| 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: | 100 Federal Street, Boston, Massachusetts 02110 |
| Name and address of agent for service: | Robert T. Burns, Vice President 100 Federal Street Boston, Massachusetts 02110 |
| 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, 2020 |
| Date of reporting period: | June 1, 2019 — May 31, 2020 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Dynamic Risk
Allocation Fund
Annual report
5 | 31 | 20
IMPORTANT NOTICE: Delivery of paper fund reports
In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.
If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.
If you already receive these reports electronically, no action is required.
Message from the Trustees
July 14, 2020
Dear Fellow Shareholder:
Financial markets worldwide continue to be challenged by volatility and economic uncertainty due to the COVID-19 pandemic. In addition, our nation is struggling with confusion, anger, and grief over the excessive force that caused the death of George Floyd and with the overall issue of systemic racial injustice. Your Board of Trustees and Putnam Investments stand united against oppression and racism. We will work to support thoughtful and resourceful actions to elevate both our workplace and society.
Also, we would like to take this opportunity to thank Robert E. Patterson, who retired as a Trustee on June 30, 2020, for his 36 years of service. We will miss Bob’s experienced judgment and insights, and we wish him well. We are also pleased to welcome Mona K. Sutphen to the Board. Ms. Sutphen brings extensive professional and directorship experience to her role as a Trustee.
As always, thank you for investing with Putnam.
Traditional balanced funds can be unbalanced in terms of risk. Instead of balancing stocks and bonds, Putnam Dynamic Risk Allocation Fund makes allocations across four different risk sources — equity, credit, inflation, and interest rates. We believe this flexible approach can produce better risk-adjusted returns for investors over time.
The fund’s management team has experience in global allocation strategies over several market cycles.
Diversification does not assure a profit or protect against loss. It is possible to lose money in a diversified portfolio.
The fund is not intended to outperform stocks and bonds during strong market rallies.
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Illustrations are hypothetical and are not intended to represent the current allocation of any Putnam fund. A traditional balanced fund is represented by a 60%/40% split between equities and fixed income, as defined by Lipper. Risk contribution is from Putnam research, which uses the historical standard deviation for the respective asset classes multiplied by the appropriate asset weight. Leverage may be achieved either through short-term borrowing or through the use of derivatives. Asset weights may exceed 100% in funds that employ leverage due to borrowed capital and/or derivatives exposure. Risk, as measured by standard deviation, gauges how widely a set of values varies from the mean. It is a historical measure of the variability of return earned by an investment portfolio over a three-year period. Asset weight for Putnam Dynamic Risk Allocation Fund represents a baseline allocation selected by the fund’s portfolio managers and is subject to change. It is inclusive of leverage and represents a starting point for future active allocation.
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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 10–12 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* The Putnam Dynamic Risk Allocation Blended Index is an unmanaged index administered by Putnam Management, 50% of which is the MSCI World Index (ND), 40% of which is the Bloomberg Barclays Global Aggregate Bond Index, and 10% of which is the S&P GSCI. See index descriptions on pages 16–17.
† Source: Lipper, a Refinitiv company.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 5/31/20. See above and pages 10–12 for additional fund performance information. Index descriptions can be found on pages 16–17.
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Please describe the markets during the 12-month reporting period ended May 31, 2020.
Global financial markets were marked by a series of ups and downs during the 12-month period. At the beginning of the period, the environment was generally favorable for equities and fixed-income securities. The Federal Reserve [Fed] cut interest rates three times in 2019 and trade tensions eased between China and the United States. However, starting in February 2020, the economic fallout from the COVID-19 pandemic and the collapse in oil prices sent markets into a tailspin. Markets endured a historic sell-off and a partial recovery in the following weeks through the end of May.
Investors also braced for a global recession as growth plummeted and stay-at-home orders took effect. A flight-to-safety trade pushed the yields on U.S. Treasuries lower. The 10-year Treasury yield plunged to an all-time low of 0.54% on March 9 and ended the period at 0.65%, after beginning 2020 at 1.88%. With interest rates already low, bonds ended the period on a positive note. The rate-sensitive Bloomberg Barclays U.S. Aggregate Bond Index rose 9.42% during the period. The
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Allocations are shown as a percentage of the fund’s net assets as of 5/31/20. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
A negative percentage reflects the effect of fund strategies that are designed to enhance performance if certain securities decline in value.
S&P 500 Index, a broad measure of stocks, rose 12.84% during the period. But U.S. small-cap stocks, as measured by the Russell 2000 Index, dropped 3.44%.
After cutting interest rates to near zero in mid-March, the Fed unleashed a torrent of bond-buying programs to help stabilize the markets. It purchased Treasury and agency mortgage-backed securities and launched a lending facility to prop up money market mutual funds and corporate bonds. These actions have increased liquidity in the bond markets and, in turn, stabilized spreads as we ended the period. Central banks across Europe, Asia, and other regions also rolled out COVID-19 stimulus measures.
How did the fund perform during the reporting period?
Putnam Dynamic Risk Allocation Fund declined 2.64% over the 12-month period. The fund underperformed the custom benchmark, the Putnam Dynamic Risk Allocation Blended Index, which gained 2.30%.
What strategies helped and what detracted in the fund’s relative performance?
The fund’s negative performance was primarily driven by its exposure to commodities. Commodity markets experienced weakness during the first quarter of 2020 as coronavirus induced lockdowns diminished the demand for oil, and sent prices plummeting. Nevertheless, the fund’s underweight exposure
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to commodities helped mitigate greater losses. Equity selection also contributed to negative performance, specifically a strategy that targets low-beta (low-volatility) stocks.
Interest-rate-sensitive fixed income was the largest positive contributor. Bond prices rose as interest rates declined during this period. Our slight underweight position in interest-rate-sensitive bonds toward the end of the period detracted from performance as rates continued to decline. Additionally, our underweight exposure to credit-sensitive assets added value as credit spreads widened during the first quarter of 2020. Strong security selection in commodity-linked instruments and high-yield bonds also aided results.
What is your outlook, and how have you positioned the fund?
We are closely monitoring the spread of COVID-19, commodity prices, and volatility in the financial markets. In our view, the biggest risk on the horizon is the impact of the COVID-19 pandemic on economic growth, corporate earnings growth, and cash flows. We believe credit markets, supported by the Fed’s promise for unlimited quantitative easing, could recover sooner than equity markets in 2020. The Fed, other global central banks, and governments
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 5/31/20. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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are taking the appropriate monetary and fiscal policy measures, in our opinion.
While some U.S. states have begun easing stay-at-home restrictions, the road to global economic recovery remains slow and uncertain. The Fed in mid-June said it would leave interest rates near zero for the foreseeable future because of high projected unemployment. The central bank expects the U.S. economy to contract by 6.5% at the end of this year compared with the final quarter of 2019, before rebounding by 5% in 2021. Therefore, we believe a recession is inevitable in the United States.
In the latter half of the 12-month period, we shifted our positioning in all asset classes as the spread of COVID-19 and oil price wars disrupted markets. Commodity positioning shifted from underweight to neutral at the end of the period. The team believes the point of maximum pain in crude oil markets has been reached. OPEC cuts are now going into effect and forced shut-ins are taking millions of additional barrels off the market.
We have moved our equity recommendation from neutral to slightly underweight because the team believes we have reached the peak of this bear market rally. The almost 30% rally in April and May is consistent with bear market rallies of the past, on both a duration and percentage basis. We changed our credit position from underweight to neutral, as spreads reached a level where high-yield bonds could absorb widespread defaults.
Credit market plumbing continues to improve, and the Fed is standing as a backstop to spread widening with the purchase of investment-grade corporate bonds. Lastly, we changed from neutral to slightly underweight for the fund’s interest-rate risk positions. U.S. Treasury bonds continue to be a high-carry asset (offering higher interest rates) relative to other developed government bonds. At the same time, economic weakness and a potential second wave of COVID-19 could cause the 10-year Treasury yield to test the zero lower bound, which would add to returns, in our view.
Allocations are shown as a percentage of the fund’s net assets as of 5/31/20. Risk contribution is from Putnam research, which uses the historical standard deviation for the respective asset classes multiplied by the appropriate asset weight. Holdings and allocations may vary over time.
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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 May 31, 2020, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 5/31/20
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
| Class A (9/19/11) | |||||||
| Before sales charge | 29.18% | 2.99% | 4.66% | 0.92% | 1.06% | 0.35% | –2.64% |
| After sales charge | 21.75 | 2.29 | –1.36 | –0.27 | –4.75 | –1.61 | –8.24 |
| Class B (9/19/11) | |||||||
| Before CDSC | 21.60 | 2.27 | 0.83 | 0.17 | –1.16 | –0.39 | –3.36 |
| After CDSC | 21.60 | 2.27 | –1.01 | –0.20 | –3.97 | –1.34 | –8.06 |
| Class C (9/19/11) | |||||||
| Before CDSC | 21.02 | 2.22 | 0.79 | 0.16 | –1.21 | –0.40 | –3.43 |
| After CDSC | 21.02 | 2.22 | 0.79 | 0.16 | –1.21 | –0.40 | –4.37 |
| Class R (9/19/11) | |||||||
| Net asset value | 26.46 | 2.74 | 3.41 | 0.67 | 0.36 | 0.12 | –2.87 |
| Class R6 (7/2/12) | |||||||
| Net asset value | 33.31 | 3.36 | 6.71 | 1.31 | 2.26 | 0.75 | –2.26 |
| Class Y (9/19/11) | |||||||
| Net asset value | 32.16 | 3.26 | 6.03 | 1.18 | 1.81 | 0.60 | –2.37 |
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 B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Class B share performance reflects conversion to class A shares after eight years.
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Comparative index returns For periods ended 5/31/20
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
| Putnam Dynamic | |||||||
| Risk Allocation | 45.47% | 4.40% | 16.95% | 3.18% | 11.42% | 3.67% | 2.30% |
| Blended Index* | |||||||
| Lipper Alternative | |||||||
| Global Macro | |||||||
| Funds category | 32.87 | 2.87 | 6.08 | 1.00 | 4.45 | 1.32 | 0.30 |
| average† |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value
* The Putnam Dynamic Risk Allocation Blended Index is an unmanaged index administered by Putnam Management, 50% of which is the MSCI World Index (ND), 40% of which is the Bloomberg Barclays Global Aggregate Bond Index, and 10% of which is the S&P GSCI. See index descriptions on pages 16–17.
† Over the 1-year, 3-year, 5-year, and life-of-fund periods ended 5/31/20, there were 221, 207, 194, and 123 funds, respectively, in this Lipper category.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and C shares would have been valued at $12,160 and $12,102, respectively, and no contingent deferred sales charge would apply. A $10,000 investment in the fund’s class R, R6, and Y shares would have been valued at $12,646, $13,331, and $13,216, respectively.
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Fund price and distribution information For the 12-month period ended 5/31/20
| Distributions | Class A | Class B | Class C | Class R | Class R6 | Class Y | |
| Number | 1 | 1 | 1 | 1 | 1 | 1 | |
| Income | $0.395 | $0.306 | $0.297 | $0.323 | $0.440 | $0.425 | |
| Capital gains | — | — | — | — | — | — | |
| Total | $0.395 | $0.306 | $0.297 | $0.323 | $0.440 | $0.425 | |
| Before | After | Net | Net | Net | Net | Net | |
| sales | sales | asset | asset | asset | asset | asset | |
| Share value | charge | charge | value | value | value | value | value |
| 5/31/19 | $10.90 | $11.56 | $10.72 | $10.75 | $10.93 | $10.87 | $10.92 |
| 5/31/20 | 10.25 | 10.88 | 10.08 | 10.11 | 10.32 | 10.22 | 10.27 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
Fund performance as of most recent calendar quarter Total return for periods ended 6/30/20
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
| Class A (9/19/11) | |||||||
| Before sales charge | 31.95% | 3.21% | 9.47% | 1.83% | 4.08% | 1.34% | –4.24% |
| After sales charge | 24.36 | 2.51 | 3.18 | 0.63 | –1.90 | –0.64 | –9.74 |
| Class B (9/19/11) | |||||||
| Before CDSC | 24.21 | 2.50 | 5.53 | 1.08 | 1.85 | 0.61 | –4.98 |
| After CDSC | 24.21 | 2.50 | 3.61 | 0.71 | –1.05 | –0.35 | –9.60 |
| Class C (9/19/11) | |||||||
| Before CDSC | 23.54 | 2.44 | 5.48 | 1.07 | 1.79 | 0.59 | –4.96 |
| After CDSC | 23.54 | 2.44 | 5.48 | 1.07 | 1.79 | 0.59 | –5.88 |
| Class R (9/19/11) | |||||||
| Net asset value | 29.04 | 2.95 | 8.06 | 1.56 | 3.25 | 1.07 | –4.56 |
| Class R6 (7/2/12) | |||||||
| Net asset value | 36.18 | 3.58 | 11.62 | 2.22 | 5.33 | 1.75 | –3.87 |
| Class Y (9/19/11) | |||||||
| Net asset value | 34.99 | 3.48 | 10.90 | 2.09 | 4.95 | 1.62 | –3.98 |
See the discussion following the fund performance table on page 10 for information about the calculation of fund performance.
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Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class R | Class R6 | Class Y | |
| Net expenses for the fiscal year | ||||||
| ended 5/31/19* | 1.16% | 1.91% | 1.91% | 1.41% | 0.76% | 0.91% |
| Total annual operating expenses for the | ||||||
| fiscal year ended 5/31/19 | 1.46% | 2.21% | 2.21% | 1.71% | 1.06% | 1.21% |
| Annualized expense ratio for the | ||||||
| six-month period ended 5/31/20† | 1.17% | 1.92% | 1.92% | 1.42% | 0.75% | 0.92% |
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 9/30/20.
† Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 12/1/19 to 5/31/20. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $5.65 | $9.26 | $9.26 | $6.86 | $3.63 | $4.45 |
| Ending value (after expenses) | $931.70 | $928.30 | $928.60 | $931.30 | $933.60 | $933.50 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 5/31/20. 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.
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Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 5/31/20, use the following calculation method. To find the value of your investment on 12/1/19, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $5.91 | $9.67 | $9.67 | $7.16 | $3.79 | $4.65 |
| Ending value (after expenses) | $1,019.15 | $1,015.40 | $1,015.40 | $1,017.90 | $1,021.25 | $1,020.40 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 5/31/20. 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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Consider these risks before investing
Emerging-market securities carry illiquidity and volatility risks. The fund may invest a portion of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Allocation of assets among asset classes may hurt performance, and efforts to diversify risk through the use of leverage and allocation decisions may not be successful. 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. Derivatives carry additional risks, such as the inability to terminate or sell derivatives positions and the failure of the other party to meet its obligations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Active trading strategies may lose money or not earn a return sufficient to cover trading and other costs. Use of leverage obtained through derivatives increases these risks by increasing investment exposure. Over-the-counter derivatives are also subject to the risk of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. REITs are subject to the risk of economic downturns that have an adverse impact on real estate markets. The use of short selling may result in losses if the securities appreciate in value. Commodities involve market, political, regulatory, and natural conditions risks. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. International investing involves currency, economic, and political risks. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. You can lose money by investing in the fund.
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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.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Bloomberg Barclays Global Aggregate Bond Index is an unmanaged index of global investment-grade fixed-income securities.
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
ICE BofA (Intercontinental Exchange Bank of America) 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 World Index (ND) is an unmanaged index of equity securities from developed countries. 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
| 16 Dynamic Risk Allocation Fund |
non-resident institutional investors who do not benefit from double taxation treaties.
MSCI ACWI (All Country World Index) Index (ND) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets. 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.
Putnam Dynamic Risk Allocation Blended Index is a benchmark administered by Putnam Management, comprising 50% the MSCI World Index (ND), 40% the Bloomberg Barclays Global Aggregate Bond Index, and 10% the S&P GSCI.
Russell 2000 Index is an unmanaged index of 2,000 small companies in the Russell 3000 Index.
S&P 500 Index is an unmanaged index of common stock performance.
S&P GSCI is a composite index of commodity sector returns that represents a broadly diversified, unleveraged, long-only position in commodity futures.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA 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 BofA 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.
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, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
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, 2019, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings
| Dynamic Risk Allocation Fund 17 |
with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of May 31, 2020, Putnam employees had approximately $453,000,000 and the Trustees had approximately $73,000,000 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.
Liquidity risk management program
Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the first annual report on the program to the Trustees in April 2020. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from December 2018 through March 2020. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2019. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the COVID 19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
| 18 Dynamic Risk Allocation Fund |
Audited financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Dynamic Risk Allocation Fund 19 |
Report of Independent Registered Public Accounting Firm
Shareholders and the Board of Trustees
Putnam Funds Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Putnam Dynamic Risk Allocation Fund (the “fund”), a series of the Putnam Funds Trust, including the fund’s portfolio, as of May 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the fund as of May 31, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2020, by correspondence with the custodian, transfer agent, agent banks and brokers or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Putnam investment companies since 1999.
Boston, Massachusetts
July 14, 2020
| 20 Dynamic Risk Allocation Fund |
The fund’s portfolio 5/31/20
| COMMON STOCKS (49.7%)* | Shares | Value |
| Basic materials (1.4%) | ||
| Anglo American Platinum, Ltd. (South Africa) | 525 | $33,434 |
| Anglo American PLC (United Kingdom) | 4,149 | 87,773 |
| Anhui Conch Cement Co., Ltd. Class H (China) | 8,500 | 64,091 |
| Arkema SA (France) | 481 | 42,070 |
| Axalta Coating Systems, Ltd. † | 3,932 | 90,869 |
| BHP Group PLC (United Kingdom) | 2,575 | 50,500 |
| China Resources Cement Holdings, Ltd. (China) | 24,000 | 30,316 |
| Covestro AG (Germany) † | 1,888 | 69,996 |
| CRH PLC (Ireland) | 1,601 | 52,386 |
| Eiffage SA (France) † | 400 | 36,594 |
| Fortescue Metals Group, Ltd. (Australia) | 4,314 | 39,583 |
| Glencore PLC (United Kingdom) | 544 | 1,015 |
| ICL Group, Ltd. (Israel) | 4,898 | 16,954 |
| Impala Platinum Holdings, Ltd. (South Africa) | 778 | 5,221 |
| Korea Zinc Co., Ltd. (South Korea) | 59 | 18,046 |
| LafargeHolcim, Ltd. (Switzerland) | 505 | 20,983 |
| MMC Norilsk Nickel PJSC ADR (Russia) | 1,761 | 55,523 |
| NewMarket Corp. | 218 | 95,076 |
| Nitto Denko Corp. (Japan) | 500 | 27,086 |
| Novolipetsk Steel PJSC GDR (Russia) | 636 | 12,299 |
| PETRONAS Chemicals Group (PCG) Bhd (Malaysia) | 11,100 | 16,114 |
| Reliance Steel & Aluminum Co. | 860 | 83,420 |
| Rio Tinto PLC (United Kingdom) | 1,766 | 94,659 |
| Shin-Etsu Chemical Co., Ltd. (Japan) | 600 | 70,405 |
| Soulbrain Co., Ltd. (South Korea) | 278 | 18,183 |
| 1,132,596 | ||
| Capital goods (3.7%) | ||
| ACS Actividades de Construccion y Servicios SA (Spain) | 1,655 | 42,441 |
| Allison Transmission Holdings, Inc. | 2,219 | 83,701 |
| AptarGroup, Inc. | 200 | 22,278 |
| Berry Global Group, Inc. † | 3,555 | 159,655 |
| Daelim Industrial Co., Ltd. (South Korea) | 239 | 17,861 |
| Daikin Industries, Ltd. (Japan) | 600 | 88,346 |
| Faurecia SA (France) | 1,328 | 51,423 |
| General Dynamics Corp. | 142 | 20,850 |
| HEICO Corp. | 1,030 | 103,783 |
| Hitachi, Ltd. (Japan) | 2,500 | 80,243 |
| Honeywell International, Inc. | 3,091 | 450,822 |
| Hyundai Mobis Co., Ltd. (South Korea) | 325 | 52,145 |
| Ingersoll Rand, Inc. † | 1,727 | 48,701 |
| Legrand SA (France) | 649 | 44,338 |
| Lockheed Martin Corp. | 1,308 | 508,080 |
| Obayashi Corp. (Japan) | 2,600 | 24,087 |
| Republic Services, Inc. | 1,626 | 138,958 |
| Samsung Engineering Co., Ltd. (South Korea) † | 1,160 | 11,383 |
| Sandvik AB (Sweden) † | 5,818 | 96,823 |
| Silgan Holdings, Inc. | 1,299 | 43,439 |
| Teledyne Technologies, Inc. † | 530 | 198,284 |
| Dynamic Risk Allocation Fund 21 |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Capital goods cont. | ||
| Tervita Corp. (Canada) † | 63 | $172 |
| Toshiba Corp. (Japan) | 1,800 | 49,242 |
| Trane Technologies PLC | 1,958 | 176,631 |
| Waste Management, Inc. | 3,240 | 345,870 |
| Weichai Power Co., Ltd. Class H (China) | 14,000 | 24,435 |
| 2,883,991 | ||
| Communication services (2.4%) | ||
| Advanced Info Service PCL (Thailand) | 7,900 | 46,938 |
| AT&T, Inc. S | 1,495 | 46,136 |
| BT Group PLC (United Kingdom) | 11,604 | 16,734 |
| Cellnex Telecom, SA 144A (Spain) | 455 | 25,832 |
| Charter Communications, Inc. Class A † | 517 | 281,248 |
| China Mobile, Ltd. (China) | 6,000 | 42,160 |
| Deutsche Telekom AG (Germany) | 6,910 | 107,249 |
| Equinix, Inc. R | 374 | 260,914 |
| Hellenic Telecommunications Organization SA (Greece) | 790 | 11,135 |
| Hikari Tsushin, Inc. (Japan) | 100 | 21,937 |
| Juniper Networks, Inc. | 8,811 | 213,755 |
| KDDI Corp. (Japan) | 3,200 | 93,183 |
| KT Corp. (South Korea) | 311 | 6,128 |
| Nippon Telegraph & Telephone Corp. (Japan) | 2,500 | 56,603 |
| NTT DoCoMo, Inc. (Japan) | 1,300 | 35,553 |
| PLDT, Inc. (Philippines) | 175 | 4,382 |
| Telstra Corp., Ltd. (Australia) | 13,712 | 29,466 |
| TIM Participacoes SA (Brazil) | 4,000 | 10,209 |
| Verizon Communications, Inc. | 10,849 | 622,516 |
| 1,932,078 | ||
| Consumer cyclicals (5.3%) | ||
| Adecco Group AG (Switzerland) | 826 | 39,384 |
| Amazon.com, Inc. † | 182 | 444,511 |
| Aristocrat Leisure, Ltd. (Australia) | 2,021 | 34,259 |
| Astro Malaysia Holdings Bhd (Malaysia) | 5,100 | 1,163 |
| Automatic Data Processing, Inc. | 2,897 | 424,382 |
| AutoZone, Inc. † | 210 | 241,051 |
| Bata India, Ltd. (India) | 377 | 6,602 |
| Berkeley Group Holdings PLC (The) (United Kingdom) | 408 | 20,731 |
| Brambles, Ltd. (Australia) | 5,712 | 44,017 |
| CK Hutchison Holdings, Ltd. (Hong Kong) | 4,500 | 27,797 |
| Clear Channel Outdoor Holdings, Inc. † | 6,655 | 6,427 |
| Clicks Group, Ltd. (South Africa) | 1,606 | 21,371 |
| Com7 PCL (Thailand) | 12,400 | 9,550 |
| Compass Group PLC (United Kingdom) | 3,442 | 50,596 |
| Daiwa House Industry Co., Ltd. (Japan) | 1,200 | 29,826 |
| Ecolab, Inc. | 637 | 135,413 |
| Feng Tay Enterprise Co., Ltd. (Taiwan) | 1,000 | 6,039 |
| Ferrari NV (Italy) | 118 | 19,987 |
| Fiat Chrysler Automobiles NV (Italy) † | 4,102 | 36,380 |
