N-CSR 1 a_assetallocationfunds.htm PUTNAM DYNAMIC ASSET ALLOCATION FUNDS a_assetallocationfunds.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number: (811-07121)
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2012
Date of reporting period: October 1, 2011 — September 30, 2012



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam Dynamic
Asset Allocation
Growth Fund

Annual report
9 | 30 | 12

Message from the Trustees  1 
About the fund  2 
Performance snapshot  4 
Interview with your fund’s portfolio manager  5 
Your fund’s performance  11 
Your fund’s expenses  13 
Terms and definitions  16 
Other information for shareholders  17 
Trustee approval of management contract  18 
Financial statements  23 
Federal tax information  119 
About the Trustees  120 
Officers  122 

Consider these risks before investing: International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Investments in small and/or midsize companies increase the risk of greater price fluctuations. 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. Our allocation of assets among permitted asset categories may hurt performance. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk, which means the prices of the fund’s bond investments are likely to fall if interest rates rise. Bond investments also are subject to credit risk, which is the risk that the issuer of the bond may default on payment of interest or principal. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds, which may be considered speculative. Unlike bonds, funds that invest in bonds have ongoing fees and expenses. The prices of stocks and bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including both general financial market conditions and factors related to a specific issuer or industry. The use of derivatives may increase these risks by increasing investment exposure (which may be considered leverage) or, in the case of over-the-counter instruments, because of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.


Message from the Trustees

Dear Fellow Shareholder:

Coordinated action by central banks on both sides of the Atlantic helped lift both equity and fixed-income markets this year. Global markets continue to show signs of vulnerability, however, with investors growing more concerned about economic slowdowns in the United States, Europe, and emerging markets, particularly China. The outcome of the U.S. presidential election and the impending “fiscal cliff” are additional sources of potential volatility.

Putnam’s veteran investment team relies on fundamental research and experienced judgment to seek opportunities and manage risk in this environment. In the same way, it is prudent for long-term investors to rely on the expertise of a trusted financial advisor, who can help you work toward your financial goals.

We would like to take this opportunity to announce the arrival of two new Trustees, Liaquat Ahamed and Katinka Domotorffy, CFA, to your fund’s Board of Trustees. Mr. Ahamed, who in 2010 won the Pulitzer Prize for History with his book, Lords of Finance: The Bankers Who Broke the World, also serves on the Board of Aspen Insurance and the Board of the Rohatyn Group, an emerging-market fund complex that manages money for institutional investors.

Ms. Domotorffy, who until year-end 2011 was a Partner, Chief Investment Officer, and Global Head of Quantitative Investment Strategies at Goldman Sachs Asset Management, currently serves as a member of the Anne Ray Charitable Trust’s Investment Committee, Margaret A. Cargill Philanthropies, and director for Reach Out and Read of Greater New York, an organization dedicated to promoting early childhood literacy.

We would also like to extend a welcome to new shareholders of the fund and to thank all of our investors for your continued confidence in 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 pages 5 and 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

* Putnam Growth Blended Benchmark comprises 60% Russell 3000 Index, 15% MSCI EAFE Index (ND), 15% Barclays U.S. Aggregate Bond Index, 5% JPMorgan Developed High Yield Index, and 5% MSCI EMF Index (ND).

† The fund’s secondary benchmark, the Putnam Growth Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

4    Dynamic Asset Allocation Growth Fund 

 


Interview with your fund’s portfolio manager


Jeff, after robust market gains in the first half of the fund’s fiscal year, the second half of the reporting period was much more subdued. What caused this transition?

It’s important to remember the backdrop. Three large macroeconomic risks loomed throughout the past year: Investors feared a double-dip recession in the United States, a credit-market crisis in Europe, and the possibility of a hard economic landing in China. These fears generally dominated markets at the outset of the year, and as data and investor sentiment changed in subsequent months, market performance seesawed.

A rally began in the final months of calendar year 2011 on signs of relatively strong growth in the U.S. economy and action by the European Central Bank [ECB] in November 2011 to address its combined banking and sovereign debt crisis. The climate changed later, however, when investors recognized a real slowing in the pace of economic growth in the United States and the world. Real U.S. GDP grew at a 4.1% rate in the final three months of 2011, but only half that pace in the first three months of 2012. Market volatility jumped, and the prices of stocks and commodities retreated. This downward trend remained in place until the closing months of the fiscal year. Markets rose again in August and September, when central banks acted to provide additional policy actions targeting stronger, more stable growth.


This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/12. See pages 4 and 11–13 for additional fund performance information. Index descriptions can be found on pages 16–17.

Dynamic Asset Allocation Growth Fund  5 

 


Did you change the fund’s positions when market conditions deteriorated?

We employed the fund’s flexibility to adjust weightings to some degree, while still maintaining the standard, broad diversification that is an essential part of the fund’s philosophy. For example, as the fiscal year began in October 2011, the fund had an underweight to international equities. The sovereign debt risk in the eurozone created the possibility that a bank would become insolvent and cause a widespread deleveraging crisis as in the Lehman Brothers’ collapse in 2008. In November, the ECB helped to reduce this risk by introducing the Long-Term Refinancing Operation to provide banks with short-term funding.

By January, we had changed our defensive posture to take on more risk, and this matched the sentiment of the period. The fund benefited from robust advances in the stock market, including Europe, and from the solid performance of high-yield securities. After big gains through March lifted market valuations, we moderated the stance again, particularly with regard to commodities. This move helped the fund avoid a major slide in commodities prices. A variety of factors can influence commodity performance, but softening demand in China played a role in the past year.

What were the strengths and weaknesses in fund performance for the year as a whole?

Dynamic Asset Allocation Growth Fund’s solid absolute and relative performance can be attributed to several sources. U.S. high-yield securities contributed significantly. We favored this sector because we believed it offered an unusual combination of attractive yield spreads and solid corporate credit fundamentals. The corporate default rate has remained below its historical average in the past couple of years, and we think this may continue. We establish the high-yield exposures with direct security investments as well as with derivatives. For example, we can own credit default swaps to hedge credit risk


Allocations are represented as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, and the exclusion of as-of trades, if any. Holdings and allocations may vary over time.

6    Dynamic Asset Allocation Growth Fund 

 


and market risk, or gain exposures to certain securities or groups of securities.


For the year as a whole, the high-yield sector significantly outperformed government bond sectors, where we generally maintained an underweight position. These sectors have performed well in recent years and offered relatively little total return performance potential, we believed, relative to their vulnerability to rising interest rates. Government bonds are attractive primarily because they tend to be less volatile than risk assets and have the potential to help stabilize fund performance.

Our stock selection decisions within our equity weightings also helped performance. This was true across a variety of stocks, including large caps and small caps, and growth and value styles. Our results were somewhat stronger in the United States, while our international positions had more mixed results, given the ups and downs of these markets. For the year, U.S. stocks significantly outperformed international stocks, in both developed and developing markets. In addition to owning equity securities, we can use futures contracts to manage exposure to market risk or to equitize cash holdings, and we can use options to enhance returns on securities in the portfolio. As the U.S. dollar generally appreciated against other major currencies during the period, the fund had a variety of hedging positions in an effort to reduce foreign exposure risk or to gain exposure to particular currencies.

One area of weakness involved our positioning in non-agency mortgage-backed securities, which experienced periods of poor performance when the fear of a deleveraging event in Europe was particularly


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 9/30/12. Short-term holdings, TBA commitments, and derivatives are excluded. Holdings will vary over time.

Dynamic Asset Allocation Growth Fund    7 

 


high. This was the case early in the period and again during the downturn during the spring months. They have since rallied and we believe are poised to benefit as the Fed’s efforts to add liquidity to the mortgage-backed securities market have apparently increased the risk appetite of investors.

To seek to manage risks in this and other fixed-income sectors, the fund can invest in interest-rate swaps with the goals of hedging interest-rate risk, gaining exposure to rates, or hedging prepayment risk. Futures contracts can also be used to hedge prepayment or interest-rate risks, or to gain rate exposures.

Could you discuss the recent interventions by central banks around the world?

The Fed is trying to boost employment, and the ECB appears committed to preserving the euro. In September, the Fed launched “QE3” — a program that will increase mortgage bond purchases to $85 billion per month until economic data improve. Similarly, the ECB has deployed its balance sheet to make unlimited purchases of sovereign bonds, which will likely help protect the euro by lowering the borrowing costs of heavily indebted governments, particularly Spain and Italy.

What effects do you think these central bank policies will have on financial markets, and on economic growth rates?

In the Fed’s previous efforts with QE1, QE2, and Operation Twist, the benefits were temporary, they influenced markets more than the economy, and the influence of each successive intervention lasted for a shorter length of time.

However, the latest measure may defy this trend, because the ECB is acting at the same time. The ECB has substantial heft, governing monetary policy for a 17-nation, $12.6 trillion economy, which is nearly as large as the $15.6 trillion U.S. economy.

I would add that, while monetary policy intervention can affect market conditions, it cannot change the fact that governments around the world must still take measures


This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any. Holdings will vary over time.

8    Dynamic Asset Allocation Growth Fund 

 


to deleverage their balance sheets. Many governments absorbed a huge amount of bad debt created during the previous credit cycle in order to mitigate the economic impact of the financial crisis. They are now faced with reducing this debt burden. By its nature, deleveraging is a contractionary force. Monetary policy can delay, and to some extent help alleviate, the pain, but we believe it’s likely that economic growth will remain sluggish.

When you look across stocks, bonds, and commodities, which asset classes offer the most attractive return potential?

