| 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: | October 31, 2021 |
| Date of reporting period: | November 1, 2020 — April 30, 2021 |
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 Multi-Asset
Absolute Return
Fund
Semiannual report
4 | 30 | 21
Message from the Trustees
June 10, 2021
Dear Fellow Shareholder:
With summer at hand, it’s worth asking whether the economy has returned to normal. More than half of the 50 states have lifted pandemic-related restrictions. First-quarter growth in U.S. gross domestic product was 6%, reflecting a return nearly to pre-pandemic levels of economic output. The global economy is a different story. Beyond our shores, many nations lag the United States in vaccination rates and business activity.
While there are reasons to feel some relief, it’s important to recognize what may be a new normal. The pandemic is not in the past, and many of the changes precipitated by it could last. During this time, dynamic, well-managed companies have adapted to seize new, more sustainable growth opportunities.
Putnam’s active philosophy is well suited to this time. Putnam’s investment teams are analyzing companies, industries, consumers, and even governments. They try to understand the fundamentals of what has stayed the same and what has changed to uncover valuable investment insights or potential risks.
Thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 9–10 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
Returns for periods less than one year are cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 4/30/21. See above and pages 9–10 for additional fund performance information. Index descriptions can be found on page 15.
All Bloomberg Barclays indices provided by Bloomberg Index Services Limited.
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How did stocks perform during the period?
A number of factors drove positive performance for stocks over the period. Record fiscal and monetary stimulus, distribution of the world’s first Covid-19 vaccines, and signs of global economic recovery contributed to investor optimism.
Market momentum was periodically disrupted by concerns over a rising number of new Covid-19 variants, a global sell-off of technology stocks, and delays in the vaccine supply chain. Extended pandemic lockdowns in the United Kingdom and Europe also rattled investor confidence.
U.S. President Biden’s $1.9 trillion American Rescue Plan, signed in early March 2021, helped boost investor sentiment. For the six-month reporting period, the S&P 500 Index, a broad measure of stocks, posted a return of 28.85%.
How did bonds and commodities perform during the period?
Stimulus-fueled growth, accommodative monetary policy, and inflation expectations drove yields on all but very short-term government debt higher during the period. Many investors were concerned that inflationary
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Allocations are shown as a percentage of the fund’s net assets as of 4/30/21. 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 use of different classifications of securities for presentation purposes, and rounding. Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
Negative weights may result from timing differences between trade and settlement dates of securities, such as TBAs, or from the use of derivatives.
pressures would eventually cause the Federal Reserve [Fed] to raise short-term interest rates sooner than expected. The rate-sensitive Bloomberg Barclays U.S. Aggregate Bond Index, a measure of investment-grade corporate bonds, reported a loss of 1.52% for the six-month period. The yield on the benchmark 10-year U.S. Treasury note rose to 1.65% on April 30, 2021, from 0.87% at the beginning of the reporting period.
Commodity prices surged during the period on the expectation that widespread administration of vaccines would bring about a sooner-than-anticipated return to global travel. Additionally, investors were encouraged by President Biden’s infrastructure spending plan, which is expected to stimulate significant demand for metal, lumber, and other commodities.
How did Putnam Multi-Asset Absolute Return Fund perform for the period?
The fund’s class A shares reported a return of 0.00% compared with a return of 0.05% for the fund’s benchmark, the ICE BofA U.S. Treasury Bill Index.
Before we discuss performance, can you provide an overview of the fund’s strategies?
Our investment approach for the fund seeks to achieve risk-and-return characteristics by dynamically allocating assets using a
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combination of directional [market sensitive] and non-directional [market neutral] strategies. The directional portion of the portfolio consists of two components: a risk-balanced portfolio of stocks and bonds designed to efficiently capture long-term market returns and a dynamic asset allocation overlay to reflect tactical views. The overlay consists of tactical longs and shorts to equities, rates, credit, and commodities based on the team’s expectations for each of these asset classes. The team manages both the composition and total level of risk, depending on market conditions and the prevailing opportunity set. The non-directional portion of the portfolio consists of long/short market neutral strategies intended to provide flexible uncorrelated sources of alpha.
What strategies had the biggest influence on fund performance?
Overall, directional strategies helped fund performance, while non-directional
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 4/30/21. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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strategies detracted. The equity portion of the risk-balanced portfolio and tactical positions to equity risk enhanced results. Tactically, the portfolio was modestly long for most of the period. Positive vaccine news and record fiscal stimulus moved equity markets higher. These conditions benefited the portfolio’s net long equity position, which was the fund’s largest contributor.
The fixed income portion of the risk-balanced portfolio finished negative, while our tactical positions to rate risk aided performance. We began the period with a modestly underweight position relative to the fund’s benchmark to rate risk. As interest rates moved slightly higher in the fourth quarter of 2020, this position helped results. As of December 2020, we moved our position to neutral. Overall, the portfolio held a net long position to rate risk, resulting in a negative contribution from rate exposures.
A tactical long position to commodity risk, implemented at the beginning of 2021, contributed positively to results. Modest tactical long positions relative to the fund’s benchmark to credit risk, implemented at the beginning and end of the reporting period, slightly aided results.
Non-directional strategies in total were negative over the reporting period. Performance was primarily a result of weakness from our equity selection alpha strategies. Most notable among these were our forensic accounting long/short, global equity long/short, and quantitative emerging-market equity long/short strategies. Our fixed income sector alpha strategy was slightly negative, largely from short positions to U.S. real yields. Our commodity alpha strategy was the fund’s largest positive non-directional contributor. Our alternative beta strategy experienced a similar gain. Our currency alpha and regional fixed income strategies also helped the portfolio, but to a lesser extent.
Our fixed income selection alpha strategy was slightly additive, primarily from structured mortgage credit.
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. 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. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
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How did the fund use derivatives during the period?
We used options in an effort to hedge duration and convexity, isolate and hedge prepayment risk, gain exposure to interest rates and securities, generate additional income for the portfolio, hedge against changes in the values of securities, enhance returns on securities, and manage downside risks. Futures were used to help manage exposure to market risk, hedge prepayment and interest-rate risks, gain exposure to interest rates, and equitize cash. Forward currency contracts were used as a means to hedge foreign exchange risk and gain exposure to currencies. Interest-rate swaps helped us to hedge interest-rate risk, gain exposure to interest rates, and hedge prepayment risk. Credit default contracts were used to help hedge credit and market risks, as well as gain exposure to individual names and/or baskets of securities. Lastly, total return swaps were used to help to hedge sector exposure, manage exposure to specific sectors, securities, or industries, and gain exposure to a basket of securities as well as specific sectors, industries, markets, and countries.
What is your outlook for the economy?
The global economy continues to recover, in our view, albeit at a slower pace. We remain encouraged by the current tailwinds for financial assets, which include the $1.9 trillion U.S. stimulus package, easy monetary conditions, potential infrastructure spending, and ample liquidity. Still, we anticipate volatility in the months ahead as investors weigh the continued rollout of vaccines and the pace of economic recovery against the potential for rising inflation and higher interest rates.
Until the Fed signals that it will taper its asset purchase program, we are likely to remain bullish on equities for the second half of 2021. In our view, the combination of pent-up demand and the Fed’s easy monetary policy makes a compelling case for equities.
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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In fixed income, our outlook on credit is modestly bullish. Banks have begun easing credit conditions for large corporate commercial and industrial loans. Additionally, the average total leverage for new high-yield issues is back to the low levels seen in 2013.
How is the fund positioned going forward?
Our outlook for the portfolio is modestly bullish. Overall, we have long positions in all asset classes. For our dynamic allocation overlay, we have a long position to commodity risk and modestly long positions to equity and credit risks.
We downgraded to a modestly short position to interest-rate risk close to period-end. We believe risks are skewed to higher yields. This is largely due to our expectations for continued economic momentum and the potential for an overreaction to temporary spikes in inflation. Upwards pressure on yields could extend into this summer, in our view, as the Fed moves closer to making a policy change.
Our position to inflation risk was upgraded to long at the beginning of 2021. We expect that increased distribution of vaccines, fiscal support, and easy monetary conditions will stimulate significant global demand for commodities this year. We also changed our position in credit risk to modestly long as of March 2021.
Overall portfolio risk is roughly balanced between the directional and non-directional portions of the portfolio. Most of the directional risk continues to be in equity exposures, while non-directional risk continues to be in the fund’s equity selection alpha strategies.
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.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2021, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class P, 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 4/30/21
| Annual | |||||||||
| average | Annual | Annual | Annual | ||||||
| (life of fund) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Class A (12/23/08) | |||||||||
| Before sales charge | 2.72% | 10.64% | 1.02% | –0.43% | –0.09% | –10.87% | –3.76% | –2.37% | 0.00% |
| After sales charge | 2.23 | 4.28 | 0.42 | –6.15 | –1.26 | –15.99 | –5.64 | –7.99 | –5.75 |
| Class B (12/23/08) | |||||||||
| Before CDSC | 2.21 | 4.22 | 0.41 | –4.14 | –0.84 | –12.90 | –4.50 | –3.24 | –0.40 |
| After CDSC | 2.21 | 4.22 | 0.41 | –5.98 | –1.23 | –15.44 | –5.44 | –8.08 | –5.38 |
| Class C (12/23/08) | |||||||||
| Before CDSC | 2.22 | 4.23 | 0.42 | –4.02 | –0.82 | –12.87 | –4.49 | –3.15 | –0.30 |
| After CDSC | 2.22 | 4.23 | 0.42 | –4.02 | –0.82 | –12.87 | –4.49 | –4.12 | –1.30 |
| Class P (8/31/16) | |||||||||
| Net asset value | 3.02 | 14.27 | 1.34 | 1.53 | 0.30 | –9.82 | –3.39 | –1.98 | 0.29 |
| Class R (12/23/08) | |||||||||
| Net asset value | 2.44 | 7.89 | 0.76 | –1.62 | –0.33 | –11.54 | –4.01 | –2.61 | –0.10 |
| Class R6 (7/2/12) | |||||||||
| Net asset value | 3.03 | 14.38 | 1.35 | 1.34 | 0.27 | –9.92 | –3.42 | –2.06 | 0.19 |
| Class Y (12/23/08) | |||||||||
| Net asset value | 2.97 | 13.49 | 1.27 | 0.84 | 0.17 | –10.18 | –3.51 | –2.17 | 0.19 |
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 P, R, R6, and Y shares have no initial sales charge or CDSC. Performance for class P and 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 P and 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 and C share performance reflects conversion to class A shares after eight years.
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Comparative index returns For periods ended 4/30/21
| Annual | |||||||||
| average | Annual | Annual | Annual | ||||||
| (life of fund) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ICE BofA U.S. | |||||||||
| Treasury Bill Index | 0.58% | 6.76% | 0.66% | 6.17% | 1.20% | 4.58% | 1.50% | 0.12% | 0.05% |
| Bloomberg Barclays | |||||||||
| U.S. Aggregate | 3.91 | 39.59 | 3.39 | 16.98 | 3.19 | 16.39 | 5.19 | –0.27 | –1.52 |
| Bond Index | |||||||||
| S&P 500 Index | 16.00 | 276.37 | 14.17 | 123.20 | 17.42 | 67.11 | 18.67 | 45.98 | 28.85 |
Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value. All Bloomberg Barclays indices provided by Bloomberg Index Services Limited.
Fund price and distribution information For the six-month period ended 4/30/21
| Distributions | Class A | Class B | Class C | Class P | Class R | Class R6 | Class Y | |
| Before | After | Net | Net | Net | Net | Net | Net | |
| sales | sales | asset | asset | asset | asset | asset | asset | |
| Share value | charge | charge | value | value | value | value | value | value |
| 10/31/20 | $10.29 | $10.92 | $9.90 | $9.86 | $10.39 | $10.09 | $10.42 | $10.36 |
| 4/30/21 | 10.29 | 10.92 | 9.86 | 9.83 | 10.42 | 10.08 | 10.44 | 10.38 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
The fund made no distributions during the period.
Fund performance as of most recent calendar quarter Total return for periods ended 3/31/21
| Annual | |||||||||
| average | Annual | Annual | Annual | ||||||
| (life of fund) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Class A (12/23/08) | |||||||||
| Before sales charge | 2.68% | 12.03% | 1.14% | –1.11% | –0.22% | –10.36% | –3.58% | –4.31% | –2.76% |
| After sales charge | 2.18 | 5.59 | 0.55 | –6.80 | –1.40 | –15.51 | –5.46 | –9.81 | –8.35 |
| Class B (12/23/08) | |||||||||
| Before CDSC | 2.16 | 5.45 | 0.53 | –4.64 | –0.95 | –12.30 | –4.28 | –4.95 | –3.16 |
| After CDSC | 2.16 | 5.45 | 0.53 | –6.47 | –1.33 | –14.86 | –5.22 | –9.70 | –8.00 |
| Class C (12/23/08) | |||||||||
| Before CDSC | 2.17 | 5.56 | 0.54 | –4.70 | –0.96 | –12.36 | –4.30 | –5.06 | –3.17 |
| After CDSC | 2.17 | 5.56 | 0.54 | –4.70 | –0.96 | –12.36 | –4.30 | –6.01 | –4.14 |
| Class P (8/31/16) | |||||||||
| Net asset value | 2.97 | 15.60 | 1.46 | 0.74 | 0.15 | –9.31 | –3.21 | –4.00 | –2.64 |
| Class R (12/23/08) | |||||||||
| Net asset value | 2.39 | 9.25 | 0.89 | –2.40 | –0.48 | –11.04 | –3.82 | –4.58 | –2.91 |
| Class R6 (7/2/12) | |||||||||
| Net asset value | 2.99 | 15.83 | 1.48 | 0.65 | 0.13 | –9.41 | –3.24 | –3.99 | –2.63 |
| Class Y (12/23/08) | |||||||||
| Net asset value | 2.92 | 14.92 | 1.40 | 0.15 | 0.03 | –9.66 | –3.33 | –4.01 | –2.65 |
See the discussion following the fund performance table on page 9 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 P | Class R | Class R6 | Class Y | |
| Net expenses for the fiscal year | |||||||
| ended 10/31/20* | 0.90% | 1.65% | 1.65% | 0.50% | 1.15% | 0.54% | 0.65% |
| Total annual operating expenses for the | |||||||
| fiscal year ended 10/31/20 | 0.94% | 1.69% | 1.69% | 0.54% | 1.19% | 0.58% | 0.69% |
| Annualized expense ratio for the | |||||||
| six-month period ended 4/30/21† | 0.86% | 1.61% | 1.61% | 0.44% | 1.11% | 0.48% | 0.61% |
Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.04%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 2/28/22.
† Includes a decrease of 0.34% from annualizing the performance fee adjustment for the six months ended 4/30/21.
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 11/1/20 to 4/30/21. 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 P | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $4.26 | $7.97 | $7.97 | $2.19 | $5.50 | $2.38 | $3.03 |
| Ending value (after expenses) | $1,000.00 | $996.00 | $997.00 | $1,002.90 | $999.00 | $1,001.90 | $1,001.90 |
* 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 4/30/21. 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.
| Multi-Asset Absolute Return Fund 11 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 4/30/21, use the following calculation method. To find the value of your investment on 11/1/20, 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 P | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $4.31 | $8.05 | $8.05 | $2.21 | $5.56 | $2.41 | $3.06 |
| Ending value (after expenses) | $1,020.53 | $1,016.81 | $1,016.81 | $1,022.61 | $1,019.29 | $1,022.41 | $1,021.77 |
* 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 4/30/21. 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
Allocation of assets among asset classes may hurt performance. 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. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. 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. Lower-rated bonds may offer higher yields in return for more risk. 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund’s efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could negatively impact the fund. The fund is not intended to outperform stocks and bonds during strong market rallies. The fund’s prospectus lists additional risks. You can lose money by investing in the fund.
| Multi-Asset Absolute Return Fund 13 |
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 P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are available only to other Putnam funds and other accounts managed by Putnam Management or its affiliates.
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.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency “pass-throughs” have their principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The
| 14 Multi-Asset Absolute Return Fund |
streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
○ Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
ICE BofA U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or limited, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
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.
| Multi-Asset Absolute Return Fund 15 |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2020, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-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 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 April 30, 2021, Putnam employees had approximately $580,000,000 and the Trustees had approximately $81,000,000 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 most recent annual report on the program to the Trustees in April 2021. 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 January 2020 through December 2020. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2020. 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.