| Ford Otomotiv Sanayi AS (Turkey) | 721 | 6,551 |
| Fosun International, Ltd. (China) | 19,000 | 24,606 |
| 22 Dynamic Risk Allocation Fund |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Consumer cyclicals cont. | ||
| Geely Automobile Holdings, Ltd. (China) | 6,000 | $8,299 |
| Genting Bhd (Malaysia) | 7,400 | 6,828 |
| Genting Malaysia Bhd (Malaysia) | 18,300 | 9,791 |
| Hermes International (France) | 121 | 100,878 |
| Home Product Center PCL (Thailand) | 50,100 | 22,522 |
| Hoshizaki Corp. (Japan) | 300 | 24,240 |
| Host Hotels & Resorts, Inc. R | 5,251 | 62,697 |
| iHeartMedia, Inc. Class A † | 2,830 | 24,621 |
| Industria de Diseno Textil SA (Inditex) (Spain) | 3,233 | 90,374 |
| Kering SA (France) | 170 | 89,118 |
| Kia Motors Corp. (South Korea) | 1,796 | 49,845 |
| Nintendo Co., Ltd. (Japan) | 200 | 80,831 |
| Omnicom Group, Inc. | 4,418 | 242,062 |
| Peugeot SA (France) † | 3,910 | 55,966 |
| Pou Chen Corp. (Taiwan) | 5,000 | 4,928 |
| President Chain Store Corp. (Taiwan) | 1,000 | 9,845 |
| Qualicorp Consultoria e Corretora de Seguros SA (Brazil) | 3,800 | 16,891 |
| Ross Stores, Inc. | 2,648 | 256,750 |
| Sabre Corp. | 1,400 | 9,758 |
| ServiceMaster Global Holdings, Inc. † | 371 | 12,206 |
| Sinotruk Hong Kong, Ltd. (China) | 9,000 | 21,958 |
| Sohgo Security Services Co., Ltd. (Japan) | 300 | 14,766 |
| Sony Corp. (Japan) | 1,800 | 114,944 |
| Sun Art Retail Group, Ltd. (China) | 6,000 | 9,206 |
| Taylor Wimpey PLC (United Kingdom) | 13,427 | 23,936 |
| Teco Electric and Machinery Co., Ltd. (Taiwan) | 5,000 | 4,699 |
| TJX Cos., Inc. (The) | 8,542 | 450,676 |
| Tofas Turk Otomobil Fabrikasi AS (Turkey) | 2,153 | 7,040 |
| Toyota Motor Corp. (Japan) | 300 | 18,823 |
| Volkswagen AG (Preference) (Germany) † | 402 | 58,935 |
| Volvo AB (Sweden) † | 2,088 | 29,686 |
| Wal-Mart de Mexico SAB de CV (Mexico) | 5,339 | 13,363 |
| Walt Disney Co. (The) | 3,078 | 361,049 |
| Wesfarmers, Ltd. (Australia) | 2,968 | 79,112 |
| Wolters Kluwer NV (Netherlands) | 1,114 | 89,013 |
| Xinyi Glass Holdings, Ltd. (China) | 10,000 | 10,601 |
| Zhongsheng Group Holdings, Ltd. (China) | 6,000 | 30,932 |
| 4,147,832 | ||
| Consumer staples (4.7%) | ||
| a2 Milk Co., Ltd. (New Zealand) † | 1,391 | 16,444 |
| Associated British Foods PLC (United Kingdom) | 2,117 | 47,817 |
| Bright Horizons Family Solutions, Inc. † | 493 | 55,157 |
| British American Tobacco PLC (United Kingdom) | 1,457 | 57,620 |
| Carlsberg A/S Class B (Denmark) | 560 | 72,527 |
| Charoen Pokphand Foods PCL (Thailand) | 7,400 | 7,328 |
| China Yuhua Education Corp., Ltd. (China) | 8,000 | 7,856 |
| Coca-Cola Co. (The) | 3,628 | 169,355 |
| Coca-Cola HBC AG (Switzerland) | 1,203 | 30,405 |
| Colgate-Palmolive Co. | 162 | 11,717 |
| Dynamic Risk Allocation Fund 23 |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Consumer staples cont. | ||
| Essity AB Class B (Sweden) † | 2,522 | $83,456 |
| Ferguson PLC (United Kingdom) | 1,081 | 85,384 |
| Hanjaya Mandala Sampoerna Tbk PT (Indonesia) | 60,000 | 7,990 |
| Hershey Co. (The) | 2,018 | 273,802 |
| Hindustan Unilever, Ltd. (India) | 1,547 | 42,249 |
| Indofood Sukses Makmur Tbk PT (Indonesia) | 16,900 | 6,669 |
| ITOCHU Corp. (Japan) | 4,000 | 85,852 |
| Just Eat-Takeaway (Netherlands) † | 327 | 35,606 |
| Kao Corp. (Japan) | 300 | 24,083 |
| Koninklijke Ahold Delhaize NV (Netherlands) | 3,044 | 77,315 |
| Kose Corp. (Japan) | 200 | 25,071 |
| KT&G Corp. (South Korea) | 573 | 38,877 |
| L’Oreal SA (France) † | 364 | 106,284 |
| McDonald’s Corp. | 393 | 73,224 |
| Mondelez International, Inc. Class A | 8,856 | 461,575 |
| Nestle Malaysia Bhd (Malaysia) | 100 | 3,194 |
| Nestle SA (Switzerland) | 1,531 | 165,760 |
| PepsiCo, Inc. | 1,568 | 206,270 |
| Procter & Gamble Co. (The) | 2,106 | 244,128 |
| Sime Darby Bhd (Malaysia) | 12,600 | 6,069 |
| Starbucks Corp. | 5,844 | 455,774 |
| Sundrug Co., Ltd. (Japan) | 700 | 23,584 |
| Sysco Corp. | 5,385 | 297,037 |
| Tesco PLC (United Kingdom) | 7,629 | 21,589 |
| Uni-President Enterprises Corp. (Taiwan) | 15,000 | 36,400 |
| Unilever PLC (United Kingdom) | 526 | 28,225 |
| US Foods Holding Corp. † | 3,601 | 68,923 |
| Vipshop Holdings, Ltd. ADR (China) † | 1,922 | 33,327 |
| Want Want China Holdings, Ltd. (China) | 20,000 | 14,487 |
| WH Group, Ltd. (Hong Kong) | 74,000 | 64,186 |
| Wilmar International, Ltd. (Singapore) | 8,400 | 23,815 |
| Woolworths Group, Ltd. (Australia) | 2,365 | 55,390 |
| YDUQS Participacoes SA (Brazil) | 478 | 2,551 |
| Yum China Holdings, Inc. (China) | 863 | 39,991 |
| 3,694,363 | ||
| Energy (1.2%) | ||
| Cabot Oil & Gas Corp. | 8,282 | 164,315 |
| Chevron Corp. | 1,074 | 98,486 |
| China Petroleum & Chemical Corp. (Sinopec) Class H (China) | 54,000 | 25,219 |
| Ecopetrol SA ADR (Colombia) | 1,234 | 12,846 |
| Exxon Mobil Corp. S | 5,069 | 230,487 |
| Lukoil PJSC ADR (Russia) | 549 | 41,031 |
| Lundin Petroleum AB (Sweden) | 921 | 22,316 |
| Occidental Petroleum Corp. S | 5,604 | 72,572 |
| OMV AG (Austria) † | 777 | 25,756 |
| Petronas Gas Bhd (Malaysia) | 1,400 | 6,135 |
| Petronet LNG, Ltd. (India) | 5,841 | 19,491 |
| PTT Exploration & Production PCL (Foreign depository shares) (Thailand) | 11,700 | 30,896 |
| Royal Dutch Shell PLC Class B (United Kingdom) | 8,464 | 129,158 |
| 24 Dynamic Risk Allocation Fund |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Energy cont. | ||
| Santos, Ltd. (Australia) | 7,298 | $25,756 |
| Sao Martinho SA (Brazil) | 1,246 | 4,537 |
| Surgutneftegas OJSC (Russia) | 29,208 | 14,641 |
| 923,642 | ||
| Financials (9.9%) | ||
| 3i Group PLC (United Kingdom) | 4,400 | 45,088 |
| ABN AMRO Bank NV GDR (Netherlands) | 3,566 | 28,720 |
| AGNC Investment Corp. R | 15,074 | 195,058 |
| Agree Realty Corp. R | 790 | 49,588 |
| Alexandria Real Estate Equities, Inc. R | 60 | 9,223 |
| Allianz SE (Germany) | 606 | 109,960 |
| Allstate Corp. (The) | 3,687 | 360,625 |
| American Campus Communities, Inc. R | 1,478 | 47,739 |
| American Financial Group, Inc. | 819 | 49,337 |
| American Homes 4 Rent R | 4,254 | 107,371 |
| Americold Realty Trust R | 1,927 | 68,813 |
| Amundi SA (France) † | 206 | 15,368 |
| Annaly Capital Management, Inc. R | 41,287 | 254,328 |
| Apple Hospitality REIT, Inc. R | 2,894 | 29,548 |
| AvalonBay Communities, Inc. R | 696 | 108,583 |
| Aviva PLC (United Kingdom) | 20,222 | 62,213 |
| Banco BBVA Argentina SA ADR (Argentina) † | 2,300 | 7,291 |
| Banco Bilbao Vizcaya Argenta (Spain) | 19,710 | 61,531 |
| Banco BTG Pactual SA (Units) (Brazil) | 3,000 | 27,457 |
| Banco de Chile ADR (Chile) | 416 | 6,881 |
| Banco do Brasil SA (Brazil) | 5,888 | 34,028 |
| Banco Macro SA ADR (Argentina) † | 1,087 | 18,653 |
| Banco Santander (Brasil) S.A. (Units) (Brazil) | 3,900 | 18,637 |
| Banco Santander Chile ADR (Chile) | 414 | 6,529 |
| Bank Central Asia Tbk PT (Indonesia) | 12,500 | 22,240 |
| Bank Leumi Le-Israel BM (Israel) | 7,334 | 39,182 |
| Bank of China, Ltd. Class H (China) | 10,000 | 3,673 |
| Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia) | 12,200 | 2,408 |
| BB Seguridade Participacoes SA (Brazil) | 9,000 | 42,636 |
| BNP Paribas SA (France) † | 2,250 | 81,157 |
| BOC Hong Kong Holdings, Ltd. (Hong Kong) | 9,500 | 26,664 |
| Boston Properties, Inc. R | 590 | 50,728 |
| Brixmor Property Group, Inc. R | 3,211 | 35,835 |
| Broadridge Financial Solutions, Inc. | 429 | 51,952 |
| Camden Property Trust R | 1,713 | 156,860 |
| Capitec Bank Holdings, Ltd. (South Africa) | 257 | 12,496 |
| Chailease Holding Co., Ltd. (Taiwan) | 10,000 | 38,879 |
| Chatham Lodging Trust R | 325 | 2,194 |
| Chimera Investment Corp. R S | 5,063 | 42,074 |
| China Minsheng Banking Corp., Ltd. Class H (China) | 19,000 | 13,283 |
| Chubb, Ltd. | 89 | 10,853 |
| City Office REIT, Inc. (Canada) R | 3,847 | 35,700 |
| CK Asset Holdings, Ltd. (Hong Kong) | 10,000 | 54,969 |
| Colony Capital, Inc. R | 1,922 | 3,863 |
| Dynamic Risk Allocation Fund 25 |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Financials cont. | ||
| Community Healthcare Trust, Inc. R | 72 | $2,622 |
| Corporate Office Properties Trust R | 2,039 | 50,914 |
| Country Garden Services Holdings Co, Ltd. (China) | 4,000 | 18,823 |
| Credit Agricole SA (France) † | 5,587 | 48,895 |
| DBS Group Holdings, Ltd. (Singapore) | 2,100 | 29,047 |
| Deutsche Boerse AG (Germany) | 358 | 58,991 |
| Digital Realty Trust, Inc. R | 292 | 41,920 |
| DNB ASA (Norway) † | 2,359 | 32,244 |
| Duke Realty Corp. R | 3,513 | 121,129 |
| Easterly Government Properties, Inc. R | 2,437 | 61,096 |
| Equity Commonwealth R | 1,835 | 61,840 |
| Equity Lifestyle Properties, Inc. R | 1,812 | 112,888 |
| Equity Residential R | 3,138 | 190,037 |
| Essex Property Trust, Inc. R | 373 | 90,553 |
| Extra Space Storage, Inc. R | 880 | 85,140 |
| Fubon Financial Holding Co., Ltd. (Taiwan) | 17,000 | 24,034 |
| Gaming and Leisure Properties, Inc. R | 4,656 | 160,818 |
| Gjensidige Forsikring ASA (Norway) † | 787 | 14,316 |
| Gladstone Commercial Corp. R | 1,074 | 19,246 |
| Global Medical REIT, Inc. R | 929 | 9,959 |
| Goodman Group (Australia) R | 4,569 | 46,317 |
| Hargreaves Lansdown PLC (United Kingdom) | 736 | 16,745 |
| Healthcare Realty Trust, Inc. R | 1,940 | 59,558 |
| Healthpeak Properties, Inc. R | 210 | 5,174 |
| Henderson Land Development Co., Ltd. (Hong Kong) | 7,600 | 27,298 |
| HSBC Holdings PLC (United Kingdom) | 5,545 | 25,500 |
| Industrial & Commercial Bank of China, Ltd. Class H (China) | 72,000 | 46,714 |
| Intercontinental Exchange, Inc. | 3,894 | 378,692 |
| Israel Discount Bank, Ltd. Class A (Israel) | 9,326 | 29,893 |
| JPMorgan Chase & Co. | 5,815 | 565,858 |
| KBC Group NV (Belgium) | 603 | 31,670 |
| Legal & General Group PLC (United Kingdom) | 29,340 | 72,476 |
| Life Storage, Inc. R | 617 | 60,145 |
| Loews Corp. | 3,536 | 117,537 |
| Logan Property Holdings Co., Ltd. (China) | 10,000 | 14,953 |
| LTC Properties, Inc. R | 1,031 | 37,951 |
| MFA Financial, Inc. R | 9,539 | 16,121 |
| MGIC Investment Corp. | 5,451 | 44,753 |
| Mid-America Apartment Communities, Inc. R | 586 | 68,187 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) | 2,700 | 13,201 |
| National Health Investors, Inc. R | 752 | 41,728 |
| National Retail Properties, Inc. | 1,444 | 45,327 |
| New Residential Investment Corp. R | 11,817 | 84,728 |
| Nomura Real Estate Holdings, Inc. (Japan) | 1,300 | 24,098 |
| ORIX Corp. (Japan) | 4,400 | 58,445 |
| OTP Bank Nyrt (Hungary) | 441 | 14,690 |
| Paramount Group, Inc. R | 4,317 | 33,284 |
| Partners Group Holding AG (Switzerland) | 105 | 87,250 |
| Physicians Realty Trust R | 3,339 | 57,665 |
| 26 Dynamic Risk Allocation Fund |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Financials cont. | ||
| Ping An Insurance (Group) Co. of China, Ltd. Class H (China) | 8,500 | $84,390 |
| Powszechny Zaklad Ubezpieczen SA (Poland) | 1,067 | 7,969 |
| Prologis, Inc. R | 2,514 | 230,032 |
| Public Storage R | 518 | 105,019 |
| Qualitas Controladora SAB de CV (Mexico) | 900 | 3,611 |
| Realty Income Corp. R | 431 | 23,839 |
| Reinsurance Group of America, Inc. | 504 | 45,738 |
| Retail Opportunity Investments Corp. R | 3,002 | 28,189 |
| RHB Bank Bhd (Malaysia) | 7,800 | 8,588 |
| Ruentex Development Co., Ltd. (Taiwan) | 1,000 | 1,524 |
| Sberbank of Russia PJSC ADR (Russia) | 1,948 | 22,144 |
| Simon Property Group, Inc. R | 1,004 | 57,931 |
| Singapore Exchange, Ltd. (Singapore) | 4,600 | 27,087 |
| Skandinaviska Enskilda Banken AB (Sweden) † | 7,497 | 65,315 |
| Starwood Property Trust, Inc. R | 5,782 | 76,669 |
| STORE Capital Corp. R | 1,958 | 37,868 |
| Sumitomo Mitsui Financial Group, Inc. (Japan) | 3,200 | 92,708 |
| Sun Hung Kai Properties, Ltd. (Hong Kong) | 2,500 | 28,920 |
| Swiss Life Holding AG (Switzerland) | 42 | 14,820 |
| Taishin Financial Holding Co., Ltd. (Taiwan) | 29,000 | 12,573 |
| Terreno Realty Corp. R | 571 | 29,229 |
| Tisco Financial Group PCL (Thailand) | 7,400 | 17,447 |
| Two Harbors Investment Corp. R | 3,350 | 15,142 |
| U.S. Bancorp | 8,362 | 297,353 |
| UDR, Inc. R | 2,063 | 76,290 |
| VEREIT, Inc. R | 8,754 | 47,972 |
| VICI Properties, Inc. R | 13,047 | 255,982 |
| Vornado Realty Trust R | 3,863 | 139,879 |
| Weingarten Realty Investors R | 1,947 | 34,812 |
| Welltower, Inc. R | 767 | 38,864 |
| Yuanta Financial Holding Co., Ltd. (Taiwan) | 31,000 | 16,804 |
| Zurich Insurance Group AG (Switzerland) | 74 | 23,942 |
| 7,779,335 | ||
| Health care (6.5%) | ||
| AbbVie, Inc. | 1,522 | 141,044 |
| Advanz Pharma Corp., Ltd. (Canada) † | 214 | 740 |
| Alfresa Holdings Corp. (Japan) | 1,100 | 22,199 |
| Amgen, Inc. | 972 | 223,268 |
| Asahi Intecc Co., Ltd. (Japan) | 700 | 21,451 |
| Astellas Pharma, Inc. (Japan) | 5,100 | 90,661 |
| AstraZeneca PLC (United Kingdom) | 368 | 39,127 |
| Baxter International, Inc. | 3,570 | 321,336 |
| Biogen, Inc. † | 482 | 148,017 |
| Bristol-Myers Squibb Co. | 2,888 | 172,471 |
| Chemed Corp. | 241 | 115,321 |
| China Biologic Products Holdings, Inc. (China) † | 18 | 1,994 |
| Eli Lilly and Co. | 1,447 | 221,319 |
| Fisher & Paykel Healthcare Corp., Ltd. (New Zealand) | 723 | 13,477 |
| Galapagos NV (Belgium) † | 191 | 39,138 |
| Dynamic Risk Allocation Fund 27 |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Health care cont. | ||
| Gilead Sciences, Inc. | 1,083 | $84,290 |
| GlaxoSmithKline PLC (United Kingdom) | 2,553 | 52,872 |
| Hologic, Inc. † | 4,367 | 231,451 |
| Hypera SA (Brazil) | 3,100 | 18,717 |
| Jazz Pharmaceuticals PLC † | 165 | 19,688 |
| Johnson & Johnson | 2,911 | 433,011 |
| Kobayashi Pharmaceutical Co., Ltd. (Japan) | 100 | 8,910 |
| Laboratory Corp. of America Holdings † | 842 | 147,619 |
| M3, Inc. (Japan) | 700 | 28,226 |
| Medtronic PLC | 5,078 | 500,589 |
| Merck & Co., Inc. | 3,240 | 261,533 |
| Novartis AG (Switzerland) | 2,050 | 177,714 |
| Novo Nordisk A/S Class B (Denmark) | 2,153 | 140,369 |
| Ono Pharmaceutical Co., Ltd. (Japan) | 700 | 20,005 |
| PeptiDream, Inc. (Japan) † | 300 | 13,472 |
| Pfizer, Inc. | 7,454 | 284,668 |
| QIAGEN NV (Netherlands) † | 5,146 | 225,343 |
| Quest Diagnostics, Inc. | 1,129 | 133,538 |
| Roche Holding AG (Switzerland) | 609 | 211,398 |
| Sabra Health Care REIT, Inc. R | 1,997 | 26,880 |
| Sartorius Stedim Biotech (France) † | 129 | 35,091 |
| Shionogi & Co., Ltd. (Japan) | 1,400 | 82,722 |
| Sino Biopharmaceutical, Ltd. (China) | 41,000 | 64,829 |
| Suzuken Co., Ltd. (Japan) | 600 | 21,815 |
| Thermo Fisher Scientific, Inc. | 188 | 65,648 |
| Ventas, Inc. R | 423 | 14,784 |
| Vertex Pharmaceuticals, Inc. † | 197 | 56,728 |
| Zimmer Biomet Holdings, Inc. | 523 | 66,076 |
| Zoetis, Inc. | 1,029 | 143,432 |
| 5,142,981 | ||
| Technology (11.9%) | ||
| Accenture PLC Class A | 356 | 71,777 |
| Alibaba Group Holding, Ltd. ADR (China) † | 869 | 180,222 |
| Alphabet, Inc. Class A † | 556 | 797,037 |
| Amdocs, Ltd. | 1,834 | 114,185 |
| Apple, Inc. | 2,841 | 903,268 |
| ASML Holding NV (Netherlands) | 123 | 40,264 |
| Black Knight, Inc. † | 1,871 | 144,030 |
| Cadence Design Systems, Inc. † | 2,259 | 206,224 |
| Capgemini SE (France) | 191 | 19,612 |
| Cisco Systems, Inc. | 6,813 | 325,798 |
| Cognizant Technology Solutions Corp. Class A | 5,552 | 294,256 |
| DXC Technology Co. | 3,921 | 55,717 |
| eBay, Inc. | 7,487 | 340,958 |
| F5 Networks, Inc. † | 1,628 | 235,930 |
| Facebook, Inc. Class A † | 826 | 185,924 |
| Fidelity National Information Services, Inc. | 3,743 | 519,641 |
| Fujitsu, Ltd. (Japan) | 300 | 30,939 |
| Garmin, Ltd. | 2,764 | 249,230 |
| 28 Dynamic Risk Allocation Fund |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Technology cont. | ||
| Genpact, Ltd. | 3,108 | $111,733 |
| Globalwafers Co., Ltd. (Taiwan) | 2,000 | 24,117 |
| Hoya Corp. (Japan) | 900 | 84,476 |
| HP, Inc. | 3,387 | 51,279 |
| Infosys, Ltd. (India) | 7,762 | 71,043 |
| Intuit, Inc. | 1,738 | 504,576 |
| Itochu Techno-Solutions Corp. (Japan) | 1,200 | 40,591 |
| KLA Corp. | 577 | 101,529 |
| Leidos Holdings, Inc. | 3,680 | 387,467 |
| Lite-On Technology Corp. (Taiwan) | 9,000 | 14,436 |
| Maxim Integrated Products, Inc. | 2,601 | 150,026 |
| Microsoft Corp. | 4,503 | 825,175 |
| NetEase, Inc. ADR (China) | 100 | 38,290 |
| Nexon Co., Ltd. (Japan) | 2,400 | 50,039 |
| Nomura Research Institute, Ltd. (Japan) | 1,700 | 44,969 |
| Otsuka Corp. (Japan) | 900 | 43,467 |
| Paychex, Inc. | 1,355 | 97,939 |
| Radiant Opto-Electronics Corp. (Taiwan) | 6,000 | 20,623 |
| Samsung Electronics Co., Ltd. (South Korea) | 4,712 | 193,467 |
| Samsung SDS Co., Ltd. (South Korea) | 152 | 23,447 |
| STMicroelectronics NV (France) | 1,853 | 45,797 |
| Synopsys, Inc. † | 1,516 | 274,260 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) | 2,503 | 125,976 |
| Take-Two Interactive Software, Inc. † | 2,142 | 291,676 |
| Tata Consultancy Services, Ltd. (India) | 1,906 | 49,722 |
| Tech Mahindra, Ltd. (India) | 4,251 | 29,861 |
| Tencent Holdings, Ltd. (China) | 2,700 | 143,914 |
| Texas Instruments, Inc. | 4,232 | 502,508 |
| Tokyo Electron, Ltd. (Japan) | 200 | 39,981 |
| Tripod Technology Corp. (Taiwan) | 4,000 | 14,995 |
| United Microelectronics Corp. (Taiwan) | 61,000 | 31,409 |
| Western Union Co. (The) | 9,669 | 193,573 |
| Wipro, Ltd. (India) | 6,942 | 19,535 |
| WNS Holdings, Ltd. ADR (India) † | 200 | 9,668 |
| Xhen Ding Technology Holding, Ltd. (Taiwan) | 1,000 | 3,988 |
| 9,370,564 | ||
| Transportation (0.6%) | ||
| Aena SME SA (Spain) † | 316 | 45,226 |
| Aurizon Holdings, Ltd. (Australia) | 16,038 | 50,445 |
| Delta Air Lines, Inc. | 4,607 | 116,142 |
| Deutsche Post AG (Germany) † | 3,324 | 102,974 |
| Grupo Aeroportuario del Centro Norte SAB de CV (Mexico) † | 1,543 | 6,795 |
| Japan Airlines Co., Ltd. (Japan) | 1,100 | 21,646 |
| Malaysia Airports Holdings Bhd (Malaysia) | 1,900 | 2,194 |
| MISC Bhd (Malaysia) | 10,100 | 19,327 |
| Odakyu Electric Railway Co., Ltd. (Japan) | 900 | 22,473 |
| Union Pacific Corp. | 78 | 13,249 |
| United Airlines Holdings, Inc. † | 276 | 7,739 |
| West Japan Railway Co. (Japan) | 500 | 32,284 |
| Dynamic Risk Allocation Fund 29 |
| COMMON STOCKS (49.7%)* cont. | Shares | Value |
| Transportation cont. | ||
| Westports Holdings Bhd (Malaysia) | 3,200 | $2,945 |
| Yangzijiang Shipbuilding Holdings, Ltd. (China) | 43,100 | 28,856 |
| 472,295 | ||
| Utilities and power (2.1%) | ||
| AGL Energy, Ltd. (Australia) | 2,961 | 32,895 |
| American Electric Power Co., Inc. | 2,217 | 188,999 |
| CenterPoint Energy, Inc. | 2,463 | 43,792 |
| China Resources Gas Group, Ltd. (China) | 2,000 | 10,949 |
| Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) | 1,255 | 12,775 |
| CLP Holdings, Ltd. (Hong Kong) | 3,000 | 29,443 |
| DTE Energy Co. | 2,828 | 304,208 |
| E.ON SE (Germany) | 4,599 | 48,677 |
| Electricity Generating PCL (Thailand) | 2,400 | 20,824 |
| Enel Americas SA ADR (Chile) | 4,434 | 32,900 |
| Enel SpA (Italy) | 13,957 | 107,400 |
| Eni SpA (Italy) | 3,384 | 30,696 |
| Exelon Corp. | 8,808 | 337,434 |
| Federal Grid Co. Unified Energy System PJSC (Russia) | 1,710,000 | 4,443 |
| Glow Energy PCL (Thailand) F | 400 | — |
| Indraprastha Gas, Ltd. (India) † | 3,109 | 19,356 |
| Inter RAO UES PJSC (Russia) | 470,209 | 32,909 |
| Kinder Morgan, Inc. | 21,425 | 338,515 |
| Mahanagar Gas, Ltd. (India) | 955 | 12,303 |
| Manila Electric Co. (Philippines) | 470 | 2,629 |
| Pinnacle West Capital Corp. | 147 | 11,451 |
| Snam SpA (Italy) | 7,015 | 32,713 |
| Transmissora Aliancea De Energia Electrica SA (acquired 3/12/20, | ||
| cost $1,730) (Brazil) ∆∆ | 300 | 1,604 |
| 1,656,915 | ||
| Total common stocks (cost $35,990,431) | $39,136,592 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* | amount | Value |
| Basic materials (2.0%) | ||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 7.875%, 8/15/23 | $40,000 | $36,950 |
| ArcelorMittal SA sr. unsec. unsub. notes 7.25%, 10/15/39 (France) | 30,000 | 35,475 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes | ||
| 4.50%, 11/15/26 | 10,000 | 9,775 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 11/1/25 | 20,000 | 18,894 |
| Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. | ||
| notes 7.25%, 9/1/25 | 50,000 | 45,500 |
| BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 55,000 | 54,725 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 9/1/24 | 55,000 | 55,963 |
| Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 19,000 | 19,998 |
| BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 | 30,000 | 26,850 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes | ||
| 3.50%, 5/8/24 (Germany) | 10,000 | 10,446 |
| 30 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Basic materials cont. | ||
| Celanese US Holdings, LLC company guaranty sr. unsec. unsub. | ||
| notes 4.625%, 11/15/22 (Germany) | $29,000 | $30,425 |
| CF Industries, Inc. company guaranty sr. unsec. bonds | ||
| 4.95%, 6/1/43 | 45,000 | 47,523 |
| CF Industries, Inc. 144A company guaranty sr. notes | ||
| 4.50%, 12/1/26 | 48,000 | 51,751 |
| Chemours Co. (The) company guaranty sr. unsec. notes | ||
| 5.375%, 5/15/27 | 15,000 | 13,480 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.75%, 12/1/27 | 35,000 | 36,801 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 4.875%, 7/15/24 | 20,000 | 19,850 |
| CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes | ||
| 8.00%, 10/1/21 | 30,000 | 30,009 |
| Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 | 37,000 | 39,209 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. | ||
| notes 5.45%, 3/15/43 (Indonesia) | 10,000 | 9,883 |
| GCP Applied Technologies, Inc. 144A sr. unsec. notes | ||
| 5.50%, 4/15/26 | 50,000 | 49,269 |
| Georgia-Pacific, LLC 144A sr. unsec. sub. notes 2.10%, 4/30/27 | 36,000 | 36,669 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 4.625%, 4/29/24 | 21,000 | 22,465 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 4.00%, 4/16/25 | 41,000 | 43,238 |
| Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 35,000 | 35,088 |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.625%, 1/15/25 (Canada) | 35,000 | 31,818 |
| International Flavors & Fragrances, Inc. sr. unsec. notes | ||
| 4.45%, 9/26/28 | 22,000 | 23,784 |
| International Flavors & Fragrances, Inc. sr. unsec. notes | ||
| 3.40%, 9/25/20 | 85,000 | 85,311 |
| International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 | 14,000 | 14,890 |
| Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 15,000 | 15,000 |
| Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 9/15/24 | 25,000 | 24,755 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes | ||
| 8.50%, 4/15/24 | 10,000 | 10,100 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes | ||
| 5.50%, 4/15/24 | 15,000 | 14,888 |
| Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) | 15,000 | 14,363 |
| Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 20,000 | 18,100 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds | ||
| 5.875%, 9/30/26 | 85,000 | 87,056 |
| Novelis Corp. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 1/30/30 | 15,000 | 14,288 |
| Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) | 7,000 | 8,452 |
| Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) | 18,000 | 19,345 |
| Nutrien, Ltd. sr. unsec. notes 2.95%, 5/13/30 (Canada) | 10,000 | 10,450 |
| Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | 20,000 | 22,829 |
| PolyOne Corp. 144A sr. unsec. notes 5.75%, 5/15/25 | 5,000 | 5,244 |
| PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 | 35,000 | 35,620 |
| Dynamic Risk Allocation Fund 31 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Basic materials cont. | ||
| Resideo Funding, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 11/1/26 | $25,000 | $22,717 |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 16,000 | 17,598 |
| Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. | ||
| unsub. notes 7.50%, 11/20/25 (Ireland) | 40,000 | 47,300 |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 10/1/24 | 30,000 | 30,753 |
| TMS International Holding Corp. 144A sr. unsec. notes | ||
| 7.25%, 8/15/25 | 30,000 | 23,100 |
| TopBuild Corp. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 5/1/26 | 35,000 | 35,613 |
| Tronox Finance PLC 144A company guaranty sr. unsec. notes | ||
| 5.75%, 10/1/25 (United Kingdom) | 5,000 | 4,675 |
| Tronox, Inc. 144A company guaranty sr. notes 6.50%, 5/1/25 | 5,000 | 5,150 |
| U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 6/1/24 | 33,000 | 32,835 |
| Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 12/1/27 | 35,000 | 35,438 |
| Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 4.375%, 8/15/25 | 5,000 | 5,088 |
| Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 4.25%, 2/15/30 | 10,000 | 9,975 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes | ||
| 8.20%, 1/15/30 | 18,000 | 24,039 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes | ||
| 7.95%, 2/15/31 | 14,000 | 18,790 |
| WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/24 | 35,000 | 35,613 |
| Zekelman Industries, Inc. 144A company guaranty sr. notes | ||
| 9.875%, 6/15/23 | 6,000 | 5,970 |
| 1,591,183 | ||
| Capital goods (1.5%) | ||
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 10/1/27 | 40,000 | 38,800 |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. | ||
| notes 5.625%, 7/1/27 | 15,000 | 15,235 |
| Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 20,000 | 18,800 |
| Berry Global, Inc. 144A company guaranty notes 5.625%, 7/15/27 | 10,000 | 10,500 |
| Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 | 50,000 | 50,500 |
| Boeing Co. (The) sr. unsec. notes 4.875%, 5/1/25 | 30,000 | 31,848 |
| Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 25,000 | 14,875 |
| Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) | 10,000 | 6,096 |
| Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 15,000 | 15,566 |
| Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 10,000 | 10,504 |
| Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 15,000 | 15,525 |
| Crown Americas, LLC/Crown Americas Capital Corp. VI company | ||
| guaranty sr. unsec. notes 4.75%, 2/1/26 | 20,000 | 20,783 |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | ||
| 7.375%, 12/15/26 | 25,000 | 29,000 |
| GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 25,000 | 26,000 |
