308 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Written options # | — | — | — | 7,032 | — | — | — | — | — | — | — | — | — | — | 7,032 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Total Liabilities | $927,020 | $658,192 | $4,641 | $156,155 | $2,022,140 | $80,150 | $12,692 | $1,124,938 | $89,791 | $54,069 | $70,335 | $71,469 | $83,005 | $7,925 | $5,362,522 | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Total Financial and Derivative | ||||||||||||||||||||||||||||||
| Net Assets | $(277,577) | $(599,410) | $69,356 | $375,816 | $(1,950,243) | $21,444 | $17,511 | $(264,605) | $(61,933) | $(26,929) | $13,126 | $(52,191) | $33,689 | $(5,989) | $(2,707,935) | |||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Total collateral received (pledged)†## | $(234,742) | $(574,372) | $— | $311,000 | $(1,927,919) | $21,444 | $— | $(264,605) | $— | $— | $— | $— | $— | $— | ||||||||||||||||
|
| ||||||||||||||||||||||||||||||
| Net amount | $(42,835) | $(25,038) | $69,356 | $64,816 | $(22,324) | $— | $17,511 | $— | $(61,933) | $(26,929) | $13,126 | $(52,191) | $33,689 | $(5,989) | ||||||||||||||||
* 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.
| 98 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 99 |
Note 10: New pronouncements
In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management has evaluated the amendments and its adoption will have no effect on the fund’s net assets or results of operations.
| 100 Dynamic Risk Allocation Fund |
Federal tax information (Unaudited)
The fund designated 15.57% of ordinary income distributions as qualifying for the dividends received deduction for corporations.
For the reporting period, the fund hereby designates 27.94%, 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 2018 will show the tax status of all distributions paid to your account in calendar 2017.
| Dynamic Risk Allocation Fund 101 |
| 102 Dynamic Risk Allocation Fund |
* 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, 2017, there were 107 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.
| Dynamic Risk Allocation Fund 103 |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| Jonathan S. Horwitz (Born 1955) | Janet C. Smith (Born 1965) |
| Executive Vice President, Principal Executive Officer, | Vice President, Principal Financial Officer, Principal |
| and Compliance Liaison | Accounting Officer, and Assistant Treasurer |
| Since 2004 | Since 2007 |
| Director of Fund Administration Services, | |
| Robert T. Burns (Born 1961) | Putnam Investments and Putnam Management |
| Vice President and Chief Legal Officer | |
| Since 2011 | Susan G. Malloy (Born 1957) |
| General Counsel, Putnam Investments, | Vice President and Assistant Treasurer |
| Putnam Management, and Putnam Retail Management | Since 2007 |
| Director of Accounting & Control Services, | |
| James F. Clark (Born 1974) | Putnam Investments and Putnam Management |
| Vice President and Chief Compliance Officer | |
| Since 2016 | Mark C. Trenchard (Born 1962) |
| Chief Compliance Officer, Putnam Investments | Vice President and BSA Compliance Officer |
| and Putnam Management | Since 2002 |
| Director of Operational Compliance, Putnam | |
| Michael J. Higgins (Born 1976) | Investments and Putnam Retail Management |
| Vice President, Treasurer, and Clerk | |
| Since 2010 | 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.
