| 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, 2018 |
| Date of reporting period: | June 1, 2017 — November 30, 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
Asset Allocation
Equity Fund
Semiannual report
11 | 30 | 17
Consider these risks before investing: Stock prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions, changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. If the quantitative models or data that are used in managing the fund prove to be incorrect or incomplete, investment decisions made in reliance on the models or data may not produce the desired results and the fund may realize losses. You can lose money by investing in the fund.
Message from the Trustees
January 9, 2018
Dear Fellow Shareholder:
Investor sentiment remained positive through most of 2017, helping to keep financial markets on a steady course. While bond market performance was a bit uneven, global stock markets generally made solid advances with low volatility. However, we enter the new year mindful of a number of risks that could disrupt the positive momentum.
Although no one can predict the direction of the markets in the months ahead, Putnam’s experienced investment professionals actively seek to position their fund portfolios for all types of conditions. They take a research-intensive approach to investing that includes risk management strategies designed to serve investors through changing markets.
In all environments, we believe investors should remain focused on time-tested strategies: maintain a well-diversified portfolio, think about long-term goals, 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.
Thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 7–8 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* Putnam Equity Blended Index is an unmanaged index administered by Putnam Management and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
† Returns for the six-month period are not annualized, but cumulative.
Recent broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 11/30/17. See above and pages 7–8 for additional fund performance information. Index descriptions can be found on page 10.
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Interview with your fund’s portfolio manager
Jason R. Vaillancourt, CFA
Portfolio Manager
Jason is Co-Head of Global Asset Allocation (GAA). He holds an M.B.A. from the Booth School of Business at the University of Chicago, and a B.S. from Northeastern University. Jason joined Putnam in 2000 and has been in the investment industry since 1993.
In addition to Jason, your fund’s portfolio managers are Co-Head of GAA James A. Fetch and Chief Investment Officer, GAA, Robert J. Schoen.
Jason, how would you describe the investment environment during the six-month reporting period ended November 30, 2017?
After beginning the period relatively flat in June, U.S. equity markets regained momentum over the summer and through the six-month period, experiencing low volatility while continuing to reach new historic highs. Investors showed a preference for riskier assets, with technology and financial stocks leading the way. There were bumps in the road, including increasing tensions with North Korea, a severe hurricane season, and a lack of legislative progress on health care. However, investors in U.S. markets appeared to take these factors in stride, remaining optimistic as the focus in Washington turned to tax reform. International markets also performed strongly as European election results favored moderates and the global economy maintained synchronized, steady growth.
The Federal Open Market Committee [FOMC] raised the benchmark interest rate 25 basis points in June, but took no further direct rate action during the period. This met market expectations, and focus shifted to the Federal Reserve’s schedule for gradually unwinding
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Top 10 holdings
This table shows the fund’s top 10 holdings by percentage of the fund’s net assets as of 11/30/17. Short-term investments and derivatives, if any, are excluded. Holdings may vary over time.
Portfolio composition comparison
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
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its balance sheet of over $4 trillion in bonds, amassed since the 2008 financial crisis.
For the six-month period, the S&P 500 Index, a broad measure of U.S. stock market results, returned 10.89%, and U.S. small-cap stocks, as measured by the Russell 2000 Index, gained 13.43%. Investors generally held to the view that the Trump administration’s potential business-friendly policies supported the outlook for smaller companies. International markets were also broadly positive, buoyed by solid economic results and outlooks. The MSCI EAFE Index (ND), which tracks stocks in international developed markets, rose 7.94% during the period. Emerging-market returns were more volatile, but ended the six months with a gain of 13.27%, as measured by the MSCI Emerging Markets Index (GD).
How did the fund perform during the six-month reporting period ended November 30, 2017?
Putnam Dynamic Asset Allocation Equity Fund’s class A shares returned 11.37% excluding sales charges, outperforming the return of 11.09% for the Russell 3000 Index, the fund’s primary benchmark, and 10.64% for the fund’s secondary benchmark, the Putnam Equity Blended Index. 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.
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. Asset allocations were generally close to benchmark during the period, although we had a slight overweight to small-cap stocks, which benefited the fund. At the stock-selection level, results were positive during the period. In the United States, we typically employ a selection strategy that uses quantitative research and analysis to assemble a sector-neutral portfolio of stocks that we believe will outperform the broad market. This strategy performed well during the six-month period and added significant value. We also saw strong security selection within emerging markets, where our sleeve of stocks outperformed the benchmark. International developed equity market selection was one area that detracted slightly, though not enough to offset strength elsewhere.
Did you make any major strategy shifts during the period?
We maintained a small overweight to U.S. small-cap stocks during the period, but otherwise, we remained close to benchmark allocations across domestic and international stock categories.
What is your outlook over the remainder of 2017 and into 2018?
After a period of strong stock market gains and low volatility levels, it is certainly a possibility that volatility could increase, but we believe economic factors are not signaling a recession. In our view, consumer and business confidence, for the most part, remains high.
As of the end of the reporting period, we’ve positioned the fund to be able to take advantage of opportunities that may arise after a period of outperformance in some stock categories. With a complicated global economic picture, we will continue to focus on adding value through strategy implementation. Within dynamic asset allocation, we will continue to take a tactical approach, adjusting the fund’s exposure across various markets as conditions warrant.
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Within the U.S. equity market, we believe it will be necessary to remain flexible as domestic policy, regulatory, and legislative changes proceed. In our view, all indications are that interest rates will continue to increase, subject to central bank views on inflation and a variety of economic indicators. As always, the global growth outlook, which we believe currently has a solid foundation, will be a factor.
Thank you, Jason, 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.
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.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended November 30, 2017, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class P shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 11/30/17
| Life of | Annual | Annual | Annual | |||||
| fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Class A (1/23/09) | ||||||||
| Before sales charge | 247.75% | 15.11% | 90.31% | 13.73% | 29.54% | 9.01% | 23.74% | 11.37% |
| After sales charge | 227.75 | 14.35 | 79.37 | 12.40 | 22.09 | 6.88 | 16.63 | 4.97 |
| Class P (8/31/16) | ||||||||
| Net asset value | 248.88 | 15.16 | 90.93 | 13.81 | 29.96 | 9.13 | 24.06 | 11.51 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge, levied at the time of purchase. Class P shares have no initial sales charge or CDSC. Performance for class P shares prior to their inception is derived from the historical performance of class A shares and has not been adjusted for the lower investor servicing fees applicable to class P 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.
Comparative index returns For periods ended 11/30/17
| Life of | Annual | Annual | Annual | |||||
| fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Russell 3000 Index | 293.07% | 16.72% | 106.72% | 15.63% | 35.85% | 10.75% | 22.27% | 11.09% |
| Putnam Equity | ||||||||
| Blended Index* | 252.75 | 15.30 | 89.36 | 13.62 | 31.88 | 9.66 | 23.91 | 10.64 |
| Lipper Multi-Cap Core | ||||||||
| Funds category average† | 249.32 | 15.03 | 92.10 | 13.85 | 27.76 | 8.45 | 19.97 | 10.07 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Putnam Equity Blended Index is an unmanaged index administered by Putnam Management and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
† Over the 6-month, 1-year, 3-year, 5-year, and life-of-fund periods ended 11/30/17, there were 805, 771, 646, 566, and 421 funds, respectively, in this Lipper category.
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Fund price and distribution information For the six-month period ended 11/30/17
| Class A | Class P | |||
| Before | After | Net | ||
| sales | sales | asset | ||
| Share value | charge | charge | value | |
| 5/31/17 | $12.75 | $13.53 | $12.77 | |
| 11/30/17 | 14.20 | 15.07 | 14.24 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
The fund made no distributions during the period.
Fund performance as of most recent calendar quarter Total return for periods ended 12/31/17
| Life of | Annual | Annual | Annual | |||||
| fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Class A (1/23/09) | ||||||||
| Before sales charge | 252.18% | 15.12% | 89.45% | 13.63% | 31.63% | 9.59% | 22.71% | 12.00% |
| After sales charge | 231.93 | 14.36 | 78.56 | 12.29 | 24.06 | 7.45 | 15.65 | 5.56 |
| Class P (8/31/16) | ||||||||
| Net asset value | 253.34 | 15.16 | 90.07 | 13.71 | 32.08 | 9.72 | 23.06 | 12.15 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
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 P | |
| Net expenses for the fiscal year ended 5/31/17*† | 0.87% | 0.63%‡ |
| Total annual operating expenses for the fiscal year ended 5/31/17*† | 1.20% | 0.96% |
| Annualized expense ratio for the six-month period ended 11/30/17 | 0.87% | 0.62% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 9/30/18.
† Restated to reflect current fees resulting from a change to the fund’s investor servicing arrangements effective 9/1/16.
‡ Other expenses are based on the expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class P shares.
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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 6/1/17 to 11/30/17. 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 P | |
| Expenses paid per $1,000 *† | $4.61 | $3.29 |
| Ending value (after expenses) | $1,113.70 | $1,115.10 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 11/30/17. 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.
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 11/30/17, use the following calculation method. To find the value of your investment on 6/1/17, 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 P | |
| Expenses paid per $1,000 *† | $4.41 | $3.14 |
| Ending value (after expenses) | $1,020.71 | $1,021.96 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 11/30/17. 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.
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Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are available only to other Putnam funds and other accounts managed by Putnam Management or its affiliates.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
ICE BofAML U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
MSCI EAFE Index (ND) is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia. 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 Emerging Markets Index (GD) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Gross total return (GD) indexes reinvest as much as possible of a company’s dividend distributions.
Putnam Equity Blended Index is an unmanaged index representing global stock market performance, and comprises 75% the Russell 3000 Index, 19% the MSCI EAFE Index (ND), and 6% the MSCI Emerging Markets Index (GD).
Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies.
S&P 500 Index is an unmanaged index of common stock performance.
ICE Data Indices, LLC (“ICE BofAML”), used with permission. ICE BofAML permits use of the ICE 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 ICE 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.
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.
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.
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Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2017, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of November 30, 2017, Putnam employees had approximately $524,000,000 and the Trustees had approximately $91,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
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Trustee approval of management contract
General conclusions
The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”), the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”), and the sub-advisory contract among Putnam Management, PIL, and another affiliate, The Putnam Advisory Company (“PAC”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel discussed with representatives of Putnam Management the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review, identifying possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2017, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.
In May 2017, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2017 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management, sub-management and sub-advisory contracts, effective July 1, 2017. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not attempted to evaluate PIL or PAC as separate entities, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)
The Independent Trustees’ approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund, and the continued application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based,
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in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the funds’ current fee arrangements under the management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (In a few instances, funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.)