| 16 Multi-Asset Absolute Return Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Multi-Asset Absolute Return Fund 17 |
The fund’s portfolio 4/30/21 (Unaudited)
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (45.3%)* | amount | Value |
| U.S. Government Guaranteed Mortgage Obligations (0.8%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 5.50%, 5/20/49 | $62,926 | $72,325 |
| 5.00%, 5/20/49 | 175,214 | 196,835 |
| 4.00%, TBA, 5/1/51 | 5,000,000 | 5,337,500 |
| 3.50%, with due dates from 10/20/49 to 11/20/49 | 93,454 | 101,773 |
| 5,708,433 | ||
| U.S. Government Agency Mortgage Obligations (44.5%) | ||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
| 3.50%, 8/1/43 | 361,368 | 396,026 |
| 3.00%, 3/1/43 | 295,727 | 315,569 |
| Federal National Mortgage Association Pass-Through Certificates | ||
| 5.50%, 1/1/38 | 841,252 | 966,474 |
| 5.00%, with due dates from 1/1/49 to 8/1/49 | 92,662 | 103,644 |
| 4.50%, 5/1/49 | 25,475 | 28,050 |
| 3.50%, 6/1/56 | 1,821,623 | 2,007,143 |
| 3.50%, with due dates from 6/1/42 to 7/1/43 | 650,380 | 708,545 |
| 3.00%, with due dates from 2/1/43 to 2/1/43 | 725,760 | 774,455 |
| Uniform Mortgage-Backed Securities | ||
| 5.50%, TBA, 5/1/51 | 3,000,000 | 3,358,359 |
| 4.50%, TBA, 5/1/51 | 2,000,000 | 2,178,750 |
| 4.00%, TBA, 5/1/51 | 49,000,000 | 52,644,375 |
| 3.50%, TBA, 6/1/51 | 47,000,000 | 49,946,679 |
| 3.50%, TBA, 5/1/51 | 56,000,000 | 59,596,253 |
| 3.00%, TBA, 6/1/51 | 2,000,000 | 2,092,812 |
| 3.00%, TBA, 5/1/51 | 6,000,000 | 6,282,656 |
| 2.50%, TBA, 6/1/51 | 46,000,000 | 47,595,625 |
| 2.50%, TBA, 5/1/51 | 46,000,000 | 47,707,032 |
| 2.00%, TBA, 5/1/51 | 28,000,000 | 28,273,437 |
| 304,975,884 | ||
| Total U.S. government and agency mortgage obligations (cost $309,523,802) | $310,684,317 | |
| Principal | ||
| U.S. TREASURY OBLIGATIONS (0.1%)* | amount | Value |
| U.S. Treasury Notes | ||
| 1.625%, 9/30/26 i | $175,000 | $181,438 |
| 1.125%, 2/28/27 i | 310,000 | 311,823 |
| 0.125%, 9/30/22 i | 112,000 | 112,025 |
| Total U.S. treasury obligations (cost $605,286) | $605,286 | |
| COMMON STOCKS (15.1%)* | Shares | Value |
| Basic materials (1.6%) | ||
| Anglo American Platinum, Ltd. (South Africa) | 12,919 | $1,768,101 |
| Anhui Conch Cement Co., Ltd. Class H (China) | 211,500 | 1,264,739 |
| China Resources Cement Holdings, Ltd. (China) | 484,000 | 527,756 |
| Kossan Rubber Industries (Malaysia) | 322,400 | 349,442 |
| Kumba Iron Ore, Ltd. (South Africa) | 15,823 | 718,273 |
| MMC Norilsk Nickel PJSC ADR (Russia) | 47,387 | 1,607,841 |
| 18 Multi-Asset Absolute Return Fund |
| COMMON STOCKS (15.1%)* cont. | Shares | Value |
| Basic materials cont. | ||
| Press Metal Aluminium Holdings Bhd (Malaysia) | 133,000 | $168,831 |
| Southern Copper Corp. (Peru) | 24,169 | 1,677,570 |
| Vale SA ADR (Brazil) | 146,281 | 2,943,174 |
| 11,025,727 | ||
| Capital goods (0.6%) | ||
| DL Holdings Co., Ltd. (South Korea) | 3,936 | 334,738 |
| Frontken Corp Bhd (Malaysia) | 167,550 | 128,432 |
| Haitian International Holdings, Ltd. (China) | 264,000 | 1,075,678 |
| Hartalega Holdings Bhd (Malaysia) | 158,800 | 398,512 |
| Hyundai Mobis Co., Ltd. (South Korea) | 2,439 | 592,017 |
| Samsung Engineering Co., Ltd. (South Korea) † | 26,871 | 419,123 |
| Sri Trang Gloves Thailand PCL (Thailand) | 447,400 | 635,807 |
| United Integrated Services Co., Ltd. (Taiwan) | 38,000 | 331,257 |
| 3,915,564 | ||
| Communication services (0.3%) | ||
| Advanced Info Service PCL (Thailand) | 256,800 | 1,410,287 |
| Far EasTone Telecommunications Co., Ltd. (Taiwan) | 73,000 | 170,132 |
| Hellenic Telecommunications Organization SA (Greece) | 30,722 | 521,160 |
| KT Corp. (South Korea) | 7,992 | 203,689 |
| 2,305,268 | ||
| Consumer cyclicals (0.9%) | ||
| Com7 PCL (Thailand) | 281,700 | 667,214 |
| Feng Tay Enterprise Co., Ltd. (Taiwan) | 15,000 | 111,427 |
| iHeartMedia, Inc. Class A † | 26,640 | 509,890 |
| Kia Corp. (South Korea) | 15,871 | 1,098,635 |
| Lite-On Technology Corp. (Taiwan) | 240,000 | 549,028 |
| NICE Information Service Co., Ltd. (South Korea) | 7,293 | 143,585 |
| Nien Made Enterprise Co., Ltd. (Taiwan) | 50,000 | 809,079 |
| President Chain Store Corp. (Taiwan) | 36,000 | 349,264 |
| Sinotruk Hong Kong, Ltd. (China) | 187,000 | 460,293 |
| Top Glove Corp. Bhd (Malaysia) | 453,700 | 625,770 |
| Zhongsheng Group Holdings, Ltd. (China) | 133,000 | 1,007,634 |
| 6,331,819 | ||
| Consumer staples (1.7%) | ||
| BIM Birlesik Magazalar AS (Turkey) | 17,308 | 135,893 |
| Charoen Pokphand Foods PCL (Thailand) | 1,526,800 | 1,421,990 |
| China Feihe, Ltd. (China) | 255,000 | 727,141 |
| Coca-Cola Icecek AS (Turkey) | 25,672 | 244,510 |
| Dino Polska SA (Poland) † | 8,782 | 570,151 |
| Hindustan Unilever, Ltd. (India) | 35,923 | 1,141,500 |
| Indofood Sukses Makmur Tbk PT (Indonesia) | 441,100 | 199,251 |
| JD.com, Inc. ADR (China) † | 29,859 | 2,309,892 |
| Marfrig Global Foods SA (Brazil) | 97,100 | 346,604 |
| Orion Corp./Republic of Korea (South Korea) | 2,884 | 303,347 |
| Vipshop Holdings, Ltd. ADR (China) † | 27,376 | 842,360 |
| Want Want China Holdings, Ltd. (China) | 2,051,000 | 1,486,548 |
| Yum China Holdings, Inc. (China) | 32,004 | 2,013,692 |
| 11,742,879 |
| Multi-Asset Absolute Return Fund 19 |
| COMMON STOCKS (15.1%)* cont. | Shares | Value |
| Energy (0.4%) | ||
| CHC Group, LLC † | 13,995 | $294 |
| China Shenhua Energy Co., Ltd. (China) | 378,000 | 788,336 |
| Ecopetrol SA ADR (Colombia) S | 26,666 | 315,459 |
| Lukoil PJSC ADR (Russia) | 20,544 | 1,575,314 |
| Petronas Gas Bhd (Malaysia) | 34,800 | 133,715 |
| 2,813,118 | ||
| Financials (2.7%) | ||
| Agile Group Holdings, Ltd. (China) | 336,000 | 526,855 |
| Banco Bradesco SA (Brazil) | 281,600 | 1,236,395 |
| Banco Macro SA ADR (Argentina) † S | 25,040 | 334,785 |
| Banco Santander (Brasil) S.A. (Units) (Brazil) | 244,171 | 1,731,926 |
| Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia) | 311,600 | 70,539 |
| Bursa Malaysia Bhd (Malaysia) | 149,600 | 307,863 |
| Chailease Holding Co., Ltd. (Taiwan) | 143,480 | 1,037,589 |
| China Minsheng Banking Corp., Ltd. Class H (China) | 1,476,000 | 758,165 |
| Country Garden Services Holdings Co, Ltd. (China) | 249,000 | 2,612,533 |
| CTBC Financial Holding Co., Ltd. (Taiwan) | 554,000 | 452,196 |
| Fubon Financial Holding Co., Ltd. (Taiwan) | 134,000 | 307,980 |
| Hana Financial Group, Inc. (South Korea) | 53,946 | 2,213,903 |
| Hong Leong Bank Bhd (Malaysia) | 37,300 | 162,261 |
| KB Financial Group, Inc. (South Korea) | 44,067 | 2,167,002 |
| KWG Property Holdings, Ltd. (China) | 45,500 | 73,102 |
| Logan Group Co., Ltd. (China) | 247,000 | 393,025 |
| Ping An Insurance (Group) Co. of China, Ltd. Class H (China) | 227,500 | 2,487,995 |
| Qualitas Controladora SAB de CV (Mexico) | 19,898 | 108,296 |
| RHB Bank Bhd (Malaysia) | 543,300 | 690,995 |
| Ruentex Development Co., Ltd. (Taiwan) | 62,000 | 117,861 |
| Stearns Holdings, LLC Class B F | 70,164 | 157,167 |
| Tisco Financial Group PCL (Thailand) | 114,400 | 339,847 |
| 18,288,280 | ||
| Health care (0.4%) | ||
| Advanz Pharma Corp., Ltd. (Canada) † | 8,181 | 137,441 |
| Celltrion, Inc. (South Korea) | 321 | 76,762 |
| Cipla, Ltd./India (India) † | 22,513 | 276,684 |
| Dr Reddy’s Laboratories, Ltd. (India) | 20,037 | 1,396,646 |
| Hengan International Group Co., Ltd. (China) | 28,000 | 181,494 |
| Hypera SA (Brazil) | 79,058 | 504,441 |
| Seegene, Inc. (South Korea) | 4,692 | 394,814 |
| 2,968,282 | ||
| Technology (6.4%) | ||
| Alibaba Group Holding, Ltd. (China) † | 228,624 | 6,622,296 |
| Globalwafers Co., Ltd. (Taiwan) | 56,000 | 1,732,145 |
| HCL Technologies, Ltd. (India) | 9,626 | 116,822 |
| Infosys, Ltd. (India) | 140,923 | 2,576,652 |
| LG Electronics, Inc. (South Korea) | 14,288 | 2,023,068 |
| Meituan Dianping Class B (China) † | 8,800 | 337,601 |
| Parade Technologies, Ltd. (Taiwan) | 18,000 | 892,493 |
| Pegatron Corp. (Taiwan) | 111,000 | 292,471 |
| Quanta Computer, Inc. (Taiwan) | 259,000 | 912,383 |
| 20 Multi-Asset Absolute Return Fund |
| COMMON STOCKS (15.1%)* cont. | Shares | Value |
| Technology cont. | ||
| Radiant Opto-Electronics Corp. (Taiwan) | 152,000 | $699,245 |
| Realtek Semiconductor Corp. (Taiwan) | 73,000 | 1,390,327 |
| Samsung Electro-Mechanics Co., Ltd. (South Korea) | 781 | 125,679 |
| Samsung Electronics Co., Ltd. (South Korea) | 99,280 | 7,274,077 |
| Synnex Technology International Corp. (Taiwan) | 182,000 | 362,918 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) | 47,651 | 5,562,778 |
| Tata Consultancy Services, Ltd. (India) | 53,843 | 2,206,602 |
| Tech Mahindra, Ltd. (India) | 128,171 | 1,661,824 |
| Tencent Holdings, Ltd. (China) | 60,100 | 4,820,225 |
| United Microelectronics Corp. (Taiwan) | 1,163,000 | 2,360,724 |
| Wipro, Ltd. (India) | 309,174 | 2,056,708 |
| 44,027,038 | ||
| Utilities and power (0.1%) | ||
| Cia de Transmissao de Energia Eletrica Paulista (Preference) (Brazil) | 89,900 | 446,848 |
| Glow Energy PCL (Thailand) F | 35,800 | 12 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 25,989 | 27,288 |
| 474,148 | ||
| Total common stocks (cost $66,595,729) | $103,892,123 | |
| Principal | ||
| COMMODITY LINKED NOTES (12.1%)*††† | amount | Value |
| Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less | ||
| 0.13%, 2021 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 | ||
| Excess Return Strategy multiplied by 3) | $791,000 | $795,246 |
| Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less | ||
| 0.11%, 2022 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 | ||
| Excess Return Strategy multiplied by 3) | 11,630,000 | 10,745,307 |
| Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD | ||
| LIBOR less 0.06%, 2022 (Indexed to the Citi Commodities F3 vs F0 — | ||
| 4x Leveraged Index multiplied by 3) | 12,420,000 | 11,031,034 |
| Citigroup Global Markets Holdings, Inc. 144A sr. notes, 2021 (Indexed | ||
| to the Citi Cross-Asset Trend 10% Vol Index multiplied by 3) | 13,045,000 | 17,342,645 |
| Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD | ||
| LIBOR less 0.05%, 2022 (Indexed to the S&P GSCI Light Energy Excess | ||
| Return Index multiplied by 3) | 4,910,000 | 7,133,837 |
| Goldman Sachs International 144A notes zero %, 2022 (Indexed to the | ||
| S&P GSCI Light Energy Excess Return Index multiplied by 3) | 16,425,000 | 23,960,673 |
| Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD | ||
| LIBOR less 0.06%, 2022 (Indexed to the S&P GSCI Light Energy Excess | ||
| Return Index multiplied by 3) | 10,386,000 | 11,842,958 |
| Total commodity Linked Notes (cost $69,607,000) | $82,851,700 | |
| INVESTMENT COMPANIES (10.7%)* | Shares | Value |
| Communication Services Select Sector SPDR Fund S | 309,700 | $24,172,085 |
| Consumer Discretionary Select Sector SPDR Fund | 67,000 | 11,987,640 |
| Consumer Staples Select Sector SPDR Fund S | 183,100 | 12,740,098 |
| Materials Select Sector SPDR Fund S | 294,300 | 24,438,672 |
| Total investment companies (cost $61,049,625) | $73,338,495 | |
| Multi-Asset Absolute Return Fund 21 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* | amount | Value |
| Agency collateralized mortgage obligations (6.2%) | ||
| Federal Home Loan Mortgage Corporation | ||
| REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) | ||
| + 16.95%), 16.653%, 6/15/34 | $86,607 | $105,661 |
| REMICs IFB Ser. 3747, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.50%), 6.385%, 10/15/40 | 1,305,845 | 288,604 |
| REMICs IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), | ||
| 5.885%, 5/15/41 | 1,000,597 | 1,059,968 |
| REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 728,873 | 95,470 |
| REMICs Ser. 4355, Class DI, IO, 4.00%, 3/15/44 | 1,330,806 | 52,199 |
| REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 1,654,328 | 228,757 |
| REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 | 637,629 | 37,483 |
| REMICs Ser. 5060, Class EI, IO, 3.50%, 1/25/51 | 2,909,334 | 498,037 |
| REMICs Ser. 4369, Class IA, IO, 3.50%, 7/15/44 | 409,309 | 45,708 |
| REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 466,818 | 11,974 |
| REMICs Ser. 4663, Class KI, IO, 3.50%, 11/15/42 | 201,219 | 982 |
| REMICs Ser. 4136, Class IW, IO, 3.50%, 10/15/42 | 1,745,852 | 190,759 |
| REMICs Ser. 4097, Class PI, IO, 3.50%, 11/15/40 | 718,657 | 4,888 |
| REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 | 7,322,215 | 951,888 |
| REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 | 1,676,685 | 165,657 |
| REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 | 3,034,032 | 231,345 |
| REMICs Ser. 4134, Class PI, IO, 3.00%, 11/15/42 | 2,480,307 | 247,044 |
| REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 1,169,435 | 74,267 |
| REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 | 2,217,226 | 151,533 |
| Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, | ||
| 0.435%, 11/15/28 W | 109,866 | 1,516 |
| Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, | ||
| 0.283%, 10/25/43 W | 484,591 | 4,846 |
| Structured Pass-Through Certificates Ser. 48, Class A2, IO, | ||
| 0.212%, 7/25/33 W | 769,485 | 5,771 |
| REMICs Ser. 3206, Class EO, PO, zero %, 8/15/36 | 8,743 | 8,306 |
| REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 | 7,114 | 6,687 |
| Strips Ser. 315, PO, zero %, 9/15/43 | 1,358,207 | 1,222,014 |
| Federal National Mortgage Association | ||
| REMICs IFB Ser. 05-74, Class NK, ((-5 x 1 Month US LIBOR) | ||
| + 27.50%), 26.969%, 5/25/35 | 40,728 | 58,156 |
| REMICs IFB Ser. 05-122, Class SE, ((-3.5 x 1 Month US LIBOR) | ||
| + 23.10%), 22.729%, 11/25/35 | 36,082 | 52,680 |
| REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), | ||
| 12.688%, 5/25/40 | 423,094 | 516,175 |
| REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 2,715,577 | 582,014 |
| REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 5.994%, 2/25/47 | 6,611,071 | 1,319,305 |
| REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 5.75%), 5.644%, 10/25/47 | 7,254,855 | 1,300,766 |
| REMICs Ser. 18-58, Class IO, IO, 5.50%, 8/25/48 | 2,390,539 | 464,947 |
| REMICs Ser. 15-28, IO, 5.50%, 5/25/45 | 3,658,097 | 722,474 |
| Interest Strip Ser. 397, Class 2, IO, 5.00%, 9/25/39 | 19,366 | 3,439 |
| REMICs Ser. 17-113, IO, 5.00%, 1/25/38 | 708,707 | 80,258 |
| REMICs Ser. 21-15, Class JI, IO, 4.50%, 4/25/51 | 6,392,837 | 1,219,522 |
| REMICs Ser. 12-104, Class QI, IO, 4.50%, 5/25/42 | 898,361 | 135,919 |
| 22 Multi-Asset Absolute Return Fund |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Federal National Mortgage Association | ||
| REMICs Ser. 14-47, Class IP, IO, 4.00%, 3/25/44 | $1,986,402 | $190,256 |
| REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 | 2,607,689 | 367,509 |
| REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 | 1,327,962 | 88,012 |
| REMICs Ser. 15-73, Class PI, IO, 3.50%, 10/25/45 | 741,208 | 37,404 |
| REMICs Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 | 363,837 | 20,408 |
| REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 | 736,352 | 40,718 |
| REMICs Ser. 14-10, IO, 3.50%, 8/25/42 | 881,184 | 74,664 |
| REMICs Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 | 1,580,945 | 197,039 |
| REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 1,524,327 | 162,923 |
| REMICs Ser. 6, Class BI, IO, 3.00%, 12/25/42 | 1,308,425 | 72,875 |
| REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 1,161,889 | 61,015 |
| REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 1,064,997 | 21,692 |
| REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 | 1,375,084 | 33,013 |
| REMICs Trust Ser. 98-W2, Class X, IO, 2.156%, 6/25/28 W | 730,982 | 23,757 |
| REMICs Trust Ser. 98-W5, Class X, IO, 0.963%, 7/25/28 W | 220,306 | 6,345 |
| REMICs Ser. 08-36, Class OV, PO, zero %, 1/25/36 | 4,795 | 4,443 |
| Government National Mortgage Association | ||
| FRB Ser. 20-112, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), | ||
| 6.184%, 8/20/50 | 4,126,837 | 913,063 |
| IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), | ||
| 6.134%, 7/20/48 | 3,158,438 | 499,583 |
| IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 6.034%, 9/20/43 | 428,547 | 83,901 |
| IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 5.984%, 7/16/43 | 504,069 | 84,568 |
| IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.934%, 2/20/50 | 216,783 | 26,547 |
| IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.934%, 8/20/49 | 158,481 | 23,144 |
| IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.934%, 6/20/49 | 206,959 | 26,490 |
| IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.934%, 2/20/41 | 929,726 | 151,254 |
| Ser. 16-150, Class I, IO, 5.00%, 11/20/46 | 2,964,129 | 542,940 |
| Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 1,520,502 | 300,527 |
| Ser. 14-76, IO, 5.00%, 5/20/44 | 1,721,933 | 304,975 |
| Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 | 1,406,280 | 225,483 |
| Ser. 14-2, Class IC, IO, 5.00%, 1/16/44 | 3,435,266 | 708,851 |
| Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 604,778 | 107,348 |
| Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 | 7,914 | 722 |
| Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 415,802 | 81,732 |
| Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 652,465 | 125,185 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 2,143,554 | 420,672 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 1,656,130 | 322,945 |
| Ser. 17-160, Class AI, IO, 4.50%, 10/20/47 | 559,375 | 97,582 |
| Ser. 16-49, IO, 4.50%, 11/16/45 | 1,708,628 | 306,329 |
| Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 | 2,921,628 | 520,817 |
| Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 1,862,628 | 193,304 |
| Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 1,368,220 | 268,732 |
| Multi-Asset Absolute Return Fund 23 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | $289,489 | $24,178 |
| Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 954,096 | 86,934 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 476,710 | 83,061 |
| Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 777,804 | 127,694 |
| Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 557,843 | 85,796 |
| Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 316,890 | 59,578 |
| Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 | 496,749 | 44,896 |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 3,128,664 | 563,160 |
| Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 1,904,175 | 267,639 |
| Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 | 489,885 | 42,702 |
| Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 | 709,811 | 91,373 |
| Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 | 317,021 | 44,383 |
| Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 1,020,306 | 156,668 |
| Ser. 14-104, IO, 4.00%, 3/20/42 | 3,031,285 | 392,836 |
| Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 | 904,682 | 91,173 |
| Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 | 1,510,562 | 152,801 |
| Ser. 14-133, Class AI, IO, 4.00%, 10/20/36 | 1,406,881 | 23,457 |
| Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 4,907,791 | 596,826 |
| Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 1,121,434 | 112,357 |
| Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 | 988,846 | 93,940 |
| Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 | 317,314 | 7,574 |
| Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 | 933,594 | 64,536 |
| Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 781,700 | 88,981 |
| Ser. 12-145, IO, 3.50%, 12/20/42 | 1,098,870 | 203,017 |
| Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 240,124 | 26,666 |
| Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 | 457,887 | 33,998 |
| Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 | 643,936 | 37,026 |
| Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 | 577,481 | 14,114 |
| Ser. 15-36, Class GI, IO, 3.50%, 6/16/41 | 1,077,406 | 59,345 |
| Ser. 13-157, Class IA, IO, 3.50%, 4/20/40 | 906,715 | 29,427 |
| Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 | 2,385,725 | 131,627 |
| Ser. 183, Class AI, IO, 3.50%, 10/20/39 | 946,738 | 24,882 |
| Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 | 1,693,046 | 138,672 |
| Ser. 15-118, Class EI, IO, 3.50%, 7/20/39 | 357,537 | 1,852 |
| Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 | 1,188,293 | 34,223 |
| Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 2,364,333 | 57,486 |
| Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 | 1,163,527 | 52,359 |
| FRB Ser. 16-H16, Class DI, IO, 2.623%, 6/20/66 W | 4,442,512 | 368,991 |
| Ser. 17-H02, Class BI, IO, 2.457%, 1/20/67 W | 5,532,723 | 507,096 |
| FRB Ser. 15-H16, Class XI, IO, 2.397%, 7/20/65 W | 8,243,817 | 713,090 |
| Ser. 16-H04, Class HI, IO, 2.386%, 7/20/65 W | 4,818,807 | 275,154 |
| Ser. 16-H23, Class NI, IO, 2.385%, 10/20/66 W | 7,074,772 | 596,403 |
| Ser. 15-H20, Class CI, IO, 2.205%, 8/20/65 W | 13,389,188 | 1,142,098 |
| Ser. 16-H11, Class HI, IO, 2.105%, 1/20/66 W | 4,596,798 | 278,157 |
| Ser. 15-H24, Class HI, IO, 2.041%, 9/20/65 W | 14,420,863 | 673,425 |
| Ser. 15-H15, Class JI, IO, 1.959%, 6/20/65 W | 9,464,472 | 778,926 |
| Ser. 15-H25, Class BI, IO, 1.954%, 10/20/65 W | 12,017,035 | 963,766 |
| Ser. 15-H26, Class DI, IO, 1.911%, 10/20/65 W | 5,192,450 | 417,753 |
| 24 Multi-Asset Absolute Return Fund |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 15-H19, Class NI, IO, 1.91%, 7/20/65 W | $12,723,496 | $956,807 |
| Ser. 15-H25, Class EI, IO, 1.864%, 10/20/65 W | 8,588,393 | 626,094 |
| Ser. 16-H02, Class BI, IO, 1.843%, 11/20/65 W | 12,607,294 | 1,016,148 |
| Ser. 15-H18, Class IA, IO, 1.835%, 6/20/65 W | 5,102,578 | 268,906 |
| Ser. 15-H10, Class CI, IO, 1.805%, 4/20/65 W | 13,744,587 | 949,751 |
| Ser. 15-H26, Class GI, IO, 1.80%, 10/20/65 W | 8,563,753 | 585,761 |
| Ser. 15-H09, Class AI, IO, 1.758%, 4/20/65 W | 8,708,580 | 592,950 |