| 104 Dynamic Risk Allocation Fund |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| Dynamic Risk Allocation Fund 105 |
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 | Income |
| Growth Opportunities Fund | American Government Income Fund |
| International Growth Fund | Diversified Income Trust |
| Multi-Cap Growth Fund | Emerging Markets Income Fund |
| Small Cap Growth Fund | Floating Rate Income Fund |
| Global Income Trust | |
| Blend | Government Money Market Fund* |
| Capital Opportunities Fund | High Yield Fund |
| Capital Spectrum Fund | Income Fund |
| Emerging Markets Equity Fund | Money Market Fund† |
| Equity Spectrum Fund | Short Duration Income Fund |
| Europe Equity Fund | U.S. Government Income Trust |
| Global Equity Fund | |
| International Capital Opportunities Fund | Tax-free Income |
| International Equity Fund | AMT-Free Municipal Fund |
| Investors Fund | Intermediate-Term Municipal Income Fund |
| Low Volatility Equity Fund | Short-Term Municipal Income Fund |
| Multi-Cap Core Fund | Tax Exempt Income Fund |
| Research Fund | Tax-Free High Yield Fund |
| Value | State tax-free income funds‡: |
| Convertible Securities Fund | California, Massachusetts, Minnesota, |
| Equity Income Fund | New Jersey, New York, Ohio, and Pennsylvania. |
| International Value Fund | |
| Multi-Cap Value Fund | |
| Small Cap Value Fund |
| 106 Dynamic Risk Allocation Fund |
| Absolute Return | Retirement Income Fund Lifestyle 1 — a portfolio |
| Absolute Return 100 Fund® | with managed allocations to stocks, bonds, |
| Absolute Return 300 Fund® | and money market investments to generate |
| Absolute Return 500 Fund® | retirement income. |
| Absolute Return 700 Fund® | |
| RetirementReady® Funds — portfolios with | |
| Global Sector | adjusting allocations to stocks, bonds, and |
| Global Consumer Fund | money market instruments, becoming more |
| Global Financials Fund | conservative over time. |
| Global Health Care Fund | |
| Global Industrials Fund | RetirementReady® 2060 Fund |
| Global Natural Resources Fund | RetirementReady® 2055 Fund |
| Global Sector Fund | RetirementReady® 2050 Fund |
| Global Technology Fund | RetirementReady® 2045 Fund |
| Global Telecommunications Fund | RetirementReady® 2040 Fund |
| Global Utilities Fund | RetirementReady® 2035 Fund |
| RetirementReady® 2030 Fund | |
| Asset Allocation | RetirementReady® 2025 Fund |
| George Putnam Balanced Fund | RetirementReady® 2020 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 |
* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
‡ Not available in all states.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
| Dynamic Risk Allocation Fund 107 |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | James F. Clark |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
| Management, LLC | Kenneth R. Leibler, Vice Chair | Chief Compliance Officer |
| One Post Office Square | Liaquat Ahamed | |
| Boston, MA 02109 | Ravi Akhoury | Michael J. Higgins |
| Barbara M. Baumann | Vice President, Treasurer, | |
| Investment Sub-Advisor | Katinka Domotorffy | and Clerk |
| Putnam Investments Limited | Catharine Bond Hill | |
| 57–59 St James’s Street | Paul L. Joskow | Janet C. Smith |
| London, England SW1A 1LD | Robert E. Patterson | Vice President, |
| George Putnam, III | Principal Financial Officer, | |
| Marketing Services | Robert L. Reynolds | Principal Accounting Officer, |
| Putnam Retail Management | Manoj P. Singh | and Assistant Treasurer |
| One Post Office Square | ||
| Boston, MA 02109 | Officers | Susan G. Malloy |
| Robert L. Reynolds | Vice President and | |
| Custodian | President | Assistant Treasurer |
| State Street Bank | ||
| and Trust Company | Jonathan S. Horwitz | Mark C. Trenchard |
| Executive Vice President, | Vice President and | |
| Legal Counsel | Principal Executive Officer, | BSA Compliance Officer |
| Ropes & Gray LLP | and Compliance Liaison | |
| Nancy E. Florek | ||
| Independent Registered | Robert T. Burns | Vice President, Director of |
| Public Accounting Firm | Vice President and | Proxy Voting and Corporate |
| KPMG LLP | Chief Legal Officer | Governance, Assistant Clerk, |
| and Associate Treasurer |
This report is for the information of shareholders of Putnam Dynamic Risk Allocation Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| 108 Dynamic Risk Allocation Fund |
| 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. |
| Item 3. Audit Committee Financial Expert: |
| The Funds' Audit, Compliance and Distributions 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, Compliance and Distributions 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. Patterson, Ms. Baumann and Mr. Singh 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, Compliance and Distribution 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, 2017 | $80,256 | $ — | $5,150 | $ — | |
| May 31, 2016 | $70,901 | $ — | $5,000 | $ — | |
| For the fiscal years ended May 31, 2017 and May 31, 2016, the fund's independent auditor billed aggregate non-audit fees in the amounts of $5,150 and $5,000 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, Compliance and Distributions Committee. The Audit, Compliance and Distributions 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, Compliance and Distributions 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, 2017 | $ — | $ — | $ — | $ — | |
| May 31, 2016 | $ — | $ — | $ — | $ — | |
| 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 28, 2017 |
| 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 28, 2017 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: July 28, 2017 |