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee structure for your fund would be appropriate at this time.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee rates as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations that were in effect during your fund’s fiscal year ending in 2016. These expense limitations were: (i) a contractual expense limitation applicable to specified retail open-end funds, including your fund, of 32 basis points on investor servicing fees and expenses, reduced to 25 basis points effective September 1, 2016, and (ii) a contractual expense limitation applicable to specified open-end funds of 20 basis points, and, in the case of your fund, 2 basis points, on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds had sufficiently low expenses that these expense limitations were not operative. However, in the case of your fund, the second of the expense limitations was operative during its fiscal year ending in 2016. Putnam Management has agreed to maintain these expense limitations until at least September 30, 2018. Putnam Management’s support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management, sub-management and sub-advisory contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2016. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2016 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of
| Dynamic Asset Allocation Equity Fund 13 |
Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding fees charged by Putnam Management and its affiliates to institutional clients, including defined benefit pension and profit-sharing plans, charities, college endowments, foundations, sub-advised third-party mutual funds, state, local and non-U.S. government entities, and corporations. This information included, in cases where an institutional product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients as compared to the services provided to the Putnam Funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officers and other senior members of Putnam Management’s Investment Division throughout the year. In addition, in response to a request from the Independent Trustees, Putnam Management provided the Trustees with in-depth presentations regarding each of the equity and fixed income investment teams, including the operation of the teams and their investment approaches. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2016 was a challenging year for the performance of the Putnam funds, with generally disappointing results for the international and global equity funds and taxable fixed income funds, mixed results for small-cap equity, Spectrum, global asset allocation, equity research and tax exempt fixed income funds, but generally strong results for U.S. equity funds. The Trustees noted, however, that they were encouraged by the positive performance trend since mid-year 2016 across most Putnam Funds. In particular, from May 1, 2016 through April 30, 2017, 51% of Putnam Fund assets were in the top quartile and 87% were above the median of the Putnam Funds’ competitive industry rankings. They noted that the longer-term performance of the Putnam funds generally continued to be strong, exemplified by the fact that the Putnam funds were ranked by the Barron’s/Lipper Fund Families survey as the 5th-best performing mutual fund complex out of 54 complexes for the five-year period ended December 31, 2016. In addition, while the survey ranked the Putnam Funds 52nd out of 61 mutual fund complexes for the one-year period ended 2016, the Putnam Funds have ranked 1st or 2nd in the survey for the one-year period three times since 2009 (most recently in 2013). They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2016 and considered information
| 14 Dynamic Asset Allocation Equity Fund | |
provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds, including the effectiveness of any efforts Putnam Management has undertaken to address underperformance and whether additional actions to address areas of underperformance are warranted.
For purposes of the Trustees’ evaluation of the Putnam Funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and, in most cases, comparisons of those returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about your fund’s total return and its performance relative to its benchmark over the one-year, three-year and five-year periods ended December 31, 2016. Your fund’s class A shares’ return net of fees and expenses was positive and trailed the return of its benchmark over the one-year and three-year periods ended December 31, 2016 and was positive and exceeded the return of its benchmark over the five-year period ended December 31, 2016. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees also considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management continued to strengthen its fundamental research capabilities by adding new investment personnel.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee, including any developments with respect to the European Union’s updated Markets in Financial Instruments Directive and its potential impact on PIL’s use of client commissions to obtain investment research. The Trustees also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management, sub-management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.
| Dynamic Asset Allocation Equity Fund 15 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| 16 Dynamic Asset Allocation Equity Fund | |
The fund’s portfolio 11/30/17 (Unaudited)
| COMMON STOCKS (88.6%)* | Shares | Value |
| Aerospace and defense (2.9%) | ||
| Boeing Co. (The) | 3,288 | $910,118 |
| Huntington Ingalls Industries, Inc. | 623 | 150,560 |
| L3 Technologies, Inc. | 2,213 | 439,480 |
| Northrop Grumman Corp. | 1,564 | 480,774 |
| Raytheon Co. | 1,509 | 288,445 |
| Spirit AeroSystems Holdings, Inc. Class A | 1,794 | 151,145 |
| 2,420,522 | ||
| Agency (0.1%) | ||
| Poste Italiane SpA (Italy) | 9,447 | 68,984 |
| 68,984 | ||
| Airlines (0.8%) | ||
| ANA Holdings, Inc. (Japan) | 1,500 | 60,111 |
| Deutsche Lufthansa AG (Germany) | 503 | 17,284 |
| International Consolidated Airlines Group SA (Spain) | 3,266 | 27,002 |
| Japan Airlines Co., Ltd. (Japan) | 400 | 14,695 |
| Qantas Airways, Ltd. (Australia) | 22,175 | 96,520 |
| Southwest Airlines Co. | 7,217 | 437,855 |
| 653,467 | ||
| Automotive (0.8%) | ||
| Fiat Chrysler Automobiles NV (Italy) † | 7,664 | 131,540 |
| Ford Motor Co. | 3,571 | 44,709 |
| Lear Corp. | 945 | 170,941 |
| Mazda Motor Corp. (Japan) | 1,200 | 16,102 |
| Nissan Motor Co., Ltd. (Japan) | 5,100 | 49,517 |
| Peugeot SA (France) | 6,177 | 127,744 |
| Renault SA (France) | 663 | 67,376 |
| Suzuki Motor Corp. (Japan) | 300 | 16,182 |
| Visteon Corp. † | 768 | 101,138 |
| 725,249 | ||
| Banking (6.7%) | ||
| Banco Macro SA ADR (Argentina) | 188 | 19,090 |
| Bank of China, Ltd. (China) | 123,000 | 59,954 |
| BNP Paribas SA (France) | 2,861 | 216,509 |
| China Construction Bank Corp. (China) | 196,000 | 171,695 |
| Citigroup, Inc. | 16,921 | 1,277,536 |
| Credit Agricole SA (France) | 4,875 | 82,134 |
| DNB ASA (Norway) | 4,475 | 81,599 |
| Dubai Islamic Bank PJSC (United Arab Emirates) | 27,312 | 44,838 |
| Grupo Financiero Galicia SA ADR (Argentina) | 867 | 49,532 |
| Grupo Supervielle SA ADR (Argentina) | 2,723 | 71,615 |
| HDFC Bank, Ltd. (India) | 1,556 | 44,742 |
| Industrial & Commercial Bank of China, Ltd. (China) | 140,000 | 109,788 |
| Industrial Bank of Korea (South Korea) | 6,854 | 100,900 |
| Itau Unibanco Holding SA ADR (Preference) (Brazil) | 3,736 | 46,887 |
| Japan Post Bank Co., Ltd. (Japan) | 800 | 10,173 |
| JPMorgan Chase & Co. | 15,781 | 1,649,430 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | 33,042 | 234,230 |
| PNC Financial Services Group, Inc. (The) | 2,185 | 307,124 |
| Dynamic Asset Allocation Equity Fund 17 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Banking cont. | ||
| Regions Financial Corp. | 18,026 | $299,051 |
| Resona Holdings, Inc. (Japan) | 29,400 | 156,590 |
| Sberbank of Russia PJSC ADR (Russia) | 8,077 | 131,736 |
| Societe Generale SA (France) | 2,653 | 133,604 |
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 1,200 | 44,705 |
| SunTrust Banks, Inc. | 3,400 | 209,542 |
| Synovus Financial Corp. | 1,071 | 53,154 |
| TCF Financial Corp. | 2,410 | 48,947 |
| 5,655,105 | ||
| Beverage (1.2%) | ||
| Coca-Cola Amatil, Ltd. (Australia) | 17,981 | 108,232 |
| Dr. Pepper Snapple Group, Inc. | 873 | 78,736 |
| Grape King Bio, Ltd. (Taiwan) | 5,000 | 32,532 |
| Heineken Holding NV (Netherlands) | 660 | 63,607 |
| PepsiCo, Inc. | 6,562 | 764,604 |
| 1,047,711 | ||
| Biotechnology (1.4%) | ||
| Amgen, Inc. | 1,586 | 278,597 |
| Biogen, Inc. † | 241 | 77,643 |
| Celgene Corp. † | 4,297 | 433,267 |
| Gilead Sciences, Inc. | 3,780 | 282,668 |