| 32 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Capital goods cont. | ||
| GFL Environmental, Inc. 144A sr. unsec. notes 8.50%, | ||
| 5/1/27 (Canada) | $18,000 | $19,733 |
| GFL Environmental, Inc. 144A sr. unsec. notes 7.00%, | ||
| 6/1/26 (Canada) | 45,000 | 47,588 |
| Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. | ||
| notes 8.00%, 5/15/22 | 40,000 | 40,800 |
| Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 | 43,000 | 50,867 |
| Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 | ||
| (Canada) ‡‡ | 30,000 | 27,291 |
| Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 | 25,000 | 29,123 |
| Johnson Controls International PLC sr. unsec. unsub. bonds | ||
| 4.50%, 2/15/47 | 12,000 | 13,755 |
| L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 28,000 | 31,412 |
| L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 | 18,000 | 20,839 |
| Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 32,000 | 35,463 |
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 27,000 | 28,880 |
| Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 | 5,000 | 4,854 |
| Otis Worldwide Corp. 144A company guaranty sr. unsec. notes | ||
| 2.565%, 2/15/30 | 5,000 | 5,067 |
| Owens-Brockway Glass Container, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.625%, 5/13/27 | 10,000 | 10,525 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. notes 6.25%, 5/15/26 | 10,000 | 10,150 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. unsec. notes 8.50%, 5/15/27 | 35,000 | 34,300 |
| Park-Ohio Industries, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 4/15/27 | 35,000 | 27,051 |
| Raytheon Technologies Corp. sr. unsec. unsub. notes | ||
| 4.125%, 11/16/28 | 5,000 | 5,801 |
| RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes | ||
| 4.875%, 12/15/25 | 50,000 | 49,750 |
| Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 50,000 | 43,678 |
| Staples, Inc. 144A sr. unsec. notes 10.75%, 4/15/27 | 30,000 | 20,411 |
| Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 10/1/26 | 60,000 | 62,100 |
| Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. | ||
| notes 7.75%, 4/15/26 (Canada) | 5,000 | 4,663 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.50%, 5/15/25 | 5,000 | 4,838 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 6/15/26 | 35,000 | 32,550 |
| TransDigm, Inc. 144A company guaranty sr. notes 8.00%, 12/15/25 | 5,000 | 5,400 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 55,000 | 56,238 |
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 5.50%, 11/15/27 | 35,000 | 31,763 |
| Waste Management, Inc. company guaranty sr. unsec. unsub. | ||
| notes 4.75%, 6/30/20 | 12,000 | 12,032 |
| Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 45,000 | 44,483 |
| Dynamic Risk Allocation Fund 33 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Capital goods cont. | ||
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 7.25%, 6/15/28 | $25,000 | $24,811 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 7.125%, 6/15/25 | 10,000 | 10,000 |
| 1,150,248 | ||
| Communication services (2.8%) | ||
| American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R | 12,000 | 12,827 |
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R | 46,000 | 49,078 |
| AT&T, Inc. sr. unsec. bonds 4.30%, 2/15/30 | 10,000 | 11,377 |
| AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 | 54,000 | 59,929 |
| AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 | 71,000 | 77,698 |
| AT&T, Inc. sr. unsec. sub. notes 2.95%, 7/15/26 | 19,000 | 20,021 |
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 36,000 | 41,901 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
| guaranty sr. unsec. bonds 5.50%, 5/1/26 | 30,000 | 31,725 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 5.375%, 6/1/29 | 175,000 | 188,563 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 4.50%, 5/1/32 | 15,000 | 15,492 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 4.50%, 8/15/30 | 10,000 | 10,375 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| notes 5.75%, 2/15/26 | 20,000 | 20,854 |
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital Corp. company guaranty sr. | ||
| sub. bonds 6.484%, 10/23/45 | 41,000 | 53,866 |
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital Corp. company guaranty sr. | ||
| sub. bonds 5.375%, 5/1/47 | 24,000 | 28,457 |
| Charter Communications Operating, LLC/Charter | ||
| Communications Operating Capital Corp. company guaranty sr. | ||
| sub. notes 4.908%, 7/23/25 | 21,000 | 24,000 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds | ||
| 3.969%, 11/1/47 | 22,000 | 25,967 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds | ||
| 2.35%, 1/15/27 | 5,000 | 5,287 |
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 11/15/35 | 46,000 | 68,350 |
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.375%, 2/15/25 | 24,000 | 26,621 |
| Comcast Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.15%, 3/1/26 | 5,000 | 5,533 |
| CommScope Technologies, LLC 144A company guaranty sr. unsec. | ||
| notes 6.00%, 6/15/25 | 20,000 | 19,444 |
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 14,000 | 15,132 |
| Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R | 14,000 | 15,612 |
| Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27 R | 22,000 | 24,353 |
| Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22 R | 5,000 | 5,345 |
| Crown Castle International Corp. sr. unsec. unsub. bonds | ||
| 3.70%, 6/15/26 R | 24,000 | 26,423 |
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 110,000 | 116,017 |
| 34 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Communication services cont. | ||
| CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 | $100,000 | $105,375 |
| Deutsche Telekom International Finance BV company guaranty sr. | ||
| unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) | 9,000 | 13,610 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes | ||
| 5.875%, 11/15/24 | 75,000 | 74,047 |
| Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R | 25,000 | 26,916 |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R | 25,000 | 26,760 |
| Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 | ||
| (In default) † | 40,000 | 13,900 |
| Frontier Communications Corp. 144A company guaranty notes | ||
| 8.50%, 4/1/26 | 15,000 | 14,400 |
| Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 | ||
| (Luxembourg) (In default) † | 65,000 | 37,375 |
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.625%, 2/1/23 | 10,000 | 10,019 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 9/15/27 | 105,000 | 107,604 |
| Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, | ||
| 1/15/23 (Canada) | 10,000 | 10,526 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 11/15/28 | 50,000 | 61,750 |
| Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | 25,000 | 29,875 |
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 85,000 | 96,475 |
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 | 40,000 | 41,922 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.375%, 3/1/25 | 10,000 | 10,313 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 5.375%, 4/15/27 | 40,000 | 42,500 |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 4.75%, 2/1/28 | 75,000 | 79,688 |
| T-Mobile USA, Inc. 144A company guaranty sr. notes | ||
| 3.875%, 4/15/30 | 31,000 | 33,549 |
| T-Mobile USA, Inc. 144A company guaranty sr. notes | ||
| 3.75%, 4/15/27 | 77,000 | 82,481 |
| Verizon Communications, Inc. sr. unsec. unsub. bonds | ||
| 5.25%, 3/16/37 | 20,000 | 26,850 |
| Verizon Communications, Inc. sr. unsec. unsub. notes | ||
| 4.40%, 11/1/34 | 16,000 | 19,489 |
| Verizon Communications, Inc. sr. unsec. unsub. notes | ||
| 4.329%, 9/21/28 | 98,000 | 116,897 |
| Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, | ||
| 4/15/27 (Canada) | 100,000 | 105,125 |
| Zayo Group Holdings, Inc. 144A sr. notes 4.00%, 3/1/27 | 5,000 | 4,914 |
| Zayo Group Holdings, Inc. 144A sr. unsec. notes 6.125%, 3/1/28 | 10,000 | 9,875 |
| 2,202,482 | ||
| Consumer cyclicals (4.6%) | ||
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. | ||
| notes 3.55%, 7/26/27 (Canada) | 14,000 | 14,683 |
| Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, | ||
| 1/25/30 (Canada) | 8,000 | 8,037 |
| Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 50,000 | 56,747 |
| Dynamic Risk Allocation Fund 35 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| Amazon.com, Inc. sr. unsec. notes 2.50%, 11/29/22 | $24,000 | $25,152 |
| Amazon.com, Inc. sr. unsec. unsub. notes 3.30%, 12/5/21 | 68,000 | 70,812 |
| American Builders & Contractors Supply Co., Inc. 144A company | ||
| guaranty sr. unsec. notes 5.875%, 5/15/26 | 10,000 | 10,350 |
| American Builders & Contractors Supply Co., Inc. 144A sr. notes | ||
| 4.00%, 1/15/28 | 10,000 | 10,050 |
| AZEK Co., LLC (The) 144A company guaranty sr. unsec. notes | ||
| 9.50%, 5/15/25 | 20,000 | 21,250 |
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes | ||
| 3.95%, 8/14/28 | 2,000 | 2,163 |
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes | ||
| 3.40%, 8/13/21 | 7,000 | 7,152 |
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes | ||
| 2.00%, 4/11/21 | 42,000 | 42,176 |
| Boyd Gaming Corp. company guaranty sr. unsec. notes | ||
| 6.00%, 8/15/26 | 20,000 | 19,450 |
| Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 4/1/26 | 35,000 | 34,815 |
| Boyd Gaming Corp. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 12/1/27 | 10,000 | 9,210 |
| Boyd Gaming Corp. 144A sr. unsec. notes 8.625%, 6/1/25 | 10,000 | 10,683 |
| Brookfield Residential Properties, Inc./Brookfield Residential | ||
| US Corp. 144A company guaranty sr. unsec. notes 6.25%, | ||
| 9/15/27 (Canada) | 10,000 | 9,525 |
| Carnival Corp. 144A sr. notes 11.50%, 4/1/23 | 10,000 | 10,648 |
| Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 | 45,000 | 47,025 |
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | ||
| 4.875%, 6/1/23 | 35,000 | 30,450 |
| Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 | 5,000 | 5,213 |
| Clear Channel Worldwide Holdings, Inc. 144A company guaranty | ||
| sr. notes 5.125%, 8/15/27 | 15,000 | 15,000 |
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. | ||
| unsec. notes 9.25%, 2/15/24 | 21,000 | 19,275 |
| Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 | 35,000 | 24,150 |
| Cornerstone Building Brands, Inc. 144A company guaranty sr. | ||
| unsec. sub. notes 8.00%, 4/15/26 | 16,000 | 15,080 |
| CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. | ||
| unsec. notes 5.25%, 10/15/25 | 65,000 | 57,850 |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | ||
| notes 5.375%, 8/15/26 | 30,000 | 23,850 |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | ||
| unsec. notes 6.625%, 8/15/27 | 60,000 | 36,180 |
| Discovery Communications, LLC company guaranty sr. unsec. | ||
| unsub. notes 3.625%, 5/15/30 | 12,000 | 12,685 |
| Ecolab, Inc. sr. unsec. notes 4.35%, 12/8/21 | 45,000 | 47,750 |
| Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 | 51,000 | 55,818 |
| Eldorado Resorts, Inc. company guaranty sr. unsec. notes | ||
| 6.00%, 9/15/26 | 5,000 | 5,225 |
| Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 8/1/23 | 15,000 | 15,150 |
| 36 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| Entercom Media Corp. 144A company guaranty notes | ||
| 6.50%, 5/1/27 | $25,000 | $22,000 |
| Entercom Media Corp. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 11/1/24 | 35,000 | 28,175 |
| Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 | 30,000 | 31,350 |
| Fox Corp. sr. unsec. notes Ser. WI, 4.03%, 1/25/24 | 16,000 | 17,587 |
| Gap, Inc. (The) 144A sr. notes 8.625%, 5/15/25 | 10,000 | 10,500 |
| Gap, Inc. (The) 144A sr. notes 8.375%, 5/15/23 | 15,000 | 15,938 |
| Gartner, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 4/1/25 | 20,000 | 20,408 |
| General Motors Co. sr. unsec. notes 6.125%, 10/1/25 | 20,000 | 21,823 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| notes 4.00%, 10/6/26 | 33,000 | 32,902 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.30%, 7/13/25 | 11,000 | 11,215 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.00%, 1/15/25 | 5,000 | 5,038 |
| Global Payments, Inc. sr. unsec. notes 2.90%, 5/15/30 | 27,000 | 28,043 |
| Global Payments, Inc. sr. unsec. unsub. notes 4.00%, 6/1/23 | 5,000 | 5,403 |
| Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 | 40,000 | 42,500 |
| GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, | ||
| 11/1/27 (Canada) | 34,000 | 35,288 |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.375%, 5/15/25 | 10,000 | 10,250 |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 4.625%, 5/15/24 | 30,000 | 30,525 |
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. | ||
| company guaranty sr. unsec. notes 4.875%, 4/1/27 | 76,000 | 75,431 |
| Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 | 25,000 | 23,750 |
| Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 | 27,000 | 27,436 |
| iHeartCommunications, Inc. company guaranty sr. notes | ||
| 6.375%, 5/1/26 | 26,004 | 27,296 |
| iHeartCommunications, Inc. company guaranty sr. unsec. notes | ||
| 8.375%, 5/1/27 | 49,008 | 45,822 |
| IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 | ||
| (United Kingdom) | 22,000 | 25,136 |
| IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 | ||
| (United Kingdom) | 159,000 | 173,112 |
| Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds | ||
| 4.65%, 10/1/28 | 83,000 | 90,896 |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.25%, 3/15/28 R | 25,000 | 25,375 |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 9/15/27 R | 35,000 | 35,131 |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 12/15/27 | 20,000 | 18,750 |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 12/15/25 | 25,000 | 23,688 |
| JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 | 10,000 | 10,300 |
| L Brands, Inc. company guaranty sr. unsec. bonds 6.75%, | ||
| perpetual maturity | 15,000 | 12,503 |
| Dynamic Risk Allocation Fund 37 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| L Brands, Inc. company guaranty sr. unsec. notes 7.50%, | ||
| perpetual maturity | $25,000 | $21,938 |
| Lennar Corp. company guaranty sr. unsec. sub. notes | ||
| 5.875%, 11/15/24 | 15,000 | 16,238 |
| Levi Strauss & Co. 144A sr. unsec. unsub. notes 5.00%, 5/1/25 | 10,000 | 10,200 |
| Lions Gate Capital Holdings, LLC 144A company guaranty sr. | ||
| unsec. notes 5.875%, 11/1/24 | 40,000 | 38,900 |
| Lions Gate Capital Holdings, LLC 144A sr. unsec. notes | ||
| 6.375%, 2/1/24 | 10,000 | 10,088 |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 11/1/24 | 10,000 | 9,550 |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 3/15/26 | 15,000 | 14,475 |
| Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 10,000 | 10,619 |
| Macy’s, Inc. 144A company guaranty sr. unsec. notes | ||
| 8.375%, 6/15/25 | 5,000 | 5,050 |
| Marriott International, Inc. sr. unsec. bonds 4.625%, 6/15/30 | 35,000 | 35,730 |
| Marriott International, Inc. sr. unsec. notes Ser. EE, 5.75%, 5/1/25 | 18,000 | 19,509 |
| Masonite International Corp. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 2/1/28 | 10,000 | 10,100 |
| Mattamy Group Corp. 144A sr. unsec. notes 5.25%, | ||
| 12/15/27 (Canada) | 35,000 | 33,950 |
| Mattamy Group Corp. 144A sr. unsec. notes 4.625%, | ||
| 3/1/30 (Canada) | 25,000 | 23,000 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.875%, 12/15/27 | 35,000 | 35,613 |
| Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 | 55,000 | 50,738 |
| Navistar International Corp. 144A company guaranty sr. notes | ||
| 9.50%, 5/1/25 | 10,000 | 10,750 |
| Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 | 40,000 | 37,400 |
| Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.625%, 8/1/24 | 30,000 | 30,600 |
| Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 | 40,000 | 41,000 |
| Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. | ||
| unsec. notes 5.00%, 2/1/25 (Luxembourg) | 40,000 | 40,150 |
| Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | ||
| sr. unsec. sub. notes 5.00%, 4/15/22 | 40,000 | 39,938 |
| Nordstrom, Inc. 144A sr. notes 8.75%, 5/15/25 | 15,000 | 16,105 |
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes | ||
| 3.60%, 4/15/26 | 37,000 | 40,153 |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 6.25%, 6/15/25 | 25,000 | 25,719 |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. | ||
| unsec. bonds 4.625%, 3/15/30 | 5,000 | 4,600 |
| Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 25,000 | 23,510 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.75%, 10/1/22 | 30,000 | 30,075 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 12/1/24 | 10,000 | 9,750 |
| PetSmart, Inc. 144A company guaranty sr. notes 5.875%, 6/1/25 | 25,000 | 25,000 |
| 38 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A | ||
| notes 6.25%, 1/15/28 | $25,000 | $23,688 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.875%, 6/15/32 | 55,000 | 67,650 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 3/1/26 | 5,000 | 5,525 |
| Refinitiv US Holdings, Inc. 144A company guaranty sr. notes | ||
| 6.25%, 5/15/26 | 45,000 | 48,038 |
| S&P Global, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.40%, 2/15/26 | 19,000 | 22,389 |
| S&P Global, Inc. company guaranty sr. unsec. unsub. notes | ||
| 2.95%, 1/22/27 | 13,000 | 14,122 |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 | 25,000 | 26,844 |
| Scientific Games International, Inc. 144A company guaranty sr. | ||
| unsec. notes 7.25%, 11/15/29 | 40,000 | 35,200 |
| Scientific Games International, Inc. 144A sr. unsec. notes | ||
| 7.00%, 5/15/28 | 10,000 | 8,800 |
| Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes | ||
| 4.50%, 10/15/29 | 35,000 | 35,875 |
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 3/1/30 | 25,000 | 22,875 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 | 10,000 | 10,725 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 115,000 | 119,888 |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 4/15/27 | 40,000 | 37,200 |
| Six Flags Theme Parks, Inc. 144A company guaranty sr. notes | ||
| 7.00%, 7/1/25 | 25,000 | 26,563 |
| Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.125%, 12/15/24 | 30,000 | 30,750 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.00%, 10/1/29 | 10,000 | 9,763 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 40,000 | 40,700 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 93,000 | 95,750 |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 20,000 | 17,625 |
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP | ||
| Gaming Finance Corp. 144A company guaranty sr. unsub. notes | ||
| 5.875%, 5/15/25 | 35,000 | 31,850 |
| Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes | ||
| 8.875%, 12/15/27 | 45,000 | 43,650 |
| Townsquare Media, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.50%, 4/1/23 | 15,000 | 11,850 |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty | ||
| sr. unsec. unsub. notes 5.875%, 6/15/24 | 15,000 | 15,089 |
| Univision Communications, Inc. 144A company guaranty sr. notes | ||
| 9.50%, 5/1/25 | 10,000 | 10,700 |
| Univision Communications, Inc. 144A company guaranty sr. sub. | ||
| notes 5.125%, 2/15/25 | 35,000 | 33,460 |
| ViacomCBS, Inc. company guaranty sr. unsec. bonds 4.20%, 6/1/29 | 33,000 | 35,169 |
| ViacomCBS, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 2.90%, 1/15/27 | 26,000 | 25,795 |
| Dynamic Risk Allocation Fund 39 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.00%, 1/15/26 | $6,000 | $6,410 |
| Walt Disney Co. (The) company guaranty sr. unsec. bonds | ||
| 7.75%, 12/1/45 | 18,000 | 29,896 |
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes | ||
| 6.00%, 2/1/23 | 20,000 | 19,404 |
| Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. | ||
| unsec. notes 8.75%, 7/15/25 | 45,000 | 38,250 |
| WMG Acquisition Corp. 144A company guaranty sr. notes | ||
| 5.00%, 8/1/23 | 15,000 | 15,150 |
| WMG Acquisition Corp. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 4/15/26 | 10,000 | 10,300 |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.00%, 9/1/26 | 25,000 | 23,688 |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| notes 6.375%, 5/15/25 | 15,000 | 15,638 |
| Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 4/15/26 | 30,000 | 28,504 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company | ||
| guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 30,000 | 27,825 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. | ||
| unsec. bonds 5.125%, 10/1/29 | 30,000 | 28,809 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. | ||
| unsec. notes 7.75%, 4/15/25 | 5,000 | 5,194 |
| 3,634,224 | ||
| Consumer staples (1.5%) | ||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 5.00%, 10/15/25 (Canada) | 50,000 | 50,813 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 4.375%, 1/15/28 (Canada) | 15,000 | 14,738 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | ||
| notes 3.875%, 1/15/28 (Canada) | 25,000 | 24,688 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | ||
| LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 5,000 | 5,181 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | ||
| LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 15,000 | 15,225 |
| Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/ | ||
| Albertsons, LLC 144A company guaranty sr. unsec. notes | ||
| 7.50%, 3/15/26 | 35,000 | 39,069 |
| Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | ||
| company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 | 14,000 | 15,521 |
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. | ||
| unsec. unsub. bonds 5.55%, 1/23/49 | 16,000 | 20,071 |
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. | ||
| unsec. unsub. notes 4.75%, 1/23/29 | 19,000 | 22,450 |
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. | ||
| unsec. unsub. notes 4.15%, 1/23/25 | 16,000 | 17,998 |
| Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 | 45,000 | 44,672 |
| Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes | ||
| 8.50%, 7/15/25 | 35,000 | 30,888 |
| 40 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer staples cont. | ||
| Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.75%, 1/15/27 | $5,000 | $5,450 |
| Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. | ||
| notes 6.375%, 7/15/26 | 20,000 | 21,100 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds | ||
| 4.50%, 2/15/45 | 27,000 | 26,033 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes | ||
| 7.00%, 10/15/37 | 62,000 | 79,443 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes | ||
| 5.625%, 3/15/42 | 30,000 | 34,040 |
| Fresh Market, Inc. (The) 144A company guaranty sr. notes | ||
| 9.75%, 5/1/23 | 35,000 | 24,850 |
| Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company | ||
| guaranty sr. unsec. notes 5.25%, 12/1/27 | 10,000 | 10,513 |
| Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 8.75%, 10/1/25 | 50,000 | 33,000 |
| Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 35,000 | 28,263 |
| IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 | 10,000 | 10,375 |
| Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 | 35,000 | 35,175 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.597%, 5/25/28 | 23,000 | 27,371 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.417%, 5/25/25 | 29,000 | 33,039 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.057%, 5/25/23 | 10,000 | 10,904 |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
| 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 35,000 | 36,400 |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
| 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 15,000 | 15,354 |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
| 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 20,000 | 20,734 |
| Kraft Heinz Co. (The) company guaranty sr. unsec. notes | ||
| 5.00%, 7/15/35 | 30,000 | 32,293 |
| Kraft Heinz Co. (The) company guaranty sr. unsec. notes | ||
| 3.00%, 6/1/26 | 35,000 | 34,999 |
| Kraft Heinz Co. (The) 144A company guaranty sr. unsec. notes | ||
| 3.875%, 5/15/27 | 11,000 | 11,548 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 5/15/28 | 15,000 | 15,708 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 11/1/26 | 105,000 | 108,675 |
| Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 | 30,000 | 31,394 |
| Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 10,000 | 10,275 |
| Mondelez International, Inc. sr. unsec. sub. notes 2.125%, 4/13/23 | 6,000 | 6,199 |
| Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 | 25,000 | 29,313 |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 35,000 | 37,363 |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 10,000 | 11,379 |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 10,000 | 11,101 |
| Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 | 5,000 | 5,398 |
| Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 | 10,000 | 10,373 |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 | 25,000 | 25,883 |
| Dynamic Risk Allocation Fund 41 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Consumer staples cont. | ||
| Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes | ||
| 7.50%, 7/1/25 | $23,000 | $22,828 |
| Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes | ||
| 6.125%, 4/1/23 | 42,000 | 39,060 |
| Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 20,000 | 20,775 |
| Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 | 5,000 | 5,525 |
| 1,223,447 | ||
| Energy (2.6%) | ||
| Antero Resources Corp. company guaranty sr. unsec. sub. notes | ||
| 5.375%, 11/1/21 | 17,000 | 15,224 |
| Antero Resources Corp. company guaranty sr. unsec. sub. notes | ||
| 5.125%, 12/1/22 | 12,000 | 8,400 |
| Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 10,000 | 8,017 |
| Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 | 10,000 | 8,874 |
| Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 | 10,000 | 9,579 |
| Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 | 30,000 | 27,530 |
| Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. | ||