We are currently disposed toward increasing tactical equity risk. We believe the recent actions by the Fed and the ECB have made investors generally more inclined to favor risk assets.

A second reason we are inclined to favor equities is that we are pessimistic about government bonds. We have observed during the Fed’s previous quantitative easing programs that yields on interest-rate-sensitive bonds rose. We believe this might happen again, as suggested by periods of rising yields that we saw during the summer months as talk of QE3 increased.

Aside from their potential volatility, however, plain-vanilla government bonds are unattractive to us because we believe they offer low return potential. Yields are low and at times have fallen to negative levels in inflation-adjusted terms. In relatively safe countries, including the United States and Germany, government bond yields today reflect a great deal of investor fear rather than a rational assessment of investment opportunities, we believe.

What risks are likely to influence financial markets?

The United States faces a fiscal contraction, or “cliff,” that would occur in 2013 if currently scheduled federal budget cuts and tax

A word 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 forward currency 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 some types of derivatives, Putnam also seeks to mitigate the level of ongoing counterparty credit risk by entering into collateral agreements with counterparties that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.

Dynamic Asset Allocation Growth Fund    9 

 


increases go into effect. While we expect that the government will act to alter the slated changes, even a mild fiscal contraction would hurt an economy that has struggled to maintain a 2% growth rate.

Also, we have concern about inflation risk as a consequence of expansive monetary policies in the United States and other regions of the world. If inflation were to rise, we would be inclined to shift from a neutral position to an overweight in commodities, an asset class that can serve as an inflation hedge.

Thank you, Jeff, 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.

Portfolio Manager Jeffrey L. Knight is Head of Global Asset Allocation at Putnam. He holds an M.B.A. from the Tuck School of Business at Dartmouth College and a B.A. from Colgate University. A CFA charterholder, he joined Putnam in 1993 and has been in the investment industry since 1987.

In addition to Jeff, your fund’s portfolio managers are James A. Fetch; Robert J. Kea, CFA; Joshua B. Kutin, CFA; Robert J. Schoen; and Jason R. Vaillancourt, CFA.

IN THE NEWS

Global economic growth is losing steam, according to the International Monetary Fund (IMF), with the majority of the world’s advanced economies expected to contract in 2012, or expand at anemic rates of less than 2%. Several issues are challenging economic growth, including Europe’s sovereign debt troubles, the impending “fiscal cliff” in the United States, and high unemployment in various economies. Unless leaders take meaningful steps to address these issues, the current global economic expansion may slow to the weakest level since 2009’s Great Recession. These issues are weighing increasingly on the global economy. In July, the IMF predicted that global growth would be 3.5% in 2012, rising to 3.9% in 2013, but now, in its recently released World Economic Outlook, the IMF has revised its growth forecasts downwards, to growth of just 3.3% this year, and 3.6% in 2013.

10    Dynamic Asset Allocation Growth Fund 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2012, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R5, 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 9/30/12

  Class A  Class B  Class C  Class M  Class R  Class R5*   Class R6*  Class Y 
(inception dates)  (2/8/94)  (2/16/94)  (9/1/94)  (2/3/95)  (1/21/03)  (7/2/12)  (7/2/12)  (7/14/94) 
  Before  After          Before  After  Net  Net  Net  Net 
  sales   sales  Before  After  Before  After  sales  sales  asset  asset  asset  asset 
charge  charge  CDSC  CDSC  CDSC  CDSC  charge  charge  value  value  value  value 
Annual average                         
(life of fund)  7.05%  6.71%  6.26%  6.26%  6.22%  6.22%  6.51%  6.31%  6.76%  7.69%  7.69%  7.31% 
10 years  119.30  106.67  103.86  103.86  103.54  103.54  108.60  101.40  113.20  124.43  124.43  124.43 
Annual average  8.17  7.53  7.38  7.38  7.37  7.37  7.63  7.25  7.86  8.42  8.42  8.42 
5 years  3.44  –2.49  –0.19  –1.97  –0.27  –0.27  1.00  –2.54  1.89  4.65  4.65  4.65 
Annual average  0.68  –0.50  –0.04  –0.40  –0.05  –0.05  0.20  –0.51  0.38  0.91  0.91  0.91 
3 years  32.72  25.12  29.87  26.87  29.73  29.73  30.74  26.21  31.61  33.64  33.64  33.64 
Annual average  9.90  7.76  9.10  8.26  9.06  9.06  9.35  8.07  9.59  10.15  10.15  10.15 
1 year  25.24  18.02  24.43  19.43  24.37  23.37  24.74  20.42  25.00  25.58  25.58  25.58 

* Performance for class R5 and R6 shares, which for periods prior to their inception is derived from the historical performance of class Y shares (as described below), is shown only since 7/14/94 (the inception date of class Y).

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Class R5 and class R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Performance for class R5 and class R6 shares prior to their inception is derived from the historical performance of class Y shares, beginning with inception of the Y share class and has not been adjusted for the lower investor servicing fees applicable to class R5 and class R6 shares; had it, returns would have been higher.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance does not reflect conversion to class A shares.

Dynamic Asset Allocation Growth Fund    11 

 


Comparative index returns For periods ended 9/30/12

      Lipper Mixed-Asset 
      Target Allocation 
    Putnam Growth  Growth Funds 
  Russell 3000 Index  Blended Benchmark  category average* 
Annual average (life of fund)  8.26%  —†  6.90% 
10 years  125.85  132.80%  96.11 
Annual average  8.49  8.82  6.91 
5 years  6.69  9.09  6.30 
Annual average  1.30  1.76  1.17 
3 years  45.27  34.59  28.79 
Annual average  13.26  10.41  8.77 
1 year  30.20  22.72  19.29 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/12, there were 564, 531, 478, 259, and 64 funds, respectively, in this Lipper category.

† The fund’s secondary benchmark, the Putnam Growth Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.


Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and class C shares would have been valued at $20,386 and $20,354, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $20,140. A $10,000 investment in the fund’s class R, R5, R6, and Y shares would have been valued at $21,320, $22,443, $22,443, and $22,443, respectively.

12    Dynamic Asset Allocation Growth Fund 

 


Fund price and distribution information For the 12-month period ended 9/30/12

Distributions  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Number  1  —  —  —  1  —  —  1 
Income  $0.037  —  —  —  $0.008  —  —  $0.070 
Capital gains  —  —  —  —  —  —  —  — 
Total  $0.037  —  —  —  $0.008  —  —  $0.070 
  Before  After  Net  Net  Before  After  Net  Net  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value  value 
9/30/11  $10.79  $11.45  $10.60  $10.38  $10.59  $10.97  $10.60  —  —  $10.88 
7/2/12*  —  —  —  —  —  —  —  $12.78*  $12.78*  — 
9/30/12  13.47   14.29  13.19  12.91  13.21 13.69   13.24  13.58  13.58  13.58 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

* Inception date of class R5 and class R6 shares.

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. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Total annual operating expenses for                 
the fiscal year ended 9/30/11  1.15%  1.90%  1.90%  1.65%  1.40%  0.84%*  0.74%*  0.90% 
Annualized expense ratio for the                 
six-month period ended 9/30/12†  1.12%  1.87%  1.87%  1.62%  1.37%  0.84%  0.74%  0.87% 

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 because it includes an impact of 0.02% in fees and expenses of acquired funds. Expenses are shown as a percentage of average net assets.

* Expenses for class R5 and R6 shares are based on the expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class R5 and R6 shares.

† For the fund’s most recent fiscal half year or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12; may differ from expense ratios based on one-year data in the financial highlights.

Dynamic Asset Allocation Growth Fund    13 

 


Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in the fund from April 1, 2012 (or, in the case of class R5 and R6 shares, from July 3, 2012 (commencement of operations)) to September 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.67  $9.45  $9.45  $8.19  $6.93  $2.13#  $1.88#  $4.41 
Ending value (after expenses)  $1,024.30  $1,020.90  $1,020.60  $1,022.40  $1,023.20  $1,062.60  $1,062.60  $1,025.70 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 9/30/12 (or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12). 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.

# Had expenses for class R5 and R6 shares been shown for the entire period from 4/1/12 to 9/30/12, they would have been higher.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended September 30, 2012, use the following calculation method. To find the value of your investment on April 1, 2012, call Putnam at 1-800-225-1581.


14    Dynamic Asset Allocation Growth Fund 

 


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.65  $9.42  $9.42  $8.17  $6.91  $4.24  $3.74  $4.39 
Ending value (after expenses)  $1,019.40  $1,015.65  $1,015.65  $1,016.90  $1,018.15  $1,020.80  $1,021.30  $1,020.65 

* 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 9/30/12 (or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12). 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.

Dynamic Asset Allocation Growth Fund    15 

 


Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.

Class R5 shares and class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to certain defined contribution plans with assets of at least $50 million.

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 yield is the annual rate of return earned from dividends or interest of an investment. Current yield 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-through” has its 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 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

Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

16    Dynamic Asset Allocation Growth Fund 

 


BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

Putnam Growth Blended Benchmark is a benchmark administered by Putnam Management, comprising 60% the Russell 3000 Index, 15% the MSCI EAFE Index (ND), 15% the Barclays U.S Aggregate Bond Index, 5% the JPMorgan Developed High Yield Index, and 5% the MSCI Emerging Markets Index (ND).

Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies.

S&P 500 Index is an unmanaged index of common stock performance.

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.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

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, 2012, are available in the Individual Investors section at putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2012, Putnam employees had approximately $342,000,000 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.