| Vertex Pharmaceuticals, Inc. † | 829 | 119,616 |
| 1,191,791 | ||
| Broadcasting (0.5%) | ||
| Discovery Communications, Inc. Class A † S | 15,284 | 290,702 |
| Liberty SiriusXM Group Class A † | 1,960 | 79,909 |
| RTL Group SA (Belgium) | 543 | 43,302 |
| 413,913 | ||
| Building materials (0.3%) | ||
| Masco Corp. | 3,889 | 166,877 |
| Nien Made Enterprise Co., Ltd. (Taiwan) | 5,000 | 46,091 |
| Xinyi Glass Holdings, Ltd. (China) | 24,000 | 29,314 |
| 242,282 | ||
| Cable television (0.3%) | ||
| AMC Networks, Inc. Class A † | 1,549 | 79,835 |
| Megacable Holdings SAB de CV (Units) (Mexico) | 11,554 | 48,956 |
| Sky PLC (United Kingdom) † | 11,859 | 150,197 |
| 278,988 | ||
| Chemicals (1.6%) | ||
| Asahi Kasei Corp. (Japan) | 6,500 | 81,744 |
| Ashland Global Holdings, Inc. | 406 | 30,036 |
| BASF SE (Germany) | 852 | 95,325 |
| Celanese Corp. Ser. A | 254 | 27,239 |
| Covestro AG (Germany) | 634 | 66,029 |
| Evonik Industries AG (Germany) | 4,180 | 155,924 |
| Formosa Plastics Corp. (Taiwan) | 16,000 | 48,457 |
| Hitachi Chemical Co., Ltd. (Japan) | 900 | 23,789 |
| Huntsman Corp. | 7,250 | 231,710 |
| Kuraray Co., Ltd. (Japan) | 2,700 | 52,192 |
| 18 Dynamic Asset Allocation Equity Fund | |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Chemicals cont. | ||
| Mitsubishi Chemical Holdings Corp. (Japan) | 8,300 | $90,409 |
| Mitsubishi Gas Chemical Co., Inc. (Japan) | 1,500 | 42,094 |
| Sherwin-Williams Co. (The) | 881 | 351,889 |
| W.R. Grace & Co. | 1,357 | 99,482 |
| 1,396,319 | ||
| Commercial and consumer services (1.0%) | ||
| Adecco Group AG (Switzerland) | 1,985 | 150,124 |
| Booz Allen Hamilton Holding Corp. | 2,052 | 79,392 |
| China Conch Venture Holdings, Ltd. (China) | 16,500 | 36,401 |
| Dai Nippon Printing Co., Ltd. (Japan) | 2,400 | 52,734 |
| Fu Shou Yuan International Group, Ltd. (China) | 54,000 | 42,727 |
| Industrivarden AB Class A (Sweden) | 5,691 | 145,896 |
| Itausa — Investimentos Itau SA (Preference) (Brazil) | 9,456 | 29,985 |
| Qualicorp SA (Brazil) | 4,693 | 43,970 |
| Randstad Holding NV (Netherlands) | 710 | 43,724 |
| ServiceMaster Global Holdings, Inc. † | 1,143 | 55,870 |
| Sporton International, Inc. (Taiwan) | 7,000 | 36,059 |
| Total System Services, Inc. | 1,705 | 126,784 |
| 843,666 | ||
| Computers (3.3%) | ||
| Amadeus IT Holding SA Class A (Spain) | 3,054 | 220,173 |
| Apple, Inc. | 8,350 | 1,434,948 |
| Citrix Systems, Inc. † | 2,737 | 239,843 |
| Fortinet, Inc. † | 4,027 | 169,376 |
| Fujitsu, Ltd. (Japan) | 1,000 | 7,487 |
| HP, Inc. | 21,720 | 465,894 |
| Otsuka Corp. (Japan) | 600 | 44,997 |
| Synopsys, Inc. † | 1,475 | 133,311 |
| Xerox Corp. | 4,043 | 119,915 |
| 2,835,944 | ||
| Conglomerates (1.0%) | ||
| AMETEK, Inc. | 1,807 | 131,351 |
| Bouygues SA (France) | 3,296 | 170,496 |
| Danaher Corp. | 2,557 | 241,279 |
| Marubeni Corp. (Japan) | 22,200 | 147,882 |
| Mitsui & Co., Ltd. (Japan) | 8,100 | 123,362 |
| 814,370 | ||
| Construction (0.7%) | ||
| China State Construction International Holdings, Ltd. (China) | 30,000 | 39,159 |
| CIMIC Group, Ltd. (Australia) | 3,815 | 147,672 |
| Dilip Buildcon, Ltd. (India) | 2,790 | 42,229 |
| HOCHTIEF AG (Germany) | 807 | 141,822 |
| Kajima Corp. (Japan) | 4,000 | 42,174 |
| Loma Negra Cia Industrial Argentina SA ADR (Argentina) † | 725 | 16,008 |
| Mota-Engil SGPS SA (Portugal) | 10,281 | 42,217 |
| NCC, Ltd./India (India) | 16,127 | 30,795 |
| Taisei Corp. (Japan) | 1,400 | 74,291 |
| 576,367 |
| Dynamic Asset Allocation Equity Fund 19 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Consumer (0.9%) | ||
| Basso Industry Corp. (Taiwan) | 21,000 | $56,476 |
| Clorox Co. (The) | 1,786 | 248,772 |
| Kimberly-Clark Corp. | 3,382 | 405,028 |
| PC Jeweller, Ltd. (India) | 4,192 | 25,875 |
| 736,151 | ||
| Consumer finance (0.8%) | ||
| Chailease Holding Co., Ltd. (Taiwan) | 24,000 | 69,944 |
| Dewan Housing Finance Corp., Ltd. (India) | 5,898 | 56,740 |
| Discover Financial Services | 3,311 | 233,757 |
| Synchrony Financial | 8,025 | 288,017 |
| 648,458 | ||
| Consumer goods (0.7%) | ||
| Kao Corp. (Japan) | 3,000 | 199,203 |
| Procter & Gamble Co. (The) | 4,257 | 383,087 |
| Unilever NV ADR (Netherlands) | 751 | 43,250 |
| 625,540 | ||
| Consumer services (—%) | ||
| Liberty Expedia Holdings, Inc. Class A † | 596 | 26,868 |
| 26,868 | ||
| Containers (0.4%) | ||
| Berry Plastics Group, Inc. † | 1,118 | 66,823 |
| Crown Holdings, Inc. † | 4,080 | 243,698 |
| 310,521 | ||
| Distribution (1.0%) | ||
| ITOCHU Corp. (Japan) | 10,600 | 184,293 |
| Metro Wholesale & Food Specialist AG (Germany) † | 5,091 | 99,377 |
| Sysco Corp. | 5,738 | 331,255 |
| Toyota Tsusho Corp. (Japan) | 3,000 | 113,258 |
| US Foods Holding Corp. † | 4,031 | 117,383 |
| 845,566 | ||
| Electric utilities (2.8%) | ||
| American Electric Power Co., Inc. | 3,655 | 283,738 |
| CenterPoint Energy, Inc. | 4,201 | 126,072 |
| Edison International | 2,210 | 179,607 |
| Endesa SA (Spain) | 3,007 | 67,054 |
| Enel SpA (Italy) | 36,405 | 236,371 |
| ENGIE SA (France) | 971 | 16,995 |
| Entergy Corp. | 5,605 | 484,720 |
| Exelon Corp. | 5,712 | 238,248 |
| FirstEnergy Corp. | 7,121 | 243,111 |
| Iberdrola SA (Spain) | 2,976 | 23,633 |
| Innogy SE (Germany) | 1,632 | 75,436 |
| Inter RAO UES PJSC (Russia) | 332,297 | 20,966 |
| KEC International, Ltd. (India) | 10,426 | 52,448 |
| OGE Energy Corp. | 1,531 | 54,749 |
| Pampa Energia SA ADR (Argentina) † | 512 | 32,625 |
| PPL Corp. | 4,580 | 167,949 |
| RusHydro PJSC ADR (Russia) | 23,816 | 31,437 |
| 2,335,159 |
| 20 Dynamic Asset Allocation Equity Fund | |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Electronics (2.9%) | ||
| Agilent Technologies, Inc. | 2,167 | $150,043 |
| Casetek Holdings, Ltd. (Taiwan) | 11,000 | 42,873 |
| Elite Material Co., Ltd. (Taiwan) | 14,000 | 53,357 |
| Hoya Corp. (Japan) | 1,100 | 53,528 |
| Koh Young Technology, Inc. (South Korea) | 369 | 29,817 |
| MediaTek, Inc. (Taiwan) | 8,000 | 87,969 |
| NXP Semiconductor NV † | 5,683 | 644,395 |
| Rockwell Automation, Inc. | 306 | 59,082 |
| Samsung Electronics Co., Ltd. (South Korea) | 191 | 448,757 |
| Samsung Electronics Co., Ltd. (Preference) (South Korea) | 23 | 44,724 |
| Texas Instruments, Inc. | 7,633 | 742,615 |
| Trimble Inc. † | 1,593 | 66,890 |
| 2,424,050 | ||
| Energy (other) (0.1%) | ||
| Canvest Environmental Protection Group Co., Ltd. (China) | 66,000 | 38,741 |
| Vestas Wind Systems A/S (Denmark) | 683 | 43,712 |
| 82,453 | ||
| Engineering and construction (0.3%) | ||
| ACS Actividades de Construccion y Servicios SA (Spain) | 3,419 | 132,258 |
| CTCI Corp. (Taiwan) | 24,000 | 35,258 |
| Jacobs Engineering Group, Inc. | 1,796 | 117,871 |
| 285,387 | ||
| Entertainment (0.6%) | ||
| Dixon Technologies India, Ltd. (India) † | 558 | 30,530 |
| Dolby Laboratories, Inc. Class A | 618 | 38,427 |
| Live Nation Entertainment, Inc. † | 2,515 | 114,131 |
| Royal Caribbean Cruises, Ltd. | 2,546 | 315,398 |
| 498,486 | ||
| Financial (1.7%) | ||
| 3i Group PLC (United Kingdom) | 18,388 | 224,060 |
| AerCap Holdings NV (Ireland) † | 604 | 31,390 |
| Ally Financial, Inc. | 5,871 | 157,695 |
| Assurant, Inc. | 710 | 71,618 |
| BGC Partners, Inc. Class A | 2,492 | 40,694 |
| CoreLogic, Inc. † | 598 | 26,079 |
| CTBC Financial Holding Co., Ltd. (Taiwan) | 93,000 | 62,234 |
| DGB Financial Group, Inc. (South Korea) | 3,686 | 33,976 |
| Edelweiss Financial Services, Ltd. (India) | 12,810 | 58,861 |
| Hana Financial Group, Inc. (South Korea) | 1,443 | 62,890 |
| HSBC Holdings PLC (United Kingdom) | 3,816 | 37,880 |
| Mizuho Financial Group, Inc. (Japan) | 100,216 | 182,504 |
| ORIX Corp. (Japan) | 9,900 | 170,794 |
| Shriram Transport Finance Co., Ltd. (India) | 1,520 | 31,454 |
| Sumitomo Mitsui Financial Group, Inc. (Japan) | 4,907 | 199,461 |
| UNIFIN Financiera, SAB de CV SOFOM, E.N.R. (Mexico) | 14,015 | 45,869 |
| Wharf Real Estate Investment Co., Ltd. (Hong Kong) † | 4,000 | 24,174 |
| 1,461,633 |
| Dynamic Asset Allocation Equity Fund 21 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Food (2.4%) | ||
| Associated British Foods PLC (United Kingdom) | 2,598 | $103,579 |
| BIM Birlesik Magazalar AS (Turkey) | 1,442 | 26,642 |
| ConAgra Foods, Inc. | 4,776 | 178,288 |
| Distribuidora Internacional de Alimentacion SA (Spain) | 3,677 | 17,305 |
| Gruma SAB de CV Class B (Mexico) | 3,775 | 46,764 |
| Hershey Co. (The) | 2,024 | 224,522 |
| Ingredion, Inc. | 947 | 131,141 |
| Lamb Weston Holdings, Inc. | 1,755 | 95,419 |
| Nestle SA (Switzerland) | 1,369 | 117,243 |
| NH Foods, Ltd. (Japan) | 1,000 | 24,691 |
| Pinnacle Foods, Inc. | 1,583 | 92,178 |
| Tate & Lyle PLC (United Kingdom) | 16,441 | 149,640 |
| Tyson Foods, Inc. Class A | 5,858 | 481,821 |
| WH Group, Ltd. (Hong Kong) | 145,500 | 154,917 |
| WM Morrison Supermarkets PLC (United Kingdom) | 47,023 | 137,554 |