| Ser. 16-H03, Class AI, IO, 1.753%, 1/20/66 W | 9,697,493 | 671,435 |
| Ser. 15-H26, Class EI, IO, 1.717%, 10/20/65 W | 8,922,566 | 581,751 |
| Ser. 17-H14, Class DI, IO, 1.706%, 6/20/67 W | 8,821,807 | 468,438 |
| Ser. 15-H09, Class BI, IO, 1.688%, 3/20/65 W | 12,382,323 | 785,584 |
| Ser. 14-H21, Class AI, IO, 1.659%, 10/20/64 W | 10,045,042 | 716,252 |
| Ser. 15-H25, Class AI, IO, 1.617%, 9/20/65 W | 12,040,955 | 763,397 |
| Ser. 15-H10, Class EI, IO, 1.615%, 4/20/65 W | 9,044,549 | 357,441 |
| Ser. 15-H24, Class BI, IO, 1.605%, 8/20/65 W | 13,241,609 | 436,152 |
| Ser. 15-H14, Class BI, IO, 1.558%, 5/20/65 W | 13,517,877 | 481,858 |
| Ser. 16-H04, Class KI, IO, 1.533%, 2/20/66 W | 8,529,752 | 481,010 |
| Ser. 11-H15, Class AI, IO, 1.533%, 6/20/61 W | 3,157,802 | 145,625 |
| Ser. 16-H07, Class HI, IO, 1.495%, 2/20/66 W | 5,995,542 | 479,643 |
| Ser. 16-H08, Class GI, IO, 1.429%, 4/20/66 W | 11,767,806 | 542,425 |
| GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, | ||
| 0.431%, 9/19/27 W | 72,530 | 276 |
| 42,655,586 | ||
| Commercial mortgage-backed securities (2.0%) | ||
| Banc of America Commercial Mortgage Trust FRB Ser. 07-1, | ||
| Class XW, IO, 0.622%, 1/15/49 W | 122,977 | 1 |
| Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, | ||
| Class C, 6.786%, 2/10/51 (In default) † W | 1,107,980 | 99,718 |
| Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB | ||
| Ser. 05-1, Class C, 5.665%, 11/10/42 (In default) † W | 721,000 | 194,670 |
| Bear Stearns Commercial Mortgage Securities Trust | ||
| FRB Ser. 07-T26, Class AJ, 5.541%, 1/12/45 W | 884,000 | 720,460 |
| Ser. 05-PWR7, Class D, 5.304%, 2/11/41 W | 806,000 | 620,620 |
| Ser. 05-PWR7, Class C, 5.235%, 2/11/41 W | 489,000 | 552,265 |
| COMM Mortgage Trust 144A | ||
| FRB Ser. 14-CR17, Class D, 5.008%, 5/10/47 W | 315,000 | 296,071 |
| Ser. 12-CR3, Class F, 4.75%, 10/15/45 W | 725,000 | 190,568 |
| Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 1,056,000 | 757,395 |
| Credit Suisse First Boston Mortgage Securities Corp. 144A FRB | ||
| Ser. 03-C3, Class AX, IO, 2.267%, 5/15/38 W | 26,369 | 201 |
| GS Mortgage Securities Trust 144A | ||
| FRB Ser. 14-GC24, Class D, 4.664%, 9/10/47 W | 1,168,000 | 724,160 |
| FRB Ser. 06-GG8, Class X, IO, 1.27%, 11/10/39 W | 7,977,271 | 80 |
| JPMBB Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 14-C18, Class D, 4.96%, 2/15/47 W | 2,751,000 | 1,319,272 |
| FRB Ser. 13-C14, Class E, 4.847%, 8/15/46 W | 1,491,000 | 912,574 |
| JPMorgan Chase Commercial Mortgage Securities Trust FRB | ||
| Ser. 07-LDPX, Class X, IO, 0.581%, 1/15/49 W | 38,043 | — |
| Multi-Asset Absolute Return Fund 25 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* cont. | amount | Value |
| Commercial mortgage-backed securities cont. | ||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 12-C6, Class F, 5.313%, 5/15/45 W | $766,000 | $337,113 |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 370,000 | 244,724 |
| Ser. 12-C6, Class G, 2.972%, 5/15/45 W | 1,166,000 | 386,393 |
| LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, | ||
| 0.336%, 2/15/40 W | 87,259 | 4 |
| ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, | ||
| IO, 1.394%, 12/12/49 W | 34,530 | 105 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| FRB Ser. 13-C11, Class E, 4.497%, 8/15/46 W | 1,350,000 | 67,365 |
| FRB Ser. 13-C11, Class F, 4.497%, 8/15/46 W | 1,720,000 | 567,600 |
| FRB Ser. 13-C10, Class D, 4.217%, 7/15/46 W | 2,538,000 | 1,423,298 |
| Morgan Stanley Capital I Trust | ||
| Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W | 316,934 | 31,693 |
| Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 1,678,986 | 1,653,019 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class G, | ||
| 5.434%, 7/15/49 W | 795,000 | 288,145 |
| UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, | ||
| 5.00%, 5/10/63 W | 853,000 | 245,237 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, | ||
| 0.455%, 11/15/48 W | 904,663 | 27 |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, | ||
| Class E, 5.273%, 10/15/44 W | 435,547 | 400,703 |
| Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, | ||
| Class D, 4.405%, 7/15/46 W | 1,041,000 | 520,500 |
| WF-RBS Commercial Mortgage Trust 144A | ||
| Ser. 11-C4, Class E, 5.317%, 6/15/44 W | 87,000 | 60,973 |
| Ser. 11-C4, Class F, 5.00%, 6/15/44 W | 1,355,000 | 379,400 |
| Ser. 11-C3, Class E, 5.00%, 3/15/44 W | 367,000 | 53,325 |
| FRB Ser. 13-C15, Class D, 4.626%, 8/15/46 W | 673,004 | 337,408 |
| FRB Ser. 12-C10, Class E, 4.574%, 12/15/45 W | 697,000 | 209,100 |
| 13,594,187 | ||
| Residential mortgage-backed securities (non-agency) (1.5%) | ||
| American Home Mortgage Investment Trust FRB Ser. 07-1, | ||
| Class GA1C, (1 Month US LIBOR + 0.19%), 0.296%, 5/25/47 | 368,735 | 206,591 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, | ||
| (1 Month US LIBOR + 0.35%), 0.456%, 3/25/37 | 681,450 | 629,955 |
| Countrywide Home Loans Mortgage Pass-Through Trust FRB | ||
| Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 0.726%, 4/25/35 | 241,915 | 208,482 |
| Federal Home Loan Mortgage Corporation Structured Agency | ||
| Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR | ||
| + 10.00%), 10.109%, 7/25/28 | 1,226,493 | 1,391,474 |
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, | ||
| (1 Month US LIBOR + 11.00%), 11.106%, 10/25/48 | 161,000 | 186,273 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, | ||
| (1 Month US LIBOR + 10.50%), 10.606%, 3/25/49 | 63,000 | 69,323 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, | ||
| (1 Month US LIBOR + 8.15%), 8.256%, 7/25/49 | 92,000 | 98,393 |
| 26 Multi-Asset Absolute Return Fund |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (9.7%)* cont. | amount | Value |
| Residential mortgage-backed securities (non-agency) cont. | ||
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, | ||
| Class B1, (1 Month US LIBOR + 5.75%), 5.856%, 7/25/50 | $95,000 | $101,349 |
| Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, | ||
| 4.50%, 2/25/59 W | 458,000 | 474,989 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, | ||
| (1 Month US LIBOR + 3.70%), 3.806%, 12/25/30 | 82,000 | 84,324 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, | ||
| (1 Month US LIBOR + 2.65%), 2.756%, 1/25/49 | 101,970 | 103,956 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, | ||
| (1 Month US LIBOR + 2.45%), 2.556%, 3/25/49 | 11,147 | 11,335 |
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, | ||
| (1 Month US LIBOR + 12.25%), 12.356%, 9/25/28 | 2,216,178 | 2,728,446 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
| (1 Month US LIBOR + 5.70%), 5.806%, 4/25/28 | 878,927 | 931,849 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, | ||
| (1 Month US LIBOR + 5.55%), 5.656%, 4/25/28 | 60,941 | 64,252 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.00%), 5.106%, 7/25/25 | 54,131 | 54,817 |
| Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, | ||
| (1 Month US LIBOR + 4.85%), 4.956%, 10/25/29 | 265,000 | 283,297 |
| Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, | ||
| (1 Month US LIBOR + 4.55%), 4.656%, 2/25/25 | 19,863 | 19,975 |
| Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, | ||
| (1 Month US LIBOR + 4.45%), 4.556%, 2/25/30 | 451,000 | 471,154 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
| (1 Month US LIBOR + 4.00%), 4.106%, 5/25/25 | 34,269 | 34,822 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, | ||
| (1 Month US LIBOR + 4.00%), 4.106%, 5/25/25 | 47,902 | 48,509 |
| Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, | ||
| (1 Month US LIBOR + 3.60%), 3.706%, 1/25/30 | 346,000 | 358,287 |
| Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, | ||
| (1 Month US LIBOR + 2.80%), 2.906%, 2/25/30 | 79,809 | 81,323 |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 82,669 | 84,299 |
| GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), | ||
| 0.346%, 5/25/47 | 162,861 | 122,401 |
| MortgageIT Trust FRB Ser. 04-1, Class M2, (1 Month US LIBOR | ||
| + 1.01%), 1.111%, 11/25/34 | 153,305 | 147,396 |
| Pretium Mortgage Credit Partners, LLC 144A FRB Ser. 20-RPL1, | ||
| Class A1, 3.819%, 5/27/60 | 230,900 | 232,507 |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, | ||
| (1 Month US LIBOR + 0.43%), 0.536%, 5/25/46 | 170,370 | 152,481 |
| Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO10, Class A1, | ||
| (1 Month US LIBOR + 0.16%), 0.426%, 1/25/37 | 192,165 | 184,550 |
| Structured Asset Mortgage Investments II Trust | ||
| FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), | ||
| 0.956%, 5/25/47 | 144,351 | 120,573 |
| FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), | ||
| 0.286%, 1/25/37 | 738,854 | 704,121 |
| 10,391,503 | ||
| Total mortgage-backed securities (cost $80,524,498) | $66,641,276 |
| Multi-Asset Absolute Return Fund 27 |
| Expiration | Strike | |||
| WARRANTS (1.7%)*† | date | price | Warrants | Value |
| Bank of Shanghai Co., Ltd. (China) | 12/30/21 | $0.00 | 234,800 | $296,627 |
| Focus Media Information Technology Co., | ||||
| Ltd. (China) | 4/12/23 | 0.00 | 76,100 | 126,696 |
| Foshan Haitian Flavouring & Food Co., | ||||
| Ltd. (China) | 5/11/22 | 0.00 | 22,400 | 586,378 |
| Frontken Corp Bhd (Malaysia) | 5/3/26 | 0.00 | 55,850 | 12,952 |
| Hundsun Technologies, Inc. 144A (China) | 7/29/21 | 0.00 | 58,700 | 833,041 |
| Jiangsu Hengli Hydraulic Co., Ltd. 144A | ||||
| Class A (China) | 3/23/22 | 0.00 | 41,300 | 548,540 |
| Jiangsu Hengrui Medicine Co., Ltd. (China) | 4/12/22 | 0.00 | 54,700 | 710,466 |
| Luenmei Quantum Co., Ltd. 144A Class A (China) | 12/2/21 | 0.00 | 112,600 | 158,075 |
| Offcn Education Technology Co., Ltd. (China) | 4/12/22 | 0.00 | 222,900 | 877,829 |
| Poly Developments and Holdings Group Co., Ltd. | ||||
| 144A (China) | 7/29/21 | 0.00 | 580,800 | 1,255,783 |
| RiseSun Real Estate Development Co., Ltd. 144A | ||||
| Class A (China) | 11/2/21 | 0.00 | 642,100 | 610,862 |
| Sany Heavy Industry Co., Ltd. 144A | ||||
| Class A (China) | 1/17/22 | 0.00 | 274,600 | 1,309,597 |
| Seazen Holdings Co., Ltd. (China) | 6/3/22 | 0.00 | 57,300 | 398,584 |
| Shandong Buchang Pharmaceuticals Co., Ltd. | ||||
| 144A Class A (China) | 12/2/21 | 0.00 | 113,177 | 399,222 |
| Shenzhen Mindray Bio-Medical Electronics Co., | ||||
| Ltd. (China) | 12/10/21 | 0.00 | 29,100 | 2,095,872 |
| Suofeiya Home Collection Co., Ltd. 144A | ||||
| Class A (China) | 6/14/21 | 0.00 | 179,700 | 808,163 |
| Wens Foodstuffs Group Co., Ltd. (China) | 4/12/22 | 0.00 | 224,000 | 497,816 |
| Total warrants (cost $11,422,044) | $11,526,503 |
| FOREIGN GOVERNMENT AND AGENCY | Principal | |
| BONDS AND NOTES (1.3%)* | amount | Value |
| Angola (Republic of) sr. unsec. notes Ser. REGS, 8.25%, | ||
| 5/9/28 (Angola) | $270,000 | $276,744 |
| Argentina (Republic of) 144A sr. unsec. notes 3.00%, | ||
| 2/1/29 (Argentina) | 542,411 | 307,818 |
| Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, | ||
| 6.50%, 2/15/23 (Argentina) (In default) † | 255,000 | 109,204 |
| Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, | ||
| 2/15/48 (Dominican Republic) | 208,000 | 228,800 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, | ||
| 1/29/26 (Dominican Republic) | 183,000 | 212,966 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, | ||
| 1/25/27 (Dominican Republic) | 303,000 | 343,148 |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, | ||
| 3/1/29 (Egypt) | 200,000 | 216,745 |
| Egypt (Arab Republic of) 144A sr. unsec. bonds 7.053%, | ||
| 1/15/32 (Egypt) | 510,000 | 521,730 |
| Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, | ||
| 5/29/24 (Egypt) | 270,000 | 285,188 |
| Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, | ||
| 3/26/32 (Ghana) | 340,000 | 341,700 |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, | ||
| 1/15/24 (Indonesia) | 1,005,000 | 1,138,153 |
| 28 Multi-Asset Absolute Return Fund |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (1.3%)* cont. | amount | Value | |
| Indonesia (Republic of) 144A sr. unsec. notes 4.75%, | |||
| 1/8/26 (Indonesia) | $300,000 | $341,622 | |
| Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 6.125%, 6/15/33 (Ivory Coast) | 1,310,000 | 1,388,600 | |
| Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, | |||
| 3/22/30 (Ivory Coast) | EUR | 190,000 | 239,826 |
| Mongolia International Bond sr. unsec. unsub. notes Ser. REGS, | |||
| 5.125%, 12/5/22 (Mongolia) | $320,000 | 331,198 | |
| Saudi Arabia (Kingdom of) sr. unsec. notes Ser. REGS, 2.90%, | |||
| 10/22/25 (Saudi Arabia) | 272,000 | 288,984 | |
| Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, | |||
| 5/23/33 (Senegal) | 1,260,000 | 1,315,125 | |
| South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 | |||
| (South Africa) | 247,000 | 259,963 | |
| United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) | 383,000 | 368,155 | |
| Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 | |||
| (Venezuela) (In default) † | 815,000 | 83,538 | |
| Total foreign government and agency bonds and notes (cost $8,449,280) | $8,599,207 | ||
| Principal | |||
| ASSET-BACKED SECURITIES (1.2%)* | amount | Value | |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, | |||
| (BBA LIBOR USD 3 Month + 2.90%), 3.076%, 7/25/24 | $1,011,000 | $1,011,607 | |
| Mello Warehouse Securitization Trust 144A | |||
| FRB Ser. 20-1, Class A, (1 Month US LIBOR + 0.90%), | |||
| 1.006%, 10/25/53 | 455,000 | 455,000 | |
| FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), | |||
| 0.906%, 11/25/53 | 274,000 | 274,000 | |
| FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), | |||
| 0.906%, 6/25/52 | 1,450,000 | 1,449,094 | |
| MRA Issuance Trust 144A | |||
| FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), | |||
| 1.95%, 7/21/21 | 783,000 | 783,000 | |
| FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.70%), | |||
| 1.815%, 4/22/22 | 512,000 | 512,000 | |
| FRB Ser. 21-EBO1, Class A1X, (1 Month US LIBOR + 1.70%), | |||
| 1.459%, 10/8/21 | 449,000 | 449,000 | |
| FRB Ser. 20-12, Class A1X, (1 Month US LIBOR + 1.35%), | |||
| 1.456%, 7/15/21 | 769,000 | 769,000 | |
| FRB Ser. 21-8, Class A1X, (1 Month US LIBOR + 1.15%), | |||
| 1.265%, 10/15/21 | 777,000 | 777,000 | |
| Station Place Securitization Trust 144A | |||
| FRB Ser. 20-13, Class A, (1 Month US LIBOR + 1.50%), | |||
| 1.606%, 10/10/21 | 549,000 | 549,000 | |
| FRB Ser. 20-15, Class A, (1 Month US LIBOR + 1.37%), | |||
| 1.476%, 12/10/21 | 545,000 | 545,000 | |
| FRB Ser. 21-6, Class A, (1 Month US LIBOR + 0.80%), | |||
| 0.91%, 4/25/22 | 568,000 | 568,000 | |
| Total asset-backed securities (cost $8,142,000) | $8,141,701 | ||
| Multi-Asset Absolute Return Fund 29 |
| Principal | ||
| CORPORATE BONDS AND NOTES (0.2%)* | amount | Value |
| Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB | ||
| 3.875%, 4/15/31 (Brazil) | $220,000 | $213,620 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.25%, 3/17/24 (Brazil) | 60,000 | 67,275 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.999%, 1/27/28 (Brazil) | 127,000 | 143,510 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.60%, 1/3/31 (Brazil) | 232,000 | 250,444 |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 4/12/27 (Venezuela) (In default) † | 1,809,000 | 79,144 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB | ||
| 7.69%, 1/23/50 (Mexico) | 242,000 | 232,949 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB | ||
| 5.95%, 1/28/31 (Mexico) | 130,000 | 125,502 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 3/13/27 (Mexico) | 35,000 | 36,950 |
| VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, | ||
| 10/17/22 (Russia) | 400,000 | 423,500 |
| Total corporate bonds and notes (cost $2,172,878) | $1,572,894 |
| PURCHASED SWAP OPTIONS OUTSTANDING (—%)* | |||
| Counterparty | Notional/ | ||
| Fixed right % to receive or (pay)/ | Expiration | contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| Barclays Bank PLC | |||
| (1.08)/3 month USD-LIBOR-BBA/Jun-26 | |||
| (United Kingdom) | Jun-21/1.08 | $25,774,700 | $90,469 |
| Total purchased swap options outstanding (cost $164,958) | $90,469 | ||
| Principal amount/ | ||
| SHORT-TERM INVESTMENTS (60.9%)* | shares | Value |
| ABN AMRO Funding USA, LLC commercial paper 0.200%, 8/2/21 | $4,000,000 | $3,998,194 |
| Atlantic Asset Securitization, LLC asset backed commercial paper | ||
| 0.180%, 5/19/21 | 4,000,000 | 3,999,762 |
| Australia & New Zealand Banking Group, Ltd. commercial paper | ||
| 0.100%, 5/10/21 | 4,000,000 | 3,999,908 |
| Barclays Bank PLC CCP asset backed commercial paper | ||
| 0.160%, 6/14/21 | 4,000,000 | 3,999,175 |
| BPCE SA commercial paper 0.110%, 5/3/21 | 4,000,000 | 3,999,974 |
| Chariot Funding, LLC asset backed commercial paper | ||
| 0.150%, 6/17/21 | 4,000,000 | 3,999,242 |
| CRC Funding, LLC asset backed commercial paper 0.130%, 7/8/21 | 4,000,000 | 3,998,896 |
| DNB Bank ASA commercial paper 0.165%, 6/24/21 | 4,000,000 | 3,999,528 |
| Export Development Canada commercial paper 0.050%, 5/17/21 | 3,000,000 | 2,999,940 |
| Federal Home Loan Banks discount notes commercial paper | ||
| 0.090%, 6/18/21 | 4,000,000 | 4,000,000 |
| FMS Wertmanagement commercial paper 0.150%, 6/28/21 | 5,000,000 | 4,999,115 |
| ING (U.S.) Funding, LLC commercial paper 0.140%, 6/18/21 | 3,150,000 | 3,149,575 |
| Liberty Street Funding, LLC asset backed commercial paper | ||
| 0.130%, 5/27/21 | 4,000,000 | 3,999,640 |
| Lloyds Bank PLC commercial paper 0.140%, 7/1/21 | 4,100,000 | 4,099,217 |
| Manhattan Asset Funding Co., LLC asset backed commercial | ||
| paper 0.140%, 7/1/21 | 6,000,000 | 5,998,440 |
| 30 Multi-Asset Absolute Return Fund |
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (60.9%)* cont. | shares | Value | |
| MetLife Short Term Funding, LLC asset backed commercial paper | |||
| 0.070%, 5/27/21 | $4,813,000 | $4,812,747 | |
| Mitsubishi UFJ Trust & Banking Corp./NY commercial paper | |||
| 0.200%, 8/5/21 | 4,250,000 | 4,248,317 | |
| Mizuho Bank, Ltd./Singapore commercial paper 0.120%, 6/16/21 | 3,500,000 | 3,499,420 | |
| National Bank of Canada commercial paper 0.140%, 6/1/21 | 4,000,000 | 3,999,709 | |
| Nationwide Building Society commercial paper 0.085%, 5/6/21 | 4,000,000 | 3,999,954 | |
| Nordea Bank ABP commercial paper 0.100%, 5/18/21 | 4,500,000 | 4,499,834 | |
| Old Line Funding, LLC asset backed commercial paper | |||
| 0.080%, 5/17/21 | 4,000,000 | 3,999,818 | |
| Putnam Cash Collateral Pool, LLC 0.10% d | Shares | 52,691,058 | 52,691,058 |
| Putnam Short Term Investment Fund Class P 0.10% L | Shares | 165,955,230 | 165,955,230 |
| Skandinaviska Enskilda Banken AB commercial paper | |||
| 0.130%, 6/2/21 | $4,000,000 | 3,999,697 | |
| Societe Generale SA commercial paper 0.155%, 8/2/21 | 3,750,000 | 3,748,717 | |
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 0.03% P | Shares | 4,643,000 | 4,643,000 |
| Swedbank AB commercial paper 0.150%, 6/18/21 | $4,000,000 | 3,999,640 | |
| Thunder Bay Funding, LLC asset backed commercial paper | |||
| 0.110%, 6/10/21 | 3,200,000 | 3,199,581 | |
| Total Capital Canada, Ltd. commercial paper 0.130%, 7/7/21 | 4,000,000 | 3,999,298 | |
| U.S. Treasury Bills 0.088%, 5/11/21 # ∆ | 5,000,000 | 4,999,991 | |
| U.S. Treasury Bills 0.078%, 5/13/21 ∆ | 5,500,000 | 5,499,997 | |
| U.S. Treasury Bills 0.079%, 5/25/21 # ∆ § | 10,800,000 | 10,799,968 | |
| U.S. Treasury Bills 0.024%, 8/5/21 # ∆ | 8,000,000 | 7,999,584 | |
| U.S. Treasury Bills 0.043%, 6/17/21 ∆ § | 2,800,000 | 2,799,965 | |
| U.S. Treasury Bills 0.020%, 6/29/21 # ∆ § | 5,300,000 | 5,299,874 | |
| U.S. Treasury Bills 0.047%, 6/10/21 # ∆ § | 8,700,000 | 8,699,909 | |
| U.S. Treasury Bills 0.022%, 8/26/21 ∆ § | 8,000,000 | 7,999,553 | |
| U.S. Treasury Bills 0.023%, 8/19/21 ∆ § | 8,000,000 | 7,999,640 | |
| U.S. Treasury Cash Management Bills 0.053%, 7/13/21 # ∆ § | 8,000,000 | 7,999,874 | |
| U.S. Treasury Cash Management Bills 0.023%, 7/20/21 # ∆ | 6,500,000 | 6,499,887 | |
| U.S. Treasury Cash Management Bills 0.011%, 7/6/21 ∆ | 300,000 | 299,996 | |
| Victory Receivables Corp. asset backed commercial paper | |||
| 0.150%, 7/21/21 | 4,000,000 | 3,998,725 | |
| Westpac Banking Corp./NY commercial paper 0.140%, 9/1/21 | 4,500,000 | 4,497,520 | |
| Total short-term investments (cost $417,925,344) | $417,931,109 | ||
| TOTAL INVESTMENTS | |||
| Total investments (cost $1,036,182,444) | $1,085,875,080 | ||
Key to holding’s currency abbreviations
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| Multi-Asset Absolute Return Fund 31 |
Key to holding’s abbreviations
| ADR | American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| bp | Basis Points |
| 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. | |
| 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. | |
| IO | Interest Only |
| OJSC | Open Joint Stock Company |
| OTC | Over-the-counter |
| PJSC | Public Joint Stock Company |
| PO | Principal Only |
| 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 November 1, 2020 through April 30, 2021 (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 $686,257,128.
††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to the change in the underlying index.
† This security is non-income-producing.
# 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 $9,202,000 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
∆ 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 $41,866,599 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
§ 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 $8,374,818 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
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 (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.
| 32 Multi-Asset Absolute Return Fund |
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.