| unsec. notes 10.00%, 4/1/22 | 31,000 | 27,125 |
| California Resources Corp. 144A company guaranty notes | ||
| 8.00%, 12/15/22 | 11,000 | 186 |
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 30,000 | 26,916 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes | ||
| 5.875%, 3/31/25 | 20,000 | 21,891 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes | ||
| 5.125%, 6/30/27 | 65,000 | 70,358 |
| Chevron Corp. sr. unsec. unsub. notes 2.10%, 5/16/21 | 28,000 | 28,421 |
| Comstock Resources, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.50%, 5/15/25 | 10,000 | 8,825 |
| Concho Resources, Inc. company guaranty sr. unsec. notes | ||
| 3.75%, 10/1/27 | 38,000 | 39,761 |
| Continental Resources, Inc. company guaranty sr. unsec. notes | ||
| 4.375%, 1/15/28 | 10,000 | 8,422 |
| Continental Resources, Inc. company guaranty sr. unsec. unsub. | ||
| notes 4.50%, 4/15/23 | 25,000 | 23,133 |
| DCP Midstream Operating LP 144A company guaranty sr. unsec. | ||
| unsub. bonds 6.75%, 9/15/37 | 40,000 | 33,200 |
| Denbury Resources, Inc. 144A company guaranty notes | ||
| 9.00%, 5/15/21 | 41,000 | 17,220 |
| Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 | 15,000 | 16,222 |
| Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 | 10,000 | 10,706 |
| Devon Energy Corp. sr. unsec. unsub. bonds 5.60%, 7/15/41 | 10,000 | 9,280 |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes | ||
| 3.25%, 12/1/26 | 10,000 | 9,708 |
| Diamondback Energy, Inc. company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 5/31/25 | 30,000 | 30,694 |
| Diamondback Energy, Inc. sr. unsec. notes 4.75%, 5/31/25 | 15,000 | 15,709 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| bonds 5.75%, 1/30/28 | 50,000 | 48,813 |
| Energy Transfer Operating LP company guaranty sr. unsec. bonds | ||
| 3.75%, 5/15/30 | 25,000 | 24,631 |
| 42 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Energy cont. | ||
| Energy Transfer Operating LP company guaranty sr. unsec. notes | ||
| 5.875%, 1/15/24 | $32,000 | $34,936 |
| Energy Transfer Operating LP company guaranty sr. unsec. notes | ||
| 2.90%, 5/15/25 | 14,000 | 13,960 |
| Energy Transfer Operating LP jr. unsec. sub. FRB Ser. B, 6.625%, | ||
| perpetual maturity | 101,000 | 79,141 |
| Energy Transfer Operating LP sr. unsec. unsub. bonds | ||
| 6.125%, 12/15/45 | 7,000 | 7,335 |
| Energy Transfer Operating LP sr. unsec. unsub. notes | ||
| 5.20%, 2/1/22 | 18,000 | 18,653 |
| EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 | 5,000 | 5,684 |
| EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 | 25,000 | 26,039 |
| Equinor ASA company guaranty sr. unsec. unsub. notes 2.90%, | ||
| 11/8/20 (Norway) | 33,000 | 33,336 |
| Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 | 124,000 | 125,507 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 2/15/26 | 70,000 | 67,550 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. | ||
| notes 5.125%, 6/15/28 | 20,000 | 18,900 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.00%, 2/1/28 | 10,000 | 9,850 |
| Indigo Natural Resources, LLC 144A sr. unsec. notes | ||
| 6.875%, 2/15/26 | 20,000 | 19,350 |
| MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 42,000 | 41,391 |
| MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) | 20,000 | 18,212 |
| Nabors Industries, Inc. company guaranty sr. unsec. notes | ||
| 5.75%, 2/1/25 | 45,000 | 13,950 |
| Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes | ||
| 7.50%, 1/15/28 | 10,000 | 5,500 |
| Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 1/15/26 | 10,000 | 5,700 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 20,000 | 19,301 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 | 10,000 | 9,100 |
| Noble Energy, Inc. sr. unsec. bonds 6.00%, 3/1/41 | 5,000 | 4,720 |
| Noble Energy, Inc. sr. unsec. sub. notes 3.90%, 11/15/24 | 20,000 | 19,765 |
| Noble Holding International, Ltd. 144A company guaranty sr. | ||
| unsec. notes 7.875%, 2/1/26 | 20,000 | 5,250 |
| Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 3/15/22 | 11,000 | 2,008 |
| Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 | 20,000 | 3,400 |
| Occidental Petroleum Corp. sr. unsec. notes 2.90%, 8/15/24 | 10,000 | 7,950 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 10,000 | 7,100 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 4.85%, 3/15/21 | 20,000 | 19,600 |
| Occidental Petroleum Corp. sr. unsec. unsub. notes 3.50%, 6/15/25 | 10,000 | 7,794 |
| Occidental Petroleum Corp. sr. unsec. unsub. notes Ser. 1, | ||
| 4.10%, 2/1/21 | 15,000 | 14,738 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| bonds 7.375%, 1/17/27 (Brazil) | 45,000 | 48,729 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.125%, 1/17/22 (Brazil) | 18,000 | 18,698 |
| Dynamic Risk Allocation Fund 43 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Energy cont. | ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.999%, 1/27/28 (Brazil) | $45,000 | $45,506 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.299%, 1/27/25 (Brazil) | 5,000 | 5,099 |
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. | ||
| notes 6.00%, 11/15/26 (Venezuela) (In default) † | 110,000 | 3,163 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 3/13/27 (Mexico) | 24,000 | 21,211 |
| Petroleos Mexicanos 144A company guaranty sr. unsec. bonds | ||
| 7.69%, 1/23/50 (Mexico) | 10,000 | 8,254 |
| Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. | ||
| notes 5.95%, 1/28/31 (Mexico) | 82,000 | 65,879 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes | ||
| 7.125%, 1/15/26 (Canada) | 45,000 | 22,500 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 | 5,000 | 5,267 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 | 20,000 | 20,900 |
| Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 | 11,000 | 11,589 |
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 16,000 | 17,762 |
| Shell International Finance BV company guaranty sr. unsec. unsub. | ||
| notes 2.875%, 5/10/26 (Netherlands) | 40,000 | 43,622 |
| SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 10,000 | 4,950 |
| SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 25,000 | 13,500 |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 10,000 | 5,100 |
| SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 19,000 | 11,495 |
| Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 | 24,000 | 25,328 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.50%, 1/15/28 | 35,000 | 31,297 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 | 10,000 | 10,678 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 | 15,000 | 15,655 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 | 40,000 | 38,800 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 | 5,000 | 4,950 |
| Total Capital International SA company guaranty sr. unsec. unsub. | ||
| notes 2.75%, 6/19/21 (France) | 117,000 | 119,454 |
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, | ||
| 3/15/77 (Canada) | 25,000 | 23,875 |
| Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, | ||
| 8/1/25 (Cayman Islands) | 12,525 | 11,774 |
| Transocean Poseidon, Ltd. 144A company guaranty sr. notes | ||
| 6.875%, 2/1/27 | 20,000 | 18,000 |
| Transocean, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 7.50%, 4/15/31 | 10,000 | 3,000 |
| USA Compression Partners LP/USA Compression Finance Corp. | ||
| company guaranty sr. unsec. notes 6.875%, 4/1/26 | 25,000 | 24,063 |
| USA Compression Partners LP/USA Compression Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 | 10,000 | 9,525 |
| 44 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Energy cont. | ||
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes | ||
| 5.375%, 11/1/27 | $25,000 | $24,813 |
| WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 30,000 | 32,025 |
| WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 | 10,000 | 10,000 |
| WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 | 10,000 | 9,169 |
| WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 | 20,000 | 19,350 |
| 2,019,545 | ||
| Financials (6.5%) | ||
| AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 20,000 | 18,568 |
| AIG Global Funding 144A sr. notes 2.15%, 7/2/20 | 32,000 | 32,041 |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 45,000 | 40,260 |
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 45,000 | 37,690 |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A | ||
| sr. unsec. notes 6.75%, 10/15/27 | 15,000 | 15,299 |
| Ally Financial, Inc. company guaranty sr. unsec. notes | ||
| 8.00%, 11/1/31 | 130,000 | 162,729 |
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 25,000 | 26,000 |
| American Express Co. sr. unsec. notes 2.65%, 12/2/22 | 35,000 | 36,567 |
| American International Group, Inc. jr. unsec. sub. FRB | ||
| 8.175%, 5/15/58 | 31,000 | 38,276 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, | ||
| perpetual maturity | 49,000 | 52,246 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, | ||
| perpetual maturity | 15,000 | 16,165 |
| Bank of America Corp. sr. unsec. notes Ser. MTN, 3.499%, 5/17/22 | 12,000 | 12,289 |
| Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, | ||
| 3.248%, 10/21/27 | 40,000 | 43,716 |
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 170,000 | 231,182 |
| Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, | ||
| 4/13/21 (Canada) | 47,000 | 48,089 |
| Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) | 6,000 | 6,254 |
| Bank of Nova Scotia (The) sr. unsec. notes 2.00%, | ||
| 11/15/22 (Canada) | 40,000 | 41,103 |
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, | ||
| 3/7/22 (Canada) | 8,000 | 8,293 |
| Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. | ||
| notes 2.20%, 7/20/20 (France) | 245,000 | 245,559 |
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. | ||
| unsub. notes 4.25%, 1/15/21 | 8,000 | 8,191 |
| BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 | 5,000 | 5,035 |
| Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 | 42,000 | 43,447 |
| CBRE Services, Inc. company guaranty sr. unsec. notes | ||
| 5.25%, 3/15/25 | 25,000 | 27,724 |
| CBRE Services, Inc. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 3/1/26 | 19,000 | 20,532 |
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 35,000 | 35,088 |
| CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 94,000 | 94,235 |
| Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 | 42,000 | 45,695 |
| Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 | 54,000 | 54,455 |
| Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 | 15,000 | 16,454 |
| Dynamic Risk Allocation Fund 45 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Financials cont. | ||
| Citigroup, Inc. sr. unsec. unsub. notes 4.50%, 1/14/22 | $35,000 | $36,980 |
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 32,000 | 35,627 |
| Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 | 35,000 | 39,212 |
| CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 20,000 | 20,714 |
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 20,000 | 21,830 |
| Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, | ||
| 9/19/27 (Australia) | 40,000 | 43,068 |
| Commonwealth Bank of Australia 144A unsec. notes 2.20%, | ||
| 11/9/20 (Australia) | 330,000 | 332,346 |
| Digital Realty Trust LP company guaranty sr. unsec. bonds | ||
| 4.45%, 7/15/28 R | 43,000 | 50,442 |
| Diversified Healthcare Trust company guaranty sr. unsec. notes | ||
| 9.75%, 6/15/25 R | 50,000 | 50,875 |
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.25%, 5/1/25 R | 20,000 | 19,450 |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, | ||
| 4/17/28 (Canada) | 56,000 | 56,346 |
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 8/13/24 | 42,000 | 42,856 |
| Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity | 12,000 | 10,710 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 | 15,000 | 13,875 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 30,000 | 27,750 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| notes 5.25%, 6/1/25 | 30,000 | 30,136 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, | ||
| 12/1/24 (Canada) | 25,000 | 23,438 |
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 15,000 | 16,898 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 5.75%, 1/24/22 | 45,000 | 48,445 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 3.85%, 1/26/27 | 86,000 | 94,609 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 2.60%, 2/7/30 | 46,000 | 46,339 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes | ||
| 2.60%, 12/27/20 | 108,000 | 108,139 |
| HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 | 45,000 | 46,218 |
| Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 | 22,000 | 23,469 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.75%, 2/1/24 | 30,000 | 30,450 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.25%, 5/15/26 | 20,000 | 20,104 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 5.25%, 5/15/27 | 15,000 | 14,288 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 4.75%, 9/15/24 | 15,000 | 14,513 |
| iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R | 30,000 | 27,000 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R | 35,000 | 30,669 |
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 5,000 | 5,171 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, | ||
| perpetual maturity | 25,000 | 22,218 |
| 46 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Financials cont. | ||
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD | ||
| 3 Month + 1.00%), 1.392%, 5/15/47 | $66,000 | $42,880 |
| JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 130,000 | 152,143 |
| JPMorgan Chase & Co. unsec. sub. FRB 2.956%, 5/13/31 | 15,000 | 15,477 |
| KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. | ||
| unsub. bonds 5.125%, 6/1/44 | 14,000 | 15,658 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance | ||
| Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 20,000 | 16,450 |
| Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual | ||
| maturity (United Kingdom) | 200,000 | 204,250 |
| LPL Holdings, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.75%, 9/15/25 | 60,000 | 62,378 |
| Mitsubishi UFJ Financial Group, Inc. sr. unsec. notes 3.535%, | ||
| 7/26/21 (Japan) | 76,000 | 78,286 |
| Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 | 40,000 | 49,944 |
| Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 | 86,000 | 95,379 |
| Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 5.50%, 7/28/21 | 25,000 | 26,324 |
| National Australia Bank, Ltd./New York, NY sr. unsec. notes 2.50%, | ||
| 1/12/21 (Australia) | 250,000 | 253,104 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 9.125%, 7/15/26 | 10,000 | 10,138 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 8.125%, 7/15/23 | 35,000 | 35,700 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.00%, 1/15/27 | 10,000 | 9,000 |
| Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. | ||
| 144A sr. unsec. notes 4.875%, 4/15/45 | 28,000 | 26,559 |
| New York Life Global Funding 144A notes 1.10%, 5/5/23 | 110,000 | 111,315 |
| PNC Financial Services Group, Inc. (The) sr. unsec. notes | ||
| 3.30%, 3/8/22 | 11,000 | 11,509 |
| Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R | 5,000 | 5,135 |
| Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27 R | 2,000 | 2,068 |
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. | ||
| unsec. notes 6.375%, 6/15/25 | 40,000 | 34,417 |
| Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 | 25,000 | 25,572 |
| Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.80%, | ||
| 4/29/22 (Canada) | 2,000 | 2,080 |
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, | ||
| 1/27/26 (Canada) | 22,000 | 25,265 |
| Service Properties Trust sr. unsec. notes 4.375%, 2/15/30 R | 14,000 | 10,656 |
| Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes | ||
| 2.625%, 11/17/20 (Sweden) | 270,000 | 272,668 |
| Springleaf Finance Corp. company guaranty sr. unsec. notes | ||
| 8.875%, 6/1/25 | 10,000 | 10,400 |
| Springleaf Finance Corp. company guaranty sr. unsec. sub. notes | ||
| 7.125%, 3/15/26 | 15,000 | 14,775 |
| Springleaf Finance Corp. company guaranty sr. unsec. sub. notes | ||
| 6.625%, 1/15/28 | 10,000 | 9,550 |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | ||
| notes 6.875%, 3/15/25 | 30,000 | 29,616 |
| Dynamic Risk Allocation Fund 47 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Financials cont. | ||
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 11/15/29 | $20,000 | $17,730 |
| Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R | 45,000 | 38,700 |
| Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. | ||
| notes 4.25%, 12/6/42 | 43,000 | 52,672 |
| Taylor Morrison Communities, Inc. 144A sr. unsec. notes | ||
| 5.75%, 1/15/28 | 10,000 | 9,850 |
| Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, | ||
| 9/15/31 (Canada) | 31,000 | 33,725 |
| Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 12/31/99 | 20,000 | 19,020 |
| U.S. Bancorp sr. unsec. unsub. notes Ser. V, 2.625%, 1/24/22 | 4,000 | 4,132 |
| U.S. Bancorp unsec. sub. notes Ser. MTN, 2.95%, 7/15/22 | 18,000 | 18,773 |
| UBS Group AG 144A sr. unsec. notes 3.491%, 5/23/23 (Switzerland) | 200,000 | 207,250 |
| USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 | 55,000 | 56,352 |
| Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, | ||
| perpetual maturity | 22,000 | 23,568 |
| Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 | 52,000 | 52,150 |
| Westpac Banking Corp. unsec. sub. bonds 4.421%, | ||
| 7/24/39 (Australia) | 8,000 | 8,907 |
| Willis Towers Watson PLC company guaranty sr. unsec. unsub. | ||
| notes 5.75%, 3/15/21 | 25,000 | 25,798 |
| 5,094,690 | ||
| Health care (2.3%) | ||
| AbbVie, Inc. 144A sr. unsec. notes 3.45%, 3/15/22 | 12,000 | 12,475 |
| AbbVie, Inc. 144A sr. unsec. notes 3.20%, 11/21/29 | 88,000 | 95,086 |
| AbbVie, Inc. 144A sr. unsec. sub. notes 3.80%, 3/15/25 | 11,000 | 12,138 |
| Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 10,000 | 9,500 |
| Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25 | 50,000 | 32,000 |
| Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 34,000 | 44,301 |
| Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | 50,000 | 53,243 |
| Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 | 45,000 | 49,050 |
| Bausch Health Cos., Inc. 144A company guaranty sr. notes | ||
| 5.50%, 11/1/25 | 30,000 | 30,991 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.25%, 1/30/30 | 10,000 | 9,850 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 5/30/29 | 20,000 | 21,560 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.00%, 1/15/28 | 10,000 | 10,506 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 6.25%, 2/15/29 | 15,000 | 15,411 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 4/15/25 | 65,000 | 65,961 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 5.00%, 1/30/28 | 10,000 | 9,662 |
| Becton Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30 | 15,000 | 15,890 |
| Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 | 10,000 | 11,468 |
| Bristol-Myers Squibb Co. 144A sr. unsec. notes 3.25%, 8/15/22 | 45,000 | 47,534 |
| Bristol-Myers Squibb Co. 144A sr. unsec. notes 2.25%, 8/15/21 | 35,000 | 35,708 |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 50,000 | 53,813 |
| 48 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Health care cont. | ||
| Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | $15,000 | $15,188 |
| Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 | 15,000 | 15,846 |
| Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 | 20,000 | 20,587 |
| Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 | 20,000 | 21,150 |
| CHS/Community Health Systems, Inc. company guaranty sr. notes | ||
| 6.25%, 3/31/23 | 65,000 | 63,050 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| notes 8.00%, 3/15/26 | 20,000 | 19,538 |
| CHS/Community Health Systems, Inc. 144A company guaranty | ||
| sub. notes 8.125%, 6/30/24 | 1,000 | 714 |
| CHS/Community Health Systems, Inc. 144A sr. notes | ||
| 6.625%, 2/15/25 | 30,000 | 28,950 |
| Cigna Corp. company guaranty sr. unsec. unsub. notes | ||
| 3.75%, 7/15/23 | 28,000 | 30,429 |
| Cigna Corp. 144A company guaranty sr. unsec. unsub. notes | ||
| 3.90%, 2/15/22 | 32,000 | 33,568 |
| CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 | 28,000 | 34,182 |
| CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23 | 43,000 | 46,082 |
| DH Europe Finance II Sarl company guaranty sr. unsec. bonds | ||
| 3.40%, 11/15/49 (Luxembourg) | 10,000 | 11,045 |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 | 25,000 | 27,625 |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 50,000 | 56,878 |
| HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 | 24,000 | 26,079 |
| HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 | 10,000 | 11,988 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 60,000 | 66,300 |
| HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 10,000 | 9,854 |
| Hologic, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.375%, 10/15/25 | 20,000 | 20,446 |
| Jaguar Holding Co. II/PPD Development LP 144A company | ||
| guaranty sr. unsec. notes 5.00%, 6/15/28 | 5,000 | 5,188 |
| Jaguar Holding Co. II/PPD Development LP 144A company | ||
| guaranty sr. unsec. notes 4.625%, 6/15/25 | 5,000 | 5,179 |
| Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A | ||
| company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) | 12,000 | 7,920 |
| Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 | 25,000 | 30,413 |
| Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 6/15/25 | 20,000 | 20,350 |
| Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds | ||
| 4.00%, 11/20/45 | 43,000 | 54,487 |
| Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics | ||
| SA 144A sr. unsec. notes 7.375%, 6/1/25 | 10,000 | 10,225 |
| Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 | 22,000 | 25,060 |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 30,000 | 32,325 |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 20,000 | 21,046 |
| Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 | 25,000 | 25,563 |
| Tenet Healthcare Corp. company guaranty sr. notes | ||
| 4.625%, 7/15/24 | 20,000 | 20,250 |
| Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 | 50,000 | 52,250 |
| Tenet Healthcare Corp. 144A company guaranty notes | ||
| 6.25%, 2/1/27 | 20,000 | 20,600 |
| Dynamic Risk Allocation Fund 49 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Health care cont. | ||
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 7.50%, 4/1/25 | $5,000 | $5,450 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 5.125%, 11/1/27 | 45,000 | 46,575 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 4.875%, 1/1/26 | 65,000 | 66,801 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 | 65,000 | 77,332 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.00%, 5/15/30 | 30,000 | 30,941 |
| Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 22,000 | 25,068 |
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 28,000 | 28,263 |
| 1,806,932 | ||
| Technology (2.0%) | ||
| Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 | 14,000 | 18,230 |
| Apple, Inc. sr. unsec. notes 2.85%, 5/6/21 | 50,000 | 51,191 |
| Apple, Inc. sr. unsec. notes 0.75%, 5/11/23 | 40,000 | 40,368 |
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 20,000 | 26,133 |
| Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 54,000 | 66,369 |
| Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 | 35,000 | 35,129 |
| Boxer Parent Co., Inc. 144A company guaranty sr. notes | ||
| 7.125%, 10/2/25 ## | 5,000 | 5,281 |
| Boxer Parent Co., Inc. 144A notes 9.125%, 3/1/26 ## | 10,000 | 10,349 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company | ||
| guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 26,000 | 27,381 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company | ||
| guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 | 50,000 | 51,304 |
| Broadcom, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 4.15%, 11/15/30 | 30,000 | 31,414 |
| Cisco Systems, Inc. sr. unsec. unsub. bonds 5.90%, 2/15/39 | 5,000 | 7,332 |
| Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 | 22,000 | 24,380 |
| Cisco Systems, Inc. sr. unsec. unsub. notes 2.20%, 2/28/21 | 84,000 | 85,110 |
| CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 15,000 | 15,773 |
| CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 10,000 | 10,285 |
| Dell International, LLC/EMC Corp. 144A company guaranty sr. | ||
| notes 5.85%, 7/15/25 | 5,000 | 5,598 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. notes 6.02%, 6/15/26 | 123,000 | 139,471 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds | ||
| 8.35%, 7/15/46 | 7,000 | 8,869 |
| Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 20,000 | 21,700 |
| Fidelity National Information Services, Inc. sr. unsec. notes | ||
| 3.75%, 5/21/29 | 30,000 | 34,690 |
| Fidelity National Information Services, Inc. sr. unsec. notes | ||
| 3.00%, 8/15/26 | 8,000 | 8,783 |
| Fidelity National Information Services, Inc. sr. unsec. sub. notes | ||
| Ser. 10Y, 4.25%, 5/15/28 | 11,000 | 12,947 |
| Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 | 32,000 | 37,103 |
| Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. | ||
| notes 8.625%, 11/15/24 | 2,000 | 2,085 |
| Microchip Technology, Inc. company guaranty sr. notes | ||
| 4.333%, 6/1/23 | 46,000 | 48,187 |
| 50 Dynamic Risk Allocation Fund |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Technology cont. | ||
| Microchip Technology, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.25%, 9/1/25 | $10,000 | $10,064 |
| Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 | 96,000 | 119,611 |
| Microsoft Corp. sr. unsec. unsub. notes 2.40%, 2/6/22 | 10,000 | 10,342 |
| Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 | 82,000 | 83,141 |
| Oracle Corp. sr. unsec. notes 2.50%, 5/15/22 | 51,000 | 52,776 |
| Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 | 20,000 | 23,481 |
| Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 | 65,000 | 70,419 |
| Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22 | 22,000 | 23,038 |
| Oracle Corp. sr. unsec. unsub. notes 1.90%, 9/15/21 | 35,000 | 35,606 |
| Plantronics, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 5/31/23 | 55,000 | 42,075 |
| Qorvo, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 7/15/26 | 30,000 | 31,500 |
| Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 | 58,000 | 66,935 |
| Solera, LLC /Solera Finance, Inc. 144A sr. unsec. notes | ||
| 10.50%, 3/1/24 | 30,000 | 30,488 |
| SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 9/30/27 | 50,000 | 52,500 |
| Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A | ||
| company guaranty sr. notes 5.75%, 6/1/25 | 10,000 | 10,438 |
| Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. | ||
| unsec. notes 6.75%, 6/1/25 | 65,000 | 64,675 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/25 | 40,000 | 40,320 |
| VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 | 7,000 | 7,378 |
| Western Digital Corp. company guaranty sr. unsec. notes | ||
| 4.75%, 2/15/26 | 15,000 | 15,788 |
| 1,616,037 | ||
| Transportation (0.1%) | ||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. | ||
| bonds 3.40%, 11/15/26 | 12,000 | 12,395 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. | ||
| notes 3.90%, 2/1/24 | 11,000 | 11,596 |
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. | ||
| unsec. notes 6.375%, 4/1/23 | 40,000 | 39,900 |
| 63,891 | ||
| Utilities and power (1.4%) | ||
| AES Corp. (The) sr. unsec. unsub. notes 5.50%, 4/15/25 | 140,000 | 144,200 |
| AES Corp. (The) sr. unsec. unsub. notes 5.125%, 9/1/27 | 35,000 | 37,067 |
| AES Corp. (The) sr. unsec. unsub. notes 4.50%, 3/15/23 | 20,000 | 20,376 |
| AES Corp. (The) 144A sr. unsec. notes 3.30%, 7/15/25 | 10,000 | 10,153 |
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, | ||
| 4.30%, 12/1/28 | 29,000 | 33,589 |
| American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds | ||
| 5.00%, 9/1/44 | 49,000 | 59,521 |
| Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 | 10,000 | 8,338 |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 5,000 | 4,804 |
| Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 10,000 | 9,675 |
| Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 25,000 | 25,888 |
| Dynamic Risk Allocation Fund 51 |
| Principal | ||
| CORPORATE BONDS AND NOTES (27.3%)* cont. | amount | Value |
| Utilities and power cont. | ||
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | $35,000 | $35,175 |
| Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 | 10,000 | 11,867 |
| Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 | 29,000 | 31,652 |
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 22,000 | 25,166 |
| Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23 | 15,000 | 16,167 |
| Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, | ||
| 6/10/44 (Canada) | 10,000 | 10,329 |
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 25,000 | 27,680 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. | ||
| unsub. bonds 4.25%, 2/15/48 | 47,000 | 50,089 |
| FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes | ||
| 5.45%, 7/15/44 | 56,000 | 71,105 |
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 20,000 | 21,104 |
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. | ||
| notes 5.40%, 9/1/44 | 14,000 | 16,522 |
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. | ||
| unsub. notes 3.45%, 2/15/23 | 32,000 | 33,453 |
| Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes | ||
| 3.15%, 1/15/23 | 43,000 | 44,836 |
| NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 | 5,000 | 5,350 |
| NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 | 5,000 | 5,325 |
| NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 | 15,000 | 16,313 |
| NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | 59,000 | 63,371 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 51,000 | 52,702 |
| NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 30,000 | 32,700 |
| Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 | 46,000 | 53,587 |
| Vistra Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 8.125%, 1/30/26 | 25,000 | 26,125 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes | ||
| 5.00%, 7/31/27 | 15,000 | 15,694 |
| Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 | 21,000 | 21,720 |
| Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 | 18,000 | 18,400 |
| Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 | 20,000 | 21,254 |
| Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 | 20,000 | 21,000 |
| 1,102,297 | ||
| Total corporate bonds and notes (cost $21,334,717) | $21,504,976 |
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (14.6%)* | amount | Value |
| U.S. Government Guaranteed Mortgage Obligations (4.0%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 3.50%, TBA, 7/1/50 | $1,000,000 | $1,058,594 |
| 3.50%, TBA, 6/1/50 | 2,000,000 | 2,119,688 |
| 3,178,282 | ||
| U.S. Government Agency Mortgage Obligations (10.6%) | ||
| Federal National Mortgage Association Pass-Through Certificates | ||
| 4.00%, 1/1/57 | 66,594 | 73,788 |
| 4.00%, 5/1/49 | 761,441 | 813,471 |
| 52 Dynamic Risk Allocation Fund |
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (14.6%)* cont. | amount | Value |
| U.S. Government Agency Mortgage Obligations cont. | ||
| Uniform Mortgage-Backed Securities | ||
| 6.00%, TBA, 6/1/50 | $1,000,000 | $1,115,156 |
| 4.00%, TBA, 7/1/50 | 2,000,000 | 2,128,516 |
| 3.00%, TBA, 6/1/35 | 1,000,000 | 1,054,063 |
| 2.50%, TBA, 7/1/50 | 1,000,000 | 1,035,234 |
| 2.50%, TBA, 6/1/50 | 2,000,000 | 2,075,000 |
| 8,295,228 | ||
| Total U.S. government and agency mortgage obligations (cost $11,442,383) | $11,473,510 | |
| Principal | ||
| U.S. TREASURY OBLIGATIONS (0.1%)* | amount | Value |
| U.S. Treasury Notes 3.125%, 11/15/28 i | $92,000 | $111,526 |
| Total U.S. treasury obligations (cost $111,526) | $111,526 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (4.2%)* | amount | Value |
| Agency collateralized mortgage obligations (0.2%) | ||
| Federal Home Loan Mortgage Corporation REMICs IFB Ser. 3829, | ||
| Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 6.766%, 3/15/41 | $108,288 | $22,439 |
| Government National Mortgage Association | ||
| IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.879%, 6/20/43 | 230,024 | 48,344 |
| Ser. 17-162, Class QI, IO, 5.00%, 10/20/47 | 117,914 | 22,043 |
| Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 | 218,252 | 19,510 |
| Ser. 17-H22, Class EI, IO, 2.582%, 10/20/67 W | 279,187 | 27,369 |
| Ser. 15-H26, Class DI, IO, 2.319%, 10/20/65 W | 270,847 | 26,025 |
| 165,730 | ||
| Commercial mortgage-backed securities (1.9%) | ||
| CD Commercial Mortgage Trust Ser. 17-CD3, Class A4, | ||
| 3.631%, 2/10/50 | 19,000 | 20,742 |
| Citigroup Commercial Mortgage Trust | ||
| FRB Ser. 13-GC17, Class C, 5.11%, 11/10/46 W | 17,000 | 15,887 |
| FRB Ser. 14-GC19, Class XA, IO, 1.148%, 3/10/47 W | 985,921 | 34,994 |
| Citigroup Commercial Mortgage Trust 144A | ||
| FRB Ser. 14-GC19, Class D, 5.092%, 3/10/47 W | 13,000 | 10,404 |
| FRB Ser. 12-GC8, Class XA, IO, 1.764%, 9/10/45 W | 611,441 | 17,836 |
| COMM Mortgage Trust | ||
| FRB Ser. 12-LC4, Class C, 5.536%, 12/10/44 W | 33,000 | 28,469 |
| FRB Ser. 14-CR17, Class C, 4.784%, 5/10/47 W | 37,000 | 32,862 |
| FRB Ser. 14-UBS6, Class C, 4.447%, 12/10/47 W | 51,000 | 41,585 |
| Ser. 15-LC19, Class A4, 3.183%, 2/10/48 | 15,000 | 15,824 |
| FRB Ser. 14-LC15, Class XA, IO, 1.093%, 4/10/47 W | 1,420,591 | 47,022 |
| FRB Ser. 13-CR11, Class XA, IO, 0.926%, 8/10/50 W | 630,562 | 16,526 |
| FRB Ser. 14-UBS6, Class XA, IO, 0.891%, 12/10/47 W | 1,267,724 | 40,515 |
| CSMC Trust FRB Ser. 16-NXSR, Class C, 4.359%, 12/15/49 W | 125,000 | 94,186 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, | ||
| 5.335%, 8/10/44 W | 100,000 | 95,462 |
| Dynamic Risk Allocation Fund 53 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (4.2%)* cont. | amount | Value |
| Commercial mortgage-backed securities cont. | ||
| Federal Home Loan Mortgage Corporation | ||
| Multifamily Structured Pass-Through Certificates FRB Ser. K104, | ||
| Class XAM, IO, 1.384%, 1/25/30 W | $159,000 | $18,012 |
| Multifamily Structured Pass-Through Certificates FRB Ser. K087, | ||
| Class X1, IO, 0.363%, 12/25/28 W | 802,873 | 22,650 |
| GS Mortgage Securities Trust | ||
| Ser. 17-GS7, Class AS, 3.663%, 8/10/50 | 23,000 | 24,145 |
| FRB Ser. 14-GC22, Class XA, IO, 0.984%, 6/10/47 W | 1,731,603 | 42,597 |
| GS Mortgage Securities Trust 144A Ser. 12-GC6, Class AS, | ||
| 4.948%, 1/12/45 | 18,000 | 18,549 |
| JPMBB Commercial Mortgage Securities Trust | ||
| FRB Ser. 14-C22, Class C, 4.554%, 9/15/47 W | 118,000 | 93,679 |
| FRB Ser. 14-C22, Class XA, IO, 0.834%, 9/15/47 W | 3,075,224 | 89,781 |
| JPMorgan Chase Commercial Mortgage Securities Trust | ||
| Ser. 13-C16, Class AS, 4.517%, 12/15/46 | 18,000 | 19,083 |
| LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, | ||
| 3.133%, 4/20/48 W | 147,000 | 154,315 |
| Morgan Stanley Bank of America Merrill Lynch Trust | ||
| FRB Ser. 14-C14, Class C, 4.946%, 2/15/47 W | 23,000 | 21,357 |
| FRB Ser. 14-C17, Class C, 4.498%, 8/15/47 W | 44,000 | 39,795 |
| Ser. 12-C6, Class AS, 3.476%, 11/15/45 | 19,000 | 19,477 |
| FRB Ser. 14-C17, Class XA, IO, 1.107%, 8/15/47 W | 534,252 | 17,385 |
| FRB Ser. 13-C12, Class XA, IO, 0.601%, 10/15/46 W | 695,307 | 11,061 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB | ||
| Ser. 12-C5, Class E, 4.676%, 8/15/45 W | 28,000 | 23,366 |
| Morgan Stanley Capital I Trust Ser. 16-BNK2, Class AS, | ||
| 3.282%, 11/15/49 | 16,000 | 16,357 |
| Morgan Stanley Capital I Trust 144A Ser. 12-C4, Class C, | ||
| 5.419%, 3/15/45 W | 100,000 | 83,774 |
| UBS-Barclays Commercial Mortgage Trust Ser. 13-C5, Class A4, | ||
| 3.185%, 3/10/46 | 19,000 | 19,558 |
| UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C2, | ||
| Class D, 4.889%, 5/10/63 W | 48,000 | 22,063 |
| Wells Fargo Commercial Mortgage Trust | ||
| FRB Ser. 13-LC12, Class C, 4.276%, 7/15/46 W | 45,000 | 38,085 |
| Ser. 16-LC24, Class A4, 2.942%, 10/15/49 | 15,000 | 15,817 |
| WF-RBS Commercial Mortgage Trust | ||
| FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46 W | 33,000 | 36,497 |
| Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W | 48,000 | 52,474 |
| Ser. 13-UBS1, Class A4, 4.079%, 3/15/46 W | 24,000 | 25,778 |
| Ser. 13-C12, Class AS, 3.56%, 3/15/48 | 15,000 | 15,108 |
| WF-RBS Commercial Mortgage Trust 144A | ||
| FRB Ser. 11-C3, Class D, 5.68%, 3/15/44 W | 47,000 | 22,237 |
| FRB Ser. 12-C6, Class D, 5.578%, 4/15/45 W | 25,000 | 21,732 |
| FRB Ser. 11-C5, Class XA, IO, 1.679%, 11/15/44 W | 872,536 | 13,045 |
| FRB Ser. 12-C10, Class XA, IO, 1.533%, 12/15/45 W | 775,891 | 24,118 |
| 1,534,209 |
| 54 Dynamic Risk Allocation Fund |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (4.2%)* cont. | amount | Value |
| Residential mortgage-backed securities (non-agency) (2.1%) | ||
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, | ||
| 4.29%, 5/25/35 W | $37,508 | $37,302 |
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), | ||
| 2.631%, 6/25/46 | 146,761 | 127,265 |
| FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), | ||
| 0.378%, 4/25/47 | 24,326 | 16,147 |
| Federal Home Loan Mortgage Corporation | ||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, | ||
| (1 Month US LIBOR + 5.55%), 5.718%, 7/25/28 | 241,397 | 252,612 |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, | ||
| (1 Month US LIBOR + 4.65%), 4.818%, 10/25/28 | 200,025 | 209,450 |
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, | ||
| Class M2, (1 Month US LIBOR + 1.90%), 3.735%, 1/25/50 | 17,000 | 14,249 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, | ||
| (1 Month US LIBOR + 2.65%), 2.818%, 1/25/49 | 9,739 | 9,356 |
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, | ||
| (1 Month US LIBOR + 2.35%), 2.518%, 2/25/49 | 8,215 | 7,775 |
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, | ||
| (1 Month US LIBOR + 6.95%), 7.118%, 8/25/28 | 28,830 | 30,071 |
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, | ||
| (1 Month US LIBOR + 6.75%), 6.918%, 8/25/28 | 171,883 | 180,219 |
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, | ||
| (1 Month US LIBOR + 6.00%), 6.168%, 9/25/28 | 120,409 | 126,137 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
| (1 Month US LIBOR + 5.70%), 5.868%, 4/25/28 | 130,564 | 137,620 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.00%), 5.168%, 7/25/25 | 29,646 | 29,973 |
| Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, | ||
| (1 Month US LIBOR + 4.90%), 5.068%, 11/25/24 | 18,465 | 19,055 |
| Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, | ||
| (1 Month US LIBOR + 4.25%), 4.418%, 1/25/29 | 43,534 | 44,637 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
| (1 Month US LIBOR + 4.00%), 4.168%, 5/25/25 | 7,712 | 7,285 |
| Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, | ||
| (1 Month US LIBOR + 2.60%), 2.768%, 5/25/24 | 29,196 | 22,258 |
| Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, | ||
| (1 Month US LIBOR + 2.25%), 2.418%, 7/25/30 | 10,000 | 9,723 |
| Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, | ||
| (1 Month US LIBOR + 1.25%), 1.418%, 7/25/29 | 10,000 | 9,331 |
| Federal National Mortgage Association 144A | ||
| Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, | ||
| (1 Month US LIBOR + 2.30%), 2.468%, 8/25/31 | 12,201 | 11,984 |
| Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, | ||
| (1 Month US LIBOR + 2.15%), 2.318%, 11/25/39 | 32,731 | 27,371 |
| GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), | ||
| 0.288%, 5/25/47 | 24,304 | 16,513 |
| Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, | ||
| 3.731%, 2/25/35 W | 15,987 | 16,280 |
| Dynamic Risk Allocation Fund 55 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (4.2%)* cont. | amount | Value |
| Residential mortgage-backed securities (non-agency) cont. | ||
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, | ||
| 1.312%, 8/26/47 W | $80,000 | $76,782 |
| Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, | ||
| (1 Month US LIBOR + 0.90%), 1.068%, 11/25/34 | 65,976 | 65,606 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, | ||
| Class 1A1, (1 Month US LIBOR + 0.85%), 1.018%, 5/25/47 | 49,848 | 35,864 |
| WaMu Mortgage Pass-Through Certificates Trust | ||
| FRB Ser. 05-AR10, Class 1A3, 4.133%, 9/25/35 W | 18,665 | 18,349 |
| FRB Ser. 05-AR12, Class 1A8, 3.861%, 10/25/35 W | 74,706 | 72,267 |
| 1,631,481 | ||
| Total mortgage-backed securities (cost $3,599,820) | $3,331,420 |
| Principal | ||
| COMMODITY LINKED NOTES (1.8%)*††† | amount | Value |
| Goldman Sachs International 144A notes zero %, 2021 (Indexed to the | ||
| S&P GSCI Excess Return Index multiplied by 3) | $861,000 | $1,407,673 |
| Total commodity linked notes (cost $861,000) | $1,407,673 |
| PURCHASED OPTIONS | Expiration | ||||
| OUTSTANDING (1.5%)* | date/strike | Notional | Contract | ||
| Counterparty | price | amount | amount | Value | |
| Bank of America N.A. | |||||
| EUR/GBP (Call) | Aug-20/GBP 0.91 | $707,157 | EUR | 637,050 | $8,195 |
| EUR/USD (Call) | Nov-20/$1.14 | 466,110 | EUR | 419,900 | 4,230 |
| SPDR S&P 500 ETF Trust (Put) | May-21/235.00 | 3,910,816 | $12,851 | 135,662 | |
| SPDR S&P 500 ETF Trust (Put) | Apr-21/225.00 | 4,342,342 | 14,269 | 118,475 | |
| USD/JPY (Put) | Nov-20/JPY 105.00 | 693,350 | 693,350 | 7,800 | |
| USD/JPY (Put) | Jul-20/JPY 106.00 | 503,430 | 503,430 | 1,108 | |
| Citibank, N.A. | |||||
| SPDR S&P 500 ETF Trust (Put) | Feb-21/$290.00 | 4,652,140 | 15,287 | 324,729 | |
| SPDR S&P 500 ETF Trust (Put) | Jan-21/290.00 | 4,588,233 | 15,077 | 296,846 | |
| USD/CHF (Put) | Jun-20/CHF 0.91 | 512,300 | 512,300 | 1 | |
| Goldman Sachs International | |||||
| AUD/USD (Put) | Jul-20/0.62 | 710,309 | AUD | 1,065,650 | 1,318 |
| EUR/CHF (Put) | Jun-20/CHF 1.03 | 923,340 | EUR | 831,800 | 132 |
| EUR/USD (Call) | Nov-20/$1.14 | 466,110 | EUR | 419,900 | 4,230 |
| USD/CHF (Put) | Jun-20/CHF 0.94 | 512,300 | $512,300 | 56 | |
| USD/JPY (Put) | Nov-20/JPY 105.00 | 693,350 | 693,350 | 7,800 | |
| JPMorgan Chase Bank N.A. | |||||
| SPDR S&P 500 ETF Trust (Put) | Dec-20/$275.00 | 4,398,337 | 14,453 | 209,654 | |
| SPDR S&P 500 ETF Trust (Put) | Mar-21/195.00 | 3,972,593 | 13,054 | 53,981 | |
| UBS AG | |||||
| EUR/GBP (Call) | Aug-20/GBP 0.90 | 707,157 | EUR | 637,050 | 10,111 |
| Total purchased options outstanding (cost $1,094,541) | $1,184,328 | ||||
| 56 Dynamic Risk Allocation Fund |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (0.8%)* | amount | Value | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, | |||
| 1/25/27 (Dominican Republic) | $117,000 | $114,368 | |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, | |||
| 1/8/26 (Indonesia) | 200,000 | 223,752 | |
| Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, | |||
| 3/22/30 (Ivory Coast) | EUR | 100,000 | 99,549 |
| Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) | $83,000 | 96,488 | |
| Peru (Republic of) sr. unsec. unsub. bonds 5.625%, 11/18/50 (Peru) | 10,000 | 15,545 | |
| Peru (Republic of) sr. unsec. unsub. notes 2.392%, 1/23/26 (Peru) | 42,000 | 43,428 | |
| Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, | |||
| 3/21/36 (Uruguay) | 20,000 | 29,475 | |
| Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) | |||
| (In default) † | 51,000 | 3,060 | |
| Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 | |||
| (Venezuela) (In default) † | 82,000 | 4,920 | |
| Total foreign government and agency bonds and notes (cost $645,590) | $630,585 | ||
| Principal | ||
| SENIOR LOANS (0.6%)*c | amount | Value |
| Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 4.25%), 5.455%, 6/21/24 | $72,938 | $65,826 |
| BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.25%), 4.561%, 4/3/24 | 19,898 | 18,167 |
| California Resources Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.75%), 5.75%, 12/31/22 | 15,000 | 3,900 |
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.50%), 4.26%, 8/21/26 | 29,850 | 27,716 |
| CPG International, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.75%), 5.933%, 5/5/24 | 14,495 | 13,933 |
| GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.00%), 4.00%, 5/31/25 | 7,953 | 7,828 |
| Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.50%), 3.68%, 11/6/24 | 73,672 | 70,725 |
| Neiman Marcus Group, Ltd., LLC bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 6.00%), 6.267%, 10/25/23 (In default) † | 44,852 | 9,150 |
| Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.25%), 3.58%, 6/1/25 | 35,000 | 33,128 |
| Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.00%), 4.00%, 11/3/23 | 9,687 | 9,404 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.00%), 9.00%, 2/28/26 | 30,000 | 13,800 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.25%), 4.25%, 2/28/25 | 19,400 | 15,520 |
| Solenis International, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.50%), 10.831%, 6/26/26 | 15,000 | 12,549 |
| Solenis International, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 4.362%, 6/26/25 | 29,886 | 28,242 |
| Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 5.00%), 5.687%, 4/12/26 | 14,887 | 13,163 |
| T-Mobile USA, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR | ||
| + 3.00%), 3.404%, 4/1/27 | 10,000 | 9,997 |
| Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN | ||
| Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/25 | 48,610 | 43,840 |
| Dynamic Risk Allocation Fund 57 |
| Principal | ||
| SENIOR LOANS (0.6%)*c cont. | amount | Value |
| Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR | ||
| + 3.00%), 4.655%, 3/2/27 | $70,000 | $67,025 |
| Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR | ||
| + 3.00%), 4.668%, 3/9/27 | 15,000 | 14,404 |
| Total senior loans (cost $568,560) | $478,317 |
| Principal | ||
| ASSET-BACKED SECURITIES (0.6%)* | amount | Value |
| Mello Warehouse Securitization Trust 144A FRB Ser. 18-W1, | ||
| Class A, (1 Month US LIBOR + 0.85%), 1.018%, 11/25/51 | $24,667 | $24,636 |
| Station Place Securitization Trust 144A | ||
| FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), | ||
| 0.998%, 3/26/21 | 86,000 | 86,000 |
| FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), | ||
| 0.918%, 10/24/20 | 79,000 | 79,000 |
| FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), | ||
| 0.868%, 9/24/20 | 83,000 | 83,000 |
| FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), | ||
| 0.868%, 6/24/20 | 60,000 | 60,000 |
| FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), | ||
| 0.818%, 8/25/52 | 34,000 | 34,000 |
| Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month | ||
| US LIBOR + 0.60%), 0.768%, 1/25/46 | 83,328 | 80,828 |
| Total asset-backed securities (cost $449,660) | $447,464 |
| Expiration | Strike | |||
| WARRANTS (0.5%)* † | date | price | Warrants | Value |
| Bank of Jiangsu Co., Ltd. 144A Class A, (China) | 9/7/20 | $0.00 | 25,600 | $21,237 |
| Bank of Shanghai Co., Ltd. 144A (China) | 12/2/20 | 0.00 | 42,667 | 48,429 |
| China Resources Sanjiu Medical & | ||||
| Pharmaceutical Co., Ltd. 144A (China) | 2/18/21 | 0.00 | 4,800 | 18,208 |
| Foshan Haitian Flavouring & Food Co., Ltd. | ||||
| 144A (China) | 4/12/21 | 0.00 | 840 | 13,525 |
| Gree Electric Appliances, Inc. of Zhuhai | ||||
| 144A (China) | 8/24/20 | 0.00 | 6,200 | 49,470 |
| HLA Corp., Ltd. 144A (China) | 10/8/20 | 0.00 | 20,500 | 17,495 |
| Kweichow Moutai Co., Ltd 144A Class A, (China) | 9/7/20 | 0.00 | 300 | 57,451 |
| Sany Heavy Industry Co., Ltd. 144A (China) | 12/21/20 | 0.00 | 19,800 | 50,858 |
| Seazen Holdings Co., Ltd. 144A (China) | 5/6/21 | 0.00 | 2,054 | 9,009 |
| Shanghai Pudong Development Bank Co., Ltd. | ||||
| 144A (China) | 11/11/20 | 0.00 | 34,100 | 50,508 |
| Shenzhen Mindray Bio-Medical Electronics Co., | ||||
| Ltd. 144A (China) | 11/11/20 | 0.00 | 1,500 | 58,602 |
| Total warrants (cost $374,330) | $394,792 |
| INVESTMENT COMPANIES (0.2%)* | Shares | Value |
| iShares MSCI EAFE ETF | 2,000 | $119,280 |
| Total investment companies (cost $114,120) | $119,280 |
| PREFERRED STOCKS (—%)* | Shares | Value |
| Telefonica Brasil SA $0.00 (Preference shares) (Brazil) | 2,100 | $18,551 |
| Total preferred stocks (cost $28,196) | $18,551 |
| 58 Dynamic Risk Allocation Fund |
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (—%)* | amount | Value |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | $20,000 | $17,623 |
| Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 | 8,000 | 830 |
| Total convertible bonds and notes (cost $25,112) | $18,453 |
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (12.8%)* | shares | Value | |
| Putnam Cash Collateral Pool, LLC 0.19% d | Shares | 357,650 | $357,650 |
| Putnam Short Term Investment Fund 0.71% L | Shares | 5,127,490 | 5,127,490 |
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 0.13% P | Shares | 870,000 | 870,000 |
| U.S. Treasury Bills 1.562%, 6/4/20 # ∆ | $41,001 | 41,000 | |
| U.S. Treasury Bills 1.547%, 7/16/20 § | 41,001 | 40,993 | |
| U.S. Treasury Bills 1.515%, 6/11/20 # ∆ § | 1,245,001 | 1,244,962 | |
| U.S. Treasury Bills 0.310%, 7/23/20 # § | 151,000 | 150,971 | |
| U.S. Treasury Bills 0.164%, 6/25/20 # § | 321,999 | 321,975 | |
| U.S. Treasury Bills 0.101%, 7/9/20 # § | 238,001 | 237,967 | |
| U.S. Treasury Bills 0.021%, 9/10/20 # § | 349,001 | 348,841 | |
| U.S. Treasury Bills 0.015%, 9/3/20 # § | 46,000 | 45,982 | |
| U.S. Treasury Bills 0.011%, 8/6/20 # § | 192,000 | 191,947 | |
| U.S. Treasury Bills zero%, 8/20/20 § | 232,000 | 231,924 | |
| U.S. Treasury Bills zero%, 8/13/20 # § | 181,999 | 181,951 | |
| U.S. Treasury Cash Management Bills 0.128%, 9/8/20 § | 675,002 | 674,694 | |
| Total short-term investments (cost $10,068,160) | $10,068,347 | ||
| TOTAL INVESTMENTS | |
| Total investments (cost $86,708,146) | $90,325,814 |
Key to holding’s currency abbreviations
| AUD | Australian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| USD/$ | United States Dollar |
Key to holding’s abbreviations
| ADR | American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| bp | Basis Points |
| DAC | Designated Activity Company |
| ETF | Exchange Traded Fund |
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the |
| close of the reporting period. | |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in |
| place at the close of the reporting period. | |
| GDR | Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| GMTN | Global Medium Term Notes |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is |
| the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| Dynamic Risk Allocation Fund 59 |
| IO | Interest Only |
| MTN | Medium Term Notes |
| OJSC | Open Joint Stock Company |
| OTC | Over-the-counter |
| PJSC | Public Joint Stock Company |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the |
| Securities Act of 1933. | |
| SPDR | S&P Depository Receipts |
| TBA | To Be Announced Commitments |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from June 1, 2019 through May 31, 2020 (the reporting period). Within the following notes to the portfolio, 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 “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $78,693,571.
† This security is non-income-producing.
∆∆ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $1,604, or less than 0.1% of net assets.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
# 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 $867,835 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $252,000 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,540,462 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
## Forward commitment, in part or in entirety (Note 1).
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
d Affiliated company. See Notes 1 and 5 to the financial statements regarding securities lending. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
| 60 Dynamic Risk Allocation Fund |
S Security on loan, in part or in entirety, at the close of the reporting period (Note 1).