| X5 Retail Group NV GDR (Russia) † | 1,148 | 42,591 |
| 2,024,295 | ||
| Forest products and packaging (0.3%) | ||
| Domtar Corp. | 1,058 | 51,017 |
| Packaging Corp. of America | 1,559 | 184,897 |
| 235,914 | ||
| Health-care services (4.3%) | ||
| Alfresa Holdings Corp. (Japan) | 500 | 10,759 |
| Anthem, Inc. | 2,333 | 548,162 |
| Charles River Laboratories International, Inc. † | 735 | 76,587 |
| Cigna Corp. | 2,112 | 447,174 |
| Fleury SA (Brazil) | 4,594 | 36,812 |
| Fresenius Medical Care AG & Co., KGaA (Germany) | 810 | 80,474 |
| Humana, Inc. | 1,601 | 417,637 |
| McKesson Corp. | 2,961 | 437,458 |
| Medipal Holdings Corp. (Japan) | 2,500 | 48,648 |
| Premier, Inc. Class A † | 964 | 27,975 |
| UnitedHealth Group, Inc. | 5,741 | 1,309,924 |
| WellCare Health Plans, Inc. † | 846 | 180,190 |
| 3,621,800 | ||
| Homebuilding (0.6%) | ||
| Berkeley Group Holdings PLC (The) (United Kingdom) | 2,318 | 119,626 |
| NVR, Inc. † | 39 | 135,525 |
| Taylor Wimpey PLC (United Kingdom) | 61,581 | 162,817 |
| Thor Industries, Inc. | 825 | 126,679 |
| 544,647 | ||
| Household furniture and appliances (0.2%) | ||
| Electrolux AB Ser. B (Sweden) | 4,173 | 138,586 |
| 138,586 | ||
| Insurance (4.0%) | ||
| Aflac, Inc. | 3,470 | 304,111 |
| AIA Group, Ltd. (Hong Kong) | 3,600 | 29,343 |
| Allianz SE (Germany) | 1,159 | 273,348 |
| Allstate Corp. (The) | 3,299 | 338,675 |
| 22 Dynamic Asset Allocation Equity Fund | |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Insurance cont. | ||
| American Financial Group, Inc. | 507 | $53,265 |
| Assured Guaranty, Ltd. | 1,588 | 57,660 |
| AXA SA (France) | 6,049 | 182,515 |
| Dongbu Insurance Co., Ltd. (South Korea) | 576 | 36,246 |
| Hartford Financial Services Group, Inc. (The) | 4,249 | 244,063 |
| Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) | 785 | 31,296 |
| ING Life Insurance Korea, Ltd. (South Korea) | 1,084 | 54,277 |
| IRB Brasil Resseguros S/A (Brazil) | 9,277 | 97,348 |
| Lincoln National Corp. | 2,043 | 156,392 |
| Mapfre SA (Spain) | 10,784 | 36,274 |
| Muenchener Rueckversicherungs-Gesellschaft | ||
| AG in Muenchen (Germany) | 742 | 165,108 |
| NN Group NV (Netherlands) | 3,714 | 163,142 |
| Ping An Insurance Group Co. of China, Ltd. (China) | 11,500 | 113,709 |
| Principal Financial Group, Inc. | 1,575 | 111,494 |
| Prudential Financial, Inc. | 3,341 | 387,021 |
| Reinsurance Group of America, Inc. | 501 | 81,187 |
| Swiss Re AG (Switzerland) | 1,875 | 175,731 |
| Torchmark Corp. | 636 | 56,509 |
| Travelers Cos., Inc. (The) | 870 | 117,946 |
| Unum Group | 2,149 | 121,676 |
| 3,388,336 | ||
| Investment banking/Brokerage (1.5%) | ||
| Ameriprise Financial, Inc. | 1,943 | 317,156 |
| Daiwa Securities Group, Inc. (Japan) | 4,000 | 24,963 |
| E*Trade Financial Corp. † | 7,245 | 348,774 |
| Goldman Sachs Group, Inc. (The) | 1,162 | 287,758 |
| Morgan Stanley | 2,970 | 153,282 |
| Nomura Holdings, Inc. (Japan) | 19,800 | 118,991 |
| Raymond James Financial, Inc. | 386 | 34,084 |
| 1,285,008 | ||
| Lodging/Tourism (0.8%) | ||
| Carnival PLC (United Kingdom) | 2,335 | 150,503 |
| Extended Stay America, Inc. (Units) | 4,465 | 78,004 |
| Genting Bhd (Malaysia) | 13,900 | 29,926 |
| Hilton Grand Vacations, Inc. † | 660 | 26,380 |
| Hilton Worldwide Holdings, Inc. | 2,950 | 228,802 |
| Hyatt Hotels Corp. Class A † | 538 | 38,930 |
| TUI AG (Germany) | 7,967 | 146,965 |
| 699,510 | ||
| Machinery (0.7%) | ||
| BWX Technologies, Inc. | 1,418 | 88,554 |
| Cummins, Inc. | 2,189 | 366,439 |
| Hitachi, Ltd. (Japan) | 20,000 | 149,192 |
| 604,185 | ||
| Manufacturing (0.7%) | ||
| Crane Co. | 325 | 27,745 |
| Ingersoll-Rand PLC | 2,966 | 259,881 |
| Jain Irrigation Systems, Ltd. (India) | 17,564 | 32,971 |
| Dynamic Asset Allocation Equity Fund 23 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Manufacturing cont. | ||
| Oshkosh Corp. | 316 | $28,453 |
| Parker Hannifin Corp. | 1,471 | 275,798 |
| 624,848 | ||
| Media (0.7%) | ||
| Lagardere SCA (France) | 618 | 20,254 |
| Naspers, Ltd. Class N (South Africa) | 792 | 212,954 |
| Walt Disney Co. (The) | 3,224 | 337,940 |
| 571,148 | ||
| Medical services (0.1%) | ||
| Service Corp. International/US | 1,694 | 62,593 |
| 62,593 | ||
| Medical technology (0.1%) | ||
| Bruker Corp. | 1,010 | 35,532 |
| Vieworks Co., Ltd. (South Korea) | 645 | 23,391 |
| 58,923 | ||
| Metals (0.7%) | ||
| Anglo American PLC (United Kingdom) | 2,626 | 48,264 |
| BHP Billiton, Ltd. (Australia) | 3,334 | 69,291 |
| Fortescue Metals Group, Ltd. (Australia) | 10,240 | 35,833 |
| Hindalco Industries, Ltd. (India) | 11,424 | 42,854 |
| Korea Zinc Co., Ltd. (South Korea) | 118 | 52,904 |
| Mitsubishi Materials Corp. (Japan) | 400 | 13,394 |
| Newmont Mining Corp. | 3,473 | 128,466 |
| Rio Tinto PLC (United Kingdom) | 1,237 | 58,577 |
| Skipper, Ltd. (India) † | 11,869 | 50,793 |
| United Co. RUSAL PLC (RUSAL) (Russia) | 33,000 | 20,092 |
| voestalpine AG (Austria) | 699 | 40,609 |
| 561,077 | ||
| Natural gas utilities (0.8%) | ||
| Centrica PLC (United Kingdom) | 54,109 | 105,814 |
| ENI SpA (Italy) | 1,005 | 16,520 |
| Gas Natural SDG SA (Spain) | 441 | 9,858 |
| Kinder Morgan, Inc. | 18,510 | 318,927 |
| NiSource, Inc. | 986 | 27,145 |
| UGI Corp. | 2,574 | 126,152 |
| Vectren Corp. | 645 | 44,828 |
| 649,244 | ||
| Office equipment and supplies (0.2%) | ||
| Avery Dennison Corp. | 1,275 | 145,503 |
| 145,503 | ||
| Oil and gas (4.4%) | ||
| Caltex Australia, Ltd. (Australia) | 1,227 | 31,676 |
| Chevron Corp. | 5,765 | 685,977 |
| Exxon Mobil Corp. | 12,024 | 1,001,479 |
| Indian Oil Corp., Ltd. (India) | 4,843 | 29,681 |
| Lukoil PJSC ADR (Russia) | 985 | 54,717 |
| Marathon Petroleum Corp. | 5,473 | 342,774 |
| Petroleo Brasileiro SA — Petrobras ADR (Brazil) † | 2,208 | 21,462 |
| Petroleo Brasileiro SA — Petrobras ADR (Preference) (Brazil) † | 1,289 | 12,091 |
| 24 Dynamic Asset Allocation Equity Fund | |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Oil and gas cont. | ||
| PTT PCL (Foreign depositary shares) (Thailand) | 5,900 | $74,427 |
| Repsol SA (Spain) | 9,700 | 178,030 |
| Royal Dutch Shell PLC Class B (United Kingdom) | 3,042 | 98,263 |
| Total SA (France) | 5,016 | 283,022 |
| Valero Energy Corp. | 6,787 | 581,103 |
| Williams Cos., Inc. (The) | 11,991 | 348,339 |
| 3,743,041 | ||
| Pharmaceuticals (4.8%) | ||
| AbbVie, Inc. | 3,483 | 337,572 |
| Allergan PLC | 155 | 26,944 |
| AstraZeneca PLC (United Kingdom) | 347 | 22,418 |
| Bayer AG (Germany) | 675 | 86,086 |
| Bristol-Myers Squibb Co. | 4,052 | 256,046 |
| China Traditional Chinese Medicine Holdings Co., Ltd. (China) | 88,000 | 46,482 |
| Eli Lilly & Co. | 5,277 | 446,645 |
| GlaxoSmithKline PLC (United Kingdom) | 11,262 | 194,877 |
| Johnson & Johnson | 6,763 | 942,289 |
| Merck & Co., Inc. | 8,214 | 453,988 |
| Mitsubishi Tanabe Pharma Corp. (Japan) | 3,400 | 73,623 |
| Novartis AG (Switzerland) | 3,860 | 330,381 |
| Pfizer, Inc. | 3,353 | 121,580 |
| Richter Gedeon Nyrt (Hungary) | 2,134 | 55,144 |
| Roche Holding AG (Switzerland) | 1,269 | 320,169 |
| Sanofi (France) | 2,650 | 241,609 |
| Shionogi & Co., Ltd. (Japan) | 2,300 | 128,381 |
| 4,084,234 | ||
| Photography/Imaging (0.1%) | ||
| Sunny Optical Technology Group Co., Ltd. (China) | 3,000 | 50,920 |
| 50,920 | ||
| Publishing (0.5%) | ||
| GEDI Gruppo Editoriale SpA (Italy) † | 302 | 249 |
| News Corp. Class A | 3,550 | 57,368 |
| S&P Global, Inc. | 1,810 | 299,519 |
| Toppan Printing Co., Ltd. (Japan) | 6,000 | 56,155 |
| 413,291 | ||
| Railroads (1.0%) | ||
| Central Japan Railway Co. (Japan) | 900 | 167,540 |
| Union Pacific Corp. | 5,697 | 720,671 |
| 888,211 | ||
| Real estate (3.3%) | ||
| AGNC Investment Corp. R | 8,228 | 163,737 |
| Apartment Investment & Management Co. Class A R | 1,426 | 62,872 |
| Apple Hospitality REIT, Inc. R | 2,242 | 43,674 |
| Barratt Developments PLC (United Kingdom) | 11,795 | 96,666 |
| Brandywine Realty Trust R | 2,124 | 36,597 |
| Brixmor Property Group, Inc. R | 3,819 | 69,009 |
| Camden Property Trust R | 1,081 | 98,674 |
| CBRE Group, Inc. Class A † | 2,582 | 111,956 |
| Cheung Kong Property Holdings, Ltd. (Hong Kong) | 17,500 | 148,168 |
| Dynamic Asset Allocation Equity Fund 25 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Real estate cont. | ||
| Chimera Investment Corp. R | 2,101 | $38,448 |
| Colony NorthStar, Inc. Class A R | 5,546 | 67,606 |
| Duke Realty Corp. R | 3,332 | 93,729 |
| Equity Commonwealth † R | 883 | 26,543 |
| Equity Lifestyle Properties, Inc. R | 539 | 48,677 |
| Equity Residential Trust R | 3,019 | 201,730 |
| Fonciere Des Regions (France) R | 1,453 | 155,459 |
| Forest City Realty Trust, Inc. Class A R | 2,797 | 66,988 |
| Gaming and Leisure Properties, Inc. R | 1,020 | 37,046 |
| HCP, Inc. R | 4,963 | 131,222 |