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 $361,114,381 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
| DIVERSIFICATION BY COUNTRY |
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
| United States | 80.2% | Australia | 0.8% | |
| China | 4.2 | Sweden | 0.8 | |
| Taiwan | 1.8 | Brazil | 0.8 | |
| South Korea | 1.7 | France | 0.8 | |
| Canada | 1.5 | Germany | 0.5 | |
| United Kingdom | 1.2 | Other | 3.6 | |
| India | 1.1 | Total | 100.0% | |
| Japan | 1.0 |
| FORWARD CURRENCY CONTRACTS at 4/30/21 (aggregate face value $402,255,486) (Unaudited) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Canadian Dollar | Sell | 7/21/21 | $2,895,877 | $2,830,200 | $(65,677) | |
| Euro | Buy | 6/16/21 | 10,604,487 | 10,488,232 | 116,255 | |
| Hong Kong Dollar | Sell | 5/20/21 | 1,182,447 | 1,192,949 | 10,502 | |
| Japanese Yen | Buy | 5/19/21 | 616,055 | 641,862 | (25,807) | |
| Swiss Franc | Buy | 6/16/21 | 4,269,146 | 4,232,565 | 36,581 | |
| Barclays Bank PLC | ||||||
| Australian Dollar | Buy | 7/21/21 | 1,198,378 | 1,201,654 | (3,276) | |
| British Pound | Buy | 6/16/21 | 979,539 | 1,006,909 | (27,370) | |
| Canadian Dollar | Sell | 7/21/21 | 2,933,308 | 2,866,337 | (66,971) | |
| Euro | Sell | 6/16/21 | 7,820,668 | 7,752,432 | (68,236) | |
| Japanese Yen | Buy | 5/19/21 | 3,696,457 | 3,850,540 | (154,083) | |
| Swedish Krona | Buy | 6/16/21 | 2,460,060 | 2,460,150 | (90) | |
| Swiss Franc | Buy | 6/16/21 | 1,217,360 | 1,216,528 | 832 | |
| Citibank, N.A. | ||||||
| Australian Dollar | Buy | 7/21/21 | 1,801,767 | 1,816,545 | (14,778) | |
| British Pound | Sell | 6/16/21 | 3,590,816 | 3,636,960 | 46,144 | |
| Multi-Asset Absolute Return Fund 33 |
| FORWARD CURRENCY CONTRACTS at 4/30/21 (aggregate face value $402,255,486) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Citibank, N.A. cont. | ||||||
| Canadian Dollar | Buy | 7/21/21 | $3,156,994 | $3,084,700 | $72,294 | |
| Euro | Sell | 6/16/21 | 4,917,248 | 4,864,255 | (52,993) | |
| Hong Kong Dollar | Buy | 5/20/21 | 1,253,089 | 1,255,645 | (2,556) | |
| Japanese Yen | Sell | 5/19/21 | 2,520,274 | 2,579,163 | 58,889 | |
| New Zealand Dollar | Sell | 7/21/21 | 405,694 | 399,771 | (5,923) | |
| Credit Suisse International | ||||||
| British Pound | Sell | 6/16/21 | 5,025,457 | 5,086,004 | 60,547 | |
| Canadian Dollar | Sell | 7/21/21 | 253,630 | 247,861 | (5,769) | |
| Euro | Sell | 6/16/21 | 3,720,936 | 3,681,922 | (39,014) | |
| Swiss Franc | Sell | 6/16/21 | 581,768 | 579,842 | (1,926) | |
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 7/21/21 | 3,614,322 | 3,633,520 | (19,198) | |
| British Pound | Sell | 6/16/21 | 247,371 | 207,082 | (40,289) | |
| Canadian Dollar | Buy | 7/21/21 | 8,958,107 | 8,699,494 | 258,613 | |
| Euro | Sell | 6/16/21 | 10,799,294 | 10,711,017 | (88,277) | |
| Hong Kong Dollar | Buy | 5/20/21 | 654,778 | 656,218 | (1,440) | |
| Japanese Yen | Sell | 5/19/21 | 4,215,164 | 4,526,511 | 311,347 | |
| New Zealand Dollar | Sell | 7/21/21 | 12,393,801 | 12,207,209 | (186,592) | |
| Norwegian Krone | Buy | 6/16/21 | 2,985,251 | 2,940,687 | 44,564 | |
| Swedish Krona | Buy | 6/16/21 | 9,846,611 | 9,863,181 | (16,570) | |
| Swiss Franc | Buy | 6/16/21 | 631,975 | 631,084 | 891 | |
| HSBC Bank USA, National Association | ||||||
| British Pound | Buy | 6/16/21 | 2,182,003 | 2,215,597 | (33,594) | |
| Canadian Dollar | Buy | 7/21/21 | 1,955,484 | 1,911,151 | 44,333 | |
| Euro | Buy | 6/16/21 | 7,972,523 | 7,880,752 | 91,771 | |
| Hong Kong Dollar | Sell | 5/20/21 | 383,734 | 392,481 | 8,747 | |
| Japanese Yen | Buy | 5/19/21 | 4,194,669 | 4,370,270 | (175,601) | |
| New Zealand Dollar | Buy | 7/21/21 | 1,200,485 | 1,209,682 | (9,197) | |
| Swiss Franc | Sell | 6/16/21 | 2,347,899 | 2,337,390 | (10,509) | |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 7/21/21 | 2,405,233 | 2,413,402 | (8,169) | |
| British Pound | Sell | 6/16/21 | 2,406,722 | 2,419,613 | 12,891 | |
| Canadian Dollar | Sell | 7/21/21 | 3,720,970 | 3,643,374 | (77,596) | |
| Euro | Sell | 6/16/21 | 13,012,748 | 12,884,073 | (128,675) | |
| Japanese Yen | Buy | 5/19/21 | 301,307 | 280,603 | 20,704 | |
| Norwegian Krone | Buy | 6/16/21 | 6,582,445 | 6,426,645 | 155,800 | |
| Swedish Krona | Sell | 6/16/21 | 11,132 | 11,440 | 308 | |
| Swiss Franc | Sell | 6/16/21 | 1,235,996 | 1,197,959 | (38,037) | |
| Morgan Stanley & Co. International PLC | ||||||
| Australian Dollar | Sell | 7/21/21 | 1,237,294 | 1,228,231 | (9,063) | |
| British Pound | Buy | 6/16/21 | 7,885,071 | 7,966,214 | (81,143) | |
| Canadian Dollar | Buy | 7/21/21 | 4,992,538 | 4,834,681 | 157,857 | |
| Euro | Sell | 6/16/21 | 2,436,423 | 2,509,088 | 72,665 | |
| Japanese Yen | Buy | 5/19/21 | 12,380,225 | 12,703,752 | (323,527) | |
| 34 Multi-Asset Absolute Return Fund |
| FORWARD CURRENCY CONTRACTS at 4/30/21 (aggregate face value $402,255,486) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | ||||||
| New Zealand Dollar | Sell | 7/21/21 | $1,245,554 | $1,228,943 | $(16,611) | |
| Norwegian Krone | Sell | 6/16/21 | 6,487 | 15,834 | 9,347 | |
| Swedish Krona | Buy | 6/16/21 | 9,405,604 | 9,262,951 | 142,653 | |
| NatWest Markets PLC | ||||||
| British Pound | Buy | 6/16/21 | 4,059,729 | 4,113,077 | (53,348) | |
| Canadian Dollar | Sell | 7/21/21 | 2,340,202 | 2,287,023 | (53,179) | |
| Euro | Buy | 6/16/21 | 3,150,456 | 3,094,301 | 56,155 | |
| Japanese Yen | Buy | 5/19/21 | 2,224,121 | 2,317,413 | (93,292) | |
| New Zealand Dollar | Sell | 7/21/21 | 10,079,679 | 9,928,730 | (150,949) | |
| Swedish Krona | Sell | 6/16/21 | 276,097 | 265,427 | (10,670) | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Buy | 7/21/21 | 7,296,844 | 7,397,883 | (101,039) | |
| British Pound | Sell | 6/16/21 | 12,831,523 | 13,043,607 | 212,084 | |
| Canadian Dollar | Buy | 7/21/21 | 2,045,317 | 1,911,126 | 134,191 | |
| Euro | Sell | 6/16/21 | 16,326,851 | 16,197,560 | (129,291) | |
| Hong Kong Dollar | Sell | 5/20/21 | 10,456,696 | 10,479,165 | 22,469 | |
| Japanese Yen | Sell | 5/19/21 | 22,579,378 | 23,606,243 | 1,026,865 | |
| New Zealand Dollar | Sell | 7/21/21 | 3,810,346 | 3,718,837 | (91,509) | |
| Norwegian Krone | Sell | 6/16/21 | 1,231,455 | 1,200,257 | (31,198) | |
| Swedish Krona | Sell | 6/16/21 | 3,720,485 | 3,595,493 | (124,992) | |
| Swiss Franc | Buy | 6/16/21 | 2,641,140 | 2,644,527 | (3,387) | |
| Toronto-Dominion Bank | ||||||
| Australian Dollar | Sell | 7/21/21 | 1,233 | 3,659 | 2,426 | |
| British Pound | Sell | 6/16/21 | 1,519,032 | 1,520,669 | 1,637 | |
| Canadian Dollar | Buy | 7/21/21 | 1,098,169 | 1,064,389 | 33,780 | |
| Euro | Sell | 6/16/21 | 11,328,381 | 11,223,078 | (105,303) | |
| Hong Kong Dollar | Sell | 5/20/21 | 1,509,688 | 1,512,944 | 3,256 | |
| Japanese Yen | Buy | 5/19/21 | 6,587,016 | 6,806,272 | (219,256) | |
| Norwegian Krone | Buy | 6/16/21 | 6,604,023 | 6,449,702 | 154,321 | |
| Swedish Krona | Sell | 6/16/21 | 624,658 | 614,938 | (9,720) | |
| Swiss Franc | Sell | 6/16/21 | 3,067,352 | 3,057,154 | (10,198) | |
| UBS AG | ||||||
| British Pound | Sell | 6/16/21 | 6,361,343 | 6,433,907 | 72,564 | |
| Canadian Dollar | Buy | 7/21/21 | 516,862 | 460,920 | 55,942 | |
| Euro | Buy | 6/16/21 | 11,862,642 | 11,709,055 | 153,587 | |
| Hong Kong Dollar | Buy | 5/20/21 | 854,562 | 847,218 | 7,344 | |
| Japanese Yen | Buy | 5/19/21 | 18,498,416 | 18,852,573 | (354,157) | |
| New Zealand Dollar | Sell | 7/21/21 | 8,150,004 | 8,005,435 | (144,569) | |
| Norwegian Krone | Buy | 6/16/21 | 1,749,663 | 1,721,539 | 28,124 | |
| Swedish Krona | Sell | 6/16/21 | 366,416 | 313,167 | (53,249) | |
| Swiss Franc | Buy | 6/16/21 | 1,763,829 | 1,814,319 | (50,490) | |
| WestPac Banking Corp. | ||||||
| British Pound | Sell | 6/16/21 | 2,135,595 | 2,163,836 | 28,241 | |
| Canadian Dollar | Sell | 7/21/21 | 106,107 | 103,701 | (2,406) | |
| Multi-Asset Absolute Return Fund 35 |
| FORWARD CURRENCY CONTRACTS at 4/30/21 (aggregate face value $402,255,486) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| WestPac Banking Corp. cont. | ||||||
| Euro | Sell | 6/16/21 | $31,045 | $9,375 | $(21,670) | |
| Japanese Yen | Sell | 5/19/21 | 579,625 | 617,793 | 38,168 | |
| New Zealand Dollar | Sell | 7/21/21 | 767,535 | 756,019 | (11,516) | |
| Unrealized appreciation | 3,765,689 | |||||
| Unrealized (depreciation) | (3,623,945) | |||||
| Total | $141,744 | |||||
* The exchange currency for all contracts listed is the United States Dollar.
| FUTURES CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| MSCI EAFE Index (Long) | 60 | $6,805,536 | $6,771,900 | Jun-21 | $204,627 |
| MSCI Emerging Markets Index (Long) | 369 | 24,863,432 | 24,660,270 | Jun-21 | (299,009) |
| NASDAQ 100 Index E-Mini (Long) | 57 | 15,801,266 | 15,789,000 | Jun-21 | 1,264,804 |
| Russell 2000 Index E-Mini (Long) | 93 | 10,538,988 | 10,515,975 | Jun-21 | (98,174) |
| S&P 500 Index E-Mini (Long) | 26 | 5,435,521 | 5,426,720 | Jun-21 | 285,507 |
| S&P 500 Index E-Mini (Short) | 350 | 73,170,475 | 73,052,000 | Jun-21 | (4,593,675) |
| U.S. Treasury Note 2 yr (Short) | 1,319 | 291,179,554 | 291,179,554 | Jun-21 | 234,541 |
| U.S. Treasury Note 5 yr (Short) | 1,098 | 136,083,375 | 136,083,375 | Jun-21 | (374,486) |
| U.S. Treasury Note 10 yr (Long) | 1,844 | 243,465,625 | 243,465,625 | Jun-21 | (2,159,477) |
| U.S. Treasury Note Ultra 10 yr (Long) | 603 | 87,764,766 | 87,764,766 | Jun-21 | (2,005,716) |
| Unrealized appreciation | 1,989,479 | ||||
| Unrealized (depreciation) | (9,530,537) | ||||
| Total | $(7,541,058) | ||||
| WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/21 (premiums $164,958) (Unaudited) | |||
| Counterparty | Notional/ | ||
| Fixed Obligation % to receive or (pay)/ | Expiration | contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| Barclays Bank PLC | |||
| (1.08)/3 month USD-LIBOR-BBA/Jun-26 | Jun-21/1.08 | $25,774,700 | $179,392 |
| Total | $179,392 | ||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) | ||||
| Counterparty | ||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | |
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ |
| Maturity date | date/strike | amount | (payable) | (depreciation) |
| Bank of America N.A. | ||||
| (1.275)/3 month USD-LIBOR-BBA/ | ||||
| Mar-50 (Purchased) | Mar-30/1.275 | $479,600 | $(62,468) | $40,939 |
| (2.3075)/3 month USD-LIBOR-BBA/ | ||||
| Jun-52 (Purchased) | Jun-22/2.3075 | 359,700 | (8,138) | 11,262 |
| 36 Multi-Asset Absolute Return Fund |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) cont. | ||||
| Counterparty | ||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | |
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ |
| Maturity date | date/strike | amount | (payable) | (depreciation) |
| Bank of America N.A. cont. | ||||
| 1.275/3 month USD-LIBOR-BBA/ | ||||
| Mar-50 (Purchased) | Mar-30/1.275 | $479,600 | $(62,468) | $(33,035) |
| 2.3075/3 month USD-LIBOR-BBA/ | ||||
| Jun-52 (Purchased) | Jun-22/2.3075 | 359,700 | (169,122) | (135,082) |
| Goldman Sachs International | ||||
| 2.8175/3 month USD-LIBOR-BBA/ | ||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 166,600 | (21,033) | 2,869 |
| (2.8175)/3 month USD-LIBOR-BBA/ | ||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 166,600 | (21,033) | (8,095) |
| JPMorgan Chase Bank N.A. | ||||
| 2.8325/3 month USD-LIBOR-BBA/ | ||||
| Feb-52 (Purchased) | Feb-22/2.8325 | 833,400 | (116,363) | 35,253 |
| (2.8325)/3 month USD-LIBOR-BBA/ | ||||
| Feb-52 (Purchased) | Feb-22/2.8325 | 833,400 | (116,363) | (105,200) |
| Unrealized appreciation | 90,323 | |||
| Unrealized (depreciation) | (281,412) | |||
| Total | $(191,089) | |||
| TBA SALE COMMITMENTS OUTSTANDING at 4/30/21 (proceeds receivable $154,954,609) (Unaudited) | |||
| Principal | Settlement | ||
| Agency | amount | date | Value |
| Uniform Mortgage-Backed Securities, 3.50%, 5/1/51 | $47,000,000 | 5/13/21 | $50,018,284 |
| Uniform Mortgage-Backed Securities, 3.00%, 5/1/51 | 2,000,000 | 5/13/21 | 2,094,219 |
| Uniform Mortgage-Backed Securities, 2.50%, 5/1/51 | 46,000,000 | 5/13/21 | 47,707,032 |
| Uniform Mortgage-Backed Securities, 2.00%, 6/1/51 | 27,000,000 | 6/14/21 | 27,213,046 |
| Uniform Mortgage-Backed Securities, 2.00%, 5/1/51 | 28,000,000 | 5/13/21 | 28,273,437 |
| Total | $155,306,018 | ||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $391,400 | $20,929 | $(6) | 12/7/30 | 2.184% — | 3 month USD- | $(24,251) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 470,500 | 3,070 E | (5) | 6/5/29 | 3 month USD- | 2.2225% — | 3,064 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 39,300 | 1,545 E | (1) | 6/22/52 | 2.3075% — | 3 month USD- | (1,546) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 835,100 | 143,429 E | (28) | 1/27/47 | 3 month USD- | 1.27% — | (143,458) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| Multi-Asset Absolute Return Fund 37 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) cont. | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $70,500 | $10,962 E | $(2) | 3/7/50 | 1.275% — | 3 month USD- | $10,960 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 146,000 | 30,200 | 381 | 10/16/50 | 3 month USD- | 1.16% — | (29,760) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,253,000 | 29,580 | (17) | 2/22/31 | 1.3659% — | 3 month USD- | 26,714 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 815,000 | 14,707 | (11) | 2/24/31 | 1.4255% — | 3 month USD- | 12,797 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 72,144,000 | 2,597 E | 2,424 | 6/16/23 | 3 month USD- | 0.30% — | 5,021 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 920,000 | 2,176 E | 4,741 | 6/16/26 | 3 month USD- | 0.95% — | 2,565 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 17,106,000 | 19,946 E | (213,088) | 6/16/31 | 1.65% — | 3 month USD- | (193,142) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,028,000 | 27,877 E | 89,141 | 6/16/51 | 3 month USD- | 2.00% — | 61,264 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,110,000 | 10,451 | (15) | 3/2/31 | 1.51882% — | 3 month USD- | 8,021 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 6,321,000 | 32,420 E | (5,346) | 6/16/31 | 1.35% — | Secured | 27,075 |
| Annually | Overnight | |||||
| Financing Rate — | ||||||
| Annually | ||||||
| 872,600 | 394 | (8) | 4/1/26 | 0.94375% — | 3 month USD- | (941) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,066,000 | 19,726 | (27) | 3/31/31 | 1.7275% — | 3 month USD- | (22,367) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,124,700 | 3,696 E | (11) | 7/1/26 | 3 month USD- | 1.08% — | 3,685 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 4,496,000 | 59,293 | (60) | 4/1/31 | 1.7665% — | 3 month USD- | (65,216) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,588,000 | 25,908 | (34) | 4/7/31 | 3 month USD- | 1.734% — | 28,521 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,823,000 | 23,672 | (24) | 4/7/31 | 1.7655% — | 3 month USD- | (25,599) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 38 Multi-Asset Absolute Return Fund |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| $8,887,000 | $23,657 | $(72) | 4/9/26 | 3 month USD- | 0.9935% — | $27,929 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 6,258,000 | 1,364 | (24) | 4/13/23 | 0.2825% — | 3 month USD- | (1,685) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 11,358,000 | 48,953 | (151) | 4/13/31 | 1.675% — | 3 month USD- | (57,551) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 5,262,000 | 668 | (43) | 4/15/26 | 3 month USD- | 0.9395% — | 1,057 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 1,564,000 | 35,833 | (53) | 4/19/51 | 3 month USD- | 1.9515% — | (34,968) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 1,103,000 | 10,963 | (38) | 4/22/51 | 2.0065% — | 3 month USD- | 10,422 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 1,289,000 | 15,367 | (44) | 4/26/51 | 3 month USD- | 1.998% — | (15,085) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 612,500 | 5,619 | (8) | 4/27/31 | 3 month USD- | 1.5355% — | (5,535) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 2,183,000 | 293 | (8) | 4/28/23 | 3 month USD- | 0.2825% — | 302 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 6,655,000 | 44,029 | (88) | 4/28/31 | 3 month USD- | 1.5625% — | (43,353) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 2,183,000 | 271 | (8) | 4/28/23 | 3 month USD- | 0.282% — | 280 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 6,655,000 | 44,728 | (88) | 4/28/31 | 3 month USD- | 1.5614% — | (44,053) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 39,210,000 | 225,771 | 46,582 | 4/20/31 | 1.57% — | 3 month USD- | 267,826 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 1,919,000 | 11,886 | (25) | 4/29/31 | 1.5665% — | 3 month USD- | 11,713 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 2,328,000 | 1,134 | (31) | 4/30/31 | 1.627% — | 3 month USD- | 1,010 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| AUD | 7,515,000 | 15,266 E | 37,738 | 6/16/31 | 6 month AUD- | 1.76% — | 22,472 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| CAD | 9,665,000 | 88,099 E | 40,118 | 6/16/31 | 3 month CAD- | 1.91% — | (47,981) |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| Multi-Asset Absolute Return Fund 39 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| CHF | 1,821,000 | $48,703 E | $(42,260) | 6/16/31 | — | 0.16% plus | $6,443 |
| 6 month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| EUR | 24,464,000 | 317,354 E | 15,248 | 6/16/31 | 0.05% — | 6 month | 332,601 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| GBP | 52,000 | 696 E | (753) | 6/16/31 | Sterling | 0.93% — | (57) |
| Overnight | Annually | ||||||
| Index Average — | |||||||
| Annually | |||||||
| NOK | 25,248,000 | 4,783 E | 7,131 | 6/16/31 | 6 month NOK- | 1.82% — | 11,914 |
| NIBOR-NIBR — | Annually | ||||||
| Semiannually | |||||||
| NZD | 2,954,000 | 19,183 E | 14,170 | 6/16/31 | 3 month NZD- | 1.96% — | 33,354 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| SEK | 63,315,000 | 47,089 E | (28,708) | 6/16/31 | 0.77% — | 3 month SEK- | 18,381 |
| Annually | STIBOR-SIDE — | ||||||
| Quarterly | |||||||
| Total | $(33,411) | $178,843 | |||||
E Extended effective date.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) | ||||||
| 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. | ||||||
| $156,235,691 | $163,832,283 | $— | 6/20/23 | (3 month USD- | A basket (MLFCF15) | $7,767,730 |
| LIBOR-BBA plus | of common | |||||
| 0.10%) — Quarterly | stocks — Quarterly* | |||||
| 156,232,816 | 165,515,413 | — | 6/20/23 | (3 month USD- | Russell 2000 Total | (9,265,459) |
| LIBOR-BBA | Return Index — | |||||
| minus 0.07%) — | Quarterly | |||||
| Quarterly | ||||||
| Barclays Bank PLC | ||||||
| 55,269,207 | 55,238,566 | — | 5/26/22 | (0.10%) — Monthly | Buraschi Barclays | (31,102) |
| Adaptive Trend | ||||||
| Strategy EX- | ||||||
| Commodities ER — | ||||||
| Monthly | ||||||
| 1,636,322 | 1,638,430 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 5,178 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 40 Multi-Asset Absolute Return Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Barclays Bank PLC cont. | ||||||
| $262,808 | $263,146 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX | $832 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 99,246 | 99,374 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 315 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 9,093,245 | 9,095,724 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 22,883 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 1,285,504 | 1,285,681 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX | 3,090 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 675,736 | 675,467 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX | (1,505) |
| USD-LIBOR — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 11,659,454 | 11,634,370 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (6,632) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 94,141 | 91,288 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 1,770 |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 32,750 | 32,527 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 186 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 100,651 | 98,816 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (620) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 5,043 | 4,951 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (31) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Citibank, N.A. | ||||||
| 589,979 | 567,304 | — | 7/5/22 | 1 month USD- | ACI Worldwide, | 22,580 |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 5,083,533 | 5,553,239 | — | 7/5/22 | 1 month USD- | Advance Auto Parts | (470,518) |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,139,970 | 1,061,285 | — | 7/5/22 | 1 month USD- | Arcosa, Inc — | 77,623 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| Multi-Asset Absolute Return Fund 41 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Citibank, N.A. cont. | ||||||
| $313,534 | $301,546 | $— | 7/5/22 | 1 month USD- | B&G Foods, Inc. — | $12,121 |
| LIBOR-BBA minus | Monthly | |||||
| 1.85% — Monthly | ||||||
| 3,379,480 | 3,449,171 | — | 7/5/22 | 1 month USD- | Bausch Health Cos, | (70,231) |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 519,912 | 520,268 | — | 7/5/22 | 1 month USD- | Beyond Meat Inc. — | (439) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 956,542 | 908,201 | — | 7/5/22 | 1 month USD- | Blackberry, Ltd. — | 48,189 |
| LIBOR-BBA minus | Monthly | |||||
| 0.80% — Monthly | ||||||
| 881,539 | 851,027 | — | 7/5/22 | 1 month USD- | Century Link, Inc. — | 37,624 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 4,839,673 | 4,206,565 | — | 7/5/22 | 1 month USD- | Citrix Systems, | 642,965 |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,004,115 | 1,017,935 | — | 7/5/22 | 1 month USD- | Columbia | (13,981) |
| LIBOR-BBA minus | Sportswear Co — | |||||
| 0.35% — Monthly | Monthly | |||||
| 1,027,060 | 1,050,578 | — | 7/5/22 | 1 month USD- | Dycom Industries, | (23,682) |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 109,925 | 105,174 | — | 7/5/22 | 1 month USD- | Ebix, Inc. — Monthly | 5,013 |
| LIBOR-BBA minus | ||||||
| 1.25% — Monthly | ||||||
| 1,802,702 | 1,973,884 | — | 7/5/22 | 1 month USD- | Elanco Animal | (171,470) |
| LIBOR-BBA minus | Health, Inc. — | |||||
| 0.35% — Monthly | Monthly | |||||
| 845,315 | 885,972 | — | 7/5/22 | 1 month USD- | Everbridge, Inc. — | (40,792) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 2,195,175 | 2,294,725 | — | 7/5/22 | 1 month USD- | Fair Isaac Corp. — | (99,901) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 2,824,502 | 2,942,682 | — | 7/5/22 | 1 month USD- | Horizon | (118,631) |
| LIBOR-BBA minus | Therapeutics, | |||||
| 0.35% — Monthly | PLC — Monthly | |||||