Dynamic Asset Allocation Growth Fund    17 

 


Trustee approval of management contract

General conclusions

The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”), the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”), and the sub-advisory contract among Putnam Management, PIL, and anotheraffiliate, The Putnam Advisory Company (“PAC”).

The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2012, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.

In May 2012, the Contract Committee met in executive session with the other Independent Trustees to discuss the Contract Committee’s preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 22, 2012 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management, sub-management and sub-advisory contracts, effective July 1, 2012. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not evaluated PIL or PAC as separate entities, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services, and

18    Dynamic Asset Allocation Growth Fund 

 


• That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. In reviewing management fees, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.

Most of the open-end Putnam funds, including your fund, have relatively new management contracts, which introduced fee schedules that reflect more competitive fee levels for many funds, complex-wide breakpoints for the open-end funds, and performance fees for some funds. These new management contracts have been in effect for two years — since January or, for a few funds, February 2010. The Trustees approved the new management contracts on July 10, 2009, and fund shareholders subsequently approved the contracts by overwhelming majorities of the shares voted.

Under its management contract, your fund has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Contract Committee observed that the complex-wide breakpoints of the open-end funds had only been in place for two years, and the Trustees will continue to examine the operation of this new breakpoint structure in future years in light of further experience.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet evolving competitive standards, the Trustees and Putnam Management agreed in 2009 to implement certain expense limitations. These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. The expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 37.5 basis points (effective March 1, 2012, this expense limitation was reduced to 32 basis points) on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokeragecommissions, extraordinary expenses and acquired fund fees and expenses). Putnam

Dynamic Asset Allocation Growth Fund    19 

 


Management’s support for these expense limitations, including its agreement to reduce the expense limitation applicable to the open-end funds’ investor servicing fees and expenses as noted above, was an important factor in the Trustees’ decision approve the continuance of your fund’s management, sub-management and sub-advisory contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the 3rd quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 3rd quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2011 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2011 reflected the most recent fiscal year-end data available in Lipper’s database at that time.

In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the funds at that time.

The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the

20    Dynamic Asset Allocation Growth Fund 

 


Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund’s performance with various benchmarks and, where applicable, with the performance of competitive funds or targeted annualized return. They noted that since 2009, when Putnam Management began implementing major changes to strengthen its investment personnel and processes, there has been a steady improvement in the number of Putnam funds showing above-median three-year performance results. They also noted the disappointing investment performance of some funds for periods ended December 31, 2011 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.

In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper Mixed-Asset Target Allocation Growth Funds) for the one-year, three-year and five-year periods ended December 31, 2011 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

One-year period  4th 
Three-year period  1st 
Five-year period  4th 

Over the one-year, three-year and five-year periods ended December 31, 2011, there were 539, 503 and 436 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees, while noting that your fund’s investment performance over the three-year period ended December 31, 2011 had been favorable, expressed concern about your fund’s fourth quartile performance over the one- and five-year periods ended December 31, 2011 and considered the circumstances that may have contributed to this disappointing performance. The Trustees considered Putnam Management’s observation that the fund’s underperformance over the one- and five-year periods was largely due to the fund’s particularly weak performance in 2011. They noted Putnam Management’s view that performance in 2011 suffered because the market environment did not favor the fund’s investments in cyclical stocks (stocks that typically perform well when the economy is in an expansionary phase), and because the market favored less risky fixed-income securities, which were underrepresented in the fund’s portfolio. The Trustees also considered Putnam Management’s observation that the fund’s performance over the five-year period suffered due to the fund’s underperformance in 2007 and 2008.

The Trustees also observed that, although the fund had not performed well in 2011, the fund ranked in the first quartile for the three-year period ended December 31, 2011, and that Putnam Management remained confident in the fund’s portfolio managers and their

Dynamic Asset Allocation Growth Fund    21 

 


investment process. The Trustees also considered a number of other changes that Putnam Management had made in recent years in efforts to support and improve fund performance generally. These changes included Putnam Management’s efforts to increase accountability and to reduce complexity in the portfolio management process for the Putnam equity funds by moving generally from a portfolio management team structure to a decision-making process that vests full authority and responsibility with individual portfolio managers and by affirming its commitment to a fundamental-driven approach to investing. The Trustees noted that Putnam Management had also worked to strengthen its fundamental research capabilities by adding new investment personnel to the large-cap equities research team and by bringing U.S. and international research under common leadership. In addition, the Trustees recognized that Putnam Management has adjusted the compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses.

As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to performance issues, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft-dollar credits acquired through these means are used primarily to acquire research services that supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft-dollar credits continues to be allocated to the payment of fund expenses. The Trustees indicated their continued intent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the potential benefits associated with fund brokerage and soft-dollar allocations and trends in industry practices to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management, sub-management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services.

22    Dynamic Asset Allocation Growth Fund 

 


Financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Dynamic Asset Allocation Growth Fund    23 

 


Report of Independent Registered Public Accounting Firm

To the Trustees of Putnam Asset Allocation Funds and
Shareholders of Putnam Dynamic Asset Allocation Growth Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Putnam Dynamic Asset Allocation Growth Fund (the “fund”) (formerly Putnam Asset Allocation: Growth Portfolio) at September 30, 2012, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments owned at September 30, 2012 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 9, 2012

24    Dynamic Asset Allocation Growth Fund 

 


The fund’s portfolio 9/30/12

COMMON STOCKS (55.7%)*  Shares  Value 
 
Basic materials (3.5%)     
Agrium, Inc. (Canada)  898  $92,907 
Albemarle Corp.  18,578  978,689 
American Vanguard Corp.  5,454  189,799 
Andersons, Inc. (The)  402  15,139 
Archer Daniels-Midland Co.  2,476  67,298 
Arkema (France)  2,713  254,851 
Assa Abloy AB Class B (Sweden)  39,693  1,288,294 
Barrick Gold Corp. (Canada)  5,200  217,288 
BASF SE (Germany)  30,959  2,615,958 
Bemis Co., Inc.  24,738  778,505 
BHP Billiton PLC (United Kingdom)  27,256  851,176 
BHP Billiton, Ltd. (Australia)  46,279  1,585,682 
Black Earth Farming, Ltd. SDR (Jersey) †  4,410  8,224 
Buckeye Technologies, Inc.  9,590  307,455 
Cambrex Corp. †  31,696  371,794 
CF Industries Holdings, Inc.  12,072  2,682,881 
Chicago Bridge & Iron Co., NV (Netherlands)  25,219  960,592 
China BlueChemical, Ltd. (China)  500,000  294,597 
China National Materials Co., Ltd. (China)  1,223,000  343,507 
China Shanshui Cement Group, Ltd. (China)  741,000  481,079 
China State Construction International Holdings, Ltd. (China)  344,000  402,879 
Cliffs Natural Resources, Inc.  9,640  377,213 
Cresud S.A.C.I.F. y A. ADR (Argentina)  1,797  14,681 
Cytec Industries, Inc.  11,455  750,532 
Domtar Corp. (Canada)  8,183  640,647 
Eagle Materials, Inc.  5,717  264,468 
Evraz PLC (United Kingdom)  280,161  1,120,058 
First Resources, Ltd. (Singapore)  250,000  430,138 
Fortescue Metals Group, Ltd. (Australia) S  29,928  106,941 
Fortune Brands Home & Security, Inc. †  42,737  1,154,326 
Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia)  9,248  366,036 
Furmanite Corp. †  27,955  158,784 
Georgia Gulf Corp.  3,201  115,940 
Goldcorp, Inc. (Canada)  17,445  801,004 
Golden Agri-Resources, Ltd. (Singapore)  872,000  466,993 
GrainCorp, Ltd. (Australia)  5,214  48,434 
Honam Petrochemical Corp. (South Korea)  1,705  403,634 
Incitec Pivot, Ltd. (Australia)  14,968  46,008 
Indocement Tunggal Prakarsa (Indonesia)  304,500  646,665 
Innophos Holdings, Inc.  9,390  455,321 
Innospec, Inc. †  10,413  353,209 
Intrepid Potash, Inc. †  1,289  27,688 
K&S AG (Germany)  4,558  224,597 
KapStone Paper and Packaging Corp. †  11,443  256,209 
Koninklijke DSM NV (Netherlands)  15,136  756,640 

 