| Highwoods Properties, Inc. R | 1,243 | 63,132 |
| Hudson Pacific Properties, Inc. R | 1,221 | 43,504 |
| Kerry Properties, Ltd. (Hong Kong) | 14,500 | 64,488 |
| KWG Property Holding, Ltd. (China) | 37,500 | 39,952 |
| Liberty Property Trust R | 1,322 | 59,331 |
| MFA Financial, Inc. R | 3,445 | 27,560 |
| MRV Engenharia e Participacoes SA (Brazil) | 12,081 | 49,270 |
| Nomura Real Estate Holdings, Inc. (Japan) | 1,400 | 32,375 |
| Outfront Media, Inc. R | 1,563 | 36,668 |
| Park Hotels & Resorts, Inc. R | 2,792 | 81,526 |
| Persimmon PLC (United Kingdom) | 4,606 | 158,221 |
| Realogy Holdings Corp. | 2,849 | 79,516 |
| Senior Housing Properties Trust R | 1,397 | 26,753 |
| Spirit Realty Capital, Inc. R | 9,395 | 80,233 |
| Starwood Property Trust, Inc. R | 2,740 | 59,403 |
| Sun Hung Kai Properties, Ltd. (Hong Kong) | 4,000 | 65,660 |
| Vornado Realty Trust R | 1,631 | 126,598 |
| Wharf Holdings, Ltd. (The) (Hong Kong) | 4,000 | 12,618 |
| WP Carey, Inc. R | 378 | 26,906 |
| 2,832,515 | ||
| Restaurants (1.0%) | ||
| Gourmet Master Co., Ltd. (Taiwan) | 3,000 | 37,801 |
| Jubilant Foodworks, Ltd. (India) | 1,362 | 37,764 |
| McDonald’s Corp. | 3,206 | 551,336 |
| Yum! Brands, Inc. | 2,223 | 185,554 |
| 812,455 | ||
| Retail (4.6%) | ||
| Amazon.com, Inc. † | 152 | 178,866 |
| Harvey Norman Holdings, Ltd. (Australia) S | 18,260 | 55,793 |
| Home Depot, Inc. (The) | 4,966 | 892,986 |
| J Sainsbury PLC (United Kingdom) | 46,049 | 144,669 |
| KAR Auction Services, Inc. | 1,769 | 89,105 |
| Kingfisher PLC (United Kingdom) | 29,641 | 133,889 |
| Lowe’s Cos., Inc. | 9,342 | 778,843 |
| Marks & Spencer Group PLC (United Kingdom) | 31,168 | 132,019 |
| Padini Holdings Bhd (Malaysia) | 25,200 | 31,140 |
| Poya International Co., Ltd. (Taiwan) | 5,030 | 62,590 |
| PVH Corp. | 1,977 | 266,005 |
| Robinsons Retail Holdings, Inc. (Philippines) | 16,420 | 31,704 |
| 26 Dynamic Asset Allocation Equity Fund |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Retail cont. | ||
| Ross Stores, Inc. | 4,158 | $316,133 |
| TJX Cos., Inc. (The) | 2,826 | 213,504 |
| Toro Co. (The) | 778 | 50,765 |
| Wal-Mart de Mexico SAB de CV (Mexico) | 25,286 | 59,704 |
| Walgreens Boots Alliance, Inc. | 5,589 | 406,656 |
| Yue Yuen Industrial Holdings, Ltd. (Hong Kong) | 6,500 | 23,286 |
| 3,867,657 | ||
| Schools (—%) | ||
| Ser Educacional SA 144A (Brazil) | 4,118 | 37,098 |
| 37,098 | ||
| Semiconductor (0.9%) | ||
| Applied Materials, Inc. | 3,616 | 190,816 |
| KLA-Tencor Corp. | 2,303 | 235,459 |
| Maxim Integrated Products, Inc. | 3,705 | 193,883 |
| Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 15,000 | 112,927 |
| 733,085 | ||
| Shipping (—%) | ||
| Yangzijiang Shipbuilding Holdings, Ltd. (China) | 16,700 | 19,447 |
| 19,447 | ||
| Software (5.1%) | ||
| Adobe Systems, Inc. † | 914 | 165,864 |
| Amdocs, Ltd. | 2,659 | 173,606 |
| Cadence Design Systems, Inc. † | 2,678 | 117,591 |
| Chinasoft International, Ltd. (China) | 58,000 | 37,655 |
| Electronic Arts, Inc. † | 3,899 | 414,659 |
| F5 Networks, Inc. † | 1,209 | 162,248 |
| Intuit, Inc. | 2,369 | 372,454 |
| Microsoft Corp. | 25,701 | 2,163,253 |
| Tencent Holdings, Ltd. (China) | 7,800 | 402,629 |
| VMware, Inc. Class A † S | 2,502 | 300,515 |
| 4,310,474 | ||
| Staffing (0.1%) | ||
| ManpowerGroup, Inc. | 994 | 128,127 |
| 128,127 | ||
| Technology services (5.0%) | ||
| Alibaba Group Holding, Ltd. ADR (China) † S | 1,891 | 334,858 |
| Alphabet, Inc. Class A † | 2,049 | 2,123,112 |
| AtoS SE (France) | 445 | 65,810 |
| Cognizant Technology Solutions Corp. Class A | 1,444 | 104,372 |
| Dun & Bradstreet Corp. (The) | 935 | 115,108 |
| DXC Technology Co. | 3,185 | 306,206 |
| Facebook, Inc. Class A † | 2,704 | 479,095 |
| IBM Corp. | 3,235 | 498,093 |
| Mixi, Inc. (Japan) | 300 | 13,969 |
| NCSOFT Corp. (South Korea) | 98 | 39,295 |
| Sogou, Inc. ADR (China) † S | 2,179 | 26,802 |
| Yandex NV Class A (Russia) † | 1,325 | 43,871 |
| Zebra Technologies Corp. Class A † | 513 | 56,594 |
| 4,207,185 |
| Dynamic Asset Allocation Equity Fund 27 |
| COMMON STOCKS (88.6%)* cont. | Shares | Value |
| Telecommunications (0.6%) | ||
| BT Group PLC (United Kingdom) | 11,119 | $39,217 |
| Eutelsat Communications SA (France) | 571 | 12,927 |
| Juniper Networks, Inc. | 9,008 | 250,062 |
| Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 213,400 | 65,919 |
| Telstra Corp., Ltd. (Australia) | 49,589 | 128,978 |
| Turkcell Iletisim Hizmetleri AS (Turkey) | 9,454 | 36,721 |
| 533,824 | ||
| Telephone (2.0%) | ||
| KDDI Corp. (Japan) | 7,000 | 200,941 |
| Nippon Telegraph & Telephone Corp. (Japan) | 3,600 | 188,784 |
| Telecom Argentina SA ADR (Argentina) † S | 1,077 | 37,469 |
| Verizon Communications, Inc. | 24,492 | 1,246,390 |
| 1,673,584 | ||
| Textiles (0.8%) | ||
| Carter’s, Inc. | 424 | 45,928 |
| Michael Kors Holdings, Ltd. † | 3,234 | 188,995 |
| Nameson Holdings, Ltd. (Hong Kong) | 46,000 | 16,079 |
| Ralph Lauren Corp. | 4,642 | 441,686 |
| 692,688 | ||
| Tobacco (0.1%) | ||
| Swedish Match AB (Sweden) | 1,671 | 63,199 |
| 63,199 | ||
| Toys (0.3%) | ||
| Hasbro, Inc. | 1,993 | 185,389 |
| JUMBO SA (Greece) | 1,493 | 22,568 |
| Namco Bandai Holdings, Inc. (Japan) | 900 | 29,342 |
| 237,299 | ||
| Transportation services (0.4%) | ||
| Beijing Capital International Airport Co., Ltd. (China) | 18,000 | 26,753 |
| Deutsche Post AG (Germany) | 4,748 | 225,431 |
| Royal Mail PLC (United Kingdom) | 15,570 | 93,050 |
| 345,234 | ||
| Trucks and parts (0.4%) | ||
| Allison Transmission Holdings, Inc. | 6,563 | 269,346 |
| Iochpe Maxion SA (Brazil) | 5,497 | 35,735 |
| JTEKT Corp (Japan) | 2,100 | 36,265 |
| 341,346 | ||
| Waste Management (0.2%) | ||
| Waste Management, Inc. | 2,571 | 211,465 |
| 211,465 | ||
| Water Utilities (0.1%) | ||
| China Water Affairs Group, Ltd. (China) | 66,000 | 52,723 |
| 52,723 | ||
| Total common stocks (cost $61,387,317) | $74,939,669 | |
| INVESTMENT COMPANIES (1.7%)* | Shares | Value |
| iShares MSCI EAFE ETF | 5,048 | $353,915 |
| SPDR S&P 500 ETF Trust | 3,651 | 967,552 |
| SPDR S&P MidCap 400 ETF Trust | 373 | 129,024 |
| Total investment companies (cost $1,388,755) | $1,450,491 | |
| 28 Dynamic Asset Allocation Equity Fund | |
| Expiration | Strike | |||
| WARRANTS (0.2%)* † | date | price | Warrants | Value |
| Jiangsu NHWA Pharmaceutical Co., Ltd. | ||||
| 144A (China) | 7/27/18 | $0.00 | 12,200 | $25,689 |
| Qingdao Haier Co., Ltd. 144A (China) | 9/24/18 | 0.00 | 16,200 | 42,370 |
| Shanghai International Airport Co., Ltd. | ||||
| 144A (China) | 5/7/18 | 0.00 | 5,300 | 33,504 |
| Tonghua Dongbao Pharmaceutical Co., Ltd. | ||||
| 144A (China) | 11/12/18 | 0.00 | 9,800 | 33,488 |
| Wuliangye Yibin Co., Ltd. 144A (China) | 4/12/18 | 0.00 | 99 | 982 |
| Total warrants (cost $120,745) | $136,033 |
| PURCHASED OPTIONS | Expiration | ||||
| OUTSTANDING (0.0%)* | date/strike | Notional | Contract | ||
| Counterparty | price | amount | amount | Value | |
| Bank of America N.A. | |||||
| USD/CNH (Put) | Dec-17/CNH 6.50 | $857,300 | $857,300 | $5 | |
| Barclays Bank PLC | |||||
| GBP/USD (Call) | Feb-18/1.40 | 1,328,868 | GBP | 982,600 | 5,975 |
| USD/MXN (Call) | May-18/MXN 21.50 | 983,000 | $983,000 | 8,912 | |
| JPMorgan Chase Bank N.A. | |||||
| USD/JPY (Put) | Jan-18/JPY 107.00 | 1,587,500 | 1,587,500 | 1,325 | |
| UBS AG | |||||
| IShares MSCI Emerging | |||||
| Markets ETF (Put) | Dec-17/$43.00 | 564,725 | 12,250 | 753 | |
| Total purchased options outstanding (cost $38,096) | $16,970 | ||||
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (12.0%)* | shares | Value | |
| Putnam Cash Collateral Pool, LLC 1.31% d | Shares | 936,430 | $936,430 |
| Putnam Short Term Investment Fund 1.23% L | Shares | 8,866,801 | 8,866,801 |
| U.S. Treasury Bills 1.043%, 12/7/17 | $7,000 | 6,999 | |
| U.S. Treasury Bills 1.059%, 1/18/18 # | 295,000 | 294,560 | |
| Total short-term investments (cost $10,104,821) | $10,104,790 | ||
| TOTAL INVESTMENTS | |
| Total investments (cost $73,039,734) | $86,647,953 |
| Key to holding’s currency abbreviations | |
| CNH | Chinese Yuan (Offshore) |
| GBP | British Pound |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| Key to holding’s abbreviations | |
| ADR | American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| ETF | Exchange Traded Fund |
| GDR | Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| PJSC | Public Joint Stock Company |
| SPDR | S&P Depository Receipts |
| Dynamic Asset Allocation Equity Fund 29 |
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, 2017 through November 30, 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 $84,553,833.
† This security is non-income-producing.
# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $255,590 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 5).
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.