| 2,625,608 | 2,965,220 | — | 7/5/22 | 1 month USD- | Intuitive Surgical, | (340,031) |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,925,083 | 1,854,563 | — | 7/5/22 | 1 month USD- | Itron, Inc. — Monthly | 70,213 |
| LIBOR-BBA minus | ||||||
| 0.35% — Monthly | ||||||
| 283,841 | 279,388 | — | 7/5/22 | 1 month USD- | Medallia Inc. — | 4,407 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 42 Multi-Asset Absolute Return Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Citibank, N.A. cont. | ||||||
| $1,243,125 | $1,379,120 | $— | 7/5/22 | 1 month USD- | Middleby Corp — | $(136,194) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,925,745 | 1,982,792 | — | 7/5/22 | 1 month USD- | Oshkosh Corp. — | (57,355) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 404,780 | 403,775 | — | 7/5/22 | 1 month USD- | Patterson | 805 |
| LIBOR-BBA minus | Companies, Inc. — | |||||
| 0.35% — Monthly | Monthly | |||||
| 2,424,247 | 2,693,324 | — | 7/5/22 | 1 month USD- | Penumbra, Inc. — | (269,464) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 361,821 | 308,478 | — | 7/5/22 | 1 month USD- | Plug Power, Inc. — | 53,285 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 678,823 | 688,945 | — | 7/5/22 | 1 month USD- | Prestige Brands | (10,231) |
| LIBOR-BBA minus | Holdings, Inc. — | |||||
| 0.35% — Monthly | Monthly | |||||
| 3,691,162 | 3,989,903 | — | 7/5/22 | 1 month USD- | Ralph Lauren | (299,331) |
| LIBOR-BBA minus | Corp. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,237,445 | 1,435,898 | — | 7/5/22 | 1 month USD- | Restoration | (198,651) |
| LIBOR-BBA minus | Hardware Holdings, | |||||
| 0.65% — Monthly | Inc. — Monthly | |||||
| 163,036 | 156,983 | — | 7/5/22 | 1 month USD- | Solarwinds, Corp. — | 6,026 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,100,699 | 1,148,179 | — | 7/5/22 | 1 month USD- | Store Capital | (41,126) |
| LIBOR-BBA minus | Corp. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 571,939 | 572,095 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 1,439 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 274,740 | 274,815 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 691 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 2,772,493 | 2,846,273 | — | 7/5/22 | 1 month USD- | Tesla, Inc. — | (74,224) |
| LIBOR-BBA minus | Monthly | |||||
| 1.30% — Monthly | ||||||
| 1,402,599 | 1,446,169 | — | 7/5/22 | 1 month USD- | The Hershey Co. — | (43,794) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 439,194 | 402,399 | — | 7/5/22 | 1 month USD- | TPI Composites, | 36,725 |
| LIBOR-BBA minus | Inc. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 1,264,030 | 1,368,311 | — | 7/5/22 | 1 month USD- | Vertiv Holdings Co — | (104,295) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| Multi-Asset Absolute Return Fund 43 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Citibank, N.A. cont. | ||||||
| $402,560 | $321,123 | $— | 7/5/22 | 1 month USD- | WD–40 Co. — | $81,271 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 2,115,323 | 2,142,921 | — | 7/5/22 | 1 month USD- | Woodward, Inc. — | (27,937) |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 562,464 | 570,164 | — | 7/5/22 | 1 month USD- | WSFS Financial | (7,790) |
| LIBOR-BBA minus | Corp. — Monthly | |||||
| 0.35% — Monthly | ||||||
| 195,141 | 187,402 | — | 7/5/22 | 1 month USD- | Zynex, Inc. — | 7,709 |
| LIBOR-BBA minus | Monthly | |||||
| 3.25% — Monthly | ||||||
| Credit Suisse International | ||||||
| 2,713,183 | 2,771,572 | — | 11/2/21 | 1 month USD- | MSCI Daily TR Net | (58,691) |
| LIBOR-BBA minus | Emerging Markets | |||||
| 0.35% — Monthly | USD — Monthly | |||||
| 54,836,790 | 54,922,411 | — | 11/2/21 | 1 month USD- | MSCI Emerging | (94,746) |
| LIBOR-BBA minus | Markets TR Net | |||||
| 0.35% — Monthly | USD — Monthly | |||||
| 395,737 | 395,845 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 996 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 149,889 | 145,347 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (2,819) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 95,416 | 92,524 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (1,795) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 37,578 | 36,440 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (707) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 7,154 | 6,938 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (135) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 353,652 | 344,132 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (4,777) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 88,260 | 85,884 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (1,193) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 44 Multi-Asset Absolute Return Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Credit Suisse International cont. | ||||||
| $54,979 | $53,327 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS | $(957) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 5,649 | 5,479 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (98) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 70,564 | 68,444 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 1,229 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Goldman Sachs International | ||||||
| 25,042,944 | 25,187,183 | — | 12/15/25 | (1 month USD- | A basket | 175,974 |
| LIBOR-BBA plus | (GSGLPHCL) of | |||||
| 0.35%) — Monthly | common stocks — | |||||
| Monthly* | ||||||
| 160,558,141 | 160,125,287 | — | 12/15/25 | (1 month USD- | A basket | (169,771) |
| LIBOR-BBA plus | (GSGLPWDL) of | |||||
| 0.50%) — Monthly | common stocks — | |||||
| Monthly* | ||||||
| 157,286,407 | 158,178,069 | — | 12/15/25 | 1 month USD- | A basket | (1,041,311) |
| LIBOR-BBA minus | (GSGLPWDS) of | |||||
| 0.15% — Monthly | common stocks — | |||||
| Monthly* | ||||||
| 9,441,596 | 9,426,296 | — | 12/15/25 | (0.45%) — Monthly | Goldman Sachs | (16,716) |
| Volatility Carry US | ||||||
| Enhanced 3x Excess | ||||||
| Return Strategy — | ||||||
| Monthly †† | ||||||
| 30,909,303 | 30,994,623 | — | 12/15/25 | (0.45%) — Monthly | Goldman Sachs | 85,320 |
| Volatility Carry US | ||||||
| Series 85 Excess | ||||||
| Return Strategy — | ||||||
| Monthly †† | ||||||
| 6,922,773 | 7,080,993 | — | 12/15/25 | (0.30%) — Monthly | Goldman Sachs | 157,528 |
| Volatility of Volatility | ||||||
| Carry Excess Return | ||||||
| Strategy — Monthly † | ||||||
| 19,217,415 | 19,577,096 | — | 12/15/25 | (0.30%) — Monthly | Goldman Sachs | 357,759 |
| Volatility of Volatility | ||||||
| Carry Series 69 | ||||||
| Excess Return | ||||||
| Strategy — Monthly † | ||||||
| 871,803 | 822,554 | — | 12/15/25 | 1 month USD- | Open Text Corp. — | 53,328 |
| LIBOR-BBA minus | Monthly | |||||
| 0.35% — Monthly | ||||||
| 169,916 | 170,565 | — | 12/15/25 | 1 month USD- | Sillajen Inc. — | (1,521) |
| LIBOR-BBA minus | Monthly | |||||
| 0.50% — Monthly | ||||||
| Multi-Asset Absolute Return Fund 45 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Goldman Sachs International cont. | ||||||
| $261,384 | $261,456 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX | $658 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 40,685 | 40,597 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (23) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 108,470 | 108,236 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (62) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 226,922 | 226,434 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (129) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 604,048 | 602,748 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (343) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 827,460 | 825,680 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (471) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 230,833 | 220,698 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS | 7,581 |
| USD-LIBOR — | Index 3.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 195,897 | 189,960 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 3,683 |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 230,908 | 224,692 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (3,119) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 9,936 | 9,637 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (173) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 272,899 | 271,039 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 1,551 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 197,997 | 196,648 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 1,125 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 46 Multi-Asset Absolute Return Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| Goldman Sachs International cont. | ||||||
| $105,762 | $105,042 | $— | 1/12/39 | 6.00% (1 month | Synthetic TRS | $601 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 575 | 571 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 3 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 176,128 | 172,917 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (1,085) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 140,459 | 137,899 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (865) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 128,165 | 125,828 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (790) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 98,876 | 97,073 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (609) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 4,281 | 4,203 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (27) |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| JPMorgan Chase Bank N.A. | ||||||
| 53,400,287 | 56,441,617 | — | 3/29/22 | (1 month USD- | A basket | 3,023,256 |
| LIBOR-BBA plus | (JPCMPTFL) of | |||||
| 0.35%) — Monthly | common stocks — | |||||
| Monthly* | ||||||
| 39,348,106 | 40,178,189 | — | 2/5/22 | (1 month USD- | Russell 1000 Value | 818,006 |
| LIBOR-BBA plus | Total Return Index — | |||||
| 0.35%) — Monthly | Monthly | |||||
| JPMorgan Securities LLC | ||||||
| 105,829 | 103,214 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS | (1,312) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 105,829 | 103,214 | — | 1/12/44 | (4.00%) 1 month | Synthetic TRS | 1,312 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Multi-Asset Absolute Return Fund 47 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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 cont. | ||||||
| $180,183 | $175,332 | $— | 1/12/45 | (4.00%) 1 month | Synthetic TRS | $2,434 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 492,637 | 479,376 | — | 1/12/45 | (4.00%) 1 month | Synthetic TRS | 6,654 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| UBS AG | ||||||
| 249,760,046 | 252,557,727 | — | 5/22/23 | (1 month USD- | A basket | 2,657,432 |
| LIBOR-BBA plus | (UBSPUSER) of | |||||
| 0.35%) — Monthly | common stocks — | |||||
| Monthly* | ||||||
| 3,000,469 | 3,005,154 | — | 11/2/21 | 1 month USD- | MSCI Daily TR Net | (4,976) |
| LIBOR-BBA minus | Emerging Markets | |||||
| 0.25% — Monthly | USD — Monthly | |||||
| 54,836,137 | 54,921,757 | — | 11/2/21 | 1 month USD- | MSCI Emerging | (90,937) |
| LIBOR-BBA minus | Markets TR Net | |||||
| 0.25% — Monthly | USD — Monthly | |||||
| 249,715,069 | 251,788,134 | — | 5/22/23 | 1 month USD- | S&P 500 Total | (1,977,810) |
| LIBOR-BBA plus | Return 4 Jan 1988 | |||||
| 0.20% — Monthly | Index — Monthly | |||||
| Upfront premium received | — | Unrealized appreciation | 16,267,100 | |||
| Upfront premium (paid) | — | Unrealized (depreciation) | (15,403,385) | |||
| Total | $— | Total | $863,715 | |||
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
† Replicates exposure to the difference between the implied and the realized volatility risk premium in the CBOE Volatility Index option market, with a delta hedge overlay.
†† Replicates exposure to the difference between the implied and the realized volatility risk premium on the S&P 500 Index, with a delta hedge overlay.
| A BASKET (MLFCF15) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Apple, Inc. | Technology | 75,712 | $9,953,082 | 6.08% |
| Alphabet, Inc. Class A | Technology | 3,585 | 8,437,251 | 5.15% |
| Amazon.com, Inc. | Consumer cyclicals | 2,218 | 7,689,187 | 4.69% |
| Microsoft Corp. | Technology | 21,349 | 5,383,755 | 3.29% |
| JPMorgan Chase & Co. | Financials | 27,761 | 4,269,860 | 2.61% |
| NVIDIA Corp. | Technology | 6,845 | 4,109,828 | 2.51% |
| Qualcomm, Inc. | Technology | 22,588 | 3,135,158 | 1.91% |
| Adobe, Inc. | Technology | 5,659 | 2,876,506 | 1.76% |
| Procter & Gamble Co. (The) | Consumer staples | 21,237 | 2,833,478 | 1.73% |
| Verizon Communications, Inc. | Communication services | 47,961 | 2,771,652 | 1.69% |
| Intuit, Inc. | Technology | 6,598 | 2,719,227 | 1.66% |
| Accenture PLC Class A | Technology | 9,242 | 2,679,817 | 1.64% |
| 48 Multi-Asset Absolute Return Fund |
| A BASKET (MLFCF15) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Bristol-Myers Squibb Co. | Health care | 42,298 | $2,640,262 | 1.61% |
| Citigroup, Inc. | Financials | 36,067 | 2,569,385 | 1.57% |
| Ford Motor Co. | Consumer cyclicals | 209,471 | 2,417,298 | 1.48% |
| Lockheed Martin Corp. | Capital goods | 6,208 | 2,362,374 | 1.44% |
| Cisco Systems, Inc./California | Technology | 45,639 | 2,323,494 | 1.42% |
| MetLife, Inc. | Financials | 29,566 | 1,881,291 | 1.15% |
| Eli Lilly and Co. | Health care | 10,028 | 1,832,781 | 1.12% |
| Honeywell International, Inc. | Capital goods | 7,964 | 1,776,216 | 1.08% |
| Goldman Sachs Group, Inc. (The) | Financials | 5,086 | 1,772,276 | 1.08% |
| DuPont de Nemours, Inc. | Basic materials | 21,621 | 1,667,182 | 1.02% |
| Autodesk, Inc. | Technology | 5,605 | 1,636,080 | 1.00% |
| PepsiCo, Inc. | Consumer staples | 11,173 | 1,610,750 | 0.98% |
| Comcast Corp. Class A | Communication services | 28,289 | 1,588,410 | 0.97% |
| Pinterest, Inc. Class A | Technology | 22,832 | 1,515,338 | 0.92% |
| McDonald’s Corp. | Consumer staples | 6,385 | 1,507,402 | 0.92% |
| eBay, Inc. | Technology | 26,250 | 1,464,483 | 0.89% |
| Abbott Laboratories | Health care | 12,060 | 1,448,194 | 0.88% |
| Morgan Stanley | Financials | 16,904 | 1,395,393 | 0.85% |
| Fortinet, Inc. | Technology | 6,404 | 1,307,920 | 0.80% |
| Edwards Lifesciences Corp. | Health care | 13,568 | 1,296,054 | 0.79% |
| Southern Co. (The) | Utilities and power | 19,439 | 1,286,263 | 0.79% |
| Altria Group, Inc. | Consumer staples | 25,913 | 1,237,329 | 0.76% |
| Merck & Co., Inc. | Health care | 16,530 | 1,231,454 | 0.75% |
| Simon Property Group, Inc. | Financials | 10,110 | 1,230,740 | 0.75% |
| Activision Blizzard, Inc. | Technology | 12,841 | 1,170,995 | 0.71% |
| Cummins, Inc. | Capital goods | 4,505 | 1,135,560 | 0.69% |
| Best Buy Co., Inc. | Consumer cyclicals | 9,524 | 1,107,407 | 0.68% |
| Medtronic PLC | Health care | 8,399 | 1,099,622 | 0.67% |
| Target Corp. | Consumer cyclicals | 5,285 | 1,095,417 | 0.67% |
| Coca-Cola Co. (The) | Consumer staples | 19,634 | 1,059,845 | 0.65% |
| Old Dominion Freight Line, Inc. | Transportation | 4,062 | 1,047,149 | 0.64% |
| Humana, Inc. | Health care | 2,323 | 1,034,480 | 0.63% |
| Synchrony Financial | Financials | 23,625 | 1,033,346 | 0.63% |
| Deere & Co. | Capital goods | 2,749 | 1,019,393 | 0.62% |
| Johnson & Johnson | Health care | 6,244 | 1,016,047 | 0.62% |
| Halliburton Co. | Energy | 51,488 | 1,007,106 | 0.61% |
| Ameriprise Financial, Inc. | Financials | 3,813 | 985,331 | 0.60% |
| PayPal Holdings, Inc. | Consumer cyclicals | 3,617 | 948,785 | 0.58% |
| A BASKET (GSGLPHCL) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| IQVIA Holdings, Inc. | Health care | 5,339 | $1,253,071 | 4.98% |
| Mettler-Toledo International, Inc. | Health care | 938 | 1,231,728 | 4.89% |
| Waters Corp. | Health care | 4,033 | 1,209,387 | 4.80% |
| Multi-Asset Absolute Return Fund 49 |
| A BASKET (GSGLPHCL) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Merck KGaA (Germany) | Health care | 6,439 | $1,132,898 | 4.50% |
| Agilent Technologies, Inc. | Technology | 8,383 | 1,120,275 | 4.45% |
| Thermo Fisher Scientific, Inc. | Health care | 2,097 | 986,261 | 3.92% |
| PerkinElmer, Inc. | Health care | 7,544 | 977,989 | 3.88% |
| Zoetis, Inc. | Health care | 5,419 | 937,647 | 3.72% |
| Pfizer, Inc. | Health care | 22,838 | 882,700 | 3.50% |
| Alexion Pharmaceuticals, Inc. | Health care | 5,176 | 873,166 | 3.47% |
| Ipsen SA (France) | Health care | 8,960 | 867,633 | 3.44% |
| Illumina, Inc. | Health care | 2,039 | 801,125 | 3.18% |
| Johnson & Johnson | Health care | 4,484 | 729,630 | 2.90% |
| Merck & Co., Inc. | Health care | 9,704 | 722,982 | 2.87% |
| Sanofi (France) | Health care | 6,441 | 676,646 | 2.69% |
| AbbVie, Inc. | Health care | 6,028 | 672,127 | 2.67% |
| GlaxoSmithKline PLC (United | Health care | 35,689 | 661,945 | 2.63% |
| Kingdom) | ||||
| Sumitomo Dainippon Pharma Co., | Health care | 34,612 | 600,070 | 2.38% |
| Ltd. (Japan) | ||||
| Bayer AG (Germany) | Health care | 9,096 | 589,302 | 2.34% |
| Viatris, Inc. | Health care | 42,967 | 571,467 | 2.27% |
| Sartorius Stedim Biotech (France) | Health care | 1,217 | 559,625 | 2.22% |
| Perrigo Co. PLC | Health care | 13,223 | 550,472 | 2.19% |
| Biogen, Inc. | Health care | 1,835 | 490,632 | 1.95% |
| Bristol-Myers Squibb Co. | Health care | 7,853 | 490,212 | 1.95% |
| Taisho Pharmaceutical Holdings Co., | Health care | 8,294 | 488,651 | 1.94% |
| Ltd. (Japan) | ||||
| AstraZeneca PLC (United Kingdom) | Health care | 4,336 | 463,200 | 1.84% |
| CSL, Ltd. (Australia) | Health care | 2,110 | 441,987 | 1.75% |
| Teva Pharmaceutical Industries, Ltd. | Health care | 40,737 | 435,883 | 1.73% |
| ADR (Israel) | ||||
| Amgen, Inc. | Health care | 1,668 | 399,813 | 1.59% |
| Gilead Sciences, Inc. | Health care | 5,780 | 366,840 | 1.46% |
| Galenica AG (Switzerland) | Health care | 2,357 | 339,914 | 1.35% |
| Hisamitsu Pharmaceutical Co., Inc. | Health care | 5,618 | 326,886 | 1.30% |
| (Japan) | ||||
| Eli Lilly and Co. | Health care | 1,622 | 296,457 | 1.18% |
| Takeda Pharmaceutical Co., Ltd. | Health care | 7,982 | 265,462 | 1.05% |
| (Japan) | ||||
| Eisai Co., Ltd. (Japan) | Health care | 3,219 | 209,926 | 0.83% |
| Shionogi & Co., Ltd. (Japan) | Health care | 3,829 | 201,301 | 0.80% |
| Galapagos NV (Belgium) | Health care | 2,569 | 200,680 | 0.80% |
| Hikma Pharmaceuticals PLC | Health care | 5,828 | 196,902 | 0.78% |
| (United Kingdom) | ||||
| H Lundbeck A/S (Denmark) | Health care | 4,953 | 152,988 | 0.61% |
| Astellas Pharma, Inc. (Japan) | Health care | 9,343 | 140,221 | 0.56% |
| UCB SA (Belgium) | Health care | 1,263 | 117,181 | 0.47% |
| Incyte Corp. | Health care | 1,350 | 115,297 | 0.46% |
| 50 Multi-Asset Absolute Return Fund |
| A BASKET (GSGLPHCL) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Grifols SA (Spain) | Health care | 3,675 | $99,757 | 0.40% |
| Eurofins Scientific (Luxembourg) | Health care | 1,005 | 99,588 | 0.40% |
| Regeneron Pharmaceuticals, Inc. | Health care | 129 | 61,926 | 0.25% |
| Novartis AG (Switzerland) | Health care | 712 | 60,825 | 0.24% |
| Daiichi Sankyo Co., Ltd. (Japan) | Health care | 1,940 | 49,465 | 0.20% |
| Recordati SpA (Italy) | Health care | 559 | 30,831 | 0.12% |
| Orion Oyj Class B (Finland) | Health care | 579 | 25,650 | 0.10% |
| Vertex Pharmaceuticals, Inc. | Health care | 99 | 21,555 | 0.09% |
| A BASKET (GSGLPWDL) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Arrow Electronics, Inc. | Technology | 10,613 | $1,210,646 | 0.76% |
| Ally Financial, Inc. | Financials | 23,027 | 1,184,714 | 0.74% |
| Toronto-Dominion Bank (Canada) | Financials | 17,057 | 1,172,606 | 0.73% |
| MetLife, Inc. | Financials | 18,286 | 1,163,547 | 0.73% |
| Canadian Imperial Bank of | Financials | 11,145 | 1,158,648 | 0.72% |
| Commerce (Canada) | ||||
| AGNC Investment Corp. | Financials | 64,374 | 1,154,218 | 0.72% |
| Royal Bank of Canada (Canada) | Financials | 12,065 | 1,151,453 | 0.72% |
| Fujitsu, Ltd. (Japan) | Technology | 7,207 | 1,147,741 | 0.72% |
| NN Group NV (Netherlands) | Financials | 22,864 | 1,142,687 | 0.71% |
| Annaly Capital Management, Inc. | Financials | 124,654 | 1,131,855 | 0.71% |
| Knight-Swift Transportation | Transportation | 23,868 | 1,124,645 | 0.70% |
| Holdings, Inc. | ||||
| ITOCHU Corp. (Japan) | Consumer staples | 34,680 | 1,081,421 | 0.68% |
| Sun Hung Kai Properties, Ltd. | Financials | 71,559 | 1,080,599 | 0.67% |
| (Hong Kong) | ||||
| Allstate Corp. (The) | Financials | 8,456 | 1,072,231 | 0.67% |
| Dover Corp. | Capital goods | 7,187 | 1,072,163 | 0.67% |
| Rio Tinto PLC (United Kingdom) | Basic materials | 12,607 | 1,057,861 | 0.66% |
| Cadence Design Systems, Inc. | Technology | 7,939 | 1,046,155 | 0.65% |
| Nippon Telegraph & Telephone Corp. | Communication services | 40,680 | 1,025,478 | 0.64% |
| (Japan) | ||||
| Paychex, Inc. | Technology | 10,366 | 1,010,576 | 0.63% |
| Mizuho Financial Group, Inc. (Japan) | Financials | 71,649 | 1,006,325 | 0.63% |
| Segro PLC (United Kingdom) | Financials | 71,513 | 993,063 | 0.62% |
| Swisscom AG (Switzerland) | Communication services | 1,825 | 989,727 | 0.62% |
| Air Liquide SA (France) | Basic materials | 5,858 | 986,820 | 0.62% |
| State Street Corp. | Financials | 11,753 | 986,706 | 0.62% |
| Honda Motor Co., Ltd. (Japan) | Consumer cyclicals | 33,057 | 977,583 | 0.61% |
| Avery Dennison Corp. | Capital goods | 4,551 | 974,677 | 0.61% |
| NextEra Energy, Inc. | Utilities and power | 12,515 | 970,033 | 0.61% |
| Ageas SA/NV (Belgium) | Financials | 16,011 | 969,390 | 0.61% |
| Mettler-Toledo International, Inc. | Health care | 735 | 964,936 | 0.60% |
| Amgen, Inc. | Health care | 4,026 | 964,847 | 0.60% |
| Multi-Asset Absolute Return Fund 51 |
| A BASKET (GSGLPWDL) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Church & Dwight Co., Inc. | Consumer staples | 11,248 | $964,427 | 0.60% |
| Dexus Property Group (Australia) | Financials | 120,783 | 946,270 | 0.59% |
| Muenchener Rueckversicherungs- | Financials | 3,230 | 934,372 | 0.58% |
| Gesellschaft AG in Muenchen | ||||
| (Germany) | ||||
| AMETEK, Inc. | Conglomerates | 6,780 | 914,781 | 0.57% |
| 3i Group PLC (United Kingdom) | Financials | 51,468 | 911,250 | 0.57% |
| Open Text Corp. (Canada) | Technology | 19,307 | 909,161 | 0.57% |
| WEC Energy Group, Inc. | Utilities and power | 9,349 | 908,435 | 0.57% |
| Sun Life Financial, Inc. (Canada) | Financials | 16,740 | 903,112 | 0.56% |
| Aurizon Holdings, Ltd. (Australia) | Transportation | 306,644 | 885,837 | 0.55% |
| CMS Energy Corp. | Utilities and power | 13,754 | 885,593 | 0.55% |
| Accenture PLC Class A | Technology | 3,033 | 879,505 | 0.55% |
| RioCan Real Estate Investment Trust | Financials | 51,317 | 877,585 | 0.55% |
| (Canada) | ||||
| T Rowe Price Group, Inc. | Financials | 4,863 | 871,374 | 0.54% |