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $17,432,818 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
| FORWARD CURRENCY CONTRACTS at 5/31/20 (aggregate face value $31,725,641) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Australian Dollar | Buy | 7/15/20 | $44,860 | $42,904 | $1,956 | |
| Canadian Dollar | Sell | 7/15/20 | 194,869 | 190,397 | (4,472) | |
| Euro | Sell | 6/17/20 | 680,777 | 686,400 | 5,623 | |
| Hong Kong Dollar | Sell | 8/19/20 | 134,505 | 134,610 | 105 | |
| Japanese Yen | Sell | 8/19/20 | 420,990 | 422,545 | 1,555 | |
| New Taiwan Dollar | Sell | 8/19/20 | 114,568 | 116,176 | 1,608 | |
| New Zealand Dollar | Buy | 7/15/20 | 63,862 | 61,686 | 2,176 | |
| Norwegian Krone | Buy | 6/17/20 | 71,432 | 69,182 | 2,250 | |
| Norwegian Krone | Sell | 6/17/20 | 71,432 | 63,524 | (7,908) | |
| Swedish Krona | Buy | 6/17/20 | 270,283 | 257,981 | 12,302 | |
| Swedish Krona | Sell | 6/17/20 | 270,283 | 270,413 | 130 | |
| Barclays Bank PLC | ||||||
| British Pound | Buy | 6/17/20 | 37,917 | 36,435 | 1,482 | |
| Euro | Sell | 6/17/20 | 307,243 | 303,101 | (4,142) | |
| Hong Kong Dollar | Sell | 8/19/20 | 134,415 | 134,537 | 122 | |
| Indonesian Rupiah | Buy | 8/19/20 | 115,117 | 111,345 | 3,772 | |
| Japanese Yen | Sell | 8/19/20 | 115,759 | 116,217 | 458 | |
| New Zealand Dollar | Buy | 7/15/20 | 100,230 | 96,827 | 3,403 | |
| Norwegian Krone | Buy | 6/17/20 | 275,030 | 254,822 | 20,208 | |
| Norwegian Krone | Sell | 6/17/20 | 275,030 | 273,577 | (1,453) | |
| Swedish Krona | Buy | 6/17/20 | 176,134 | 170,472 | 5,662 | |
| Swedish Krona | Sell | 6/17/20 | 176,134 | 172,199 | (3,935) | |
| Citibank, N.A. | ||||||
| Australian Dollar | Sell | 7/15/20 | 64,590 | 59,112 | (5,478) | |
| British Pound | Buy | 6/17/20 | 216,508 | 225,720 | (9,212) | |
| Canadian Dollar | Sell | 7/15/20 | 30,287 | 29,755 | (532) | |
| Danish Krone | Sell | 6/17/20 | 62,249 | 62,406 | 157 | |
| Euro | Buy | 6/17/20 | 72,730 | 74,794 | (2,064) | |
| Japanese Yen | Sell | 8/19/20 | 219,829 | 220,456 | 627 | |
| New Zealand Dollar | Sell | 7/15/20 | 97,065 | 93,738 | (3,327) | |
| Dynamic Risk Allocation Fund 61 |
| FORWARD CURRENCY CONTRACTS at 5/31/20 (aggregate face value $31,725,641) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Citibank, N.A. cont. | ||||||
| Norwegian Krone | Buy | 6/17/20 | $51,648 | $49,329 | $2,319 | |
| Norwegian Krone | Sell | 6/17/20 | 51,648 | 42,978 | (8,670) | |
| Swedish Krona | Buy | 6/17/20 | 132,785 | 124,806 | 7,979 | |
| Swedish Krona | Sell | 6/17/20 | 132,785 | 131,288 | (1,497) | |
| Swiss Franc | Buy | 6/17/20 | 112,021 | 111,578 | 443 | |
| Swiss Franc | Sell | 6/17/20 | 112,021 | 111,022 | (999) | |
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 7/15/20 | 60,458 | 55,604 | 4,854 | |
| Australian Dollar | Sell | 7/15/20 | 60,791 | 54,676 | (6,115) | |
| British Pound | Sell | 6/17/20 | 28,036 | 30,678 | 2,642 | |
| Canadian Dollar | Sell | 7/15/20 | 56,725 | 55,360 | (1,365) | |
| Euro | Sell | 6/17/20 | 81,392 | 78,231 | (3,161) | |
| New Zealand Dollar | Sell | 7/15/20 | 1,800 | 1,644 | (156) | |
| Norwegian Krone | Buy | 6/17/20 | 144,100 | 141,092 | 3,008 | |
| Norwegian Krone | Sell | 6/17/20 | 144,100 | 121,538 | (22,562) | |
| Swedish Krona | Buy | 6/17/20 | 54,451 | 49,873 | 4,578 | |
| Swedish Krona | Sell | 6/17/20 | 54,451 | 53,835 | (616) | |
| Goldman Sachs International | ||||||
| British Pound | Buy | 6/17/20 | 59,160 | 55,902 | 3,258 | |
| Canadian Dollar | Buy | 7/15/20 | 229,079 | 225,229 | 3,850 | |
| Euro | Sell | 6/17/20 | 58,961 | 56,945 | (2,016) | |
| Japanese Yen | Sell | 8/19/20 | 1,215,021 | 1,218,710 | 3,689 | |
| New Zealand Dollar | Sell | 7/15/20 | 147,335 | 142,204 | (5,131) | |
| Norwegian Krone | Buy | 6/17/20 | 347,244 | 335,307 | 11,937 | |
| Norwegian Krone | Sell | 6/17/20 | 347,244 | 317,480 | (29,764) | |
| Russian Ruble | Buy | 6/17/20 | 124,047 | 135,919 | (11,872) | |
| Russian Ruble | Sell | 6/17/20 | 124,047 | 132,040 | 7,993 | |
| Russian Ruble | Buy | 9/16/20 | 116,134 | 112,065 | 4,069 | |
| Swedish Krona | Buy | 6/17/20 | 206,066 | 191,366 | 14,700 | |
| Swiss Franc | Buy | 6/17/20 | 2,080 | 5,481 | (3,401) | |
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Buy | 7/15/20 | 148,578 | 140,261 | 8,317 | |
| British Pound | Buy | 6/17/20 | 28,901 | 29,624 | (723) | |
| Canadian Dollar | Buy | 7/15/20 | 61,373 | 63,500 | (2,127) | |
| Chinese Yuan (Offshore) | Buy | 8/19/20 | 179,996 | 181,042 | (1,046) | |
| Euro | Sell | 6/17/20 | 1,342,788 | 1,345,764 | 2,976 | |
| Hong Kong Dollar | Sell | 8/19/20 | 305,888 | 306,117 | 229 | |
| Indian Rupee | Buy | 8/19/20 | 114,113 | 113,766 | 347 | |
| Japanese Yen | Sell | 8/19/20 | 531,561 | 533,613 | 2,052 | |
| New Zealand Dollar | Buy | 7/15/20 | 5,523 | 6,211 | (688) | |
| Norwegian Krone | Buy | 6/17/20 | 128,543 | 121,513 | 7,030 | |
| Norwegian Krone | Sell | 6/17/20 | 128,543 | 111,453 | (17,090) | |
| Swedish Krona | Buy | 6/17/20 | 197,479 | 193,889 | 3,590 | |
| Swedish Krona | Sell | 6/17/20 | 197,479 | 194,989 | (2,490) | |
| 62 Dynamic Risk Allocation Fund |
| FORWARD CURRENCY CONTRACTS at 5/31/20 (aggregate face value $31,725,641) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Sell | 7/15/20 | $29,396 | $28,202 | $(1,194) | |
| British Pound | Buy | 6/17/20 | 331,988 | 339,866 | (7,878) | |
| Canadian Dollar | Buy | 7/15/20 | 79,023 | 78,841 | 182 | |
| Euro | Buy | 6/17/20 | 5,890,035 | 5,948,795 | (58,760) | |
| Japanese Yen | Buy | 8/19/20 | 5,416,544 | 5,428,997 | (12,453) | |
| New Zealand Dollar | Sell | 7/15/20 | 10,116 | 9,775 | (341) | |
| Norwegian Krone | Buy | 6/17/20 | 300,154 | 295,879 | 4,275 | |
| Norwegian Krone | Sell | 6/17/20 | 308,097 | 266,222 | (41,875) | |
| Singapore Dollar | Sell | 8/19/20 | 302,612 | 300,446 | (2,166) | |
| Swedish Krona | Buy | 6/17/20 | 13,873 | 2,206 | 11,667 | |
| Swiss Franc | Sell | 6/17/20 | 424,993 | 425,496 | 503 | |
| NatWest Markets PLC | ||||||
| British Pound | Buy | 6/17/20 | 27,419 | 27,226 | 193 | |
| Canadian Dollar | Buy | 7/15/20 | 16,415 | 15,768 | 647 | |
| Euro | Sell | 6/17/20 | 146,460 | 143,469 | (2,991) | |
| Japanese Yen | Sell | 8/19/20 | 272,833 | 273,804 | 971 | |
| New Zealand Dollar | Buy | 7/15/20 | 47,291 | 45,998 | 1,293 | |
| Norwegian Krone | Buy | 6/17/20 | 168,843 | 171,288 | (2,445) | |
| Norwegian Krone | Sell | 6/17/20 | 168,843 | 151,653 | (17,190) | |
| Swedish Krona | Buy | 6/17/20 | 105,697 | 100,180 | 5,517 | |
| Swedish Krona | Sell | 6/17/20 | 105,697 | 104,663 | (1,034) | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Sell | 7/15/20 | 26,929 | 19,250 | (7,679) | |
| British Pound | Sell | 6/17/20 | 181,309 | 191,523 | 10,214 | |
| Canadian Dollar | Sell | 7/15/20 | 470,360 | 460,808 | (9,552) | |
| Euro | Buy | 6/17/20 | 275,376 | 275,285 | 91 | |
| Hong Kong Dollar | Sell | 8/19/20 | 498,594 | 498,968 | 374 | |
| Israeli Shekel | Buy | 7/15/20 | 7,467 | 7,233 | 234 | |
| Japanese Yen | Sell | 8/19/20 | 172,883 | 173,112 | 229 | |
| New Zealand Dollar | Buy | 7/15/20 | 191,523 | 185,190 | 6,333 | |
| Norwegian Krone | Buy | 6/17/20 | 139,419 | 159,742 | (20,323) | |
| Swedish Krona | Buy | 6/17/20 | 115,314 | 85,309 | 30,005 | |
| Toronto-Dominion Bank | ||||||
| Australian Dollar | Buy | 7/15/20 | 59,991 | 55,011 | 4,980 | |
| British Pound | Buy | 6/17/20 | 12,227 | 10,220 | 2,007 | |
| Canadian Dollar | Sell | 7/15/20 | 101,974 | 100,071 | (1,903) | |
| Euro | Sell | 6/17/20 | 117,479 | 114,604 | (2,875) | |
| Hong Kong Dollar | Sell | 8/19/20 | 17,795 | 17,809 | 14 | |
| New Zealand Dollar | Buy | 7/15/20 | 28,797 | 27,822 | 975 | |
| Norwegian Krone | Buy | 6/17/20 | 30,742 | 30,513 | 229 | |
| Norwegian Krone | Sell | 6/17/20 | 30,742 | 26,955 | (3,787) | |
| Swedish Krona | Buy | 6/17/20 | 112,321 | 104,007 | 8,314 | |
| Swedish Krona | Sell | 6/17/20 | 112,321 | 111,820 | (501) | |
| Dynamic Risk Allocation Fund 63 |
| FORWARD CURRENCY CONTRACTS at 5/31/20 (aggregate face value $31,725,641) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| UBS AG | ||||||
| Australian Dollar | Sell | 7/15/20 | $119,782 | $110,903 | $(8,879) | |
| British Pound | Sell | 6/17/20 | 82,132 | 82,205 | 73 | |
| Canadian Dollar | Buy | 7/15/20 | 71,832 | 73,671 | (1,839) | |
| Euro | Sell | 6/17/20 | 664,787 | 655,339 | (9,448) | |
| Hong Kong Dollar | Sell | 8/19/20 | 81,545 | 81,609 | 64 | |
| Japanese Yen | Buy | 8/19/20 | 238,396 | 239,467 | (1,071) | |
| New Zealand Dollar | Buy | 7/15/20 | 248,124 | 240,426 | 7,698 | |
| Norwegian Krone | Buy | 6/17/20 | 89,180 | 86,589 | 2,591 | |
| Norwegian Krone | Sell | 6/17/20 | 89,180 | 88,512 | (668) | |
| Swedish Krona | Buy | 6/17/20 | 113,212 | 109,138 | 4,074 | |
| Swedish Krona | Sell | 6/17/20 | 113,212 | 110,639 | (2,573) | |
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 7/15/20 | 88,186 | 80,946 | 7,240 | |
| British Pound | Sell | 6/17/20 | 124 | 348 | 224 | |
| Canadian Dollar | Buy | 7/15/20 | 223,268 | 220,133 | 3,135 | |
| Euro | Sell | 6/17/20 | 32,646 | 31,290 | (1,356) | |
| Japanese Yen | Sell | 8/19/20 | 430,942 | 429,536 | (1,406) | |
| New Zealand Dollar | Buy | 7/15/20 | 37,113 | 35,611 | 1,502 | |
| Unrealized appreciation | 279,304 | |||||
| Unrealized (depreciation) | (386,199) | |||||
| Total | $(106,895) | |||||
* The exchange currency for all contracts listed is the United States Dollar.
| FUTURES CONTRACTS OUTSTANDING at 5/31/20 | |||||
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| Euro-Bobl 5 yr (Long) | 17 | $2,550,395 | $2,550,396 | Jun-20 | $(17,961) |
| Euro-Bund 10 yr (Long) | 17 | 3,254,467 | 3,254,468 | Jun-20 | (40,917) |
| Euro-Buxl 30 yr (Long) | 8 | 1,883,000 | 1,883,001 | Jun-20 | (50,990) |
| Euro-Schatz 2 yr (Long) | 16 | 1,990,186 | 1,990,187 | Jun-20 | (6,259) |
| Japanese Government Bond | |||||
| 10 yr (Long) | 7 | 9,878,993 | 9,878,993 | Jun-20 | (170,368) |
| Russell 2000 Index E-Mini (Long) | 15 | 1,045,526 | 1,044,600 | Jun-20 | 148,994 |
| S&P 500 Index E-Mini (Short) | 40 | 6,088,620 | 6,084,000 | Jun-20 | (552,700) |
| U.K. Gilt 10 yr (Long) | 17 | 2,880,934 | 2,885,551 | Sep-20 | 11,509 |
| U.S. Treasury Bond 30 yr (Long) | 3 | 533,906 | 535,125 | Sep-20 | (1,226) |
| U.S. Treasury Bond Ultra 30 yr (Long) | 6 | 1,302,750 | 1,308,188 | Sep-20 | (11,967) |
| U.S. Treasury Note 2 yr (Long) | 11 | 2,429,110 | 2,429,281 | Sep-20 | 475 |
| U.S. Treasury Note 2 yr (Short) | 26 | 5,741,533 | 5,741,938 | Sep-20 | (1,215) |
| U.S. Treasury Note 5 yr (Long) | 20 | 2,512,968 | 2,512,500 | Sep-20 | 3,385 |
| 64 Dynamic Risk Allocation Fund |
| FUTURES CONTRACTS OUTSTANDING at 5/31/20 cont. | |||||
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| U.S. Treasury Note 10 yr (Long) | 21 | $2,920,313 | $2,920,313 | Sep-20 | $3,562 |
| U.S. Treasury Note Ultra 10 yr (Short) | 28 | 4,402,126 | 4,405,188 | Sep-20 | (5,118) |
| Unrealized appreciation | 167,925 | ||||
| Unrealized (depreciation) | (858,721) | ||||
| Total | $(690,796) | ||||
| WRITTEN OPTIONS OUTSTANDING at 5/31/20 (premiums $19,425) | |||||
| Expiration | Notional | Contract | |||
| Counterparty | date/strike price | amount | amount | Value | |
| Bank of America N.A. | |||||
| EUR/GBP (Call) | Aug-20/GBP 0.95 | $707,157 | EUR | $637,050 | $2,309 |
| USD/JPY (Put) | Jul-20/JPY 102.00 | 503,430 | 503,430 | 186 | |
| USD/JPY (Put) | Nov-20/JPY 100.00 | 693,350 | 693,350 | 3,155 | |
| Goldman Sachs International | |||||
| EUR/CHF (Put) | Jun-20/CHF 1.00 | 923,340 | EUR | 831,800 | 6 |
| USD/JPY (Put) | Nov-20/JPY 100.00 | 693,350 | 693,350 | 3,155 | |
| UBS AG | |||||
| EUR/GBP (Call) | Aug-20/GBP 0.94 | 707,157 | EUR | 637,050 | 2,327 |
| Total | $11,138 | ||||
| TBA SALE COMMITMENTS OUTSTANDING at 5/31/20 (proceeds receivable $2,095,742) | |||
| Principal | Settlement | ||
| Agency | amount | date | Value |
| Government National Mortgage Association, 3.50%, 6/1/50 | $1,000,000 | 6/22/20 | $1,059,844 |
| Uniform Mortgage-Backed Securities, 2.50%, 6/1/50 | 1,000,000 | 6/11/20 | 1,037,500 |
| Total | $2,097,344 | ||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 5/31/20 | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $1,236,000 | $3,932 E | $(1,791) | 6/17/22 | 3 month USD- | 0.40% — | $2,140 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,308,000 | 33,625 E | (28,797) | 6/17/25 | 3 month USD- | 0.65% — | 4,829 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,452,000 | 35,723 E | 22,010 | 6/17/25 | 0.65% — | 3 month USD- | (13,717) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 141,000 | 1,328 E | 1,029 | 6/17/50 | 0.90% — | 3 month USD- | 2,357 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 464,000 | 4,369 E | (6,141) | 6/17/50 | 3 month USD- | 0.90% — | (10,509) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| Dynamic Risk Allocation Fund 65 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $20,222,000 | $408,222 E | $(281,904) | 6/17/30 | 3 month USD- | 0.85% — | $126,440 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 3,216,000 | 64,921 E | 44,810 | 6/17/30 | 0.85% — | 3 month USD- | (20,111) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 380,000 | 32 | (5) | 5/14/30 | 0.6425% — | 3 month USD- | (71) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| Total | $(250,789) | $91,358 | ||||
E Extended effective date.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/20 | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Bank of America N.A. | ||||||
| $9,871,531 | $10,881,115 | $— | 6/20/23 | (3 month USD- | A basket (MLFCF15) | $1,022,639 |
| LIBOR-BBA plus | of common | |||||
| 0.10%) — Quarterly | stocks — Quarterly* | |||||
| 9,869,086 | 11,091,609 | — | 6/20/23 | 3 month USD- | Russell 1000 Total | (1,212,363) |
| LIBOR-BBA minus | Return Index — | |||||
| 0.07% — Quarterly | Quarterly | |||||
| Barclays Bank PLC | ||||||
| 5,688 | 5,518 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (96) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 163,859 | 162,286 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 1,661 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Citibank, N.A. | ||||||
| 3,675,514 | 3,743,365 | — | 11/25/20 | (3 month USD- | A basket | 69,369 |
| LIBOR-BBA | (CGPUTQL2) of | |||||
| plus 0.34%) — | common stocks — | |||||
| Quarterly | Quarterly * | |||||
| 19,354 | 19,701 | — | 11/25/20 | 3 month USD- | Russell 1000 Total | (348) |
| LIBOR-BBA minus | Return Index — | |||||
| 0.75% — Quarterly | Quarterly | |||||
| 3,754,722 | 3,821,975 | — | 11/25/20 | 3 month USD- | Russell 1000 Total | (66,972) |
| LIBOR-BBA plus | Return Index — | |||||
| 0.09% — Quarterly | Quarterly | |||||
| Credit Suisse International | ||||||
| 12,133 | 11,919 | — | 1/12/45 | 3.50% (1 month | Synthetic TRS | (35) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 66 Dynamic Risk Allocation Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| JPMorgan Securities LLC | ||||||
| $163,859 | $162,286 | $— | 1/12/41 | (4.00%) 1 month | Synthetic TRS | $(770) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 1,093,669 | |||
| Upfront premium (paid) | — | Unrealized (depreciation) | (1,280,584) | |||
| Total | $— | Total | $(186,915) | |||
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
| A BASKET (MLFCF15) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Apple, Inc. | Technology | 1,866 | $593,382 | 5.45% |
| Amazon.com, Inc. | Consumer cyclicals | 224 | 548,293 | 5.04% |
| Alphabet, Inc. Class A | Technology | 296 | 424,450 | 3.90% |
| Microsoft Corp. | Technology | 2,129 | 390,076 | 3.58% |
| JPMorgan Chase & Co. | Financials | 2,597 | 252,754 | 2.32% |
| Cisco Systems, Inc. | Technology | 5,070 | 242,466 | 2.23% |
| Adobe, Inc. | Technology | 627 | 242,209 | 2.23% |
| Verizon Communications, Inc. | Communication services | 4,143 | 237,728 | 2.18% |
| Procter & Gamble Co. (The) | Consumer staples | 2,005 | 232,424 | 2.14% |
| Qualcomm, Inc. | Technology | 2,497 | 201,973 | 1.86% |
| Chevron Corp. | Energy | 2,139 | 196,183 | 1.80% |
| Coca-Cola Co. (The) | Consumer staples | 3,550 | 165,729 | 1.52% |
| Intuit, Inc. | Technology | 567 | 164,740 | 1.51% |
| Johnson & Johnson | Health care | 1,052 | 156,471 | 1.44% |
| Citigroup, Inc. | Financials | 3,199 | 153,263 | 1.41% |
| eBay, Inc. | Technology | 3,259 | 148,437 | 1.36% |
| Medtronic PLC | Health care | 1,504 | 148,238 | 1.36% |
| Oracle Corp. | Technology | 2,727 | 146,613 | 1.35% |
| PepsiCo, Inc. | Consumer staples | 1,028 | 135,280 | 1.24% |
| Lockheed Martin Corp. | Capital goods | 345 | 134,101 | 1.23% |
| ServiceNow, Inc. | Technology | 345 | 133,931 | 1.23% |
| Take-Two Interactive Software, Inc. | Technology | 955 | 130,050 | 1.20% |
| Amgen, Inc. | Health care | 536 | 123,052 | 1.13% |
| Merck & Co., Inc. | Health care | 1,496 | 120,737 | 1.11% |
| Comcast Corp. Class A | Communication services | 2,965 | 117,424 | 1.08% |
| Northrop Grumman Corp. | Capital goods | 328 | 109,893 | 1.01% |
| Honeywell International, Inc. | Capital goods | 731 | 106,602 | 0.98% |
| Starbucks Corp. | Consumer staples | 1,343 | 104,758 | 0.96% |
| Activision Blizzard, Inc. | Technology | 1,450 | 104,344 | 0.96% |
| Booking Holdings, Inc. | Consumer cyclicals | 62 | 101,677 | 0.93% |
| Abbott Laboratories | Health care | 1,062 | 100,831 | 0.93% |
| DocuSign, Inc. | Technology | 696 | 97,302 | 0.89% |
| Dynamic Risk Allocation Fund 67 |
| A BASKET (MLFCF15) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| MetLife, Inc. | Financials | 2,688 | $96,796 | 0.89% |
| Veeva Systems, Inc. Class A | Technology | 403 | 88,311 | 0.81% |
| Otis Worldwide Corp. | Capital goods | 1,655 | 87,125 | 0.80% |
| American Electric Power Co., Inc. | Utilities and power | 942 | 80,269 | 0.74% |
| Crown Castle International Corp. | Communication services | 458 | 78,906 | 0.73% |
| Waste Management, Inc. | Capital goods | 719 | 76,743 | 0.71% |
| Edwards Lifesciences Corp. | Health care | 340 | 76,297 | 0.70% |
| AGNC Investment Corp. | Financials | 5,855 | 75,765 | 0.70% |
| Xilinx, Inc. | Technology | 824 | 75,744 | 0.70% |
| Eli Lilly and Co. | Health care | 475 | 72,634 | 0.67% |
| Autodesk, Inc. | Technology | 341 | 71,759 | 0.66% |
| Biogen, Inc. | Health care | 229 | 70,182 | 0.64% |
| Exelon Corp. | Utilities and power | 1,824 | 69,890 | 0.64% |
| McKesson Corp. | Health care | 435 | 68,950 | 0.63% |
| Morgan Stanley | Financials | 1,550 | 68,517 | 0.63% |
| Cummins, Inc. | Capital goods | 403 | 68,374 | 0.63% |
| Annaly Capital Management, Inc. | Financials | 10,854 | 66,862 | 0.61% |
| Equinix, Inc. | Communication services | 92 | 63,989 | 0.59% |
| A BASKET (CGPUTQL2) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Apple, Inc. | Technology | 402 | $127,815 | 3.41% |
| Microsoft Corp. | Technology | 657 | 120,404 | 3.22% |
| Alphabet, Inc. Class A | Technology | 76 | 109,596 | 2.93% |
| Verizon Communications, Inc. | Communication services | 1,567 | 89,931 | 2.40% |
| JPMorgan Chase & Co. | Financials | 795 | 77,385 | 2.07% |
| Fidelity National Information | Technology | 534 | 74,202 | 1.98% |
| Services, Inc. | ||||
| Lockheed Martin Corp. | Capital goods | 191 | 74,040 | 1.98% |
| Medtronic PLC | Health care | 741 | 73,018 | 1.95% |
| Intuit, Inc. | Technology | 240 | 69,618 | 1.86% |
| Texas Instruments, Inc. | Technology | 584 | 69,300 | 1.85% |
| Mondelez International, Inc. Class A | Consumer staples | 1,303 | 67,921 | 1.81% |
| Starbucks Corp. | Consumer staples | 859 | 66,994 | 1.79% |
| Honeywell International, Inc. | Capital goods | 450 | 65,652 | 1.75% |
| Amazon.com, Inc. | Consumer cyclicals | 27 | 64,730 | 1.73% |
| Johnson & Johnson | Health care | 422 | 62,782 | 1.68% |
| TJX Cos., Inc. (The) | Consumer cyclicals | 1,188 | 62,688 | 1.67% |
| Automatic Data Processing, Inc. | Consumer cyclicals | 423 | 62,036 | 1.66% |
| Leidos Holdings, Inc. | Technology | 547 | 57,616 | 1.54% |
| Intercontinental Exchange, Inc. | Financials | 574 | 55,849 | 1.49% |
| Walt Disney Co. (The) | Consumer cyclicals | 455 | 53,340 | 1.42% |
| Allstate Corp. (The) | Financials | 528 | 51,605 | 1.38% |
| Waste Management, Inc. | Capital goods | 479 | 51,098 | 1.37% |
| Kinder Morgan, Inc. | Utilities and power | 3,157 | 49,884 | 1.33% |
| 68 Dynamic Risk Allocation Fund |
| A BASKET (CGPUTQL2) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| eBay, Inc. | Technology | 1,094 | $49,838 | 1.33% |
| Cisco Systems, Inc. | Technology | 995 | 47,604 | 1.27% |
| Exelon Corp. | Utilities and power | 1,241 | 47,554 | 1.27% |
| Baxter International, Inc. | Health care | 501 | 45,133 | 1.21% |
| DTE Energy Co. | Utilities and power | 412 | 44,321 | 1.18% |
| U.S. Bancorp | Financials | 1,209 | 42,995 | 1.15% |
| Sysco Corp. | Consumer staples | 769 | 42,399 | 1.13% |
| Take-Two Interactive Software, Inc. | Technology | 308 | 41,880 | 1.12% |
| Cognizant Technology Solutions | Technology | 770 | 40,799 | 1.09% |
| Corp. Class A | ||||
| Charter Communications, Inc. Class A | Communication services | 74 | 40,269 | 1.08% |
| Hershey Co. (The) | Consumer staples | 295 | 40,010 | 1.07% |
| Pfizer, Inc. | Health care | 1,039 | 39,690 | 1.06% |
| Synopsys, Inc. | Technology | 211 | 38,198 | 1.02% |
| Garmin, Ltd. | Technology | 412 | 37,181 | 0.99% |
| Annaly Capital Management, Inc. | Financials | 5,977 | 36,821 | 0.98% |
| Merck & Co., Inc. | Health care | 455 | 36,739 | 0.98% |
| Ross Stores, Inc. | Consumer cyclicals | 372 | 36,078 | 0.96% |
| AutoZone, Inc. | Consumer cyclicals | 31 | 35,136 | 0.94% |
| Procter & Gamble Co. (The) | Consumer staples | 303 | 35,111 | 0.94% |
| Omnicom Group, Inc. | Consumer cyclicals | 616 | 33,744 | 0.90% |
| Hologic, Inc. | Health care | 633 | 33,561 | 0.90% |
| F5 Networks, Inc. | Technology | 228 | 33,061 | 0.88% |
| Bristol-Myers Squibb Co. | Health care | 553 | 33,035 | 0.88% |
| Exxon Mobil Corp. | Energy | 712 | 32,393 | 0.87% |
| QIAGEN NV (Netherlands) | Health care | 727 | 31,814 | 0.85% |
| Juniper Networks, Inc. | Communication services | 1,296 | 31,436 | 0.84% |
| VICI Properties, Inc. | Financials | 1,602 | 31,424 | 0.84% |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/20 | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| received | tion | received (paid) | received by | appreciation/ | ||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| $1,000,000 | $2,631 | $(17) | 5/7/30 | 1.319% — At | USA Non Revised | $2,614 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 600,000 | 22,838 | (10) | 3/6/30 | (1.675%) — At | USA Non Revised | (22,848) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 700,000 | 32,825 | (12) | 10/1/29 | (1.765%) — At | USA Non Revised | (32,837) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| Dynamic Risk Allocation Fund 69 |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| received | tion | received (paid) | received by | appreciation/ | ||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| $500,000 | $50,659 | $— | 12/5/26 | (2.308%) — At | USA Non Revised | $(50,659) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,100,000 | 53,885 | (18) | 9/9/29 | (1.79%) — At | USA Non Revised | (53,903) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,500,000 | 66,491 | — | 4/7/26 | (1.858%) — At | USA Non Revised | (66,491) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,400,000 | 85,831 | — | 8/7/25 | (1.92%) — At | USA Non Revised | (85,831) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,100,000 | 95,785 | (18) | 3/7/29 | (2.138%) — At | USA Non Revised | (95,803) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,400,000 | 118,541 | (24) | 2/7/29 | (2.099%) — At | USA Non Revised | (118,564) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,500,000 | 124,335 | (16) | 11/7/27 | (2.1438%) — At | USA Non Revised | (124,351) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,100,000 | 126,174 | (35) | 7/8/29 | (1.875%) — At | USA Non Revised | (126,210) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,400,000 | 154,466 | (24) | 4/6/28 | (2.3075%) — At | USA Non Revised | (154,490) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,700,000 | 204,367 | (29) | 7/9/28 | (2.3875%) — At | USA Non Revised | (204,396) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 70 Dynamic Risk Allocation Fund |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| received | tion | received (paid) | received by | appreciation/ | ||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| $2,600,000 | $459,719 | $— | 1/9/23 | (2.76%) — At | USA Non Revised | $(459,719) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 6,000,000 | 695,664 | (100) | 7/2/28 | (2.356%) — At | USA Non Revised | (695,763) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| Total | $(303) | $(2,289,251) | ||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 5/31/20 | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. | |||||||
| CMBX NA BB.11 | BB–/P | $1,695 | $3,000 | $1,380 | 11/18/54 | 500 bp — | $318 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 4,734 | 33,000 | 16,724 | 5/11/63 | 500 bp — | (11,958) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB–/P | 1,633 | 32,000 | 14,886 | 1/17/47 | 500 bp — | (13,222) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 15 | 3,000 | 794 | 5/11/63 | 300 bp — | (778) |
| Index | Monthly | ||||||
| Credit Suisse International | |||||||
| CMBX NA A.6 | A/P | (71) | 64,000 | 10,496 | 5/11/63 | 200 bp — | (10,542) |
| Index | Monthly | ||||||
| CMBX NA A.7 | A/P | 294 | 8,000 | 954 | 1/17/47 | 200 bp — | (657) |
| Index | Monthly | ||||||
| CMBX NA A.7 | A/P | 943 | 24,000 | 2,863 | 1/17/47 | 200 bp — | (1,911) |
| Index | Monthly | ||||||
| CMBX NA A.7 | A/P | 1,040 | 25,000 | 2,983 | 1/17/47 | 200 bp — | (1,933) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB–/P | 936 | 7,000 | 3,256 | 1/17/47 | 500 bp — | (2,313) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 1,128 | 12,000 | 4,014 | 5/11/63 | 300 bp — | (2,879) |
| Index | Monthly | ||||||
| Goldman Sachs International | |||||||
| CMBX NA A.6 | A/P | 607 | 12,000 | 1,968 | 5/11/63 | 200 bp — | (1,356) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 301 | 13,000 | 2,132 | 5/11/63 | 200 bp — | (1,826) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 759 | 15,000 | 2,460 | 5/11/63 | 200 bp — | (1,695) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 781 | 15,000 | 2,460 | 5/11/63 | 200 bp — | (1,674) |