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.
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 $125,836 to cover certain derivative contracts and the settlement of certain securities.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
| DIVERSIFICATION BY COUNTRY | ||||
| Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any | ||||
| (as a percentage of Portfolio Value): | ||||
| United States | 76.5% | Spain | 0.8% | |
| Japan | 4.4 | Australia | 0.8 | |
| United Kingdom | 3.0 | India | 0.7 | |
| China | 2.1 | Hong Kong | 0.6 | |
| France | 2.1 | Italy | 0.5 | |
| Germany | 1.9 | Brazil | 0.5 | |
| Switzerland | 1.3 | Other | 2.8 | |
| South Korea | 1.1 | Total | 100.0% | |
| Taiwan | 0.9 | |||
| FORWARD CURRENCY CONTRACTS at 11/30/17 (aggregate face value $13,425,616) (Unaudited) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Australian Dollar | Buy | 1/17/18 | $17,771 | $20,063 | $(2,292) | |
| British Pound | Buy | 12/20/17 | 454,551 | 441,635 | 12,916 | |
| British Pound | Sell | 12/20/17 | 454,551 | 442,590 | (11,961) | |
| Canadian Dollar | Sell | 1/17/18 | 22,029 | 22,746 | 717 | |
| Euro | Buy | 12/20/17 | 222,338 | 220,682 | 1,656 | |
| Norwegian Krone | Buy | 12/20/17 | 216,418 | 229,458 | (13,040) | |
| Russian Ruble | Buy | 12/20/17 | 355,976 | 353,655 | 2,321 | |
| Russian Ruble | Sell | 12/20/17 | 355,976 | 354,000 | (1,976) | |
| 30 Dynamic Asset Allocation Equity Fund | |
| FORWARD CURRENCY CONTRACTS at 11/30/17 (aggregate face value $13,425,616) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Barclays Bank PLC | ||||||
| Australian Dollar | Buy | 1/17/18 | $77,437 | $80,646 | $(3,209) | |
| British Pound | Sell | 12/20/17 | 165,907 | 160,768 | (5,139) | |
| Euro | Buy | 12/20/17 | 38,724 | 33,462 | 5,262 | |
| Hong Kong Dollar | Sell | 2/22/18 | 12,304 | 12,334 | 30 | |
| Japanese Yen | Buy | 2/22/18 | 2,980 | 4,824 | (1,844) | |
| Swedish Krona | Sell | 12/20/17 | 80,297 | 80,361 | 64 | |
| Swiss Franc | Buy | 12/20/17 | 55,272 | 56,780 | (1,508) | |
| Citibank, N.A. | ||||||
| Australian Dollar | Buy | 1/17/18 | 79,630 | 80,375 | (745) | |
| Brazilian Real | Buy | 1/3/18 | 36,327 | 38,694 | (2,367) | |
| Brazilian Real | Buy | 4/3/18 | 161,754 | 162,238 | (484) | |
| British Pound | Sell | 12/20/17 | 122,197 | 115,861 | (6,336) | |
| Danish Krone | Buy | 12/20/17 | 225,500 | 224,461 | 1,039 | |
| Euro | Buy | 12/20/17 | 66,487 | 65,833 | 654 | |
| Japanese Yen | Buy | 2/22/18 | 82,688 | 82,609 | 79 | |
| New Zealand Dollar | Sell | 1/17/18 | 157,585 | 159,197 | 1,612 | |
| Norwegian Krone | Buy | 12/20/17 | 205,630 | 217,576 | (11,946) | |
| Russian Ruble | Buy | 12/20/17 | 170,833 | 169,407 | 1,426 | |
| Russian Ruble | Sell | 12/20/17 | 170,833 | 169,469 | (1,364) | |
| Swedish Krona | Sell | 12/20/17 | 11,914 | 14,774 | 2,860 | |
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 1/17/18 | 79,403 | 80,946 | (1,543) | |
| Euro | Buy | 12/20/17 | 98,062 | 99,065 | (1,003) | |
| Euro | Sell | 12/20/17 | 98,062 | 98,207 | 145 | |
| Japanese Yen | Buy | 2/22/18 | 164,224 | 162,949 | 1,275 | |
| Norwegian Krone | Buy | 12/20/17 | 3,163 | 3,389 | (226) | |
| Swedish Krona | Sell | 12/20/17 | 1,591 | 1,611 | 20 | |
| Swiss Franc | Buy | 12/20/17 | 137,315 | 141,030 | (3,715) | |
| Swiss Franc | Sell | 12/20/17 | 137,315 | 137,513 | 198 | |
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 1/17/18 | 3,932 | 3,542 | 390 | |
| Brazilian Real | Sell | 1/3/18 | 41,929 | 39,125 | (2,804) | |
| Brazilian Real | Buy | 4/3/18 | 161,753 | 161,816 | (63) | |
| British Pound | Sell | 12/20/17 | 40,733 | 39,744 | (989) | |
| Euro | Sell | 12/20/17 | 156,447 | 156,931 | 484 | |
| Hungarian Forint | Buy | 12/20/17 | 85,777 | 86,623 | (846) | |
| Hungarian Forint | Sell | 12/20/17 | 85,777 | 86,879 | 1,102 | |
| Japanese Yen | Buy | 2/22/18 | 171,012 | 170,283 | 729 | |
| New Zealand Dollar | Sell | 1/17/18 | 235,387 | 238,517 | 3,130 | |
| Norwegian Krone | Buy | 12/20/17 | 152,365 | 159,715 | (7,350) | |
| South African Rand | Sell | 1/17/18 | 86,178 | 81,487 | (4,691) | |
| Swedish Krona | Sell | 12/20/17 | 81,350 | 82,541 | 1,191 | |
| Turkish Lira | Buy | 12/20/17 | 320,440 | 355,577 | (35,137) | |
| Turkish Lira | Sell | 12/20/17 | 320,440 | 341,325 | 20,885 | |
| Dynamic Asset Allocation Equity Fund 31 |
| FORWARD CURRENCY CONTRACTS at 11/30/17 (aggregate face value $13,425,616) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| HSBC Bank USA, National Association | ||||||
| British Pound | Buy | 12/20/17 | $124,228 | $118,057 | $6,171 | |
| Canadian Dollar | Sell | 1/17/18 | 79,507 | 79,973 | 466 | |
| Euro | Buy | 12/20/17 | 167,052 | 166,819 | 233 | |
| Euro | Sell | 12/20/17 | 167,052 | 166,878 | (174) | |
| Japanese Yen | Sell | 2/22/18 | 82,707 | 81,575 | (1,132) | |
| Mexican Peso | Buy | 1/17/18 | 2,567 | 561 | 2,006 | |
| New Zealand Dollar | Buy | 1/17/18 | 80,261 | 81,470 | (1,209) | |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 1/17/18 | 86,133 | 86,655 | (522) | |
| British Pound | Sell | 12/20/17 | 61,166 | 59,434 | (1,732) | |
| Euro | Buy | 12/20/17 | 163,000 | 156,675 | 6,325 | |
| Japanese Yen | Sell | 2/22/18 | 1,072,700 | 1,057,985 | (14,715) | |
| New Zealand Dollar | Sell | 1/17/18 | 161,683 | 163,498 | 1,815 | |
| Norwegian Krone | Buy | 12/20/17 | 75,250 | 84,025 | (8,775) | |
| Singapore Dollar | Buy | 2/22/18 | 199,990 | 198,458 | 1,532 | |
| Swedish Krona | Sell | 12/20/17 | 122,043 | 124,947 | 2,904 | |
| Swiss Franc | Sell | 12/20/17 | 53,745 | 51,652 | (2,093) | |
| Royal Bank of Scotland PLC (The) | ||||||
| Australian Dollar | Buy | 1/17/18 | 33,274 | 35,799 | (2,525) | |
| Canadian Dollar | Buy | 1/17/18 | 92,383 | 93,920 | (1,537) | |
| Euro | Buy | 12/20/17 | 144,651 | 144,543 | 108 | |
| Japanese Yen | Sell | 2/22/18 | 53,968 | 53,224 | (744) | |
| New Zealand Dollar | Sell | 1/17/18 | 73,362 | 70,903 | (2,459) | |
| Norwegian Krone | Buy | 12/20/17 | 42,526 | 42,170 | 356 | |
| Swedish Krona | Sell | 12/20/17 | 245,341 | 250,234 | 4,893 | |
| Turkish Lira | Buy | 12/20/17 | 256,276 | 281,648 | (25,372) | |
| Turkish Lira | Sell | 12/20/17 | 256,276 | 277,015 | 20,739 | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Buy | 1/17/18 | 190,418 | 196,724 | (6,306) | |
| British Pound | Sell | 12/20/17 | 87,690 | 88,129 | 439 | |
| Canadian Dollar | Buy | 1/17/18 | 80,671 | 81,795 | (1,124) | |
| Euro | Buy | 12/20/17 | 125,467 | 125,969 | (502) | |
| Japanese Yen | Buy | 2/22/18 | 72,009 | 72,977 | (968) | |
| New Zealand Dollar | Sell | 1/17/18 | 114,210 | 107,142 | (7,068) | |
| Norwegian Krone | Buy | 12/20/17 | 124,583 | 138,152 | (13,569) | |
| Swedish Krona | Sell | 12/20/17 | 80,871 | 81,599 | 728 | |
| UBS AG | ||||||
| Australian Dollar | Buy | 1/17/18 | 462,959 | 471,639 | (8,680) | |
| Canadian Dollar | Buy | 1/17/18 | 86,100 | 88,910 | (2,810) | |
| Euro | Buy | 12/20/17 | 163,596 | 157,357 | 6,239 | |
| Japanese Yen | Buy | 2/22/18 | 191,104 | 190,769 | 335 | |
| New Zealand Dollar | Sell | 1/17/18 | 79,646 | 79,989 | 343 | |
| Norwegian Krone | Buy | 12/20/17 | 81,877 | 86,586 | (4,709) | |
| 32 Dynamic Asset Allocation Equity Fund | |
| FORWARD CURRENCY CONTRACTS at 11/30/17 (aggregate face value $13,425,616) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| UBS AG cont. | ||||||
| Norwegian Krone | Sell | 12/20/17 | $81,877 | $82,776 | $899 | |
| Swedish Krona | Sell | 12/20/17 | 87,055 | 88,765 | 1,710 | |
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 1/17/18 | 205,389 | 210,661 | (5,272) | |
| Euro | Buy | 12/20/17 | 78,641 | 78,788 | (147) | |
| Euro | Sell | 12/20/17 | 78,641 | 77,775 | (866) | |
| Japanese Yen | Buy | 2/22/18 | 169,583 | 167,254 | 2,329 | |
| New Zealand Dollar | Sell | 1/17/18 | 79,988 | 80,429 | 441 | |
| Unrealized appreciation | 121,196 | |||||
| Unrealized depreciation | (237,588) | |||||
| Total | $(116,392) | |||||
* The exchange currency for all contracts listed is the United States Dollar.