| CK Asset Holdings, Ltd. (Hong Kong) | Financials | 136,320 | 855,537 | 0.53% |
| Roper Technologies, Inc. | Technology | 1,867 | 833,378 | 0.52% |
| Rio Tinto, Ltd. (Australia) | Basic materials | 8,808 | 822,053 | 0.51% |
| Wolters Kluwer NV (Netherlands) | Consumer cyclicals | 8,972 | 811,802 | 0.51% |
| Iberdrola SA (Spain) | Utilities and power | 58,892 | 795,475 | 0.50% |
| Invesco, Ltd. | Financials | 29,428 | 794,544 | 0.50% |
| AutoZone, Inc. | Consumer cyclicals | 537 | 786,199 | 0.49% |
| A BASKET (GSGLPWDS) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| ASML Holding NV (Netherlands) | Technology | 2,029 | $1,320,502 | 0.83% |
| Camden Property Trust | Financials | 9,446 | 1,138,079 | 0.72% |
| American Express Co. | Financials | 7,398 | 1,134,543 | 0.72% |
| UDR, Inc. | Financials | 24,105 | 1,119,680 | 0.71% |
| Hang Seng Bank, Ltd. (Hong Kong) | Financials | 55,849 | 1,096,444 | 0.69% |
| U.S. Bancorp | Financials | 18,322 | 1,087,406 | 0.69% |
| Essex Property Trust, Inc. | Financials | 3,720 | 1,080,682 | 0.68% |
| AIA Group, Ltd. (Hong Kong) | Financials | 84,034 | 1,069,926 | 0.68% |
| Markel Corp. | Financials | 892 | 1,049,342 | 0.66% |
| Waste Connections, Inc. | Capital goods | 8,743 | 1,041,354 | 0.66% |
| Equity Lifestyle Properties, Inc. | Financials | 14,680 | 1,018,763 | 0.64% |
| Analog Devices, Inc. | Technology | 6,611 | 1,012,566 | 0.64% |
| Emera, Inc. (Canada) | Utilities and power | 22,142 | 1,006,432 | 0.64% |
| Zurich Insurance Group AG | Financials | 2,432 | 997,986 | 0.63% |
| (Switzerland) | ||||
| Fidelity National Information | Technology | 6,449 | 986,120 | 0.62% |
| Services, Inc. | ||||
| Suncor Energy, Inc. (Canada) | Energy | 46,088 | 985,767 | 0.62% |
| Hitachi Metals, Ltd. (Japan) | Basic materials | 50,671 | 982,905 | 0.62% |
| 52 Multi-Asset Absolute Return Fund |
| A BASKET (GSGLPWDS) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Macquarie Group, Ltd. (Australia) | Financials | 7,904 | $977,234 | 0.62% |
| Liberty Media Corp.-Liberty Formula | Consumer cyclicals | 20,713 | 972,250 | 0.61% |
| One Class C | ||||
| Marathon Petroleum Corp. | Energy | 17,413 | 969,029 | 0.61% |
| Boeing Co. (The) | Capital goods | 4,131 | 967,934 | 0.61% |
| ABB, Ltd. (Switzerland) | Capital goods | 29,374 | 953,677 | 0.60% |
| Alliant Energy Corp. | Utilities and power | 16,817 | 944,592 | 0.60% |
| Southern Co. (The) | Utilities and power | 14,127 | 934,767 | 0.59% |
| NiSource, Inc. | Utilities and power | 35,500 | 923,716 | 0.58% |
| Mitsubishi Estate Co., Ltd. (Japan) | Financials | 56,211 | 923,471 | 0.58% |
| Coca-Cola Co. (The) | Consumer staples | 16,604 | 896,300 | 0.57% |
| Xylem, Inc. | Capital goods | 8,065 | 892,431 | 0.56% |
| Ferrovial SA (Spain) | Basic materials | 31,379 | 891,836 | 0.56% |
| Bayerische Motoren Werke (BMW) AG | Consumer cyclicals | 8,865 | 888,830 | 0.56% |
| (Germany) | ||||
| Microchip Technology, Inc. | Technology | 5,909 | 888,040 | 0.56% |
| Fortis, Inc. (Canada) | Utilities and power | 19,905 | 887,908 | 0.56% |
| Lonza Group AG (Switzerland) | Health care | 1,376 | 875,407 | 0.55% |
| Edison International | Utilities and power | 14,650 | 870,936 | 0.55% |
| Cellnex Telecom, SA 144A (Spain) | Communication services | 15,254 | 862,662 | 0.55% |
| Ecolab, Inc. | Consumer cyclicals | 3,820 | 856,137 | 0.54% |
| James Hardie Industries PLC (CDI) | Basic materials | 25,819 | 853,258 | 0.54% |
| (Australia) | ||||
| Berkshire Hathaway, Inc. Class B | Financials | 3,030 | 833,081 | 0.53% |
| Boston Scientific Corp. | Health care | 19,091 | 832,378 | 0.53% |
| Sensata Technologies Holding PLC | Technology | 14,338 | 827,852 | 0.52% |
| Shaw Communications, Inc. (Canada) | Communication services | 28,460 | 824,283 | 0.52% |
| Leg Immobilien SE (Germany) | Financials | 5,871 | 816,640 | 0.52% |
| Aeon Co., Ltd. (Japan) | Consumer cyclicals | 29,721 | 811,086 | 0.51% |
| Nordea Bank ABP (Finland) | Financials | 77,774 | 808,103 | 0.51% |
| Agnico-Eagle Mines, Ltd. (Canada) | Basic materials | 12,888 | 805,465 | 0.51% |
| KBC Group NV (Belgium) | Financials | 10,326 | 802,184 | 0.51% |
| Corning, Inc. | Communication services | 18,064 | 798,588 | 0.50% |
| General Dynamics Corp. | Capital goods | 4,191 | 797,340 | 0.50% |
| Accor SA (France) | Consumer cyclicals | 19,485 | 784,061 | 0.50% |
| MS&AD Insurance Group Holdings | Financials | 27,626 | 782,334 | 0.49% |
| (Japan) | ||||
| A BASKET (JPCMPTFL) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Zoetis, Inc. | Health care | 5,235 | $905,857 | 1.60% |
| Burlington Stores, Inc. | Consumer cyclicals | 2,669 | 870,941 | 1.54% |
| Flowserve Corp. | Capital goods | 18,097 | 717,368 | 1.27% |
| Vroom, Inc. | Consumer cyclicals | 15,433 | 714,092 | 1.27% |
| United Rentals, Inc. | Consumer cyclicals | 2,164 | 692,350 | 1.23% |
| Multi-Asset Absolute Return Fund 53 |
| A BASKET (JPCMPTFL) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Dick’s Sporting Goods, Inc. | Consumer cyclicals | 8,297 | $685,139 | 1.21% |
| Catalent, Inc. | Health care | 6,067 | 682,377 | 1.21% |
| Kohl’s Corp. | Consumer cyclicals | 11,458 | 672,105 | 1.19% |
| Jazz Pharmaceuticals PLC | Health care | 4,013 | 659,678 | 1.17% |
| Thor Industries, Inc. | Consumer cyclicals | 4,565 | 646,416 | 1.15% |
| Polaris, Inc. | Consumer cyclicals | 4,398 | 615,880 | 1.09% |
| Bristol-Myers Squibb Co. | Health care | 9,717 | 606,524 | 1.07% |
| Merck & Co., Inc. | Health care | 7,958 | 592,834 | 1.05% |
| BorgWarner, Inc. | Capital goods | 12,034 | 584,614 | 1.04% |
| HubSpot, Inc. | Technology | 1,103 | 580,511 | 1.03% |
| Tapestry, Inc. | Consumer cyclicals | 11,995 | 573,940 | 1.02% |
| Timken Co. (The) | Basic materials | 6,603 | 553,765 | 0.98% |
| AECOM | Capital goods | 7,950 | 528,108 | 0.94% |
| Pfizer, Inc. | Health care | 13,530 | 522,933 | 0.93% |
| Envista Holdings Corp. | Health care | 11,122 | 481,358 | 0.85% |
| Peloton Interactive, Inc. Class A | Consumer cyclicals | 4,660 | 458,294 | 0.81% |
| Hexcel Corp. | Capital goods | 7,876 | 444,259 | 0.79% |
| RingCentral, Inc. Class A | Technology | 1,387 | 442,454 | 0.78% |
| GrubHub, Inc. | Consumer staples | 6,462 | 439,700 | 0.78% |
| Hanesbrands, Inc. | Consumer cyclicals | 20,685 | 435,629 | 0.77% |
| General Motors Co. | Consumer cyclicals | 7,424 | 424,819 | 0.75% |
| Coupa Software, Inc. | Technology | 1,529 | 411,280 | 0.73% |
| Trade Desk, Inc. (The) Class A | Consumer cyclicals | 560 | 408,652 | 0.72% |
| Johnson & Johnson | Health care | 2,478 | 403,234 | 0.71% |
| Eli Lilly and Co. | Health care | 2,176 | 397,742 | 0.70% |
| Zynga, Inc. Class A | Technology | 36,295 | 392,716 | 0.70% |
| Spirit AeroSystems Holdings, Inc. | Capital goods | 8,568 | 391,484 | 0.69% |
| Class A | ||||
| Square, Inc. Class A | Consumer cyclicals | 1,582 | 387,286 | 0.69% |
| Lamb Weston Holdings, Inc. | Consumer staples | 4,798 | 386,232 | 0.68% |
| TransDigm Group, Inc. | Capital goods | 623 | 382,284 | 0.68% |
| Generac Holdings, Inc. | Capital goods | 1,173 | 379,923 | 0.67% |
| Harley-Davidson, Inc. | Consumer cyclicals | 7,785 | 376,584 | 0.67% |
| Nuance Communications, Inc. | Technology | 7,077 | 376,305 | 0.67% |
| Foot Locker, Inc. | Consumer cyclicals | 6,343 | 374,087 | 0.66% |
| Charles River Laboratories | Health care | 1,116 | 371,118 | 0.66% |
| International, Inc. | ||||
| Zendesk, Inc. | Technology | 2,503 | 365,743 | 0.65% |
| Williams-Sonoma, Inc. | Consumer cyclicals | 2,073 | 353,890 | 0.63% |
| Ford Motor Co. | Consumer cyclicals | 30,572 | 352,796 | 0.63% |
| Integra LifeSciences Holdings Corp. | Health care | 4,592 | 340,194 | 0.60% |
| Acuity Brands, Inc. | Capital goods | 1,759 | 326,287 | 0.58% |
| Ulta Beauty, Inc. | Consumer staples | 990 | 325,940 | 0.58% |
| Autonation, Inc. | Consumer cyclicals | 3,151 | 322,876 | 0.57% |
| Dropbox, Inc. Class A | Technology | 12,503 | 321,315 | 0.57% |
| 54 Multi-Asset Absolute Return Fund |
| A BASKET (JPCMPTFL) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| lululemon athletica, Inc. (Canada) | Consumer cyclicals | 954 | $319,934 | 0.57% |
| Comerica, Inc. | Financials | 4,224 | 317,459 | 0.56% |
| A BASKET (UBSPUSER) OF COMMON STOCKS | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Microsoft Corp. | Technology | 73,887 | $18,632,875 | 7.38% |
| Apple, Inc. | Technology | 92,337 | 12,138,635 | 4.81% |
| Amazon.com, Inc. | Consumer cyclicals | 3,165 | 10,975,749 | 4.35% |
| Alphabet, Inc. Class C | Technology | 3,304 | 7,963,002 | 3.15% |
| Facebook, Inc. Class A | Technology | 15,858 | 5,155,208 | 2.04% |
| JPMorgan Chase & Co. | Financials | 28,789 | 4,427,975 | 1.75% |
| PayPal Holdings, Inc. | Consumer cyclicals | 16,746 | 4,392,432 | 1.74% |
| Visa, Inc. Class A | Financials | 18,617 | 4,348,265 | 1.72% |
| Walmart, Inc. | Consumer cyclicals | 30,375 | 4,249,740 | 1.68% |
| Mastercard, Inc. Class A | Consumer cyclicals | 10,684 | 4,081,818 | 1.62% |
| Citigroup, Inc. | Financials | 55,875 | 3,980,552 | 1.58% |
| Bank of America Corp. | Financials | 98,113 | 3,976,528 | 1.57% |
| Union Pacific Corp. | Transportation | 17,574 | 3,902,945 | 1.55% |
| Charter Communications, Inc. Class A | Communication services | 5,614 | 3,780,717 | 1.50% |
| UnitedHealth Group, Inc. | Health care | 9,328 | 3,720,035 | 1.47% |
| Danaher Corp. | Conglomerates | 14,450 | 3,669,319 | 1.45% |
| NVIDIA Corp. | Technology | 5,856 | 3,515,919 | 1.39% |
| Home Depot, Inc. (The) | Consumer cyclicals | 10,414 | 3,370,665 | 1.33% |
| Eli Lilly and Co. | Health care | 17,997 | 3,289,389 | 1.30% |
| Freeport-McMoRan, Inc. (Indonesia) | Basic materials | 85,998 | 3,243,000 | 1.28% |
| Adobe, Inc. | Technology | 6,308 | 3,206,655 | 1.27% |
| American Tower Corp. | Communication services | 12,272 | 3,126,588 | 1.24% |
| Johnson & Johnson | Health care | 18,209 | 2,963,145 | 1.17% |
| General Motors Co. | Consumer cyclicals | 49,029 | 2,805,429 | 1.11% |
| Southwest Airlines Co. | Transportation | 43,798 | 2,749,646 | 1.09% |
| Northrop Grumman Corp. | Capital goods | 7,443 | 2,638,178 | 1.04% |
| Nike, Inc. Class B | Consumer cyclicals | 19,876 | 2,635,975 | 1.04% |
| Fidelity National Information | Technology | 16,641 | 2,544,395 | 1.01% |
| Services, Inc. | ||||
| Tesla, Inc. | Consumer cyclicals | 3,462 | 2,456,278 | 0.97% |
| Cigna Corp. | Health care | 9,827 | 2,447,053 | 0.97% |
| Qualcomm, Inc. | Technology | 17,547 | 2,435,588 | 0.96% |
| Goldman Sachs Group, Inc. (The) | Financials | 6,927 | 2,413,803 | 0.96% |
| Procter & Gamble Co. (The) | Consumer staples | 17,265 | 2,303,526 | 0.91% |
| Johnson Controls International PLC | Capital goods | 36,097 | 2,250,280 | 0.89% |
| PepsiCo, Inc. | Consumer staples | 15,076 | 2,173,369 | 0.86% |
| Cisco Systems, Inc./California | Technology | 42,192 | 2,147,971 | 0.85% |
| AbbVie, Inc. | Health care | 19,204 | 2,141,231 | 0.85% |
| Eaton Corp. PLC | Capital goods | 14,746 | 2,107,677 | 0.83% |
| Valero Energy Corp. | Energy | 26,792 | 1,981,517 | 0.78% |
| Multi-Asset Absolute Return Fund 55 |
| A BASKET (UBSPUSER) OF COMMON STOCKS cont. | ||||
| Percentage | ||||
| Common stocks | Sector | Shares | Value | value |
| Applied Materials, Inc. | Technology | 14,512 | $1,925,869 | 0.76% |
| Target Corp. | Consumer cyclicals | 9,127 | 1,891,657 | 0.75% |
| Estee Lauder Cos., Inc. (The) Class A | Consumer staples | 6,022 | 1,889,565 | 0.75% |
| Sherwin-Williams Co. (The) | Basic materials | 6,783 | 1,857,536 | 0.74% |
| Merck & Co., Inc. | Health care | 24,877 | 1,853,330 | 0.73% |
| Texas Instruments, Inc. | Technology | 10,204 | 1,841,836 | 0.73% |
| S&P Global, Inc. | Consumer cyclicals | 4,628 | 1,806,675 | 0.72% |
| Exelon Corp. | Utilities and power | 40,106 | 1,802,345 | 0.71% |
| Comcast Corp. Class A | Communication services | 30,600 | 1,718,203 | 0.68% |
| American Electric Power Co., Inc. | Utilities and power | 19,320 | 1,713,903 | 0.68% |
| Amgen, Inc. | Health care | 7,150 | 1,713,312 | 0.68% |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) | ||||||
| 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) |
| $8,995,000 | $129,060 | $(151) | 3/23/31 | (2.4275%) — At | USA Non Revised | $128,909 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 9,107,000 | 108,519 | (153) | 3/23/31 | (2.45%) — At | USA Non Revised | 108,366 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 7,769,000 | 40,399 | (131) | 4/1/31 | (2.51%) — At | USA Non Revised | 40,268 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 7,769,000 | 36,180 | (131) | 4/1/31 | (2.515%) — At | USA Non Revised | 36,050 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,564,000 | 25,571 | (43) | 4/1/31 | (2.466%) — At | USA Non Revised | 25,528 |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 5,184,000 | 54,976 | (52) | 4/1/26 | 2.496% — At | USA Non Revised | (55,029) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 18,202,000 | 182,693 | (184) | 3/23/26 | 2.51% — At | USA Non Revised | (182,877) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 56 Multi-Asset Absolute Return Fund |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited) 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) |
| $18,705,000 | $252,480 | $— | 3/23/26 | 2.445% — At | USA Non Revised | $(252,480) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 31,020,000 | 272,728 | (311) | 4/1/26 | 2.53% — At | USA Non Revised | (273,042) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 9,941,000 | 307,753 | (146) | 2/25/31 | 2.28% — At | USA Non Revised | (307,899) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 12,494,000 | 386,202 | (183) | 2/24/31 | 2.281% — At | USA Non Revised | (386,385) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 12,493,000 | 389,419 | (183) | 2/25/31 | 2.278% — At | USA Non Revised | (389,602) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 12,492,000 | 403,379 | (183) | 2/25/31 | 2.2675% — At | USA Non Revised | (403,562) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 36,204,000 | 454,252 | (366) | 3/24/26 | 2.4625% — At | USA Non Revised | (454,617) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 24,988,000 | 759,060 | (366) | 2/24/31 | 2.286% — At | USA Non Revised | (759,426) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| Total | $(2,583) | $(3,125,798) | ||||
| Multi-Asset Absolute Return Fund 57 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/21 (Unaudited) | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Bank of America N.A. | |||||||
| CMBX NA BBB–.6 | BB–/P | $4,580 | $67,000 | $18,968 | 5/11/63 | 300 bp — | $(14,355) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 6,498 | 114,000 | 32,273 | 5/11/63 | 300 bp — | (25,718) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 15,001 | 243,000 | 68,793 | 5/11/63 | 300 bp — | (53,670) |
| Index | Monthly | ||||||
| Barclays Bank PLC | |||||||
| CMBX NA BBB–.6 | BB–/P | 26,163 | 236,000 | 66,812 | 5/11/63 | 300 bp — | (40,531) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB/P | 8,583 | 1,527,000 | 304,178 | 1/17/47 | 300 bp — | (294,831) |
| Index | Monthly | ||||||
| Citigroup Global Markets, Inc. | |||||||
| CMBX NA BB.6 | B-/P | 237,268 | 1,654,000 | 787,469 | 5/11/63 | 500 bp — | (548,823) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | B+/P | 32,151 | 630,000 | 228,123 | 1/17/47 | 500 bp — | (195,447) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 886,347 | 13,919,000 | 3,940,469 | 5/11/63 | 300 bp — | (3,047,162) |
| Index | Monthly | ||||||
| Credit Suisse International | |||||||
| CMBX NA BBB–.6 | BB–/P | 3,581,285 | 38,114,000 | 10,790,073 | 5/11/63 | 300 bp — | (7,189,732) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB/P | 41,182 | 521,000 | 103,783 | 1/17/47 | 300 bp — | (62,341) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB/P | 477,712 | 6,463,000 | 1,287,430 | 1/17/47 | 300 bp — | (806,487) |
| Index | Monthly | ||||||
| Goldman Sachs International | |||||||
| CMBX NA BBB–.6 | BB–/P | 12,819 | 162,000 | 45,862 | 5/11/63 | 300 bp — | (32,962) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 14,345 | 170,000 | 48,127 | 5/11/63 | 300 bp — | (33,696) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 15,423 | 178,000 | 50,392 | 5/11/63 | 300 bp — | (34,881) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 21,266 | 252,000 | 71,341 | 5/11/63 | 300 bp — | (49,950) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 32,134 | 292,000 | 82,665 | 5/11/63 | 300 bp — | (50,385) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 22,005 | 323,000 | 91,441 | 5/11/63 | 300 bp — | (69,275) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 43,866 | 508,000 | 143,815 | 5/11/63 | 300 bp — | (99,694) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 72,333 | 521,000 | 147,495 | 5/11/63 | 300 bp — | (74,901) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 54,650 | 727,000 | 205,814 | 5/11/63 | 300 bp — | (150,801) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 43,204 | 871,000 | 246,580 | 5/11/63 | 300 bp — | (202,941) |
| Index | Monthly | ||||||
| 58 Multi-Asset Absolute Return Fund |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/21 (Unaudited) 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 BBB–.6 | BB–/P | $113,818 | $1,020,000 | $288,762 | 5/11/63 | 300 bp — | $(174,434) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 113,818 | 1,020,000 | 288,762 | 5/11/63 | 300 bp — | (174,434) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 90,667 | 1,094,000 | 309,711 | 5/11/63 | 300 bp — | (218,497) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 123,458 | 1,108,000 | 313,675 | 5/11/63 | 300 bp — | (189,663) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 67,079 | 1,286,000 | 364,067 | 5/11/63 | 300 bp — | (296,345) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 217,829 | 2,012,000 | 569,597 | 5/11/63 | 300 bp — | (350,762) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 440,741 | 3,998,000 | 1,131,834 | 5/11/63 | 300 bp — | (689,094) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB/P | 171,603 | 2,462,000 | 490,430 | 1/17/47 | 300 bp — | (317,596) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB/P | 587,623 | 7,950,000 | 1,583,640 | 1/17/47 | 300 bp — | (992,042) |
| Index | Monthly | ||||||
| JPMorgan Securities LLC | |||||||
| CMBX NA BBB–.6 | BB–/P | 16,227,132 | 50,757,000 | 14,369,307 | 5/11/63 | 300 bp — | 1,883,204 |
| Index | Monthly | ||||||
| Merrill Lynch International | |||||||
| CMBX NA BB.7 | B+/P | 23,979 | 210,000 | 76,041 | 1/17/47 | 500 bp — | (51,887) |
| Index | Monthly | ||||||
| CMBX NA BBB– .6 | BB–/P | 4,041,450 | 14,999,000 | 4,246,217 | 5/11/63 | 300 bp — | (197,267) |
| Index | Monthly | ||||||
| Morgan Stanley & Co. International PLC | |||||||
| CMBX NA BBB–.6 | BB–/P | 320,980 | 4,845,000 | 1,371,620 | 5/11/63 | 300 bp — | (1,048,217) |
| Index | Monthly | ||||||
| Upfront premium received | 28,188,992 | Unrealized appreciation | 1,883,204 | ||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (17,778,821) | ||||
| Total | $28,188,992 | Total | $(15,895,617) | ||||
* 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 April 30, 2021. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| Multi-Asset Absolute Return Fund 59 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/21 (Unaudited) | ||||||
| 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.6 Index | $3,715 | $433,000 | $36,848 | 5/11/63 | (200 bp) — | $40,419 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (25,000) | 228,000 | 68,560 | 11/17/59 | (500 bp) — | 43,370 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (21,916) | 210,000 | 63,147 | 11/17/59 | (500 bp) — | 41,056 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (81,623) | 630,000 | 82,215 | 11/18/54 | (500 bp) — | 67 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (18,193) | 193,000 | 25,187 | 11/18/54 | (500 bp) — | 6,833 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (255,056) | 2,471,000 | 652,838 | 9/17/58 | (500 bp) — | 395,723 |
| Monthly | ||||||
| Credit Suisse International | ||||||
| CMBX NA BB.10 Index | (51,729) | 435,000 | 130,805 | 11/17/59 | (500 bp) — | 78,713 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (55,104) | 413,000 | 124,189 | 11/17/59 | (500 bp) — | 68,741 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (29,194) | 1,654,000 | 787,469 | 5/11/63 | (500 bp) — | 756,897 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (112,076) | 1,118,000 | 295,376 | 9/17/58 | (500 bp) — | 182,368 |
| Monthly | ||||||
| Goldman Sachs International | ||||||
| CMBX NA BB.7 Index | (30,568) | 202,000 | 73,144 | 1/17/47 | (500 bp) — | 42,408 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (296,107) | 1,622,000 | 587,326 | 1/17/47 | (500 bp) — | 289,868 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (43,113) | 255,000 | 92,336 | 1/17/47 | (500 bp) — | 49,010 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (19,899) | 98,000 | 35,486 | 1/17/47 | (500 bp) — | 15,505 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (21,896) | 184,000 | 48,613 | 9/17/58 | (500 bp) — | 26,564 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (22,144) | 184,000 | 48,613 | 9/17/58 | (500 bp) — | 26,315 |
| Monthly | ||||||
| JPMorgan Securities LLC | ||||||
| CMBX NA BB.17 Index | (1,514,014) | 3,092,000 | 1,119,613 | 1/17/47 | (500 bp) — | (396,978) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (2,665,497) | 11,354,000 | 2,261,717 | 1/17/47 | (300 bp) — | (409,457) |
| Monthly | ||||||
| Merrill Lynch International | ||||||
| CMBX NA A.6 Index | 8,647 | 520,000 | 44,252 | 5/11/63 | (200 bp) — | 52,725 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (23,898) | 420,000 | 126,294 | 11/17/59 | (500 bp) — | 102,046 |
| Monthly | ||||||
| 60 Multi-Asset Absolute Return Fund |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/21 (Unaudited) 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 cont. | ||||||
| CMBX NA BB.11 Index | $(273,312) | $553,000 | $72,167 | 11/18/54 | (500 bp) — | $(201,606) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (29,958) | 769,000 | 203,170 | 9/17/58 | (500 bp) — | 172,571 |
| Monthly | ||||||
| Morgan Stanley & Co. International PLC | ||||||
| CMBX NA BBB–.7 Index | (315,451) | 3,096,000 | 616,723 | 1/17/47 | (300 bp) — | 299,724 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (22,024) | 210,000 | 63,147 | 11/17/59 | (500 bp) — | 40,948 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (44,620) | 368,000 | 97,226 | 9/17/58 | (500 bp) — | 52,299 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (22,310) | 184,000 | 48,613 | 9/17/58 | (500 bp) — | 26,149 |
| Monthly | ||||||
| Upfront premium received | 12,362 | Unrealized appreciation | 2,810,319 | |||
| Upfront premium (paid) | (5,994,702) | Unrealized (depreciation) | (1,008,041) | |||
| Total | $(5,982,340) | Total | $1,802,278 | |||
* 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.