Dynamic Asset Allocation Growth Fund    25 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Basic materials cont.     
Kraton Performance Polymers, Inc. †  4,899  $127,864 
Kronos Worldwide, Inc.  15,811  236,216 
KWS Saat AG (Germany)  96  25,611 
L.B. Foster Co. Class A  3,624  117,200 
Landec Corp. †  16,676  190,940 
Lanxess AG (Germany)  4,818  399,976 
LG Chemical, Ltd. (South Korea)  2,140  633,260 
Linde AG (Germany)  5,435  937,036 
LSB Industries, Inc. †  28,264  1,239,942 
LyondellBasell Industries NV Class A (Netherlands)  56,109  2,898,591 
Minerals Technologies, Inc.  1,914  135,760 
Monsanto Co.  76,232  6,938,637 
Mosaic Co. (The)  958  55,190 
Newcrest Mining, Ltd. (Australia)  3,305  98,233 
Nitto Denko Corp. (Japan)  36,700  1,747,836 
NN, Inc. †  25,520  216,665 
Nufarm, Ltd. (Australia)  7,463  46,818 
OM Group, Inc. †  8,356  154,920 
PolyOne Corp.  29,475  488,401 
Polyus Gold International, Ltd. (Russia) †  116,482  408,500 
Potash Corp. of Saskatchewan, Inc. (Canada)  2,663  115,627 
PPG Industries, Inc.  26,759  3,073,004 
PT Astra Agro Lestari Tbk (Indonesia)  12,500  28,565 
Rio Tinto PLC (United Kingdom)  31,469  1,471,060 
Rio Tinto, Ltd. (Australia)  27,111  1,487,372 
Sealed Air Corp.  32,377  500,548 
Siam Cement PCL NVDR (Thailand)  34,000  384,730 
SLC Agricola SA (Brazil)  1,985  21,297 
Sociedad Quimica y Minera de Chile SA ADR (Chile)  1,545  95,234 
Steel Dynamics, Inc.  48,897  549,113 
Stillwater Mining Co. †  16,256  191,658 
Syngenta AG (Switzerland)  3,308  1,236,202 
Teck Resources, Ltd. Class B (Canada)  5,500  162,298 
Trex Co., Inc. †  8,380  285,926 
Tronox, Ltd. Class A  14,075  318,799 
Vale SA ADR (Preference) (Brazil)  36,585  635,116 
Vale SA ADR (Brazil)  15,936  285,254 
Valspar Corp.  20,310  1,139,391 
Vilmorin & Cie (France)  217  26,116 
Viterra, Inc. (Canada)  4,347  71,234 
voestalpine AG (Austria)  24,165  726,075 
W.R. Grace & Co. †  7,897  466,555 
Westlake Chemical Corp.  5,969  436,095 
Wilmar International, Ltd. (Singapore)  14,000  36,916 
Xstrata PLC (United Kingdom)  6,789  105,355 
Yara International ASA (Norway)  1,446  72,624 
    55,794,520 

 

26    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Capital goods (3.1%)     
ABB, Ltd. (Switzerland)  45,067  $847,234 
AGCO Corp. †  2,172  103,127 
Aisin Seiki Co., Ltd. (Japan)  25,200  716,184 
Amada Co., Ltd. (Japan)  19,000  83,185 
American Axle & Manufacturing Holdings, Inc. †  13,002  146,533 
Applied Industrial Technologies, Inc.  10,106  418,692 
AZZ, Inc.  5,962  226,437 
Canon, Inc. (Japan)  12,550  401,635 
Cascade Corp.  7,535  412,466 
Chart Industries, Inc. †  8,552  631,565 
Chase Corp.  10,282  188,880 
China Communications Construction Co., Ltd. (China)  337,000  271,257 
China Railway Group, Ltd. Class H (China)  1,282,000  557,284 
Chiyoda Corp. (Japan)  8,000  124,352 
CNH Global NV (Netherlands) †  1,651  64,009 
Cobham PLC (United Kingdom)  225,038  807,470 
Cummins, Inc.  34,652  3,195,261 
Daelim Industrial Co., Ltd. (South Korea)  7,674  650,588 
Deere & Co.  1,306  107,732 
Dongfang Electric Corp., Ltd. (China)  240,600  326,270 
Dover Corp.  37,478  2,229,566 
DXP Enterprises, Inc. †  6,700  320,059 
Embraer SA ADR (Brazil)  21,468  571,478 
Emerson Electric Co.  121,014  5,841,346 
European Aeronautic Defense and Space Co. NV (France) S  38,606  1,227,342 
Finning International, Inc. (Canada)  4,600  111,549 
Fluor Corp.  36,553  2,057,203 
Franklin Electric Co., Inc.  6,920  418,591 
Fuji Electric Co., Ltd. (Japan)  287,000  584,214 
Gardner Denver, Inc.  4,618  278,973 
Generac Holdings, Inc.  8,490  194,336 
Global Power Equipment Group, Inc.  8,521  157,553 
Great Lakes Dredge & Dock Corp.  79,469  611,911 
Greenbrier Companies, Inc. †  23,441  378,338 
Harbin Electric Co., Ltd. (China)  406,000  310,701 
Hyflux, Ltd. (Singapore)  123,000  140,453 
Hyundai Mobis (South Korea)  3,594  1,000,580 
Hyundai Wia Corp. (South Korea)  3,824  644,789 
IHI Corp. (Japan)  162,000  360,904 
Iochpe-Maxion SA (Brazil)  24,300  318,846 
JGC Corp. (Japan)  27,000  900,723 
Lindsay Corp.  836  60,167 
Lockheed Martin Corp.  47,023  4,391,008 
McDermott International, Inc. †  107,039  1,308,017 
Metso Corp. OYJ (Finland)  2,197  78,929 
Mitsubishi Electric Corp. (Japan)  50,000  368,210 

 

Dynamic Asset Allocation Growth Fund    27 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Capital goods cont.     
NACCO Industries, Inc. Class A  1,912  $239,784 
Raytheon Co.  66,379  3,794,224 
Rolls-Royce Holdings PLC (United Kingdom)  26,720  364,658 
Safran SA (France)  2,362  85,141 
Samsung Engineering Co., Ltd. (South Korea)  3,096  531,196 
Schindler Holding AG (Switzerland)  5,645  694,904 
Schneider Electric SA (France)  4,988  296,264 
Singapore Technologies Engineering, Ltd. (Singapore)  108,000  311,013 
Smith & Wesson Holding Corp. †  17,027  187,467 
Standard Motor Products, Inc.  18,045  332,389 
Standex International Corp.  5,139  228,429 
Staples, Inc.  122,626  1,412,652 
Sturm Ruger & Co., Inc.  5,727  283,429 
Tetra Tech, Inc. †  4,650  122,109 
Textron, Inc.  62,276  1,629,763 
TriMas Corp. †  29,641  714,645 
Valmont Industries, Inc.  3,640  478,660 
Vinci SA (France)  25,562  1,092,469 
Woongjin Coway Company, Ltd. (South Korea)  11,530  316,950 
    48,262,093 
Communication services (2.8%)     
Allot Communications, Ltd. (Israel) †  8,602  228,125 
America Movil SAB de CV ADR Ser. L (Mexico)  29,823  758,697 
Aruba Networks, Inc. †  8,489  190,875 
AT&T, Inc.  131,679  4,964,298 
BCE, Inc. (Canada)  6,282  276,367 
BroadSoft, Inc. †  4,061  166,582 
BT Group PLC (United Kingdom)  529,387  1,974,583 
CalAmp Corp. †  18,032  148,043 
China Communications Services Corp., Ltd. (China)  638,000  368,572 
Cincinnati Bell, Inc. †  61,227  348,994 
Comcast Corp. Class A  279,131  9,984,516 
Comtech Telecommunications Corp.  9,925  274,327 
Deutsche Telekom AG (Germany)  56,913  700,414 
EchoStar Corp. Class A †  45,264  1,297,266 
Empresa Nacional de Telecomunicaciones SA (ENTEL) (Chile)  21,886  456,268 
France Telecom SA (France)  53,650  648,583 
HSN, Inc.  9,091  445,914 
IAC/InterActiveCorp.  29,647  1,543,423 
InterDigital, Inc.  2,517  93,834 
InterXion Holding NV (Netherlands) †  8,926  202,799 
Kabel Deutschland Holding AG (Germany) †  20,247  1,446,565 
Loral Space & Communications, Inc.  5,130  364,743 
MTN Group, Ltd. (South Africa)  26,974  519,541 
NeuStar, Inc. Class A †  10,595  424,118 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  30,400  1,442,530 
NTELOS Holdings Corp.  17,727  307,918 

 

28    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Communication services cont.     
NTT DoCoMo, Inc. (Japan)  293  $475,174 
Premiere Global Services, Inc. †  12,162  113,715 
Tele2 AB Class B (Sweden)  32,977  599,509 
Telecity Group PLC (United Kingdom)  15,800  228,703 
Telefonica SA (Spain)  53,462  712,890 
USA Mobility, Inc.  14,757  175,166 
Verizon Communications, Inc.  235,515  10,732,419 
Vodafone Group PLC (United Kingdom)  647,246  1,842,102 
Ziggo NV (Netherlands)  4,619  156,969 
    44,614,542 
Conglomerates (1.3%)     
AMETEK, Inc.  53,854  1,909,124 
Danaher Corp.  93,654  5,165,018 
General Electric Co.  253,156  5,749,173 
Marubeni Corp. (Japan)  45,000  286,940 
Mitsui & Co., Ltd. (Japan)  40,000  562,354 
Siemens AG (Germany)  16,202  1,617,962 
Tyco International, Ltd.  87,138  4,902,384 
    20,192,955 
Consumer cyclicals (6.5%)     
7 Days Group Holdings, Ltd. (China) †  38,000  441,480 
Advance Auto Parts, Inc.  14,150  968,426 
Aeon Co., Ltd. (Japan)  48,800  551,018 
Aggreko PLC (United Kingdom)  7,453  279,106 
Alliance Data Systems Corp. †  14,054  1,994,965 
Alliance Global Group, Inc. (Philippines)  2,082,300  732,571 
Bayerische Motoren Werke (BMW) AG (Germany)  4,883  357,977 
Beazer Homes USA, Inc. †  162,286  576,115 
Bed Bath & Beyond, Inc. †  39,753  2,504,439 
Belo Corp. Class A  87,776  687,286 
Big Lots, Inc. †  12,258  362,592 
Bluegreen Corp. †  25,934  162,866 
BR Malls Participacoes SA (Brazil)  42,361  588,217 
Brilliance China Automotive Holdings, Inc. (China) †  650,000  713,101 
Brunswick Corp.  4,252  96,223 
Buckle, Inc. (The)  4,333  196,848 
Bunzl PLC (United Kingdom)  42,886  769,387 
Cabela’s, Inc. †  8,063  440,885 
Cash America International, Inc.  3,695  142,516 
CBS Corp. Class B  100,872  3,664,680 
Christian Dior SA (France)  5,793  779,583 
Coach, Inc.  43,008  2,409,308 
Compass Group PLC (United Kingdom)  96,205  1,064,021 
Conn’s, Inc. †  18,658  411,409 
Continental AG (Germany)  3,337  327,372 
Cooper Tire & Rubber Co.  33,615  644,736 
Corporate Executive Board Co. (The)  3,147  168,774 