| Index | Monthly | ||||||
| Dynamic Risk Allocation Fund 71 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 5/31/20 cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs International cont. | |||||||
| CMBX NA A.6 | A/P | $1,248 | $19,000 | $3,116 | 5/11/63 | 200 bp — | $(1,861) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | (161) | 20,000 | 3,280 | 5/11/63 | 200 bp — | (3,433) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 1,133 | 22,000 | 3,608 | 5/11/63 | 200 bp — | (2,466) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 1,186 | 24,000 | 3,936 | 5/11/63 | 200 bp — | (2,741) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 1,988 | 31,000 | 5,084 | 5/11/63 | 200 bp — | (3,084) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 1,083 | 35,000 | 5,740 | 5/11/63 | 200 bp — | (4,644) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 1,820 | 58,000 | 9,512 | 5/11/63 | 200 bp — | (7,670) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 3,736 | 62,000 | 10,168 | 5/11/63 | 200 bp — | (6,408) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 3,257 | 64,000 | 10,496 | 5/11/63 | 200 bp — | (7,214) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 109 | 1,000 | 335 | 5/11/63 | 300 bp — | (225) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 317 | 4,000 | 1,338 | 5/11/63 | 300 bp — | (1,019) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 1,056 | 9,000 | 3,011 | 5/11/63 | 300 bp — | (1,949) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 613 | 9,000 | 3,011 | 5/11/63 | 300 bp — | (2,392) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 1,266 | 15,000 | 5,018 | 5/11/63 | 300 bp — | (3,743) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 1,941 | 23,000 | 7,694 | 5/11/63 | 300 bp — | (5,739) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 4,261 | 35,000 | 11,708 | 5/11/63 | 300 bp — | (7,426) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 5,939 | 79,000 | 26,426 | 5/11/63 | 300 bp — | (20,441) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 8,253 | 88,000 | 29,436 | 5/11/63 | 300 bp — | (21,131) |
| Index | Monthly | ||||||
| JPMorgan Securities LLC | |||||||
| CMBX NA A.6 | A/P | 420 | 3,000 | 492 | 5/11/63 | 200 bp — | (71) |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 65,662 | 505,000 | 82,820 | 5/11/63 | 200 bp — | (16,962) |
| Index | Monthly | ||||||
| CMBX NA BB.10 | BB–/P | 722 | 9,000 | 4,574 | 5/11/63 | 500 bp — | (3,843) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 5,663 | 11,000 | 5,575 | 5/11/63 | 500 bp — | 99 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB+/P | 25,896 | 81,000 | 27,095 | 5/11/63 | 300 bp — | (1,151) |
| Index | Monthly | ||||||
| 72 Dynamic Risk Allocation Fund |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 5/31/20 cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Merrill Lynch International | |||||||
| CMBX NA BBB–.6 | BB+/P | $446 | $5,000 | $1,673 | 5/11/63 | 300 bp — | $(1,223) |
| Index | Monthly | ||||||
| Morgan Stanley & Co. International PLC | |||||||
| CMBX NA A.6 | A/P | (376) | 49,000 | 8,036 | 5/11/63 | 200 bp — | (8,393) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 1,473 | 6,000 | 3,041 | 5/11/63 | 500 bp — | (1,562) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 3,203 | 13,000 | 6,588 | 5/11/63 | 500 bp — | (3,372) |
| Index | Monthly | ||||||
| Upfront premium received | 157,557 | Unrealized appreciation | 417 | ||||
| Upfront premium (paid) | (608) | Unrealized (depreciation) | (192,907) | ||||
| Total | $156,949 | Total | $(192,490) | ||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at May 31, 2020. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 5/31/20 | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. | ||||||
| CMBX NA A.7 Index | $(22) | $3,000 | $358 | 1/17/47 | (200 bp) — | $334 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (417) | 4,000 | 2,033 | 11/17/59 | (500 bp) — | 1,611 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (329) | 3,000 | 1,525 | 11/17/59 | (500 bp) — | 1,193 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (1,684) | 13,000 | 5,981 | 11/18/54 | (500 bp) — | 4,284 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (377) | 4,000 | 1,840 | 11/18/54 | (500 bp) — | 1,459 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (69) | 1,000 | 460 | 11/18/54 | (500 bp) — | 390 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (51) | 1,000 | 460 | 11/18/54 | (500 bp) — | 408 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (52) | 1,000 | 460 | 11/18/54 | (500 bp) — | 407 |
| Monthly | ||||||
| CMBX NA BB.8 Index | (124) | 1,000 | 587 | 10/17/57 | (500 bp) — | 462 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (4,542) | 44,000 | 22,084 | 9/17/58 | (500 bp) — | 17,499 |
| Monthly | ||||||
| Dynamic Risk Allocation Fund 73 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. cont. | ||||||
| CMBX NA BB.9 Index | $(581) | $9,000 | $4,517 | 9/17/58 | (500 bp) — | $3,928 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (202) | 5,000 | 2,510 | 9/17/58 | (500 bp) — | 2,303 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (129) | 2,000 | 1,004 | 9/17/58 | (500 bp) — | 873 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (36) | 1,000 | 502 | 9/17/58 | (500 bp) — | 465 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (39) | 1,000 | 502 | 9/17/58 | (500 bp) — | 462 |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (2,681) | 9,000 | 2,498 | 11/17/59 | (300 bp) — | (189) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,640) | 5,000 | 1,413 | 11/18/54 | (300 bp) — | (230) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (981) | 3,000 | 848 | 11/18/54 | (300 bp) — | (135) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (962) | 3,000 | 848 | 11/18/54 | (300 bp) — | (116) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (653) | 2,000 | 565 | 11/18/54 | (300 bp) — | (89) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (8,516) | 27,000 | 7,147 | 8/17/61 | (300 bp) — | (1,385) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (2,816) | 8,000 | 2,118 | 8/17/61 | (300 bp) — | (703) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (2,391) | 7,000 | 1,853 | 8/17/61 | (300 bp) — | (543) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (1,337) | 4,000 | 1,059 | 8/17/61 | (300 bp) — | (280) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (1,002) | 3,000 | 794 | 8/17/61 | (300 bp) — | (210) |
| Monthly | ||||||
| CMBX NA BBB–.6 Index | (27,892) | 438,000 | 146,511 | 5/11/63 | (300 bp) — | 118,363 |
| Monthly | ||||||
| Credit Suisse International | ||||||
| CMBX NA BB.10 Index | (1,201) | 9,000 | 4,574 | 11/17/59 | (500 bp) — | 3,364 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (1,070) | 9,000 | 4,574 | 11/17/59 | (500 bp) — | 3,495 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (622) | 5,000 | 2,541 | 11/17/59 | (500 bp) — | 1,915 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (1,112) | 63,000 | 31,928 | 5/11/63 | (500 bp) — | 30,755 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (2,907) | 29,000 | 14,555 | 9/17/58 | (500 bp) — | 11,620 |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (78) | 1,000 | 265 | 1/17/47 | (300 bp) — | 186 |
| Monthly | ||||||
| 74 Dynamic Risk Allocation Fund |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs International | ||||||
| CMBX NA BB.7 Index | $(303) | $2,000 | $930 | 1/17/47 | (500 bp) — | $626 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (366) | 1,000 | 448 | 8/17/61 | (500 bp) — | 81 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (6,904) | 34,000 | 15,817 | 1/17/47 | (500 bp) — | 8,880 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (655) | 4,000 | 1,861 | 1/17/47 | (500 bp) — | 1,202 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (39) | 1,000 | 502 | 9/17/58 | (500 bp) — | 462 |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (1,351) | 4,000 | 1,059 | 8/17/61 | (300 bp) — | (294) |
| Monthly | ||||||
| JPMorgan Securities LLC | ||||||
| CMBX NA A.7 Index | (1,138) | 54,000 | 6,442 | 1/17/47 | (200 bp) — | 5,283 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (4,908) | 9,000 | 4,141 | 11/18/54 | (500 bp) — | (776) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (5,492) | 10,000 | 4,482 | 8/17/61 | (500 bp) — | (1,020) |
| Monthly | ||||||
| CMBX NA BB.17 Index | (16,648) | 34,000 | 15,817 | 1/17/47 | (500 bp) — | (865) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (494) | 1,000 | 502 | 9/17/58 | (500 bp) — | 7 |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (845) | 3,000 | 833 | 11/17/59 | (300 bp) — | (14) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (894) | 3,000 | 833 | 11/17/59 | (300 bp) — | (63) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,257) | 4,000 | 1,130 | 11/18/54 | (300 bp) — | (129) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,290) | 4,000 | 1,130 | 11/18/54 | (300 bp) — | (161) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (629) | 2,000 | 565 | 11/18/54 | (300 bp) — | (65) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (628) | 2,000 | 565 | 11/18/54 | (300 bp) — | (64) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (995) | 3,000 | 794 | 8/17/61 | (300 bp) — | (203) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (349) | 1,000 | 265 | 8/17/61 | (300 bp) — | (85) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (235) | 1,000 | 265 | 1/17/47 | (300 bp) — | 29 |
| Monthly | ||||||
| Dynamic Risk Allocation Fund 75 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 5/31/20 cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Merrill Lynch International | ||||||
| CMBX NA BB.10 Index | $(455) | $8,000 | $4,066 | 11/17/59 | (500 bp) — | $3,603 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (3,954) | 8,000 | 3,681 | 11/18/54 | (500 bp) — | (281) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (623) | 16,000 | 8,030 | 9/17/58 | (500 bp) — | 7,392 |
| Monthly | ||||||
| Morgan Stanley & Co. International PLC | ||||||
| CMBX NA BB.10 Index | (420) | 4,000 | 2,033 | 11/17/59 | (500 bp) — | 1,609 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (1,200) | 2,000 | 896 | 8/17/61 | (500 bp) — | (306) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (71) | 1,000 | 448 | 8/17/61 | (500 bp) — | 377 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (578) | 3,000 | 1,396 | 1/17/47 | (500 bp) — | 814 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (123) | 2,000 | 1,004 | 9/17/58 | (500 bp) — | 879 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (99) | 2,000 | 1,004 | 9/17/58 | (500 bp) — | 903 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (40) | 1,000 | 502 | 9/17/58 | (500 bp) — | 461 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (39) | 1,000 | 502 | 9/17/58 | (500 bp) — | 462 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (54) | 1,000 | 502 | 9/17/58 | (500 bp) — | 447 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (61) | 1,000 | 502 | 9/17/58 | (500 bp) — | 440 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (75) | 1,000 | 502 | 9/17/58 | (500 bp) — | 426 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (62) | 1,000 | 502 | 9/17/58 | (500 bp) — | 439 |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,579) | 5,000 | 1,413 | 11/18/54 | (300 bp) — | (169) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,266) | 4,000 | 1,130 | 11/18/54 | (300 bp) — | (138) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (624) | 2,000 | 565 | 11/18/54 | (300 bp) — | (60) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (665) | 2,000 | 529 | 8/17/61 | (300 bp) — | (136) |
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 240,598 | |||
| Upfront premium (paid) | (123,923) | Unrealized (depreciation) | (8,709) | |||
| Total | $(123,923) | Total | $231,889 | |||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
| 76 Dynamic Risk Allocation Fund |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 5/31/20 | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | |||||
| received | Notional | nation | received | Unrealized | |||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | appreciation |
| EM Series 33 | BB+/P | $477,622 | $4,900,000 | $426,099 | 6/20/25 | 100 bp — | $60,643 |
| Index | Quarterly | ||||||
| NA IG Series 34 | BBB+/P | (3,056) | 550,000 | 6,073 | 6/20/25 | 100 bp — | 3,414 |
| Index | Quarterly | ||||||
| Total | $474,566 | $64,057 | |||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at May 31, 2020. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| Dynamic Risk Allocation Fund 77 |
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 | $269,365 | $863,231 | $— | ||
| Capital goods | 2,301,224 | 582,767 | — | ||
| Communication services | 1,481,716 | 450,362 | — | ||
| Consumer cyclicals | 2,733,929 | 1,413,903 | — | ||
| Consumer staples | 2,400,159 | 1,294,204 | — | ||
| Energy | 628,780 | 294,862 | — | ||
| Financials | 6,019,120 | 1,760,215 | — | ||
| Health care | 4,059,505 | 1,083,476 | — | ||
| Technology | 8,289,872 | 1,080,692 | — | ||
| Transportation | 143,925 | 328,370 | — | ||
| Utilities and power | 1,329,854 | 327,061 | — | ||
| Total common stocks | 29,657,449 | 9,479,143 | — | ||
| Asset-backed securities | — | 447,464 | — | ||
| Commodity linked notes | — | 1,407,673 | — | ||
| Convertible bonds and notes | — | 18,453 | — | ||
| Corporate bonds and notes | — | 21,504,976 | — | ||
| Foreign government and agency bonds and notes | — | 630,585 | — | ||
| Investment companies | 119,280 | — | — | ||
| Mortgage-backed securities | — | 3,331,420 | — | ||
| Preferred stocks | 18,551 | — | — | ||
| Purchased options outstanding | — | 1,184,328 | — | ||
| Senior loans | — | 478,317 | — | ||
| U.S. government and agency mortgage obligations | — | 11,473,510 | — | ||
| U.S. treasury obligations | — | 111,526 | — | ||
| Warrants | — | 394,792 | — | ||
| Short-term investments | 5,997,490 | 4,070,857 | — | ||
| Totals by level | $35,792,770 | $54,533,044 | $— | ||
| 78 Dynamic Risk Allocation Fund |
| Valuation inputs | |||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | ||
| Forward currency contracts | $— | $(106,895) | $— | ||
| Futures contracts | (690,796) | — | — | ||
| Written options outstanding | — | (11,138) | — | ||
| TBA sale commitments | — | (2,097,344) | — | ||
| Interest rate swap contracts | — | 342,147 | — | ||
| Total return swap contracts | — | (2,475,863) | — | ||
| Credit default contracts | — | (404,136) | — | ||
| Totals by level | $(690,796) | $(4,753,229) | $— | ||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
| Dynamic Risk Allocation Fund 79 |
Statement of assets and liabilities 5/31/20
| ASSETS | |
| Investment in securities, at value, including $346,878 of securities on loan (Notes 1 and 9): | |
| Unaffiliated issuers (identified cost $81,223,006) | $84,840,674 |
| Affiliated issuers (identified cost $5,485,140) (Notes 1 and 5) | 5,485,140 |
| Cash | 14,998 |
| Foreign currency (cost $3,908) (Note 1) | 5,122 |
| Dividends, interest and other receivables | 395,659 |
| Foreign tax reclaim | 45,339 |
| Receivable for shares of the fund sold | 444,826 |
| Receivable for investments sold | 72,889 |
| Receivable for sales of TBA securities (Note 1) | 2,098,478 |
| Receivable from Manager (Note 2) | 71,409 |
| Receivable for variation margin on futures contracts (Note 1) | 63,774 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 115,174 |
| Unrealized appreciation on forward currency contracts (Note 1) | 279,304 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 1,334,684 |
| Premium paid on OTC swap contracts (Note 1) | 124,531 |
| Prepaid assets | 38,947 |
| Total assets | 95,430,948 |
| LIABILITIES | |
| Payable for investments purchased | 203,427 |
| Payable for purchases of delayed delivery securities (Note 1) | 15,188 |
| Payable for purchases of TBA securities (Note 1) | 10,596,122 |
| Payable for shares of the fund repurchased | 37,641 |
| Payable for custodian fees (Note 2) | 148,613 |
| Payable for investor servicing fees (Note 2) | 23,296 |
| Payable for Trustee compensation and expenses (Note 2) | 18,498 |
| Payable for administrative services (Note 2) | 317 |
| Payable for distribution fees (Note 2) | 8,507 |
| Payable for variation margin on futures contracts (Note 1) | 50,156 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 51,240 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 1,482,200 |
| Premium received on OTC swap contracts (Note 1) | 157,557 |
| Unrealized depreciation on forward currency contracts (Note 1) | 386,199 |
| Written options outstanding, at value (premiums $19,425) (Note 1) | 11,138 |
| TBA sale commitments, at value (proceeds receivable $2,095,742) (Note 1) | 2,097,344 |
| Collateral on securities loaned, at value (Note 1) | 357,650 |
| Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 981,526 |
| Other accrued expenses | 110,758 |
| Total liabilities | 16,737,377 |
| Net assets | $78,693,571 |
(Continued on next page)
| 80 Dynamic Risk Allocation Fund |
Statement of assets and liabilities cont.
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $79,210,869 |
| Total distributable earnings (Note 1) | (517,298) |
| Total — Representing net assets applicable to capital shares outstanding | $78,693,571 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share ($11,608,890 divided by 1,132,175 shares) | $10.25 |
| Offering price per class A share (100/94.25 of $10.25)* | $10.88 |
| Net asset value and offering price per class B share ($1,340,218 divided by 132,948 shares)** | $10.08 |
| Net asset value and offering price per class C share ($3,163,450 divided by 312,813 shares)** | $10.11 |
| Net asset value, offering price and redemption price per class R share | |
| ($9,537 divided by 924 shares) | $10.32 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($22,348,411 divided by 2,185,991 shares) | $10.22 |
| Net asset value, offering price and redemption price per class Y share | |
| ($40,223,065 divided by 3,917,053 shares) | $10.27 |
* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
| Dynamic Risk Allocation Fund 81 |
Statement of operations Year ended 5/31/20
| INVESTMENT INCOME | |
| Interest (net of foreign tax of $185 ) (including interest income of $125,192 from investments | |
| in affiliated issuers) (Note 5) | $1,433,638 |
| Dividends (net of foreign tax of $37,633) | 1,140,069 |
| Securities lending (net of expenses) (Notes 1 and 5) | 604 |
| Total investment income | 2,574,311 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 612,744 |
| Investor servicing fees (Note 2) | 143,939 |
| Custodian fees (Note 2) | 164,915 |
| Trustee compensation and expenses (Note 2) | 3,515 |
| Distribution fees (Note 2) | 93,197 |
| Administrative services (Note 2) | 2,183 |
| Auditing and tax fees | 109,299 |
| Blue sky expense | 99,386 |
| Other | 53,039 |
| Fees waived and reimbursed by Manager (Note 2) | (447,086) |
| Total expenses | 835,131 |
| Expense reduction (Note 2) | (1,416) |
| Net expenses | 833,715 |
| Net investment income | 1,740,596 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | (3,044,781) |
| Foreign currency transactions (Note 1) | 605 |
| Forward currency contracts (Note 1) | (351,825) |
| Futures contracts (Note 1) | 943,439 |
| Swap contracts (Note 1) | 1,884,837 |
| Written options (Note 1) | (99,015) |
| Total net realized loss | (666,740) |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers and TBA sale commitments | (1,253,606) |
| Assets and liabilities in foreign currencies | (1,459) |
| Forward currency contracts | 31,010 |
| Futures contracts | (510,752) |
| Swap contracts | (1,457,345) |
| Written options | 5,690 |
| Total change in net unrealized depreciation | (3,186,462) |
| Net loss on investments | (3,853,202) |
| Net decrease in net assets resulting from operations | $(2,112,606) |
The accompanying notes are an integral part of these financial statements.
| 82 Dynamic Risk Allocation Fund |
Statement of changes in net assets
| DECREASE IN NET ASSETS | Year ended 5/31/20 | Year ended 5/31/19 |
| Operations | ||
| Net investment income | $1,740,596 | $3,173,483 |
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | (666,740) | 705,945 |
| Change in net unrealized depreciation of investments | ||
| and assets and liabilities in foreign currencies | (3,186,462) | (9,069,220) |
| Net decrease in net assets resulting from operations | (2,112,606) | (5,189,792) |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
| Class A | (476,020) | (220,574) |
| Class B | (45,234) | (11,715) |
| Class C | (117,804) | (29,462) |
| Class M | — | (2,465) |
| Class R | (290) | (305) |
| Class R6 | (967,842) | (1,494,083) |
| Class Y | (1,602,661) | (700,651) |
| Increase (decrease) from capital share transactions (Note 4) | 2,110,429 | (67,692,110) |
| Total decrease in net assets | (3,212,028) | (75,341,157) |
| NET ASSETS | ||
| Beginning of year | 81,905,599 | 157,246,756 |
| End of year | $78,693,571 | $81,905,599 |
The accompanying notes are an integral part of these financial statements.
| Dynamic Risk Allocation Fund 83 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | ||||||||||||
| Ratio of | Ratio of net | |||||||||||||
| Net asset | Net realized | From | expenses | investment | ||||||||||
| value, | and unrealized | Total from | From net | net realized | Non-recurring | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | |||
| beginning | Net investment | gain (loss) on | investment | investment | gain on | Total | reimburse- | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss)a | investments | operations | income | investments | distributions | ments | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%)e |
| Class A | ||||||||||||||
| May 31, 2020 | $10.90 | .20 | (.45) | (.25) | (.40) | — | (.40) | — | $10.25 | (2.64) | $11,609 | 1.17 | 1.86 | 283 |
| May 31, 2019 | 11.61 | .23 | (.78) | (.55) | (.16) | — | (.16) | — | 10.90 | (4.63) | 14,142 | 1.15 | 2.04 | 255 |
| May 31, 2018 | 10.96 | .22 | .74 | .96 | (.32) | — | (.32) | .01f | 11.61 | 8.86 | 18,906 | 1.14 | 1.93 | 312 |
| May 31, 2017 | 10.28 | .17 | .76 | .93 | (.25) | — | (.25) | — | 10.96 | 9.18 | 18,582 | 1.13 | 1.64 | 299 |
| May 31, 2016 | 11.10 | .15 | (.73) | (.58) | (.03) | (.21) | (.24) | — | 10.28 | (5.14) | 20,236 | 1.25 | 1.49 | 300 |
| Class B | ||||||||||||||
| May 31, 2020 | $10.72 | .12 | (.45) | (.33) | (.31) | — | (.31) | — | $10.08 | (3.36) | $1,340 | 1.92 | 1.10 | 283 |
| May 31, 2019 | 11.39 | .14 | (.74) | (.60) | (.07) | — | (.07) | — | 10.72 | (5.27) | 1,664 | 1.90 | 1.30 | 255 |
| May 31, 2018 | 10.76 | .13 | .72 | .85 | (.23) | — | (.23) | .01f | 11.39 | 7.97 | 2,315 | 1.89 | 1.18 | 312 |
| May 31, 2017 | 10.08 | .09 | .75 | .84 | (.16) | — | (.16) | — | 10.76 | 8.41 | 2,669 | 1.88 | .89 | 299 |
| May 31, 2016 | 10.94 | .08 | (.73) | (.65) | — | (.21) | (.21) | — | 10.08 | (5.91) | 3,207 | 2.00 | .75 | 300 |
| Class C | ||||||||||||||
| May 31, 2020 | $10.75 | .12 | (.46) | (.34) | (.30) | — | (.30) | — | $10.11 | (3.43) | $3,163 | 1.92 | 1.11 | 283 |
| May 31, 2019 | 11.42 | .14 | (.74) | (.60) | (.07) | — | (.07) | — | 10.75 | (5.26) | 4,970 | 1.90 | 1.28 | 255 |
| May 31, 2018 | 10.78 | .13 | .72 | .85 | (.22) | — | (.22) | .01f | 11.42 | 7.99 | 5,812 | 1.89 | 1.18 | 312 |
| May 31, 2017 | 10.09 | .09 | .75 | .84 | (.15) | — | (.15) | — | 10.78 | 8.42 | 7,356 | 1.88 | .88 | 299 |
| May 31, 2016 | 10.95 | .08 | (.73) | (.65) | — | (.21) | (.21) | — | 10.09 | (5.90) | 9,659 | 2.00 | .74 | 300 |
| Class R | ||||||||||||||
| May 31, 2020 | $10.93 | .18 | (.47) | (.29) | (.32) | — | (.32) | — | $10.32 | (2.87) | $10 | 1.42 | 1.59 | 283 |
| May 31, 2019 | 11.56 | .21 | (.77) | (.56) | (.07) | — | (.07) | — | 10.93 | (4.77) | 10 | 1.40 | 1.87 | 255 |
| May 31, 2018 | 10.93 | .19 | .73 | .92 | (.30) | — | (.30) | .01f | 11.56 | 8.51 | 103 | 1.39 | 1.67 | 312 |
| May 31, 2017 | 10.21 | .15 | .75 | .90 | (.18) | — | (.18) | — | 10.93 | 8.92 | 110 | 1.38 | 1.40 | 299 |
| May 31, 2016 | 11.02 | .12 | (.72) | (.60) | — | (.21) | (.21) | — | 10.21 | (5.40) | 135 | 1.50 | 1.17 | 300 |
| Class R6 | ||||||||||||||
| May 31, 2020 | $10.87 | .25 | (.46) | (.21) | (.44) | — | (.44) | — | $10.22 | (2.26) | $22,348 | .75 | 2.27 | 283 |
| May 31, 2019 | 11.58 | .28 | (.78) | (.50) | (.21) | — | (.21) | — | 10.87 | (4.17) | 19,332 | .75 | 2.55 | 255 |
| May 31, 2018 | 10.94 | .26 | .73 | .99 | (.36) | — | (.36) | .01f | 11.58 | 9.19 | 81,403 | .75 | 2.31 | 312 |
| May 31, 2017 | 10.26 | .22 | .75 | .97 | (.29) | — | (.29) | — | 10.94 | 9.65 | 102,097 | .75 | 2.04 | 299 |
| May 31, 2016 | 11.10 | .22 | (.76) | (.54) | (.09) | (.21) | (.30) | — | 10.26 | (4.83) | 96,118 | .81 | 2.17 | 300 |
| Class Y | ||||||||||||||
| May 31, 2020 | $10.92 | .23 | (.45) | (.22) | (.43) | — | (.43) | — | $10.27 | (2.37) | $40,223 | .92 | 2.11 | 283 |
| May 31, 2019 | 11.63 | .25 | (.77) | (.52) | (.19) | — | (.19) | — | 10.92 | (4.33) | 41,531 | .90 | 2.27 | 255 |
| May 31, 2018 | 10.99 | .25 | .73 | .98 | (.35) | — | (.35) | .01f | 11.63 | 9.02 | 48,411 | .89 | 2.17 | 312 |
| May 31, 2017 | 10.30 | .20 | .77 | .97 | (.28) | — | (.28) | — | 10.99 | 9.56 | 45,467 | .88 | 1.90 | 299 |
| May 31, 2016 | 11.10 | .17 | (.72) | (.55) | (.04) | (.21) | (.25) | — | 10.30 | (4.94) | 47,321 | 1.00 | 1.62 | 300 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 84 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 85 |
Financial highlights cont.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
| Percentage of average net assets | |||||
| 5/31/20 | 5/31/19 | 5/31/18 | 5/31/17 | 5/31/16 | |
| Class A | 0.52% | 0.30% | 0.24% | 0.23% | 0.17% |
| Class B | 0.52 | 0.30 | 0.24 | 0.23 | 0.17 |
| Class C | 0.52 | 0.30 | 0.24 | 0.23 | 0.17 |
| Class R | 0.52 | 0.30 | 0.24 | 0.23 | 0.17 |
| Class R6 | 0.52 | 0.30 | 0.24 | 0.23 | 0.20 |
| Class Y | 0.52 | 0.30 | 0.24 | 0.23 | 0.17 |
e Portfolio turnover includes TBA purchase and sale commitments.
f Reflects a non-recurring reimbursement from Putnam Management which amounted to $0.01 per share outstanding on May 31, 2018.