| FUTURES CONTRACTS OUTSTANDING at 11/30/17 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| Russell 2000 Index E-Mini (Long) | 72 | $5,558,905 | $5,563,440 | Dec-17 | $521,387 |
| S&P 500 Index E-Mini (Long) | 8 | 1,059,032 | 1,059,160 | Dec-17 | 64,824 |
| S&P 500 Index E-Mini (Short) | 6 | 794,274 | 794,370 | Dec-17 | (48,642) |
| Tokyo Price Index (Long) | 5 | 796,162 | 798,347 | Dec-17 | 100,984 |
| Unrealized appreciation | 687,195 | ||||
| Unrealized depreciation | (48,642) | ||||
| Total | $638,553 | ||||
| WRITTEN OPTIONS OUTSTANDING at 11/30/17 (premiums $18,422) (Unaudited) | ||||
| Expiration | Notional | Contract | ||
| Counterparty | date/strike price | amount | amount | Value |
| Bank of America N.A. | ||||
| USD/CNH (Put) | Dec-17/CNH 6.40 | $857,300 | $857,300 | $1 |
| Barclays Bank PLC | ||||
| USD/MXN (Call) | May-18/MXN 22.00 | 983,000 | 983,000 | 6,715 |
| JPMorgan Chase Bank N.A. | ||||
| USD/JPY (Put) | Jan-18/JPY 103.00 | 1,587,500 | 1,587,500 | 120 |
| UBS AG | ||||
| IShares MSCI Emerging | ||||
| Markets ETF (Put) | Jan-18/$103.00 | 564,725 | 12,250 | 368 |
| Total | $7,204 | |||
| Dynamic Asset Allocation Equity Fund 33 |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| Valuation inputs | |||
| Investments in securities: | Level 1 | Level 2 | Level 3 |
| Common stocks *: | |||
| Basic materials | $1,769,511 | $1,000,166 | $— |
| Capital goods | 4,690,091 | 253,686 | — |
| Communication services | 1,901,774 | 584,622 | — |
| Conglomerates | 543,126 | 271,244 | — |
| Consumer cyclicals | 9,299,225 | 774,023 | — |
| Consumer staples | 5,269,493 | 892,691 | — |
| Energy | 3,725,396 | 100,098 | — |
| Financials | 12,613,160 | 2,657,895 | — |
| Government | 68,984 | — | — |
| Health care | 8,688,057 | 331,284 | — |
| Technology | 13,090,754 | 1,470,904 | — |
| Transportation | 1,521,293 | 385,066 | — |
| Utilities and power | 2,931,955 | 105,171 | — |
| Total common stocks | 66,112,819 | 8,826,850 | — |
| Investment companies | 1,450,491 | — | — |
| Purchased options outstanding | — | 16,970 | — |
| Warrants | — | 136,033 | — |
| Short-term investments | 8,866,801 | 1,237,989 | — |
| Totals by level | $76,430,111 | $10,217,842 | $— |
| Valuation inputs | |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Forward currency contracts | $— | $(116,392) | $— |
| Futures contracts | 638,553 | — | — |
| Written options outstanding | — | (7,204) | — |
| Totals by level | $638,553 | $(123,596) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in Note 1), did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
The accompanying notes are an integral part of these financial statements.
| 34 Dynamic Asset Allocation Equity Fund | |
Statement of assets and liabilities 11/30/17 (Unaudited)
| ASSETS | |
| Investment in securities, at value, including $912,645 of securities on loan (Notes 1 and 9): | |
| Unaffiliated issuers (identified cost $63,236,503) | $76,844,722 |
| Affiliated issuers (identified cost $9,803,231) (Notes 1 and 5) | 9,803,231 |
| Foreign currency (cost $82,629) (Note 1) | 82,636 |
| Dividends and interest receivable | 177,671 |
| Foreign tax reclaim | 16,298 |
| Receivable for shares of the fund sold | 108,647 |
| Receivable for investments sold | 111,153 |
| Receivable for investor servicing fees (Note 2) | 719 |
| Receivable for variation margin on futures contracts (Note 1) | 35,778 |
| Unrealized appreciation on forward currency contracts (Note 1) | 121,196 |
| Prepaid assets | 15,353 |
| Total assets | 87,317,404 |
| LIABILITIES | |
| Payable to custodian | 36,735 |
| Payable for investments purchased | 1,383,051 |
| Payable for shares of the fund repurchased | 47,608 |
| Payable for compensation of Manager (Note 2) | 10,645 |
| Payable for custodian fees (Note 2) | 36,816 |
| Payable for Trustee compensation and expenses (Note 2) | 6,755 |
| Payable for administrative services (Note 2) | 344 |
| Payable for variation margin on futures contracts (Note 1) | 14,392 |
| Unrealized depreciation on forward currency contracts (Note 1) | 237,588 |
| Written options outstanding, at value (premiums $18,422) (Note 1) | 7,204 |
| Collateral on securities loaned, at value (Note 1) | 936,430 |
| Other accrued expenses | 46,003 |
| Total liabilities | 2,763,571 |
| Net assets | $84,553,833 |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $62,435,864 |
| Undistributed net investment income (Note 1) | 1,570,674 |
| Accumulated net realized gain on investments and foreign currency transactions (Note 1) | 6,405,316 |
| Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 14,141,979 |
| Total — Representing net assets applicable to capital shares outstanding | $84,553,833 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share ($20,384 divided by 1,435 shares) | $14.20 |
| Offering price per class A share (100/94.25 of $14.20)* | $15.07 |
| Net asset value, offering price and redemption price per class P share | |
| ($84,533,449 divided by 5,935,596 shares) | $14.24 |
* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
The accompanying notes are an integral part of these financial statements.
| Dynamic Asset Allocation Equity Fund 35 |
Statement of operations Six months ended 11/30/17 (Unaudited)
| INVESTMENT INCOME | |
| Dividends (net of foreign tax of $21,101) | $996,548 |
| Interest (including interest income of $46,204 from investments in affiliated issuers) (Note 5) | 47,800 |
| Securities lending (net of expenses) (Notes 1 and 5) | 2,055 |
| Total investment income | 1,046,403 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 247,870 |
| Investor servicing fees (Note 2) | 4,186 |
| Custodian fees (Note 2) | 42,763 |
| Trustee compensation and expenses (Note 2) | 2,268 |
| Administrative services (Note 2) | 1,120 |
| Auditing and tax fees | 48,844 |
| Other | 25,247 |
| Fees waived and reimbursed by Manager (Note 2) | (111,278) |
| Total expenses | 261,020 |
| Expense reduction (Note 2) | (2,671) |
| Net expenses | 258,349 |
| Net investment income | 788,054 |
| Net realized gain on securities from unaffiliated issuers (Notes 1 and 3) | 3,166,503 |
| Net realized gain on forward currency contracts (Note 1) | 154,626 |
| Net realized loss on foreign currency transactions (Note 1) | (1,955) |
| Net realized gain on swap contracts (Note 1) | 368 |
| Net realized gain on futures contracts (Note 1) | 200,014 |
| Net realized loss on written options (Note 1) | (8,110) |
| Net unrealized appreciation of securities in unaffiliated issuers during the period | 4,335,751 |
| Net unrealized depreciation of forward currency contracts during the period | (158,284) |
| Net unrealized appreciation of assets and liabilities in foreign currencies during the period | 946 |
| Net unrealized appreciation of futures contracts during the period | 614,353 |
| Net unrealized appreciation of written options during the period | 11,218 |
| Net gain on investments | 8,315,430 |
| Net increase in net assets resulting from operations | $9,103,484 |
The accompanying notes are an integral part of these financial statements.
| 36 Dynamic Asset Allocation Equity Fund |
Statement of changes in net assets
| INCREASE IN NET ASSETS | Six months ended 11/30/17* | Year ended 5/31/17 |
| Operations | ||
| Net investment income | $788,054 | $1,046,708 |
| Net realized gain on investments | ||
| and foreign currency transactions | 3,511,446 | 4,622,801 |
| Net unrealized appreciation of investments and assets | ||
| and liabilities in foreign currencies | 4,803,984 | 5,651,442 |
| Net increase in net assets resulting from operations | 9,103,484 | 11,320,951 |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
| Class A | — | (210) |
| Class P | — | (923,584) |
| Increase (decrease) from capital share transactions (Note 4) | (6,641,616) | 12,421,898 |
| Total increase in net assets | 2,461,868 | 22,819,055 |
| NET ASSETS | ||
| Beginning of period | 82,091,965 | 59,272,910 |
| End of period (including undistributed net investment | ||
| income of $1,570,674 and $782,620, respectively) | $84,553,833 | $82,091,965 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
| Dynamic Asset Allocation Equity Fund 37 |
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 asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
| beginning | Net investment | gain (loss) | investment | From net | 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 | |||||||||||||
| November 30, 2017** | $12.75 | .11 | 1.34 | 1.45 | — | — | — | $14.20 | 11.37* | $20 | .43* | .81* | 33* |
| May 31, 2017 | 11.05 | .15 | 1.70 | 1.85 | (.15) | — | (0.15) | 12.75 | 16.84 | 18 | .89 | 1.30 | 106 |
| May 31, 2016 | 12.19 | .14 | (.83) | (.69) | (.14) | (.31) | (0.45) | 11.05 | (5.69) | 16 | 1.03e | 1.20e | 109 |
| May 31, 2015 | 13.08 | .13 | 1.26 | 1.39 | (.20) | (2.08) | (2.28) | 12.19 | 11.69 | 34 | 1.03 | .96 | 132 |
| May 31, 2014 | 11.81 | .14 | 2.14 | 2.28 | (.10) | (.91) | (1.01) | 13.08 | 19.95 | 39 | 1.08 | 1.08 | 69 |
| May 31, 2013 | 10.11 | .16 | 2.60 | 2.76 | (.13) | (.93) | (1.06) | 11.81 | 28.69 | 33 | 1.06 | 1.42 | 73 |
| Class P | |||||||||||||
| November 30, 2017** | $12.77 | .13 | 1.34 | 1.47 | — | — | — | $14.24 | 11.51* | $84,533 | .31* | .95* | 33* |
| May 31, 2017# | 11.41 | .14 | 1.38 | 1.52 | (.16) | — | (0.16) | 12.77 | 13.39 * | 82,074 | .45* | 1.20 * | 106 |
* Not annualized.
** Unaudited.
# For the period August 31, 2016 (commencement of operations) to May 31, 2017.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts (Note 2):
| Percentage of average net assets | |||
| Class A | Class P | ||
| November 30, 2017 | 0.13% | 0.13% | |
| May 31, 2017 | 0.29 | 0.23* | |
| May 31, 2016 | 0.33 | — | |
| May 31, 2015 | 0.50 | — | |
| May 31, 2014 | 0.57 | — | |
| May 31, 2013 | 0.76 | — | |
e Reflects a voluntary waiver of certain fund expenses in effect during the period. As a result of such waivers, the expenses of each class reflect a reduction of less than .01% as a percentage of average net assets per share for each class (Note 2):
The accompanying notes are an integral part of these financial statements.
| 38 Dynamic Asset Allocation Equity Fund | Dynamic Asset Allocation Equity Fund 39 |
Notes to financial statements 11/30/17 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from June 1, 2017 through November 30, 2017.