 

Dynamic Asset Allocation Growth Fund    29 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Crocs, Inc. †  11,872  $192,445 
Daihatsu Motor Co., Ltd. (Japan)  30,000  500,099 
Daimler AG (Registered Shares) (Germany)  15,133  734,002 
Deckers Outdoor Corp. †  2,817  103,215 
Deluxe Corp.  17,609  538,131 
Demand Media, Inc. †  9,191  99,906 
Destination Maternity Corp.  20,340  380,358 
Dillards, Inc. Class A  17,519  1,266,974 
Dolby Laboratories, Inc. Class A †  17,230  564,283 
Dun & Bradstreet Corp. (The)  12,513  996,285 
Elders, Ltd. (Australia) †  44,692  11,533 
Expedia, Inc.  21,898  1,266,580 
Express, Inc. †  15,796  234,097 
Fiat Industrial SpA (Italy)  101,155  992,265 
Fiat SpA (Italy) †  20,342  108,993 
Finish Line, Inc. (The) Class A  21,340  485,272 
Foot Locker, Inc.  70,073  2,487,592 
Foschini Group, Ltd. (The) (South Africa)  34,059  519,106 
Francesca’s Holdings Corp. †  8,758  269,133 
GameStop Corp. Class A  8,972  188,412 
Gannett Co., Inc.  54,576  968,724 
General Motors Co. †  113,770  2,588,268 
Genesco, Inc. †  2,136  142,535 
Global Cash Access Holdings, Inc. †  24,242  195,148 
Global Mediacom Tbk PT (Indonesia)  428,500  91,537 
Goodyear Tire & Rubber Co. (The) †  32,136  391,738 
Grupo Televisa, S.A.B ADR (Mexico)  25,400  597,154 
Haier Electronics Group Co., Ltd. (China) †  463,000  536,544 
Hakuhodo DY Holdings, Inc. (Japan)  13,360  900,086 
Helen of Troy, Ltd. †  5,859  186,492 
HMS Holdings Corp. †  1,288  43,058 
Home Depot, Inc. (The)  117,681  7,104,402 
Home Inns & Hotels Management, Inc. ADR (China) †  12,300  305,040 
Hyundai Motor Co. (South Korea)  1,463  329,866 
Indofood Agri Resources, Ltd. (Singapore)  7,000  7,756 
Isuzu Motors, Ltd. (Japan)  220,000  1,061,775 
KAR Auction Services, Inc. †  14,528  286,783 
Kia Motors Corp. (South Korea)  15,243  946,912 
Kingfisher PLC (United Kingdom)  71,131  303,948 
La-Z-Boy, Inc. †  33,134  484,750 
LeapFrog Enterprises, Inc. †  34,075  307,357 
Lear Corp.  21,369  807,535 
Localiza Rent a Car SA (Brazil)  32,782  575,676 
Lowe’s Cos., Inc.  84,527  2,556,096 
LS Corp. (South Korea)  754  65,450 

 

30    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Lumber Liquidators Holdings, Inc. †  2,258  $114,435 
LVMH Moet Hennessy Louis Vuitton SA (France)  3,597  542,439 
M.D.C. Holdings, Inc.  5,397  207,838 
Macy’s, Inc.  66,703  2,509,367 
Major Cineplex Group PCL (Thailand)  734,300  450,886 
Marriott International, Inc. Class A  46,105  1,802,706 
McGraw-Hill Cos., Inc. (The)  48,897  2,669,287 
MGM China Holdings, Ltd. (Hong Kong)  362,400  624,519 
Mitra Adiperkasa Tbk PT (Indonesia)  358,500  239,323 
Mitsubishi Motors Corp. (Japan) †  526,000  485,042 
News Corp. Class A  197,636  4,848,011 
Next PLC (United Kingdom)  22,763  1,271,048 
Nissan Motor Co., Ltd. (Japan)  97,700  831,813 
O’Reilly Automotive, Inc. †  21,850  1,827,097 
OPAP SA (Greece)  48,287  248,859 
Pearson PLC (United Kingdom)  12,977  253,938 
PetSmart, Inc.  22,620  1,560,328 
Pier 1 Imports, Inc.  5,884  110,266 
PPR SA (France)  1,132  174,226 
Priceline.com, Inc. †  2,561  1,584,568 
Publicis Group SA (France)  17,204  964,593 
Randstad Holding NV (Netherlands)  6,061  202,000 
Rent-A-Center, Inc.  6,615  232,054 
RPX Corp. †  9,966  111,719 
Ryland Group, Inc. (The)  19,329  579,870 
Sands China, Ltd. (Hong Kong)  72,000  267,342 
Scania AB Class B (Sweden)  33,500  616,736 
Scholastic Corp.  7,535  239,462 
Sinclair Broadcast Group, Inc. Class A  41,588  466,201 
SJM Holdings, Ltd. (Hong Kong)  365,000  790,447 
Sonic Automotive, Inc. Class A  53,960  1,024,161 
Standard Parking Corp. †  17,967  403,000 
Suzuki Motor Corp. (Japan)  43,900  851,623 
Swire Pacific, Ltd. Class A (Hong Kong)  90,500  1,105,440 
Tata Motors, Ltd. (India)  90,718  465,424 
TNS, Inc. †  18,593  277,965 
Tongaat Hulett, Ltd. (South Africa)  16,705  280,333 
Towers Watson & Co. Class A  14,631  776,175 
Town Sports International Holdings, Inc. †  21,650  267,811 
True Religion Apparel, Inc.  8,599  183,417 
Trump Entertainment Resorts, Inc. †  163  652 
TUI Travel PLC (United Kingdom)  69,715  264,122 
URS Corp.  20,214  713,756 
Valeo SA (France)  6,268  290,994 
Vertis Holdings, Inc. † F  585  6 

 

Dynamic Asset Allocation Growth Fund    31 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Viacom, Inc. Class B  78,544  $4,209,173 
VistaPrint NV †  26,855  917,098 
Volkswagen AG (Preference) (Germany)  5,238  956,779 
Volvo AB Class B (Sweden)  11,612  163,500 
VOXX International Corp. †  34,312  256,654 
Wal-Mart de Mexico SAB de CV ADR (Mexico)  6,000  168,300 
Wal-Mart Stores, Inc.  20,434  1,508,029 
Wal-Mart de Mexico SAB de CV Ser. V (Mexico)  111,438  313,837 
WPP PLC (United Kingdom)  50,209  683,633 
Wyndham Worldwide Corp.  29,647  1,555,875 
Wynn Resorts, Ltd.  14,246  1,644,558 
    101,867,947 
Consumer staples (5.1%)     
AFC Enterprises †  35,404  870,938 
Ajinomoto Co., Inc. (Japan)  13,000  203,591 
Anheuser-Busch InBev NV (Belgium)  17,820  1,524,353 
Associated British Foods PLC (United Kingdom)  30,969  645,379 
Avis Budget Group, Inc. †  40,981  630,288 
Barrett Business Services, Inc.  1,379  37,371 
Beacon Roofing Supply, Inc. †  11,425  325,613 
BRF - Brasil Foods SA ADR (Brazil)  2,498  43,215 
Brinker International, Inc.  28,321  999,731 
British American Tobacco (BAT) PLC (United Kingdom)  31,278  1,608,272 
Buffalo Wild Wings, Inc. †  3,210  275,225 
Bunge, Ltd.  1,011  67,788 
Campbell Soup Co.  48,031  1,672,439 
Casino Guichard-Perrachon SA (France)  10,018  888,271 
Chaoda Modern Agriculture Holdings, Ltd. (China) † F  72,000  4,643 
Cheesecake Factory, Inc. (The)  4,360  155,870 
Chiquita Brands International, Inc. †  879  6,716 
Church & Dwight Co., Inc.  10,782  582,120 
Coca-Cola Co. (The)  69,304  2,628,701 
Cola-Cola Amatil, Ltd. (Australia)  12,366  173,335 
Companhia de Bebidas das Americas (AmBev) ADR     
(Preference) (Brazil)  11,245  430,346 
ConAgra Foods, Inc.  93,654  2,583,914 
Core-Mark Holding Co., Inc.  5,394  259,505 
Costco Wholesale Corp.  67,088  6,717,186 
CVS Caremark Corp.  135,638  6,567,592 
Danone (France)  6,430  396,504 
Diageo PLC (United Kingdom)  23,154  651,935 
Distribuidora Internacional de Alimentacion SA (Spain)  88,698  490,448 
Domino’s Pizza, Inc.  4,166  157,058 
Dr. Pepper Snapple Group, Inc.  31,936  1,422,110 
Fomento Economico Mexicano SAB de CV ADR (Mexico)  2,500  229,950 
Geo Group, Inc. (The)  19,994  553,234 
Glanbia PLC (Ireland)  3,131  27,761 

 