The accompanying notes are an integral part of these financial statements.
| 86 Dynamic Risk Allocation Fund |
Notes to financial statements 5/31/20
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, 2019 through May 31, 2020.
Putnam Dynamic Risk Allocation Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek total return. Total return is composed of capital appreciation and income. The fund invests in a diversified set of asset classes. By investing in a broader set of asset classes than a traditional balanced fund, and by using leverage to increase the fund’s exposures to asset classes, Putnam Management believes the fund may achieve a higher total return than a traditional balanced fund with approximately the same amount of risk as a traditional balanced fund. Risk is measured by the volatility of the fund’s investment portfolio. The fund may invest without limit in U.S., international, and emerging markets equity securities (growth or value stocks or both) of companies of any size and fixed-income securities (including in below-investment-grade securities, which are sometimes referred to as “junk bonds”); mortgage- and asset-backed securities; inflation-protected securities; commodities; and real estate investment trusts (REITs). These asset classes offer different return potential and exposure to different investment risks. Putnam Management allocates the fund’s assets among asset classes in a manner intended to diversify the fund’s exposure to these different types of risk. Putnam Management typically uses leverage to adjust or to increase the fund’s exposure to certain asset classes in order to diversify or balance risk exposure. Putnam Management expects that, on average, net notional investment exposure of approximately 150% of the net assets of the fund will result from the fund’s allocation strategy under normal market conditions, although the amounts of leverage may be significantly higher or lower at any given time. Putnam Management believes that better risk diversification creates the potential for the fund to perform well in a variety of market environments. Because the potential risks and returns of asset classes, the costs of leverage, and the benefits of diversification vary over time and with market conditions, Putnam Management makes dynamic adjustments to the fund’s asset allocations as the market environment changes. Putnam Management uses qualitative analysis, which includes evaluation of the business cycle environment and its impact on different asset classes, and quantitative techniques, which incorporate individual valuation and relative valuation measures, to establish asset class allocations that it believes will enable the fund to perform well in a variety of environments. Putnam Management also uses active trading strategies, such as active security selection, tactical asset allocation, currency transactions and options transactions. Certain of these strategies may introduce additional investment leverage. When making particular investments within an asset class, Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments, and among other factors, credit, interest rate and prepayment risks when deciding whether to buy or sell fixed-income investments. Putnam Management may also take into account general market conditions when making investment decisions. Putnam Management typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, to a significant extent for hedging purposes, to obtain leverage, and to adjust the return and volatility characteristics of the fund’s investments. The fund may also engage in short sales of securities.
The fund offers class A, class B, class C, class R, class R6 and class Y shares. Effective November 25, 2019, all class M shares were converted to class A shares and are no longer available for purchase. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class A shares generally are not subject to a contingent deferred sales charge, and class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Prior to November 25, 2019, class M shares were sold with a maximum front-end sales charge of 3.50% and were not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately ten years. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C and class R shares, but do not bear a distribution fee, and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.
| Dynamic Risk Allocation Fund 87 |
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 Amended and Restated Agreement and 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.
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
| 88 Dynamic Risk Allocation Fund |
would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on 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
| Dynamic Risk Allocation Fund 89 |
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 hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
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An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC 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 hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC 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.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as
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a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities
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that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $228,209 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $252,000 and may include amounts related to unsettled agreements.
Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending, net of expenses, is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund received cash collateral of $357,650 and the value of securities loaned amounted to $346,878.
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 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
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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.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At May 31, 2020, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
| Loss carryover | ||
| Short-term | Long-term | Total |
| $1,193,621 | $— | $1,193,621 |
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer $368,459 to its fiscal year ending May 31, 2021 of late year ordinary losses ((i) ordinary losses recognized between January 1, 2020 and May 31, 2020, and (ii) specified ordinary and currency losses recognized between November 1, 2019 and May 31, 2020).
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences from losses on wash sale transactions, from foreign currency gains and losses, from late year loss deferrals, from nontaxable dividends, from defaulted bond interest, from realized gains and losses on certain futures contracts, from unrealized gains and losses on certain futures contracts and from income on swap contracts. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. At the close of the reporting period, the fund reclassified $931,259 to decrease undistributed net investment income, $16 to decrease paid-in capital and $931,275 to decrease accumulated net realized loss.
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
| Unrealized appreciation | $12,236,472 |
| Unrealized depreciation | (11,143,796) |
| Net unrealized appreciation | 1,092,676 |
| Capital loss carryforward | (1,193,621) |
| Late year ordinary loss deferral | (368,459) |
| Cost for federal income tax purposes | $83,789,113 |
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are
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invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
| 0.880% | of the first $5 billion, | 0.680% | of the next $50 billion, | |
| 0.830% | of the next $5 billion, | 0.660% | of the next $50 billion, | |
| 0.780% | of the next $10 billion, | 0.650% | of the next $100 billion and | |
| 0.730% | of the next $10 billion, | 0.645% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.719% of the fund’s average net assets.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through September 30, 2021, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.70% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $186,468 as a result of this limit.
Putnam Management has also contractually agreed, through September 30, 2021, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were reduced by $260,618 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 fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts. Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $28,450 | Class R | 22 | |
| Class B | 3,394 | Class R6 | 11,873 | |
| Class C | 9,285 | Class Y | 90,731 | |
| Class M | 184 | Total | $143,939 |
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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 $666 under the expense offset arrangements and by $750 under the brokerage/service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $60, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
| Class A | 0.35% | 0.25% | $33,182 |
| Class B | 1.00% | 1.00% | 15,851 |
| Class C | 1.00% | 1.00% | 43,453 |
| ClassM * | 1.00% | 0.75% | 661 |
| Class R | 1.00% | 0.50% | 50 |
| Total | $93,197 |
* Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $1,829 and $27 from the sale of class A and class M shares, respectively, and received $3 and no monies in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $12 on class A redemptions.
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Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
| Investments in securities, including TBA commitments (Long-term) | $233,588,964 | $231,746,082 |
| U.S. government securities (Long-term) | — | — |
| Total | $233,588,964 | $231,746,082 |
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.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 169,617 | $1,894,280 | 202,519 | $2,201,091 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 41,900 | 468,018 | 21,137 | 217,075 |
| 211,517 | 2,362,298 | 223,656 | 2,418,166 | |
| Shares repurchased | (376,295) | (4,146,952) | (555,790) | (6,182,041) |
| Net decrease | (164,778) | $(1,784,654) | (332,134) | $(3,763,875) |
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | 51 | $566 | 2,079 | $22,638 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 3,914 | 43,128 | 1,098 | 11,122 |
| 3,965 | 43,694 | 3,177 | 33,760 | |
| Shares repurchased | (26,248) | (279,800) | (51,176) | (566,507) |
| Net decrease | (22,283) | $(236,106) | (47,999) | $(532,747) |
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | 15,088 | $164,734 | 88,421 | $904,422 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 10,281 | 113,609 | 2,755 | 27,961 |
| 25,369 | 278,343 | 91,176 | 932,383 | |
| Shares repurchased | (174,990) | (1,845,067) | (137,770) | (1,524,042) |
| Net decrease | (149,621) | $(1,566,724) | (46,594) | $(591,659) |
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| YEAR ENDED 5/31/20 * | YEAR ENDED 5/31/19 | |||
| Class M | Shares | Amount | Shares | Amount |
| Shares sold | 454 | $5,136 | 709 | $8,156 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | 240 | 2,465 |
| 454 | 5,136 | 949 | 10,621 | |
| Shares repurchased | (24,123) | (271,599) | (2,927) | (33,852) |
| Net decrease | (23,669) | $(266,463) | (1,978) | $(23,231) |
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | 1,792 | $20,147 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 26 | 290 | — | — |
| 26 | 290 | 1,792 | 20,147 | |
| Shares repurchased | — | — | (9,785) | (110,270) |
| Net increase (decrease) | 26 | $290 | (7,993) | $(90,123) |
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 939,769 | $10,450,425 | 466,747 | $5,171,428 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 87,114 | 967,842 | 146,192 | 1,494,083 |
| 1,026,883 | 11,418,267 | 612,939 | 6,665,511 | |
| Shares repurchased | (619,067) | (6,715,400) | (5,862,871) | (65,260,876) |
| Net increase (decrease) | 407,816 | $4,702,867 | (5,249,932) | $(58,595,365) |
| YEAR ENDED 5/31/20 | YEAR ENDED 5/31/19 | |||
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 630,488 | $6,847,649 | 692,286 | $7,589,074 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 142,876 | 1,595,921 | 67,929 | 697,632 |
| 773,364 | 8,443,570 | 760,215 | 8,286,706 | |
| Shares repurchased | (659,019) | (7,182,351) | (1,119,601) | (12,381,816) |
| Net increase (decrease) | 114,345 | $1,261,219 | (359,386) | $(4,095,110) |
* Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
At the close of the reporting period, Putnam Investments, LLC owned 924 class R shares of the fund (100.0% of class R shares outstanding), valued at $9,537.
At the close of the reporting period, a shareholder of record owned 21.6% of the outstanding shares of the fund.
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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 5/31/19 | cost | proceeds | income | of 5/31/20 |
| Short-term investments | |||||
| Putnam Cash Collateral | |||||
| Pool, LLC* | $80,100 | $2,813,375 | $2,535,825 | $4,970 | $357,650 |
| Putnam Short Term | |||||
| Investment Fund** | 4,614,804 | 35,382,147 | 34,869,461 | 125,192 | 5,127,490 |
| Total Short-term | |||||
| investments | $4,694,904 | $38,195,522 | $37,405,286 | $130,162 | $5,485,140 |
* 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. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Beginning in January 2020, global financial markets have experienced, and may continue, to experience significant volatility resulting from the spread of a virus known as COVID–19. The outbreak of COVID–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of COVID–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.
| Dynamic Risk Allocation Fund 99 |
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $89,000 |
| Purchased currency option contracts (contract amount) | $5,200,000 |
| Written equity option contracts (contract amount) | $24,000 |
| Written currency option contracts (contract amount) | $3,900,000 |
| Futures contracts (number of contracts) | 200 |
| Forward currency contracts (contract amount) | $40,700,000 |
| Centrally cleared interest rate swap contracts (notional) | $37,800,000 |
| OTC total return swap contracts (notional) | $33,500,000 |
| Centrally cleared total return swap contracts (notional) | $25,300,000 |
| OTC credit default contracts (notional) | $2,500,000 |
| Centrally cleared credit default contracts (notional) | $9,200,000 |
| Warrants (number of warrants) | 140,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ||||
| ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Credit contracts | appreciation | $362,282* | Unrealized depreciation | $766,418* |
| Foreign exchange | ||||
| contracts | Investments, Receivables | 324,285 | Payables | 397,337 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Equity contracts | appreciation | 2,775,141* | Unrealized depreciation | 1,832,383* |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 470,452* | Unrealized depreciation | 2,703,583* |
| Total | $3,932,160 | $5,699,721 | ||
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
| 100 Dynamic Risk Allocation Fund |
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 |
| Credit contracts | $— | $— | $— | $— | $25,105 | $25,105 |
| Foreign exchange | ||||||
| contracts | — | 71 | — | (351,825) | — | $(351,754) |
| Equity contracts | 9,752 | (125,293) | (40,805) | — | (759,299) | $(915,645) |
| Interest rate | ||||||
| contracts | — | — | 984,244 | — | 2,619,031 | $3,603,275 |
| Total | $9,752 | $(125,222) | $943,439 | $(351,825) | $1,884,837 | $2,360,981 |
| Change in unrealized appreciation or (depreciation) 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 |
| Credit contracts | $— | $— | $— | $— | $130,080 | $130,080 |
| Foreign exchange | ||||||
| contracts | — | (28,967) | — | 31,010 | — | $2,043 |
| Equity contracts | 19,188 | 194,960 | (234,277) | — | (117,655) | $(137,784) |
| Interest rate | ||||||
| contracts | — | — | (276,475) | — | (1,469,770) | $(1,746,245) |
| Total | $19,188 | $165,993 | $(510,752) | $31,010 | $(1,457,345) | $(1,751,906) |
| Dynamic Risk Allocation Fund 101 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. |
Barclays Bank PLC |
Barclays Capital, Inc. (clearing broker) |
BofA Securities, Inc. |
Citibank, N.A. | Citigroup Global Markets, Inc. |
Credit Suisse International |
Goldman Sachs International |
HSBC Bank USA, National Association |
JPMorgan Chase Bank N.A. |
JPMorgan Securities LLC |
Merrill Lynch International |
Morgan Stanley & Co. International PLC |
NatWest Markets PLC |
State Street Bank and Trust Co. |
Toronto- Dominion Bank |
UBS AG | WestPac Banking Corp. |
Total | |
| Assets: | |||||||||||||||||||
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | $— | $— | $101,919 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $101,919 |
| OTC Total return swap contracts*# | 1,022,639 | 1,661 | — | — | 69,369 | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,093,669 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 621 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 621 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | — | 210,086 | 58,325 | 20,575 | — | — | 37,676 | 15,746 | 13,404 | — | — | — | — | — | 355,812 |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | 12,634 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 12,634 |
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 63,774 | — | — | — | — | — | — | — | 63,774 |
| Forward currency contracts# | 27,705 | 35,107 | — | — | 11,525 | — | 15,082 | 49,496 | 24,541 | 16,627 | — | — | — | 8,621 | 47,480 | 16,519 | 14,500 | 12,101 | 279,304 |
| Purchased options**# | 275,470 | — | — | — | 621,576 | — | — | 13,536 | — | 263,635 | — | — | — | — | — | — | 10,111 | — | 1,184,328 |
| Total Assets | $1,325,814 | $36,768 | $115,174 | $— | $702,470 | $210,086 | $73,407 | $83,607 | $24,541 | $280,262 | $101,450 | $15,746 | $13,404 | $8,621 | $47,480 | $16,519 | $24,611 | $12,101 | $3,092,061 |
| Liabilities: | |||||||||||||||||||
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | — | — | 2,262 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,262 |
| OTC Total return swap contracts*# | 1,212,363 | 96 | — | — | 67,320 | — | 35 | — | — | — | 770 | — | — | — | — | — | — | — | 1,280,584 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 48,978 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 48,978 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection sold*# | — | — | — | — | — | 33,717 | 24,505 | 151,630 | — | — | 120,291 | 1,669 | 17,627 | — | — | — | — | — | 349,439 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Futures contracts§ | — | — | — | 18,681 | — | — | — | — | — | — | 31,475 | — | — | — | — | — | — | — | 50,156 |
| Forward currency contracts# | 12,380 | 9,530 | — | — | 31,779 | — | 33,975 | 52,184 | 24,164 | 124,667 | — | — | — | 23,660 | 37,554 | 9,066 | 24,478 | 2,762 | 386,199 |
| Written options# | 5,650 | — | — | — | — | — | — | 3,161 | — | — | — | — | — | — | — | — | 2,327 | — | 11,138 |
| Total Liabilities | $1,230,393 | $9,626 | $51,240 | $18,681 | $99,099 | $33,717 | $58,515 | $206,975 | $24,164 | $124,667 | $152,536 | $1,669 | $17,627 | $23,660 | $37,554 | $9,066 | $26,805 | $2,762 | $2,128,756 |
| Total Financial and Derivative | |||||||||||||||||||
| Net Assets | $95,421 | $27,142 | $63,934 | $(18,681) | $603,371 | $176,369 | $14,892 | $(123,368) | $377 | $155,595 | $(51,086) | $14,077 | $(4,223) | $(15,039) | $9,926 | $7,453 | $(2,194) | $9,339 | $963,305 |
| Total collateral received | |||||||||||||||||||
| (pledged)†## | $95,421 | $— | $— | $— | $603,371 | $110,000 | $— | $(123,368) | $— | $120,000 | $(51,086) | $— | $— | $— | $— | $— | $— | $— | |
| Net amount | $— | $27,142 | $63,934 | $(18,681) | $— | $66,369 | $14,892 | $— | $377 | $35,595 | $— | $14,077 | $(4,223) | $(15,039) | $9,926 | $7,453 | $(2,194) | $9,339 |
| 102 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 103 |
| Bank of America N.A. |
Barclays Bank PLC |
Barclays Capital, Inc. (clearing broker) |
BofA Securities, Inc. |
Citibank, N.A. | Citigroup Global Markets, Inc. |
Credit Suisse International |
Goldman Sachs International |
HSBC Bank USA, National Association |
JPMorgan Chase Bank N.A. |
JPMorgan Securities LLC |
Merrill Lynch International |
Morgan Stanley & Co. International PLC |
NatWest Markets PLC |
State Street Bank and Trust Co. |
Toronto- Dominion Bank |
UBS AG | WestPac Banking Corp. |
Total | |
| Controlled collateral received | |||||||||||||||||||
| (including TBA commitments)** | $111,526 | $— | $— | $— | $640,000 | $110,000 | $— | $— | $— | $120,000 | $— | $— | $— | $— | $— | $— | $— | $— | $981,526 |
| Uncontrolled collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral (pledged) (including | |||||||||||||||||||
| TBA commitments)** | $— | $— | $— | $— | $— | $— | $— | $(141,000) | $— | $— | $(111,000) | $— | $— | $— | $— | $— | $— | $— | $(252,000) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $867,835 and $2,540,462, respectively.
Note 10: New accounting pronouncements
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017–08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310–20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The adoption of these amendments is not material to the financial statements.
Note 11: Change in independent accountants (Unaudited)
On March 20, 2020, the Audit, Compliance and Distributions Committee of the Trustees of the Putnam Funds approved and recommended the decision to change the Fund’s independent accountant and to not retain KPMG LLP, and on April 3, 2020, upon request of the Putnam Funds, KPMG LLP provided a letter of resignation, effective upon the completion of its audit with respect to the Fund’s financial statements for its fiscal year ended May 31, 2020, and the issuance of its report thereon. During the two previous fiscal years, KPMG LLP audit reports contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principle. Further, in connection with its audits for the two previous fiscal years and the subsequent interim period through April 3, 2020: (i) there were no disagreements with KPMG LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements if not resolved to the satisfaction of KPMG LLP would have caused it to make reference to the subject matter of the disagreements in its report on the Fund’s financial statements for such years, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, except that KPMG LLP advised the Fund of the following material weakness: for the year ended May 31, 2018, the Fund did not have appropriate financial reporting controls to identify the mispricing of a commodity linked note due to an incorrect security set up by the Fund’s pricing vendor.
On April 17, 2020, the Audit, Compliance and Distributions Committee of the Trustees of the Putnam Funds approved and recommended the decision to appoint PricewaterhouseCoopers LLP as the Fund’s independent accountant effective upon the completion of the audit by KPMG LLP of the Fund’s financial statements for the fiscal year ended May 31, 2020 and the issuance of KPMG LLP’s report thereon.
Federal tax information (Unaudited)
The fund designated 38.89% of ordinary income distributions as qualifying for the dividends received deduction for corporations.
For the reporting period, the fund hereby designates 65.55%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.
The Form 1099 that will be mailed to you in January 2021 will show the tax status of all distributions paid to your account in calendar 2020.
| 104 Dynamic Risk Allocation Fund | Dynamic Risk Allocation Fund 105 |
| 106 Dynamic Risk Allocation Fund |
* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is 100 Federal Street, Boston, MA 02110.
As of May 31, 2020, there were 100 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
| Dynamic Risk Allocation Fund 107 |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| Robert T. Burns (Born 1961) | Richard T. Kircher (Born 1962) |
| Vice President and Chief Legal Officer | Vice President and BSA Compliance Officer |
| Since 2011 | Since 2019 |
| General Counsel, Putnam Investments, | Assistant Director, Operational Compliance, Putnam |
| Putnam Management, and Putnam Retail Management | Investments and Putnam Retail Management |
| James F. Clark (Born 1974) | Susan G. Malloy (Born 1957) |
| Vice President and Chief Compliance Officer | Vice President and Assistant Treasurer |
| Since 2016 | Since 2007 |
| Chief Compliance Officer and Chief Risk Officer, | Head of Accounting and Middle Office Services, |
| Putnam Investments and Chief Compliance Officer, | Putnam Investments and Putnam Management |
| Putnam Management | |
| Denere P. Poulack (Born 1968) | |
| Nancy E. Florek (Born 1957) | Assistant Vice President, Assistant Clerk, |
| Vice President, Director of Proxy Voting and Corporate | and Assistant Treasurer |
| Governance, Assistant Clerk, and Assistant Treasurer | Since 2004 |
| Since 2000 | |
| Janet C. Smith (Born 1965) | |
| Michael J. Higgins (Born 1976) | Vice President, Principal Financial Officer, Principal |
| Vice President, Treasurer, and Clerk | Accounting Officer, and Assistant Treasurer |
| Since 2010 | Since 2007 |
| Head of Fund Administration Services, | |
| Jonathan S. Horwitz (Born 1955) | Putnam Investments and Putnam Management |
| Executive Vice President, Principal Executive Officer, | |
| and Compliance Liaison | Mark C. Trenchard (Born 1962) |
| Since 2004 | Vice President |
| Since 2002 | |
| Director of Operational Compliance, Putnam | |
| Investments and Putnam Retail Management |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.
| 108 Dynamic Risk Allocation 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 funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Kenneth R. Leibler, Chair | Vice President, Treasurer, |
| Management, LLC | Liaquat Ahamed | and Clerk |
| 100 Federal Street | Ravi Akhoury | |
| Boston, MA 02110 | Barbara M. Baumann | Jonathan S. Horwitz |
| Katinka Domotorffy | Executive Vice President, | |
| Investment Sub-Advisor | Catharine Bond Hill | Principal Executive Officer, |
| Putnam Investments Limited | Paul L. Joskow | and Compliance Liaison |
| 16 St James’s Street | George Putnam, III | |
| London, England SW1A 1ER | Robert L. Reynolds | Richard T. Kircher |
| Manoj P. Singh | Vice President and BSA | |
| Marketing Services | Mona K. Sutphen | Compliance Officer |
| Putnam Retail Management | ||
| 100 Federal Street | Officers | Susan G. Malloy |
| Boston, MA 02110 | Robert L. Reynolds | Vice President and |
| President | Assistant Treasurer | |
| Custodian | ||
| State Street Bank | Robert T. Burns | Denere P. Poulack |
| and Trust Company | Vice President and | Assistant Vice President, Assistant |
| Chief Legal Officer | Clerk, and Assistant Treasurer | |
| Legal Counsel | ||
| Ropes & Gray LLP | James F. Clark | Janet C. Smith |
| Vice President, Chief Compliance | Vice President, | |
| Independent Registered Public | Officer, and Chief Risk Officer | Principal Financial Officer, |
| Accounting Firm | Principal Accounting Officer, | |
| KPMG LLP | Nancy E. Florek | and Assistant Treasurer |
| Vice President, Director of | Mark C. Trenchard | |
| Proxy Voting and Corporate | Vice President | |
| Governance, Assistant Clerk, | ||
| and Assistant Treasurer |
This report is for the information of shareholders of Putnam Dynamic Risk Allocation Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| (a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
| (c) In October 2019, the Code of Ethics of Putnam Investments was amended. The key changes to the Code of Ethics are as follows: (i) Employee notification to the Code of Ethics Officer before acting as a public official for any government entity (ii) Clarifying changes to the Insider Trading provisions and to the rules for trading in securities issued by Great-West Lifeco. |
| Item 3. Audit Committee Financial Expert: |
| The Funds' Audit, Compliance and Distributions Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each member of the Audit, Compliance and Distributions Committee also possesses a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualifies him or her for service on the Committee. In addition, the Trustees have determined that each of Ms. Baumann, Dr. Joskow, and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education; in the case of Dr. Joskow, including his experience serving on the audit committees of several public companies and institutions and his education and experience as an economist who studies companies and industries, routinely using public company financial statements in his research. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Distributions Committee and the Board of Trustees in the absence of such designation or identification |
| Item 4. Principal Accountant Fees and Services: |
| The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor: |
| Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
| May 31, 2020 | $81,601 | $ — | $5,550 | $ — | |
| May 31, 2019 | $107,357 | $ — | $5,443 | $ — | |
| For the fiscal years ended May 31, 2020 and May 31, 2019, the fund's independent auditor billed aggregate non-audit fees in the amounts of $5,550 and $5,443 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
| Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
| Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
| Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
| Pre-Approval Policies of the Audit, Compliance and Distributions Committee. The Audit, Compliance and Distributions Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
| The Audit, Compliance and Distributions Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
| The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X. |
| Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
| May 31, 2020 | $ — | $ — | $ — | $ — | |
| May 31, 2019 | $ — | $ — | $ — | $ — | |
| 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 180 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. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies: |
| Not Applicable |
| Item 13. Exhibits: |
| (a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. |
| (a)(4) Change in registrant's independent public accountant. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| SIGNATURES |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Putnam Funds Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: July 29, 2020 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title): |
| /s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
| Date: July 29, 2020 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: July 29, 2020 |