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/21 | |||||||
| (Unaudited) | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| received | Notional | nation | received | appreciation/ | |||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| NA HY Series 36 | B+/P | $(5,965,956) | $69,699,000 | $6,877,200 | 6/20/26 | 500 bp — | $1,201,657 |
| Index | Quarterly | ||||||
| Total | $(5,965,956) | $1,201,657 | |||||
* 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 April 30, 2021. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| Multi-Asset Absolute Return Fund 61 |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED | ||||||
| at 4/30/21 (Unaudited) | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Referenced | received | Notional | nation | (paid) | appreciation/ | |
| debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| EM Series 35 | $(2,557,016) | $64,692,000 | $2,111,482 | 6/20/26 | (100 bp) — | $(508,429) |
| Index | Quarterly | |||||
| NA HY Series 36 | 6,050,681 | 69,858,000 | 6,892,889 | 6/20/26 | (500 bp) — | (1,152,688) |
| Index | Quarterly | |||||
| Total | $3,493,665 | $(1,661,117) | ||||
* 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.
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 | $11,025,727 | $— | $— | ||
| Capital goods | 3,915,564 | — | — | ||
| Communication services | 2,305,268 | — | — | ||
| Consumer cyclicals | 6,331,819 | — | — | ||
| Consumer staples | 11,742,879 | — | — | ||
| Energy | 2,812,824 | 294 | — | ||
| Financials | 18,131,113 | — | 157,167 | ||
| Health care | 2,968,282 | — | — | ||
| Technology | 44,027,038 | — | — | ||
| Utilities and power | 446,848 | 27,288 | 12 | ||
| Total common stocks | 103,707,362 | 27,582 | 157,179 | ||
| Asset-backed securities | — | 8,141,701 | — | ||
| Commodity linked notes | — | 82,851,700 | — | ||
| Corporate bonds and notes | — | 1,572,894 | — | ||
| Foreign government and agency bonds and notes | — | 8,599,207 | — | ||
| Investment companies | 73,338,495 | — | — | ||
| Mortgage-backed securities | — | 66,641,276 | — | ||
| Purchased swap options outstanding | — | 90,469 | — | ||
| U.S. government and agency mortgage obligations | — | 310,684,317 | — | ||
| U.S. treasury obligations | — | 605,286 | — | ||
| Warrants | — | 11,526,503 | — | ||
| Short-term investments | 4,643,000 | 413,288,109 | — | ||
| Totals by level | $181,688,857 | $904,029,044 | $157,179 | ||
| 62 Multi-Asset Absolute Return Fund |
| Valuation inputs | |||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | ||
| Forward currency contracts | $— | $141,744 | $— | ||
| Futures contracts | (7,541,058) | — | — | ||
| Written swap options outstanding | — | (179,392) | — | ||
| Forward premium swap option contracts | — | (191,089) | — | ||
| TBA sale commitments | — | (155,306,018) | — | ||
| Interest rate swap contracts | — | 212,254 | — | ||
| Total return swap contracts | — | (2,259,500) | — | ||
| Credit default contracts | — | (34,287,160) | — | ||
| Totals by level | $(7,541,058) | $(191,869,161) | $— | ||
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
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.
| Multi-Asset Absolute Return Fund 63 |
Statement of assets and liabilities 4/30/21 (Unaudited)
| ASSETS | |
| Investment in securities, at value, including $51,103,063 of securities on loan (Notes 1 and 8): | |
| Unaffiliated issuers (identified cost $817,536,156) | $867,228,792 |
| Affiliated issuers (identified cost $218,646,288) (Note 5) | 218,646,288 |
| Cash | 1,621 |
| Foreign currency (cost $1,943) (Note 1) | 4,868 |
| Dividends, interest and other receivables | 1,826,209 |
| Foreign tax reclaim | 360,304 |
| Receivable for shares of the fund sold | 10,016,612 |
| Receivable for investments sold | 1,013,938 |
| Receivable for sales of TBA securities (Note 1) | 113,525,643 |
| Receivable for variation margin on futures contracts (Note 1) | 669,325 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 273,079 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 90,323 |
| Unrealized appreciation on forward currency contracts (Note 1) | 3,765,689 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 20,960,623 |
| Premium paid on OTC swap contracts (Note 1) | 5,994,702 |
| Prepaid assets | 50,078 |
| Total assets | 1,244,428,094 |
| LIABILITIES | |
| Payable for investments purchased | 1,682,456 |
| Payable for purchases of TBA securities (Note 1) | 262,923,520 |
| Payable for shares of the fund repurchased | 11,531,673 |
| Payable for compensation of Manager (Note 2) | 131,082 |
| Payable for custodian fees (Note 2) | 140,437 |
| Payable for investor servicing fees (Note 2) | 122,105 |
| Payable for Trustee compensation and expenses (Note 2) | 258,396 |
| Payable for administrative services (Note 2) | 2,278 |
| Payable for distribution fees (Note 2) | 80,595 |
| Payable for variation margin on futures contracts (Note 1) | 867,100 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 262,873 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 34,190,247 |
| Premium received on OTC swap contracts (Note 1) | 28,201,354 |
| Unrealized depreciation on forward currency contracts (Note 1) | 3,623,945 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 281,412 |
| Written options outstanding, at value (premiums $164,958) (Note 1) | 179,392 |
| TBA sale commitments, at value (proceeds receivable $154,954,609) (Note 1) | 155,306,018 |
| Collateral on securities loaned, at value (Note 1) | 52,691,058 |
| Collateral on certain derivative contracts, at value (Notes 1 and 8) | 5,248,286 |
| Other accrued expenses | 446,739 |
| Total liabilities | 558,170,966 |
| Net assets | $686,257,128 |
(Continued on next page)
| 64 Multi-Asset Absolute Return Fund |
Statement of assets and liabilities cont.
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $738,211,687 |
| Total distributable earnings (Note 1) | (51,954,559) |
| Total — Representing net assets applicable to capital shares outstanding | $686,257,128 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share | |
| ($198,728,974 divided by 19,318,593 shares) | $10.29 |
| Offering price per class A share (100/94.25 of $10.29)* | $10.92 |
| Net asset value and offering price per class B share ($6,239,277 divided by 632,520 shares)** | $9.86 |
| Net asset value and offering price per class C share ($38,806,894 divided by 3,948,259 shares)** | $9.83 |
| Net asset value, offering price and redemption price per class P share | |
| ($299,615,607 divided by 28,767,207 shares) | $10.42 |
| Net asset value, offering price and redemption price per class R share | |
| ($2,233,239 divided by 221,621 shares) | $10.08 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($27,312,048 divided by 2,615,709 shares) | $10.44 |
| Net asset value, offering price and redemption price per class Y share | |
| ($113,321,089 divided by 10,919,361 shares) | $10.38 |
*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.
| Multi-Asset Absolute Return Fund 65 |
Statement of operations Six months ended 4/30/21 (Unaudited)
| INVESTMENT INCOME | |
| Interest (including interest income of $126,265 from investments in affiliated issuers) (Note 5) | $3,278,273 |
| Dividends (net of foreign tax of $127,397) | 1,596,958 |
| Securities lending (net of expenses) (Notes 1 and 5) | 17,878 |
| Total investment income | 4,893,109 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 1,360,049 |
| Investor servicing fees (Note 2) | 391,766 |
| Custodian fees (Note 2) | 107,101 |
| Trustee compensation and expenses (Note 2) | 17,456 |
| Distribution fees (Note 2) | 590,352 |
| Administrative services (Note 2) | 12,487 |
| Other | 201,645 |
| Fees waived and reimbursed by Manager (Note 2) | (132,169) |
| Total expenses | 2,548,687 |
| Expense reduction (Note 2) | (4,229) |
| Net expenses | 2,544,458 |
| Net investment income | 2,348,651 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 55,372,967 |
| Foreign currency transactions (Note 1) | (188,840) |
| Forward currency contracts (Note 1) | 2,398,477 |
| Futures contracts (Note 1) | (32,262,017) |
| Swap contracts (Note 1) | (36,349,483) |
| Written options (Note 1) | 691,011 |
| Total net realized loss | (10,337,885) |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers and TBA sale commitments | 2,754,671 |
| Assets and liabilities in foreign currencies | 15,023 |
| Forward currency contracts | (608,968) |
| Futures contracts | (5,871,635) |
| Swap contracts | 13,094,061 |
| Written options | (667,657) |
| Total change in net unrealized appreciation | 8,715,495 |
| Net loss on investments | (1,622,390) |
| Net increase in net assets resulting from operations | $726,261 |
The accompanying notes are an integral part of these financial statements.
| 66 Multi-Asset Absolute Return Fund |
Statement of changes in net assets
| DECREASE IN NET ASSETS | Six months ended 4/30/21* | Year ended 10/31/20 |
| Operations | ||
| Net investment income | $2,348,651 | $16,359,167 |
| Net realized loss on investments | ||
| and foreign currency transactions | (10,337,885) | (131,191,748) |
| Change in net unrealized appreciation of investments | ||
| and assets and liabilities in foreign currencies | 8,715,495 | 9,639,046 |
| Net increase (decrease) in net assets resulting | ||
| from operations | 726,261 | (105,193,535) |
| Decrease from capital share transactions (Note 4) | (110,061,250) | (232,472,827) |
| Total decrease in net assets | (109,334,989) | (337,666,362) |
| NET ASSETS | ||
| Beginning of period | 795,592,117 | 1,133,258,479 |
| End of period | $686,257,128 | $795,592,117 |
*Unaudited.
The accompanying notes are an integral part of these financial statements.
| Multi-Asset Absolute Return Fund 67 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||||
| Ratio of net | |||||||||||||||
| Net asset | Net | Net realized | Ratio of | investment | |||||||||||
| value, | investment | and unrealized | Total from | From net | From net | Non-recurring | Net asset | Total return | Net assets, | expenses | income (loss) | Portfolio | |||
| beginning | income | gain (loss) on | investment | investment | realized gain | From return | Total | reimburse- | value, end | at net asset | end of period | to average | to average | turnover | |
| Period ended | of period | (loss)a | investments | operations | income | on investments | of capital | distributions | ments | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)e |
| Class A | |||||||||||||||
| April 30, 2021** | $10.29 | .02 | (.02) | —h | — | — | — | — | — | $10.29 | —*i | $198,729 | .43*d | .24*d | 490* |
| October 31, 2020 | 11.47 | .17 | (1.35) | (1.18) | — | — | — | — | — | 10.29 | (10.29) | 226,129 | .86d | 1.56d | 416 |
| October 31, 2019 | 11.39 | .27 | .18 | .45 | (.37) | — | —h | (.37) | — | 11.47 | 4.24 | 285,722 | .89d | 2.36d | 638 |
| October 31, 2018 | 12.34 | .23 | (.88) | (.65) | (.24) | (.06) | — | (.30) | —f | 11.39 | (5.43) | 357,330 | 1.02d,g | 1.96d | 479 |
| October 31, 2017 | 11.28 | .24 | .82 | 1.06 | — | — | — | — | — | 12.34 | 9.40 | 262,943 | 1.16 | 2.01 | 559 |
| October 31, 2016 | 12.45 | .25 | (.50) | (.25) | (.78) | (.12) | (.02) | (.92) | — | 11.28 | (1.81) | 316,497 | 1.19d | 2.21d | 578 |
| Class B | |||||||||||||||
| April 30, 2021** | $9.90 | (.01) | (.03) | (.04) | — | — | — | — | — | $9.86 | (.40)* | $6,239 | .80 *d | (.14)*d | 490* |
| October 31, 2020 | 11.12 | .09 | (1.31) | (1.22) | — | — | — | — | — | 9.90 | (10.97) | 9,037 | 1.61d | .85d | 416 |
| October 31, 2019 | 11.04 | .18 | .18 | .36 | (.28) | — | —h | (.28) | — | 11.12 | 3.48 | 16,092 | 1.64d | 1.62d | 638 |
| October 31, 2018 | 11.95 | .14 | (.86) | (.72) | (.13) | (.06) | — | (.19) | —f | 11.04 | (6.11) | 26,759 | 1.77d,g | 1.20d | 479 |
| October 31, 2017 | 11.01 | .15 | .79 | .94 | — | — | — | — | — | 11.95 | 8.54 | 23,289 | 1.91 | 1.30 | 559 |
| October 31, 2016 | 12.16 | .16 | (.47) | (.31) | (.70) | (.12) | (.02) | (.84) | — | 11.01 | (2.50) | 28,632 | 1.94d | 1.45d | 578 |
| Class C | |||||||||||||||
| April 30, 2021** | $9.86 | (.01) | (.02) | (.03) | — | — | — | — | — | $9.83 | (.30)* | $38,807 | .80*d | (.14) *d | 490* |
| October 31, 2020 | 11.08 | .09 | (1.31) | (1.22) | — | — | — | — | — | 9.86 | (11.01) | 73,200 | 1.61d | .86d | 416 |
| October 31, 2019 | 11.01 | .18 | .18 | .36 | (.29) | — | —h | (.29) | — | 11.08 | 3.47 | 139,156 | 1.64d | 1.62d | 638 |
| October 31, 2018 | 11.93 | .14 | (.86) | (.72) | (.14) | (.06) | — | (.20) | —f | 11.01 | (6.13) | 201,582 | 1.77d,g | 1.22d | 479 |
| October 31, 2017 | 10.99 | .15 | .79 | .94 | — | — | — | — | — | 11.93 | 8.55 | 151,075 | 1.91 | 1.29 | 559 |
| October 31, 2016 | 12.16 | .16 | (.48) | (.32) | (.71) | (.12) | (.02) | (.85) | — | 10.99 | (2.54) | 186,452 | 1.94d | 1.46d | 578 |
| Class P | |||||||||||||||
| April 30, 2021** | $10.39 | .05 | (.02) | .03 | — | — | — | — | — | $10.42 | .29 * | $299,616 | .22*d | .45*d | 490* |
| October 31, 2020 | 11.54 | .21 | (1.36) | (1.15) | — | — | — | — | — | 10.39 | (9.97) | 277,872 | .46d | 1.92d | 416 |
| October 31, 2019 | 11.47 | .31 | .18 | .49 | (.42) | — | —h | (.42) | — | 11.54 | 4.58 | 258,501 | .50d | 2.77d | 638 |
| October 31, 2018 | 12.42 | .29 | (.90) | (.61) | (.28) | (.06) | — | (.34) | —f | 11.47 | (5.03) | 220,539 | .63d,g | 2.42d | 479 |
| October 31, 2017 | 11.31 | .29 | .82 | 1.11 | — | — | — | — | — | 12.42 | 9.81 | 89,518 | .78 | 2.41 | 559 |
| October 31, 2016† | 11.25 | .04 | .02 | .06 | — | — | — | — | — | 11.31 | .53* | 71,489 | .14* | .39* | 578 |
| Class R | |||||||||||||||
| April 30, 2021** | $10.09 | .01 | (.02) | (.01) | — | — | — | — | — | $10.08 | (.10)* | $2,233 | .55*d | .12*d | 490* |
| October 31, 2020 | 11.27 | .14 | (1.32) | (1.18) | — | — | — | — | — | 10.09 | (10.47) | 2,607 | 1.11d | 1.33d | 416 |
| October 31, 2019 | 11.20 | .24 | .17 | .41 | (.34) | — | —h | (.34) | — | 11.27 | 3.93 | 3,746 | 1.14d | 2.13d | 638 |
| October 31, 2018 | 12.16 | .19 | (.86) | (.67) | (.23) | (.06) | — | (.29) | —f | 11.20 | (5.65) | 4,377 | 1.27d,g | 1.65d | 479 |
| October 31, 2017 | 11.15 | .20 | .81 | 1.01 | — | — | — | — | — | 12.16 | 9.06 | 4,597 | 1.41 | 1.73 | 559 |
| October 31, 2016 | 12.31 | .22 | (.49) | (.27) | (.75) | (.12) | (.02) | (.89) | — | 11.15 | (2.05) | 1,861 | 1.44d | 1.96d | 578 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 68 Multi-Asset Absolute Return Fund | Multi-Asset Absolute Return Fund 69 |
Financial highlights cont.