32    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Consumer staples cont.     
Heineken Holding NV (Netherlands)  16,245  $790,442 
Imperial Tobacco Group PLC (United Kingdom)  1,853  68,685 
Ingredion, Inc.  1,042  57,477 
IOI Corp. Bhd (Malaysia)  27,000  43,982 
Itron, Inc. †  10,782  465,243 
Japan Tobacco, Inc. (Japan)  76,000  2,277,764 
Kao Corp. (Japan)  30,200  890,011 
Kerry Group PLC Class A (Ireland)  13,593  695,243 
Koninklijke Ahold NV (Netherlands)  51,732  648,508 
Kroger Co. (The)  119,546  2,814,113 
Kuala Lumpur Kepong Bhd (Malaysia)  6,400  46,209 
Lawson, Inc. (Japan)  3,700  284,312 
Lorillard, Inc.  25,796  3,003,944 
M Dias Branco SA (Brazil)  12,400  406,146 
Maple Leaf Foods, Inc. (Canada)  2,025  22,823 
McDonald’s Corp.  12,381  1,135,957 
Minor International PCL (Thailand)  241,200  120,678 
Molson Coors Brewing Co. Class B  40,234  1,812,542 
Nestle SA (Switzerland)  51,497  3,248,489 
Olam International, Ltd. (Singapore)  12,000  19,925 
On Assignment, Inc. †  12,537  249,737 
OpenTable, Inc. †  4,477  186,243 
PepsiCo, Inc.  17,175  1,215,475 
Pernod-Ricard SA (France)  5,257  590,760 
Philip Morris International, Inc.  135,239  12,163,396 
Prestige Brands Holdings, Inc. †  13,248  224,686 
Procter & Gamble Co. (The)  63,068  4,374,396 
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk (Indonesia)  97,000  24,758 
Rakuten, Inc. (Japan)  31,400  319,498 
Robert Half International, Inc.  37,635  1,002,220 
SABMiller PLC (United Kingdom)  12,149  534,470 
Smithfield Foods, Inc. †  1,140  22,401 
Spartan Stores, Inc.  10,414  159,438 
Spectrum Brands Holdings, Inc. †  2,805  112,228 
Tate & Lyle PLC (United Kingdom)  3,554  38,230 
Tesco PLC (United Kingdom)  52,817  283,397 
Toyota Tsusho Corp. (Japan)  46,300  989,440 
Tyson Foods, Inc. Class A  1,994  31,944 
Unilever PLC (United Kingdom)  16,625  605,517 
USANA Health Sciences, Inc. †  2,566  119,242 
Walgreen Co.  75,532  2,752,386 
WM Morrison Supermarkets PLC (United Kingdom)  32,606  150,368 
Woolworths, Ltd. (Australia)  32,616  970,947 
Yamazaki Baking Co., Inc. (Japan)  41,000  548,146 
    80,353,218 
Energy (5.3%)     
Basic Energy Services, Inc. †  23,539  264,108 
BG Group PLC (United Kingdom)  53,136  1,075,956 

 

Dynamic Asset Allocation Growth Fund    33 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Energy cont.     
BP PLC (United Kingdom)  123,269  $870,057 
Cairn India, Ltd. (India) †  70,838  443,793 
Canadian Natural Resources, Ltd. (Canada)  20,300  626,283 
Chevron Corp.  88,837  10,354,841 
Clayton Williams Energy, Inc. †  3,635  188,620 
CNOOC, Ltd. (China)  293,000  595,266 
ConocoPhillips  27,123  1,550,893 
CVR Energy, Inc. (Escrow) F  15,953  — 
Deepocean Group (Shell) (acquired 6/9/11, cost $122,420) (Norway) ‡  8,417  126,255 
Delek US Holdings, Inc.  24,468  623,689 
Diamond Offshore Drilling, Inc.  14,631  962,866 
ENI SpA (Italy)  75,145  1,648,760 
EPL Oil & Gas, Inc. †  17,620  357,510 
Eurasia Drilling Co., Ltd. GDR (Russia)  13,871  459,395 
Exxon Mobil Corp.  150,535  13,766,426 
Ezion Holdings, Ltd. (Singapore)  446,000  485,972 
Gazprom OAO ADR (Russia)  55,911  560,672 
Halliburton Co.  8,200  276,258 
Helix Energy Solutions Group, Inc. †  33,455  611,223 
Helmerich & Payne, Inc.  18,385  875,310 
HollyFrontier Corp.  35,999  1,485,679 
Inpex Corp. (Japan)  95  562,750 
Key Energy Services, Inc. †  32,892  230,244 
Kodiak Oil & Gas Corp. †  27,536  257,737 
Lukoil OAO ADR (Russia)  20,615  1,275,665 
Marathon Oil Corp.  87,397  2,584,329 
Marathon Petroleum Corp.  49,956  2,727,098 
Mitcham Industries, Inc. †  7,965  126,882 
Murphy Oil Corp.  29,069  1,560,715 
National Oilwell Varco, Inc.  48,127  3,855,454 
NovaTek OAO GDR (Russia)  2,869  339,325 
Occidental Petroleum Corp.  49,153  4,230,107 
Oceaneering International, Inc.  39,464  2,180,386 
Pacific Rubiales Energy Corp. (Colombia)  27,618  659,899 
Peabody Energy Corp.  43,795  976,191 
Petrofac, Ltd. (Jersey)  54,050  1,396,306 
Petroleo Brasileiro SA ADR (Preference) (Brazil)  30,551  674,261 
Petroleo Brasileiro SA ADR (Brazil)  4,200  96,348 
Phillips 66  13,562  628,870 
Repsol YPF SA (Spain)  25,267  491,789 
Rosetta Resources, Inc. †  4,801  229,968 
Royal Dutch Shell PLC Class A (United Kingdom)  53,590  1,855,990 
Royal Dutch Shell PLC Class A (United Kingdom)  30,587  1,059,443 
Royal Dutch Shell PLC Class B (United Kingdom)  40,702  1,447,700 
Sapurakencana Petroleum Bhd (Malaysia) †  690,500  522,868 
Schlumberger, Ltd.  17,037  1,232,286 

 

34    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Energy cont.     
Stallion Oilfield Holdings, Ltd.  1,034  $34,122 
Statoil ASA (Norway)  50,987  1,318,911 
Stone Energy Corp. †  11,910  299,179 
Suncor Energy, Inc. (Canada)  6,300  207,244 
Superior Energy Services †  33,111  679,438 
Swift Energy Co. †  14,922  311,571 
Technip SA (France)  5,124  571,734 
Tesoro Corp.  47,649  1,996,493 
Total SA (France)  23,967  1,192,092 
Tullow Oil PLC (United Kingdom)  14,598  323,803 
Unit Corp. †  5,684  235,886 
Vaalco Energy, Inc. †  62,241  532,161 
Valero Energy Corp.  122,722  3,887,833 
W&T Offshore, Inc.  10,780  202,448 
Walter Energy, Inc.  16,192  525,592 
Western Refining, Inc.  17,197  450,217 
Williams Cos., Inc. (The)  49,903  1,745,108 
    83,926,275 
Financials (9.8%)     
3i Group PLC (United Kingdom)  112,322  405,141 
ACE, Ltd.  5,496  415,498 
AG Mortgage Investment Trust, Inc. R  5,934  143,187 
Agree Realty Corp. R  10,033  255,741 
Agricultural Bank of China, Ltd. (China)  1,291,000  500,511 
AIA Group, Ltd. (Hong Kong)  354,800  1,317,141 
Allianz SE (Germany)  10,917  1,299,899 
Allied World Assurance Co. Holdings AG  18,726  1,446,584 
American Equity Investment Life Holding Co.  31,988  372,020 
American Financial Group, Inc.  24,672  935,069 
Amtrust Financial Services, Inc.  6,242  159,920 
Aon PLC  70,842  3,704,328 
Apollo Commercial Real Estate Finance, Inc. R  11,354  196,878 
Apollo Residential Mortgage, Inc.  15,341  338,116 
Arch Capital Group, Ltd. †  36,721  1,530,531 
Arlington Asset Investment Corp. Class A  6,828  162,916 
ARMOUR Residential REIT, Inc. R  31,828  243,802 
Ashford Hospitality Trust, Inc. R  37,512  315,101 
Ashmore Group PLC (United Kingdom)  46,532  256,623 
Assurant, Inc.  27,914  1,041,192 
Australia & New Zealand Banking Group, Ltd. (Australia)  88,693  2,268,679 
AvalonBay Communities, Inc. R  15,305  2,081,327 
AXA SA (France)  74,376  1,111,395 
Banco Bilbao Vizcaya Argentaria SA (BBVA) (Spain)  33,225  262,696 
Banco Latinoamericano de Exportaciones SA Class E (Panama)  22,547  498,063 
Banco Santander Brasil SA ADS (Brazil)  54,023  398,150 
Banco Santander Central Hispano SA (Spain) †  86,316  646,648 
Bank Mandiri (Persero) Tbk PT (Indonesia)  976,000  832,665 

 