Putnam Dynamic Asset Allocation Equity Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek long-term growth. The fund invests mainly in common stocks (growth or value stocks or both) of large and midsize companies worldwide. Under normal circumstances, the fund invests at least 80% of the fund’s net assets in common stocks. This policy may be changed only after 60 days’ notice to shareholders. While Putnam Management typically allocates approximately 75% of the fund’s assets to investments in U.S. companies, and 25% of the fund’s assets to investments in international companies, these allocations may vary. The fund invests mainly in developed countries, but may invest in emerging markets. Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell investments. Putnam Management may also use derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A and class P shares. Class A shares are sold with a maximum front-end sales charge of 5.75%, and generally do not pay a contingent deferred sales charge. Class P shares are not subject to a contingent deferred sales charge. Class P shares, which are sold at net asset value, are generally subject to the same expenses as class A shares, but do not bear a distribution fee and bear a lower investor servicing fee, which is identified in Note 2. Class P shares are generally only available to corporate and institutional clients and clients in other approved programs. Class P shares are not available to all investors. Effective September 30, 2016, the fund has terminated its class Y shares. As of the end of the reporting period, all of the Class P shares are held by the Putnam RetirementReady Funds.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
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.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
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Security valuation 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. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from
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foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on 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 assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to enhance returns on securities owned, to 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, 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.
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The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to manage exposure to specific securities, and to gain exposure to a basket of securities.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return 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 received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared 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 or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return 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/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $114,815 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements.
Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the
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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 $936,430 and the value of securities loaned amounted to $912,645.
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 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR 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 some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
The aggregate identified cost on a tax basis is $73,390,683, resulting in gross unrealized appreciation and depreciation of $15,103,161 and $1,330,934, respectively, or net unrealized appreciation of $13,772,227.
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
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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:
| 0.750% | of the first $5 billion, | 0.550% | of the next $50 billion, | |
| 0.700% | of the next $5 billion, | 0.530% | of the next $50 billion, | |
| 0.650% | of the next $10 billion, | 0.520% | of the next $100 billion and | |
| 0.600% | of the next $10 billion, | 0.515% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.298% of the fund’s average net assets.
Putnam Management has 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 0.02% of the fund’s average net assets over such fiscal year-to-date period During the reporting period, the fund’s expenses were reduced by $111,278 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.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A and class P 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 P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%.
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During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $24 | ||
| Class P | 4,162 | ||
| Total | $4,186 |
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 $56 under the expense offset arrangements and by $2,615 under the brokerage/ service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $64, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted a distribution plan (the Plan) pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plan is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, for services provided and expenses incurred in distributing shares of the fund. The Plan provides for payment by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35% of the average net assets attributable to class A shares. The Trustees currently have not approved payments under the Plan.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no money on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
| Investments in securities (Long-term) | $25,352,807 | $30,404,419 |
| U.S. government securities (Long-term) | — | — |
| Total | $25,352,807 | $30,404,419 |
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.
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Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| SIX MONTHS ENDED 11/30/17 | YEAR ENDED 5/31/17 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 18 | 210 |
| — | — | 18 | 210 | |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | 18 | $210 |
| FOR THE PERIOD 8/31/16 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 11/30/17 | TO 5/31/17 | |||
| Class P | Shares | Amount | Shares | Amount |
| Shares sold | 964,234 | $12,947,259 | 9,219,940 | $106,567,658 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 78,536 | 923,584 |
| 964,234 | 12,947,259 | 9,298,476 | 107,491,242 | |
| Shares repurchased | (1,456,009) | (19,588,875) | (2,871,105) | (33,718,611) |
| Net increase (decrease) | (491,775) | $(6,641,616) | 6,427,371 | $73,772,631 |
| YEAR ENDED 5/31/17* | ||||
| Class Y | Shares | Amount | ||
| Shares sold | 1,087,903 | $12,171,818 | ||
| Shares issued in connection with reinvestment of distributions | — | — | ||
| 1,087,903 | 12,171,818 | |||
| Shares repurchased | (6,449,269) | (73,522,761) | ||
| Net increase (decrease) | (5,361,366) | $(61,350,943) | ||
* Effective September 30, 2016 the fund liquidated its class Y shares.
At the close of the reporting period, Putnam Investments, LLC owned 945 class A shares of the fund (65.85% of class A shares outstanding), valued at $13,419.
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Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Shares | |||||
| outstanding | |||||
| and fair | |||||
| Fair value as | Purchase | Sale | Investment | value as | |
| Name of affiliate | of 5/31/17 | cost | proceeds | income | of 11/30/17 |
| Short-term investments | |||||
| Putnam Cash Collateral | |||||
| Pool, LLC* | $1,686,200 | $5,834,384 | $6,584,154 | $7,159 | $936,430 |
| Putnam Short Term | |||||
| Investment Fund** | 7,647,192 | 13,904,901 | 12,685,292 | 46,204 | 8,866,801 |
| Total Short-term | |||||
| investments | $9,333,392 | $19,739,285 | $19,269,446 | $53,363 | $9,803,231 |
* 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. There were no realized or unrealized gains or losses during the period.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default.
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $12,000 |
| Purchased currency options (contract amount) | $3,000,000 |
| Written equity option contracts (contract amount) | $13,000 |
| Written currency options (contract amount) | $2,400,000 |
| Futures contracts (number of contracts) | 100 |
| Forward currency contracts (contract amount) | $25,900,000 |
| OTC total return swap contracts (notional) | $—* |
| Warrants (number of warrants) | 35,000 |
* For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.
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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 |
| Foreign exchange | ||||
| contracts | Investments, Receivables | 137,413 | Payables | 244,424 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Equity contracts | appreciation | 823,981* | Unrealized depreciation | 49,010* |
| Total | $961,394 | $293,434 | ||
* Includes cumulative appreciation/depreciation of futures contracts as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
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 | ||||||
| hedging | Forward | |||||
| instruments under | currency | |||||
| ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
| Foreign exchange | ||||||
| contracts | $— | $19,963 | $— | $154,626 | $— | $174,589 |
| Equity contracts | 9,016 | (6,316) | 200,014 | — | 368 | 203,082 |
| Total | $9,016 | $13,647 | $200,014 | $154,626 | $368 | $377,671 |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
| on investments | |||||
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Warrants | Options | Futures | contracts | Total |
| Foreign exchange contracts | $— | $(5,760) | $— | $(158,284) | $(164,044) |
| Equity contracts | 7,009 | (4,148) | 614,353 | — | 617,214 |
| Total | $7,009 | $(9,908) | $614,353 | $(158,284) | $453,170 |
| Dynamic Asset Allocation Equity Fund 49 |
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. |
Barclays Bank PLC |
Citibank, N.A. | Credit Suisse International | Goldman Sachs International |
HSBC Bank USA, National Association |
JPMorgan Chase Bank N.A. |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | Royal Bank of Scotland PLC (The) |
State Street Bank and Trust Co. |
UBS AG |
WestPac Banking Corp. |
Total | |
| Assets: | |||||||||||||
| Futures contracts§ | $— | $— | $— | $— | $— | $— | $— | $35,778 | $— | $— | $— | $— | $35,778 |
| Forward currency contracts # | 17,610 | 5,356 | 7,670 | 1,638 | 27,911 | 8,876 | 12,576 | — | 26,096 | 1,167 | 9,526 | 2,770 | 121,196 |
| Purchased options **# | 5 | 14,887 | — | — | — | — | 1,325 | — | — | — | 753 | — | 16,970 |
| Total Assets | $17,615 | $20,243 | $7,670 | $1,638 | $27,911 | $8,876 | $13,901 | $35,778 | $26,096 | $1,167 | $10,279 | $2,770 | $173,944 |
| Liabilities: | |||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | 14,392 | — | — | — | — | 14,392 |
| Forward currency contracts # | 29,269 | 11,700 | 23,242 | 6,487 | 51,880 | 2,515 | 27,837 | — | 32,637 | 29,537 | 16,199 | 6,285 | 237,588 |
| Written options # | 1 | 6,715 | — | — | — | — | 120 | — | — | — | 368 | — | 7,204 |
| Total Liabilities | $29,270 | $18,415 | $23,242 | $6,487 | $51,880 | $2,515 | $27,957 | $14,392 | $32,637 | $29,537 | $16,567 | $6,285 | $259,184 |
| Total Financial and Derivative Net Assets | $(11,655) | $1,828 | $(15,572) | $(4,849) | $(23,969) | $6,361 | $(14,056) | $21,386 | $(6,541) | $(28,370) | $(6,288) | $(3,515) | $(85,240) |
| Total collateral received (pledged)†## | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | |
| Net amount | $(11,655) | $1,828 | $(15,572) | $(4,849) | $(23,969) | $6,361 | $(14,056) | $21,386 | $(6,541) | $(28,370) | $(6,288) | $(3,515) | |
| Controlled collateral received (including | |||||||||||||
| TBA commitments)** | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Uncontrolled collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral (pledged) (including | |||||||||||||
| TBA commitments)** | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
** 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 is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts, which is not included in the table above, amounted to $255,590.
| 50 Dynamic Asset Allocation Equity Fund | Dynamic Asset Allocation Equity Fund 51 |
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.
| 52 Dynamic Asset Allocation Equity Fund |
Fund information
Founded over 80 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 | Michael J. Higgins |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President, Treasurer, |
| Management, LLC | Kenneth R. Leibler, Vice Chair | and Clerk |
| One Post Office Square | Liaquat Ahamed | |
| Boston, MA 02109 | Ravi Akhoury | Janet C. Smith |
| Barbara M. Baumann | Vice President, | |
| Investment Sub-Advisors | Katinka Domotorffy | Principal Financial Officer, |
| Putnam Investments Limited | Catharine Bond Hill | Principal Accounting Officer, |
| 16 St James’s Street | Paul L. Joskow | and Assistant Treasurer |
| London, England SW1A 1ER | Robert E. Patterson | |
| George Putnam, III | Susan G. Malloy | |
| The Putnam Advisory Company, LLC | Robert L. Reynolds | Vice President and |
| One Post Office Square | Manoj P. Singh | Assistant Treasurer |
| Boston, MA 02109 | ||
| Officers | Mark C. Trenchard | |
| Marketing Services | Robert L. Reynolds | Vice President and |
| Putnam Retail Management | President | BSA Compliance Officer |
| One Post Office Square | ||
| Boston, MA 02109 | Jonathan S. Horwitz | Nancy E. Florek |
| Executive Vice President, | Vice President, Director of | |
| Custodian | Principal Executive Officer, | Proxy Voting and Corporate |
| State Street Bank | and Compliance Liaison | Governance, Assistant Clerk, |
| and Trust Company | and Assistant Treasurer | |
| Robert T. Burns | ||
| Legal Counsel | Vice President and | Denere P. Poulack |
| Ropes & Gray LLP | Chief Legal Officer | Assistant Vice President, Assistant |
| Clerk, and Assistant Treasurer | ||
| James F. Clark | ||
| Vice President and | ||
| Chief Compliance Officer |
This report is for the information of shareholders of Putnam Dynamic Asset Allocation Equity Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| Not applicable |
Item 3. Audit Committee Financial Expert: |
| Not applicable |
Item 4. Principal Accountant Fees and Services: |
| Not applicable |
Item 5. Audit Committee of Listed Registrants |
| Not applicable |
Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
| Item 12. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| 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: January 25, 2018 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title): |
| /s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
| Date: January 25, 2018 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: January 25, 2018 |