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||||
| Ratio of net | |||||||||||||||
| Net asset | Net | Net realized | Ratio of | investment | |||||||||||
| value, | investment | and unrealized | Total from | From net | From net | Non-recurring | Net asset | Total return | Net assets, | expenses | income (loss) | Portfolio | |||
| beginning | income | gain (loss) on | investment | investment | realized gain | From return | Total | reimburse- | value, end | at net asset | end of period | to average | to average | turnover | |
| Period ended | of period | (loss)a | investments | operations | income | on investments | of capital | distributions | ments | of period | value (%) b | (in thousands) | net assets (%)c | net assets (%) | (%)e |
| Class R6 | |||||||||||||||
| April 30, 2021** | $10.42 | .04 | (.02) | .02 | — | — | — | — | — | $10.44 | .19 * | $27,312 | .24*d | .42*d | 490* |
| October 31, 2020 | 11.58 | .21 | (1.37) | (1.16) | — | — | — | — | — | 10.42 | (10.02) | 10,764 | .50d | 1.93d | 416 |
| October 31, 2019 | 11.50 | .31 | .18 | .49 | (.41) | — | —h | (.41) | — | 11.58 | 4.60 | 13,717 | .54d | 2.73d | 638 |
| October 31, 2018 | 12.45 | .27 | (.88) | (.61) | (.28) | (.06) | — | (.34) | —f | 11.50 | (5.06) | 13,971 | .67d,g | 2.29d | 479 |
| October 31, 2017 | 11.35 | .28 | .82 | 1.10 | — | — | — | — | — | 12.45 | 9.69 | 9,071 | .82 | 2.37 | 559 |
| October 31, 2016 | 12.51 | .29 | (.49) | (.20) | (.82) | (.12) | (.02) | (.96) | — | 11.35 | (1.40) | 7,817 | .85d | 2.54d | 578 |
| Class Y | |||||||||||||||
| April 30, 2021** | $10.36 | .04 | (.02) | .02 | — | — | — | — | — | $10.38 | .19 * | $113,321 | .30*d | .38*d | 490* |
| October 31, 2020 | 11.52 | .21 | (1.37) | (1.16) | — | — | — | — | — | 10.36 | (10.07) | 195,984 | .61d | 1.89d | 416 |
| October 31, 2019 | 11.45 | .30 | .17 | .47 | (.40) | — | —h | (.40) | — | 11.52 | 4.39 | 409,994 | .64d | 2.61d | 638 |
| October 31, 2018 | 12.40 | .26 | (.88) | (.62) | (.27) | (.06) | — | (.33) | —f | 11.45 | (5.16) | 679,839 | .77d,g | 2.19d | 479 |
| October 31, 2017 | 11.31 | .27 | .82 | 1.09 | — | — | — | — | — | 12.40 | 9.64 | 622,673 | .91 | 2.29 | 559 |
| October 31, 2016 | 12.47 | .28 | (.49) | (.21) | (.81) | (.12) | (.02) | (.95) | — | 11.31 | (1.48) | 602,704 | .94d | 2.47d | 578 |
* Not annualized.
** Unaudited.
† For the period August 31, 2016 (commencement of operations) to October 31, 2016.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects a voluntary waiver of certain fund expenses in effect during the period. As a result of such waivers, the expenses of each class reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
| 4/30/21 | 10/31/20 | 10/31/19 | 10/31/18 | 10/31/16 | |||
| Class A | 0.02% | 0.04% | 0.03% | 0.02% | <0.01% | ||
| Class B | 0.02 | 0.04 | 0.03 | 0.02 | <0.01 | ||
| Class C | 0.02 | 0.04 | 0.03 | 0.02 | <0.01 | ||
| Class P | 0.02 | 0.04 | 0.03 | 0.02 | — | ||
| Class R | 0.02 | 0.04 | 0.03 | 0.02 | <0.01 | ||
| Class R6 | 0.02 | 0.04 | 0.03 | 0.02 | <0.01 | ||
| Class Y | 0.02 | 0.04 | 0.03 | 0.02 | <0.01 |
e Portfolio turnover includes TBA purchase and sale commitments.
f Reflects a non-recurring reimbursement pursuant to a settlement between the Securities and Exchange Commission (the SEC) and Barclay’s Capital Inc. which amounted to less than $0.01 per share outstanding on November 20, 2017.
g Includes one-time merger costs of 0.01%.
h Amount represents less than $0.01 per share.
i Amount represents less than 0.01%.
The accompanying notes are an integral part of these financial statements.
| 70 Multi-Asset Absolute Return Fund | Multi-Asset Absolute Return Fund 71 |
Notes to financial statements 4/30/21 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from November 1, 2020 through April 30, 2021.
Putnam Multi-Asset Absolute Return 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 positive total return. In pursuing a positive total return, the fund’s strategies are generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. The fund aims to accomplish this objective by combining “directional” strategies and “non-directional” strategies. The directional strategies seek efficient, diversified exposure to investment markets. They also seek to balance risk and provide positive total return by investing, without limit, in many different asset classes, including U.S., international, and emerging markets equity securities (growth or value stocks or both) and fixed-income securities; mortgage- and asset-backed securities; below-investment-grade securities (sometimes referred to as “junk bonds”); inflation-protected securities; commodities; and real estate investment trusts (REITs). The non-directional strategies aim to provide positive returns that have minimal correlation with traditional asset classes, such as equities or equity-like investments. The non-directional strategies are generally implemented using paired long and short positions in an effort to capitalize on long-term market inefficiencies and short-term opportunities. The non-directional strategies may involve the use of active trading strategies, currency transactions and options transactions.
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. The fund typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, to a significant extent for hedging purposes and to increase the fund’s exposure to the asset classes and strategies mentioned above, which may create investment leverage.
The fund offers class A, class B, class C, class P, class R, class R6 and class Y shares. 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 P, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately eight years. Prior to March 1, 2021, class C shares generally converted 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 P, 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 P and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class P shares are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
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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 and total return swaps taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific
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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, if any, 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.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to 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 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
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originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s 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.
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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 and to gain exposure to specific sectors or industries.
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 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.
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In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged 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.
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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 $40,526,900 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $41,866,599 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 $52,691,058 and the value of securities loaned amounted to $51,103,063.
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 Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate 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 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.
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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 October 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 |
| $47,750,266 | $25,760,671 | $73,510,937 |
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 aggregate identified cost on a tax basis is $855,684,410, resulting in gross unrealized appreciation and depreciation of $109,175,932 and $78,395,481, respectively, or net unrealized appreciation of $30,780,451.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
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 (base fee) (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Effective April 30, 2018, 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. |
Prior to April 30, 2018, the annual rates were as follows:
| 1.030% | of the first $5 billion, | 0.830% | of the next $50 billion, | |
| 0.980% | of the next $5 billion, | 0.810% | of the next $50 billion, | |
| 0.930% | of the next $10 billion, | 0.800% | of the next $100 billion and | |
| 0.880% | of the next $10 billion, | 0.795% | of any excess thereafter. |
The applicable base fee is increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease is calculated monthly based on a performance adjustment rate that is equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by Putnam Absolute Return 500 Fund’s class A shares for periods prior to April 30, 2018 and by the fund’s class A shares for periods thereafter) and the annualized performance of the ICE BofA U.S. Treasury Bill Index plus 5.00% over the thirty-six month period then ended (the “performance period”). The maximum annualized performance adjustment rate is +/–0.20%. Each month, the performance adjustment rate is multiplied by the fund’s combined average net assets (calculated as the combined average net assets of Putnam Absolute Return 500 Fund and the fund for periods prior to April 30, 2018 and as the fund’s average net assets for periods thereafter) over the performance period and the result is divided by twelve. The resulting dollar amount is added to, or subtracted from, the base fee for that
| Multi-Asset Absolute Return Fund 79 |
month. The monthly base fee is determined based on the fund’s average net assets for the month, while the performance adjustment is determined based on the fund’s combined average net assets over the performance period of up to thirty-six months. This means it is possible that, if the fund underperforms significantly over the performance period, and the fund’s assets have declined significantly over that period, the negative performance adjustment may exceed the base fee. In this event, Putnam Management would make a payment to the fund.
Prior to April 30, 2018, the applicable base fee was increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease was calculated monthly based on a performance adjustment rate that was equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by the fund’s class A shares) and the annualized performance of the ICE BofA U.S. Treasury Bill Index plus 7.00% over the thirty-six month period then ended (the “performance period”). The maximum annualized performance adjustment rate was +/- 0.28%. Each month, the performance adjustment rate was multiplied by the fund’s average net assets over the performance period and the result is divided by twelve. The resulting dollar amount was added to, or subtracted from, the base fee for that month. The monthly base fee was determined based on the fund’s average net assets for the month, while the performance adjustment was determined based on the fund’s average net assets over the performance period of up to thirty-six months.
The management contract also provides for a reduction of the management fee for the fund in any circumstance where the fee payable by the fund is higher than what the management fee would have been under the prior fee schedule in effect for the fund prior to the funds merger with Putnam Absolute Return 500 Fund on April 30, 2018 (the “Prior Management Contract”). Under those circumstances, Putnam Management has agreed to reduce its management fee to reflect the lower amount that would have been payable under the Prior Management Contract.
Because the performance adjustment is based on the fund’s performance relative to its applicable benchmark index, and not its absolute performance, the performance adjustment could increase Putnam Management’s fee even if the fund’s shares lose value during the performance period provided that the fund outperformed its benchmark index, and could decrease Putnam Management’s fee even if the fund’s shares increase in value during the performance period provided that the fund underperformed its benchmark index.
For the reporting period, the management fee represented an effective rate (excluding the impact of any expense waiver in effect) of 0.186% of the fund’s average net assets, which included an effective base fee of 0.354% and a decrease of 0.168% ($1,232,369) based on performance.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through February 28, 2022, to the extent that the total expenses of the fund (before any applicable performance-based upward or downward adjustments to the fund’s management fee and excluding payments under the fund’s distribution plans, brokerage, interest, taxes, investor servicing fees, investment-related expenses, extraordinary expenses, and acquired fund fees and expenses) would exceed an annual rate of 0.77% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $132,169 as a result of this limit.
Putnam Management has also contractually agreed, through February 28, 2022, 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 not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
| 80 Multi-Asset Absolute Return Fund |
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 R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%. 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 | $187,283 | Class R | 2,019 | |
| Class B | 6,789 | Class R6 | 6,469 | |
| Class C | 50,634 | Class Y | 124,195 | |
| Class P | 14,377 | Total | $391,766 |
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. For the reporting period, the fund’s expenses were reduced by $4,229 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $459, 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% | $261,806 |
| Class B | 1.00% | 1.00% | 38,081 |
| Class C | 1.00% | 1.00% | 284,821 |
| Class R | 1.00% | 0.50% | 5,644 |
| Total | $590,352 |
| Multi-Asset Absolute Return Fund 81 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $6,369 from the sale of class A shares and received $354 and $1,028 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 $130 on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
| Investments in securities, including TBA commitments (Long-term) | $2,667,601,881 | $2,939,957,889 |
| U.S. government securities (Long-term) | — | — |
| Total | $2,667,601,881 | $2,939,957,889 |
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:
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 2,323,115 | $23,799,339 | 3,781,573 | $41,210,635 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 2,323,115 | 23,799,339 | 3,781,573 | 41,210,635 | |
| Shares repurchased | (4,989,065) | (51,365,473) | (6,715,405) | (72,525,305) |
| Net decrease | (2,665,950) | $(27,566,134) | (2,933,832) | $(31,314,670) |
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | 1,121 | $11,105 | 1,640 | $17,850 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 1,121 | 11,105 | 1,640 | 17,850 | |
| Shares repurchased | (281,409) | (2,789,060) | (536,444) | (5,621,200) |
| Net decrease | (280,288) | $(2,777,955) | (534,804) | $(5,603,350) |
| 82 Multi-Asset Absolute Return Fund |
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | 51,026 | $503,208 | 209,619 | $2,201,487 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 51,026 | 503,208 | 209,619 | 2,201,487 | |
| Shares repurchased | (3,523,262) | (34,590,922) | (5,351,053) | (55,880,946) |
| Net decrease | (3,472,236) | $(34,087,714) | (5,141,434) | $(53,679,459) |
| YEAR ENDED 10/31/20* | ||||
| Class M | Shares | Amount | ||
| Shares sold | 166 | $1,834 | ||
| Shares issued in connection with reinvestment of distributions | — | — | ||
| 166 | 1,834 | |||
| Shares repurchased | (566,186) | (6,211,429) | ||
| Net decrease | (566,020) | $(6,209,595) | ||
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class P | Shares | Amount | Shares | Amount |
| Shares sold | 14,752,937 | $153,251,875 | 36,369,149 | $389,443,438 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 14,752,937 | 153,251,875 | 36,369,149 | 389,443,438 | |
| Shares repurchased | (12,721,554) | (131,949,107) | (32,033,437) | (341,892,105) |
| Net increase | 2,031,383 | $21,302,768 | 4,335,712 | $47,551,333 |
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | 30,529 | $308,523 | 12,247 | $131,079 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 30,529 | 308,523 | 12,247 | 131,079 | |
| Shares repurchased | (67,305) | (680,429) | (86,156) | (896,136) |
| Net decrease | (36,776) | $(371,906) | (73,909) | $(765,057) |
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 2,062,529 | $21,436,140 | 334,908 | $3,737,256 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 2,062,529 | 21,436,140 | 334,908 | 3,737,256 | |
| Shares repurchased | (479,570) | (4,982,124) | (487,051) | (5,310,883) |
| Net increase (decrease) | 1,582,959 | $16,454,016 | (152,143) | $(1,573,627) |
| Multi-Asset Absolute Return Fund 83 |
| SIX MONTHS ENDED 4/30/21 | YEAR ENDED 10/31/20 | |||
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 908,415 | $9,426,643 | 6,413,934 | $69,737,986 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 908,415 | 9,426,643 | 6,413,934 | 69,737,986 | |
| Shares repurchased | (8,899,204) | (92,440,968) | (23,084,310) | (250,616,388) |
| Net decrease | (7,990,789) | $(83,014,325) | (16,670,376) | $(180,878,402) |
* 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, the Putnam RetirementReady Funds owned 43.3% of the outstanding shares of the fund.
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Shares | |||||
| outstanding | |||||
| and fair | |||||
| Fair value as | Purchase | Sale | Investment | value as | |
| Name of affiliate | of 10/31/20 | cost | proceeds | income | of 4/30/21 |
| Short-term investments | |||||
| Putnam Cash Collateral | |||||
| Pool, LLC* | $54,965,683 | $399,369,246 | $401,643,871 | $29,189 | $52,691,058 |
| Putnam Short Term | |||||
| Investment Fund** | 194,264,638 | 36,982,472 | 65,291,880 | 126,265 | 165,955,230 |
| Total Short-term | |||||
| investments | $249,230,321 | $436,351,718 | $466,935,751 | $155,454 | $218,646,288 |
* 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.
| 84 Multi-Asset Absolute Return Fund |
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. In November 2020, this date was extended until June 30, 2023 for certain widely followed tenors (overnight and 1-, 3-, 6-, and 12-month U.S. dollar LIBOR). 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 June 30, 2023.
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.
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $62,000 |
| Purchased currency option contracts (contract amount) | $32,900,000 |
| Purchased swap option contracts (contract amount) | $29,500,000 |
| Written currency option contracts (contract amount) | $31,200,000 |
| Written swap option contracts (contract amount) | $25,800,000 |
| Futures contracts (number of contracts) | 6,000 |
| Forward currency contracts (contract amount) | $688,800,000 |
| Centrally cleared interest rate swap contracts (notional) | $258,200,000 |
| OTC total return swap contracts (notional) | $1,861,700,000 |
| Centrally cleared total return swap contracts (notional) | $93,400,000 |
| OTC credit default contracts (notional) | $191,300,000 |
| Centrally cleared credit default contracts (notional) | $189,800,000 |
| Warrants (number of warrants) | 3,700,000 |
| Multi-Asset Absolute Return Fund 85 |
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 | $17,000,818* | Unrealized depreciation | $51,287,978* |
| Foreign exchange | ||||
| contracts | Receivables | 3,765,689 | Payables | 3,623,945 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Equity contracts | appreciation | 29,484,330* | Unrealized depreciation | 20,363,966* |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 1,680,085* | Unrealized depreciation | 9,142,262* |
| Total | $51,930,922 | $84,418,151 | ||
* 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.
| 86 Multi-Asset Absolute Return 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 | $— | $— | $— | $— | $(4,775,619) | $(4,775,619) |
| Foreign exchange | ||||||
| contracts | — | (480,390) | — | 2,398,477 | — | 1,918,087 |
| Equity contracts | 5,373,788 | (4,799,764) | (10,866,706) | — | (34,137,391) | (44,430,073) |
| Interest rate | ||||||
| contracts | — | 605,592 | (21,395,311) | — | 2,563,527 | (18,226,192) |
| Total | $5,373,788 | $(4,674,562) | $(32,262,017) | $2,398,477 | $(36,349,483) | $(65,513,797) |
| 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 | $— | $— | $— | $— | $7,476,769 | $7,476,769 |
| Foreign exchange | ||||||
| contracts | — | 721,275 | — | (608,968) | — | 112,307 |
| Equity contracts | (3,782,942) | 1,432,482 | (4,987,141) | — | 9,177,124 | 1,839,523 |
| Interest rate | ||||||
| contracts | — | (385,474) | (884,494) | — | (3,559,832) | (4,829,800) |
| Total | $(3,782,942) | $1,768,283 | $(5,871,635) | $(608,968) | $13,094,061 | $4,598,799 |
| Multi-Asset Absolute Return Fund 87 |
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. | Barclays Bank PLC |
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§ | $— | $— | $ 69,061 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $ 69,061 |
| OTC Total return | |||||||||||||||||||
| swap contracts*# | 7,767,730 | 34,254 | — | — | 1,108,686 | — | 2,225 | 845,111 | — | 3,841,262 | 10,400 | — | — | — | — | — | 2,657,432 | — | 16,267,100 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 142,444 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 142,444 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | — | 925,541 | 1,334,822 | 883,397 | — | — | 3,373,076 | 444,257 | 823,525 | — | — | — | — | — | 7,784,618 |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | 61,574 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 61,574 |
| Futures contracts§ | — | — | — | 507,537 | — | — | — | — | — | — | 161,788 | — | — | — | — | — | — | — | 669,325 |
| Forward currency contracts# | 163,338 | 832 | — | — | 177,327 | — | 60,547 | 615,415 | 144,851 | 189,703 | — | — | 382,522 | 56,155 | 1,395,609 | 195,420 | 317,561 | 66,409 | 3,765,689 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 52,201 | — | — | — | — | — | — | 2,869 | — | 35,253 | — | — | — | — | — | — | — | — | 90,323 |
| Purchased swap options**# | — | 90,469 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 90,469 |
| Total Assets | $7,983,269 | $125,555 | $273,079 | $507,537 | $1,286,013 | $925,541 | $1,397,594 | $2,346,792 | $144,851 | $4,066,218 | $3,545,264 | $444,257 | $1,206,047 | $56,155 | $1,395,609 | $195,420 | $2,974,993 | $66,409 | $28,940,603 |
| Liabilities: | |||||||||||||||||||
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | — | — | 187,981 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 187,981 |
| OTC Total return | |||||||||||||||||||
| swap contracts*# | 9,265,459 | 39,890 | — | — | 2,620,068 | — | 165,918 | 1,237,015 | — | — | 1,312 | — | — | — | — | — | 2,073,723 | — | 15,403,385 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 74,892 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 74,892 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection sold*# | 119,822 | 370,108 | — | — | — | 4,947,198 | 12,158,739 | 6,461,034 | — | — | 14,343,928 | 4,314,583 | 1,369,197 | — | — | — | — | — | 44,084,609 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Futures contracts§ | — | — | — | 824,210 | — | — | — | — | — | — | 42,890 | — | — | — | — | — | — | — | 867,100 |
| Forward currency contracts# | 91,484 | 320,026 | — | — | 76,250 | — | 46,709 | 352,366 | 228,901 | 252,477 | — | — | 430,344 | 361,438 | 481,416 | 344,477 | 602,465 | 35,592 | 3,623,945 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 168,117 | — | — | — | — | — | — | 8,095 | — | 105,200 | — | — | — | — | — | — | — | — | 281,412 |
| Written swap options# | — | 179,392 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 179,392 |
| Total Liabilities | $9,644,882 | $909,416 | $262,873 | $824,210 | $2,696,318 | $4,947,198 | $12,371,366 | $8,058,510 | $228,901 | $357,677 | $14,388,130 | $4,314,583 | $1,799,541 | $361,438 | $481,416 | $344,477 | $2,676,188 | $35,592 | $64,702,716 |
| 88 Multi-Asset Absolute Return Fund | Multi-Asset Absolute Return Fund 89 |
| 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 | |
| Total Financial and Derivative | |||||||||||||||||||
| Net Assets | $(1,661,613) | $(783,861) | $10,206 | $(316,673) | $(1,410,305) | $(4,021,657) | $(10,973,772) | $(5,711,718) | $(84,050) | $3,708,541 | $(10,842,866) | $(3,870,326) | $(593,494) | $(305,283) | $914,193 | $(149,057) | $298,805 | $30,817 | $(35,762,113) |
| Total collateral | |||||||||||||||||||
| received (pledged)†## | $(1,529,913) | $(783,861) | $— | $— | $(1,410,305) | $(4,021,657) | $(10,973,772) | $(5,413,805) | $— | $3,708,541 | $(10,842,866) | $(3,870,326) | $(465,000) | $(301,983) | $605,286 | $(132,990) | $(212,000) | $— | |
| Net amount | $(131,700) | $— | $10,206 | $(316,673) | $— | $— | $— | $(297,913) | $(84,050) | $— | $— | $— | $(128,494) | $(3,300) | $308,907 | $(16,067) | $510,805 | $30,817 | |
| Controlled collateral received | |||||||||||||||||||
| (including TBA commitments)** | $— | $— | $— | $— | $— | $— | $— | $— | $— | $4,643,000 | $— | $— | $— | $— | $605,286 | $— | $— | $— | $5,248,286 |
| Uncontrolled collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral (pledged) (including | |||||||||||||||||||
| TBA commitments)** | $(1,529,913) | $(785,943) | $— | $— | $(2,193,789) | $(4,049,964) | $(11,878,644) | $(5,413,805) | $— | $— | $(11,028,605) | $(3,873,963) | $(465,000) | $(301,983) | $— | $(132,990) | $(212,000) | $— | $(41,866,599) |
* 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 $9,202,000 and $8,374,818, respectively.
Note 9: New accounting pronouncements
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this provision.
| 90 Multi-Asset Absolute Return Fund | Multi-Asset Absolute Return Fund 91 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| 92 Multi-Asset Absolute Return 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-Advisors | 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 | |
| The Putnam Advisory Company, LLC | Mona K. Sutphen | Compliance Officer |
| 100 Federal Street | ||
| Boston, MA 02110 | Officers | Susan G. Malloy |
| Robert L. Reynolds | Vice President and | |
| Marketing Services | President | Assistant Treasurer |
| Putnam Retail Management | ||
| 100 Federal Street | Robert T. Burns | Denere P. Poulack |
| Boston, MA 02110 | Vice President and | Assistant Vice President, Assistant |
| Chief Legal Officer | Clerk, and Assistant Treasurer | |
| Custodian | ||
| State Street Bank | James F. Clark | Janet C. Smith |
| and Trust Company | Vice President, Chief Compliance | Vice President, |
| Officer, and Chief Risk Officer | Principal Financial Officer, | |
| Legal Counsel | Principal Accounting Officer, | |
| Ropes & Gray LLP | Nancy E. Florek | and Assistant Treasurer |
| Vice President, Director of | ||
| Proxy Voting and Corporate | Mark C. Trenchard | |
| Governance, Assistant Clerk, | Vice President | |
| and Assistant Treasurer |
This report is for the information of shareholders of Putnam Multi-Asset Absolute Return Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 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 Investment Companies: |
| Not Applicable |
| Item 13. Exhibits: |
| (a)(1) Not applicable |
| (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: June 28, 2021 |
| 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: June 28, 2021 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: June 28, 2021 |