Dynamic Asset Allocation Growth Fund    35 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Financials cont.     
Bank of America Corp.  51,596  $455,593 
Barclays PLC (United Kingdom)  584,395  2,034,231 
Berkshire Hathaway, Inc. Class B †  31,668  2,793,118 
BM&F Bovespa SA (Brazil)  87,700  529,942 
BNP Paribas SA (France)  24,940  1,192,018 
BofI Holding, Inc. †  14,866  387,259 
BR Properties SA (Brazil)  32,000  417,511 
British Land Company PLC (United Kingdom) R  34,107  288,107 
C C Land Holdings, Ltd. (China)  1,096,687  233,624 
Cardinal Financial Corp.  19,506  278,936 
Cardtronics, Inc. †  8,436  251,224 
CBL & Associates Properties, Inc. R  38,074  812,499 
CBOE Holdings, Inc.  44,854  1,319,605 
Chimera Investment Corp. R  297,091  805,117 
China Construction Bank Corp. (China)  1,856,000  1,282,540 
China Overseas Grand Oceans Group, Ltd. (China)  321,000  316,854 
China Overseas Land & Investment, Ltd. (China)  226,000  572,627 
CIMB Group Holdings Berhad (Malaysia)  231,900  568,886 
CIT Group, Inc. †  20,598  811,355 
Citigroup, Inc.  33,679  1,101,977 
Citizens & Northern Corp.  12,608  247,243 
Citizens Republic Bancorp, Inc. †  11,186  216,449 
City National Corp.  5,392  277,742 
CNO Financial Group, Inc.  43,761  422,294 
Commonwealth Bank of Australia (Australia)  29,006  1,672,356 
Credit Acceptance Corp. †  1,243  106,289 
Credit Suisse Group (Switzerland)  16,372  348,190 
DBS Group Holdings, Ltd. (Singapore)  52,000  607,357 
Deutsche Bank AG (Germany)  28,990  1,147,292 
Dexus Property Group (Australia)  882,485  869,358 
Discovery Holdings, Ltd. (South Africa)  51,605  344,373 
Dynex Capital, Inc. R  27,859  299,484 
East West Bancorp, Inc.  15,996  337,836 
Eaton Vance Corp.  57,752  1,672,498 
Education Realty Trust, Inc. R  31,909  347,808 
Entertainment Properties Trust R  3,970  176,387 
Equity Residential Trust R  44,951  2,586,031 
Everest Re Group, Ltd.  12,898  1,379,570 
Fidelity National Financial, Inc. Class A  64,682  1,383,548 
Financial Institutions, Inc.  13,027  242,823 
First Community Bancshares Inc.  12,298  187,667 
First Industrial Realty Trust † R  17,697  232,539 
FirstRand, Ltd. (South Africa)  82,849  277,789 
Flushing Financial Corp.  22,873  361,393 
Genworth Financial, Inc. Class A †  88,411  462,390 
Glimcher Realty Trust R  23,383  247,158 

 

36    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Financials cont.     
Goldman Sachs Group, Inc. (The)  20,021  $2,275,987 
Grupo Financiero Banorte SAB de CV (Mexico)  76,300  431,241 
Hachijuni Bank, Ltd. (The) (Japan)  116,000  639,452 
Hana Financial Group, Inc. (South Korea)  12,560  380,067 
Hang Lung Group, Ltd. (Hong Kong)  111,000  701,134 
Hanmi Financial Corp. †  25,826  330,831 
Hartford Financial Services Group, Inc. (The)  106,360  2,067,638 
Heartland Financial USA, Inc.  8,734  238,176 
HFF, Inc. Class A †  39,612  590,219 
Home Bancshares, Inc.  5,700  194,313 
Hongkong Land Holdings, Ltd. (Hong Kong)  24,000  143,920 
Housing Development Finance Corp., Ltd. (HDFC) (India) †  72,748  1,066,540 
HSBC Holdings, PLC (United Kingdom)  287,912  2,671,570 
Hysan Development Co., Ltd. (Hong Kong)  33,000  149,821 
ICICI Bank, Ltd. (India)  25,026  501,592 
Industrial and Commercial Bank of China, Ltd. (China)  1,966,000  1,156,067 
ING Groep NV GDR (Netherlands) †  96,267  765,270 
Insurance Australia Group, Ltd. (Australia)  240,074  1,084,434 
Invesco Mortgage Capital, Inc. R  9,751  196,288 
Investment AB Kinnevik Class B (Sweden)  41,236  857,630 
Investors Real Estate Trust R  27,134  224,398 
Itau Unibanco Holding SA ADR (Preference) (Brazil)  25,502  389,671 
Jefferies Group, Inc.  88,553  1,212,291 
Jones Lang LaSalle, Inc.  5,288  403,739 
JPMorgan Chase & Co.  204,977  8,297,469 
Kasikornbank PCL NVDR (Thailand)  117,400  693,521 
Lexington Realty Trust R  74,069  715,507 
LIC Housing Finance, Ltd. (India) †  104,743  558,592 
LTC Properties, Inc. R  14,195  452,111 
M&T Bank Corp.  18,066  1,719,161 
Macquarie Group, Ltd. (Australia)  4,838  142,044 
Maiden Holdings, Ltd. (Bermuda)  21,593  191,962 
MainSource Financial Group, Inc.  19,392  248,993 
MFA Financial, Inc. R  31,998  271,983 
Mission West Properties R  18,575  161,603 
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan)  321,300  1,497,023 
Mitsui Fudosan Co., Ltd. (Japan)  30,000  600,342 
Morgan Stanley  192,120  3,216,089 
Nasdaq OMX Group, Inc. (The)  60,062  1,399,144 
National Australia Bank, Ltd. (Australia)  26,076  687,040 
National Bank of Canada (Canada)  4,129  312,478 
National Financial Partners Corp. †  10,559  178,447 
National Health Investors, Inc. R  12,461  640,994 
Nationstar Mortgage Holdings, Inc. †  9,983  331,236 
Nelnet, Inc. Class A  11,717  278,162 
Northern Trust Corp.  59,581  2,765,452 

 

Dynamic Asset Allocation Growth Fund    37 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Financials cont.     
Ocwen Financial Corp. †  26,210  $718,416 
One Liberty Properties, Inc. R  13,137  245,005 
ORIX Corp. (Japan)  13,910  1,394,801 
PartnerRe, Ltd.  9,131  678,251 
Peoples Bancorp, Inc.  12,029  275,344 
Persimmon PLC (United Kingdom)  18,637  228,944 
PNC Financial Services Group, Inc.  43,699  2,757,407 
Popular, Inc. (Puerto Rico) †  10,203  177,838 
Portfolio Recovery Associates, Inc. †  2,572  268,594 
Porto Seguro SA (Brazil)  47,600  478,759 
ProAssurance Corp.  6,877  621,956 
Protective Life Corp.  10,076  264,092 
Prudential Financial, Inc.  14,577  794,592 
Prudential PLC (United Kingdom)  140,446  1,822,405 
PS Business Parks, Inc. R  8,562  572,113 
PT Bank Rakyat Indonesia (Persero) Tbk (Indonesia)  916,000  709,377 
Public Storage R  20,695  2,880,123 
Rayonier, Inc. R  23,342  1,143,991 
Regus PLC (United Kingdom)  112,117  184,623 
Reinsurance Group of America, Inc. Class A  10,152  587,496 
RenaissanceRe Holdings, Ltd.  14,915  1,149,052 
Republic Bancorp, Inc. Class A  7,821  171,671 
Resona Holdings, Inc. (Japan)  115,600  473,705 
Royal Bank of Scotland Group PLC (United Kingdom) †  50,105  208,106 
Sberbank of Russia ADR (Russia)  145,625  1,714,232 
SCOR SE (France)  6,433  165,738 
Siam Commercial Bank PCL (Thailand)  94,800  525,127 
Simon Property Group, Inc. R  37,924  5,757,242 
Societe Generale SA (France) †  5,233  149,258 
Southside Bancshares, Inc.  9,605  209,485 
Sovran Self Storage, Inc. R  8,745  505,898 
St. Joe Co. (The) † S  45,235  882,083 
Standard Chartered PLC (United Kingdom)  42,217  956,287 
Starwood Property Trust, Inc. R  7,561  175,944 
Stockland (Units) (Australia) R  208,077  718,888 
Sun Hung Kai Properties, Ltd. (Hong Kong)  22,000  322,094 
Suncorp Group, Ltd. (Australia)  83,393  798,902 
Svenska Handelsbanken AB Class A (Sweden)  25,040  940,638 
Swedbank AB Class A (Sweden)  50,235  944,946 
Swiss Life Holding AG (Switzerland)  8,324  993,769 
SWS Group, Inc. †  33,614  205,382 
Symetra Financial Corp.  21,659  266,406 
TD Ameritrade Holding Corp.  95,482  1,467,558 
Toronto-Dominion Bank (The) (Canada)  19,283  1,607,045 
Turkiye Garanti Bankasi AS (Turkey)  122,087  510,292 
UBS AG (Switzerland)  43,858  535,267 

 

