N-CSR 1 a_dynamicriskall.htm PUTNAM FUNDS TRUST a_dynamicriskall.htm


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.

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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.

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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.

90 Dynamic Risk Allocation Fund 

 


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

Dynamic Risk Allocation Fund 91 

 


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

92 Dynamic Risk Allocation Fund 

 


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

Dynamic Risk Allocation Fund 93 

 


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

94 Dynamic Risk Allocation Fund 

 


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) 

 

Dynamic Risk Allocation Fund 97 

 


  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.

98 Dynamic Risk Allocation Fund 

 


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)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(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