38    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Financials cont.     
UniCredit SpA (Italy) †  34,251  $143,172 
United Overseas Bank, Ltd. (Singapore)  9,000  143,704 
Universal Health Realty Income Trust R  3,323  152,792 
Urstadt Biddle Properties, Inc. Class A R  10,581  214,054 
Validus Holdings, Ltd.  24,260  822,657 
Virginia Commerce Bancorp, Inc. †  31,827  278,486 
Visa, Inc. Class A  1,900  255,132 
W.R. Berkley Corp.  33,208  1,244,968 
Walker & Dunlop, Inc. †  19,769  303,850 
Walter Investment Management Corp.  12,092  447,525 
Washington Banking Co.  15,064  213,457 
Wells Fargo & Co.  249,182  8,604,254 
Westpac Banking Corp. (Australia)  31,246  802,544 
Wheelock and Co., Ltd. (Hong Kong)  122,000  523,665 
World Acceptance Corp. †  2,674  180,361 
Yuanta Financial Holding Co., Ltd. (Taiwan)  543,578  284,430 
    153,852,543 
Health care (5.9%)     
Abbott Laboratories  10,974  752,377 
ABIOMED, Inc. †  9,473  198,838 
Aetna, Inc.  57,778  2,288,009 
Affymax, Inc. †  13,846  291,597 
Alfresa Holdings Corp. (Japan)  9,300  458,372 
Amedisys, Inc. †  3,170  43,778 
AmerisourceBergen Corp.  44,085  1,706,530 
Amgen, Inc.  15,305  1,290,518 
AmSurg Corp. †  8,617  244,550 
Astellas Pharma, Inc. (Japan)  17,300  878,680 
AstraZeneca PLC (United Kingdom)  24,385  1,164,945 
athenahealth, Inc. †  1,487  136,462 
Bayer AG (Germany)  18,939  1,629,548 
Bio-Reference Labs, Inc. †  5,472  156,390 
Biosensors International Group, Ltd. (Singapore) †  89,000  88,157 
C.R. Bard, Inc.  14,920  1,561,378 
Celgene Corp. †  16,268  1,242,875 
Centene Corp. †  2,482  92,852 
Coloplast A/S Class B (Denmark)  3,886  809,541 
Community Health Systems, Inc. †  17,403  507,123 
Computer Programs & Systems, Inc.  2,114  117,433 
Conmed Corp.  17,376  495,216 
Covidien PLC  7,621  452,840 
Cubist Pharmaceuticals, Inc. †  8,451  402,944 
Cyberonics, Inc. †  3,308  173,405 
Eli Lilly & Co.  136,447  6,468,952 
Endo Health Solutions, Inc. †  50,294  1,595,326 
Forest Laboratories, Inc. †  112,316  3,999,573 
Fresenius SE & Co. KGgA (Germany)  7,531  875,062 

 

Dynamic Asset Allocation Growth Fund    39 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Health care cont.     
Gilead Sciences, Inc. †  57,271  $3,798,785 
GlaxoSmithKline PLC (United Kingdom)  93,187  2,149,618 
Glenmark Pharmaceuticals, Ltd. (India) †  69,070  551,214 
Greatbatch, Inc. †  21,314  518,570 
Grifols SA ADR (Spain) †  16,642  379,937 
Haemonetics Corp. †  3,326  266,745 
HCA Holdings, Inc.  25,026  832,115 
Health Management Associates, Inc. Class A †  64,008  537,027 
Health Net, Inc. †  7,684  172,967 
HealthSouth Corp. †  15,891  382,337 
Hi-Tech Pharmacal Co., Inc. †  3,775  124,990 
Humana, Inc.  26,374  1,850,136 
Impax Laboratories, Inc. †  17,372  450,977 
Jazz Pharmaceuticals PLC †  18,751  1,068,995 
Johnson & Johnson  60,382  4,160,924 
Kindred Healthcare, Inc. †  25,680  292,238 
Magellan Health Services, Inc. †  3,129  161,488 
McKesson Corp.  37,251  3,204,704 
MedAssets, Inc. †  39,792  708,298 
Medicines Co. (The) †  22,421  578,686 
Merck & Co., Inc.  44,871  2,023,682 
Merck KGaA (Germany)  2,256  278,442 
Metropolitan Health Networks, Inc. †  43,929  410,297 
Mitsubishi Tanabe Pharma Corp. (Japan)  10,300  156,638 
Molina Healthcare, Inc. †  4,319  108,623 
Novartis AG (Switzerland)  19,102  1,169,165 
Novo Nordisk A/S Class B (Denmark)  7,121  1,123,936 
Obagi Medical Products, Inc. †  45,315  562,359 
Omega Healthcare Investors, Inc. R  21,174  481,285 
Omnicare, Inc.  38,089  1,293,883 
Oncothyreon, Inc. †  5,730  29,452 
OraSure Technologies, Inc. †  35,290  392,425 
Orion OYJ Class B (Finland)  22,938  491,466 
Otsuka Holdings Company, Ltd. (Japan)  37,600  1,165,829 
PDL BioPharma, Inc.  46,927  360,869 
Pfizer, Inc.  476,081  11,830,613 
Pharmacyclics, Inc. †  1,453  93,719 
PharMerica Corp. †  15,826  200,357 
PSS World Medical, Inc. †  4,568  104,059 
Quality Systems, Inc.  2,937  54,481 
Roche Holding AG-Genusschein (Switzerland)  11,355  2,121,176 
RTI Biologics, Inc. †  38,010  158,502 
Salix Pharmaceuticals, Ltd. †  2,612  110,592 
Sanofi (France)  30,353  2,593,033 
Shire PLC (United Kingdom)  11,540  341,577 
Sinopharm Group Co. (China)  138,400  443,261 

 

40    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Health care cont.     
Spectrum Pharmaceuticals, Inc. † S  39,027  $456,616 
STAAR Surgical Co. †  45,117  341,085 
Steris Corp.  5,637  199,944 
Suzuken Co., Ltd. (Japan)  10,200  338,384 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  7,264  300,802 
Triple-S Management Corp. Class B (Puerto Rico) †  6,611  138,170 
United Therapeutics Corp. †  25,819  1,442,766 
UnitedHealth Group, Inc.  131,337  7,277,383 
ViroPharma, Inc. †  14,034  424,107 
Warner Chilcott PLC Class A  92,595  1,250,033 
WellCare Health Plans, Inc. †  9,959  563,181 
    93,146,214 
Technology (10.2%)     
Acacia Research Corp. †  3,473  95,195 
Actuate Corp. †  99,559  699,900 
Acxiom Corp. †  31,763  580,310 
Agilent Technologies, Inc.  62,276  2,394,512 
Amadeus IT Holding SA Class A (Spain)  12,370  288,804 
Anixter International, Inc.  3,694  212,257 
AOL, Inc. †  59,966  2,112,602 
Apple, Inc.  79,324  52,929,732 
Applied Materials, Inc.  153,234  1,710,858 
ASML Holding NV (Netherlands)  13,633  730,823 
Aspen Technology, Inc. †  8,317  214,994 
Asustek Computer, Inc. (Taiwan)  53,280  575,718 
Baidu, Inc. ADR (China) †  1,300  151,866 
BMC Software, Inc. †  45,528  1,888,957 
Bottomline Technologies, Inc. †  10,194  251,690 
Broadcom Corp. Class A †  59,774  2,066,985 
Brocade Communications Systems, Inc. †  153,282  906,663 
CA, Inc.  80,587  2,076,324 
Cadence Design Systems, Inc. †  109,728  1,411,651 
China Automation Group, Ltd. (China)  1,111,000  224,412 
Cirrus Logic, Inc. †  3,230  124,000 
Cisco Systems, Inc.  306,243  5,846,179 
Coinstar, Inc. †  1,435  64,546 
Commvault Systems, Inc. †  4,304  252,645 
Computer Sciences Corp.  29,526  951,032 
Computershare, Ltd. (Australia)  31,279  268,311 
Cornerstone OnDemand, Inc. †  5,066  155,324 
CSG Systems International, Inc. †  10,779  242,420 
Dell, Inc. †  162,949  1,606,677 
EMC Corp. †  7,400  201,798 
EnerSys †  13,664  482,203 
Entegris, Inc. †  62,864  511,084 
Entropic Communications, Inc. †  32,753  190,622 
Fair Isaac Corp.  18,514  819,430 

 

Dynamic Asset Allocation Growth Fund    41 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Technology cont.     
FEI Co.  6,861  $367,064 
First Solar, Inc. † S  10,586  234,427 
Fujitsu, Ltd. (Japan)  289,000  1,084,149 
Gemalto NV (Netherlands)  1,181  104,031 
Google, Inc. Class A †  13,303  10,037,114 
GSI Group, Inc. †  10,766  95,925 
Hollysys Automation Technologies, Ltd. (China) †  60,496  590,441 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  352,022  1,090,230 
IBM Corp.  31,302  6,493,600 
Infineon Technologies AG (Germany)  127,047  806,158 
Infoblox, Inc. †  8,735  203,089 
InnerWorkings, Inc. †  15,386  200,326 
Integrated Silicon Solutions, Inc. †  37,617  348,333 
Intel Corp.  98,421  2,232,188 
IntraLinks Holdings, Inc. †  30,011  196,272 
Ixia †  7,799  125,330 
JDA Software Group, Inc. †  9,189  292,026 
KLA-Tencor Corp.  25,796  1,230,598 
Konami Corp. (Japan)  4,800  109,093 
Konica Minolta Holdings, Inc. (Japan)  77,500  595,246 
L-3 Communications Holdings, Inc.  22,909  1,642,804 
Lam Research Corp. †  24,257  771,009 
LivePerson, Inc. †  11,832  214,278 
Mail.ru Group., Ltd. GDR (Russia)  12,167  406,178 
Manhattan Associates, Inc. †  4,862  278,447 
MediaTek, Inc. (Taiwan)  34,000  357,343 
Mentor Graphics Corp. †  29,700  459,756 
Microsemi Corp. †  10,271  206,139 
Microsoft Corp.  460,209  13,705,024 
MTS Systems Corp.  5,582  298,916 
Murata Manufacturing Co., Ltd. (Japan)  6,400  340,461 
NEC Corp. (Japan) †  415,000  655,787 
Netscout Systems, Inc. †  10,020  255,610 
NTT Data Corp. (Japan)  122  380,775 
NVIDIA Corp. †  87,205  1,163,315 
Omnivision Technologies, Inc. †  17,463  243,696 
Oracle Corp.  187,368  5,900,218 
Parametric Technology Corp. †  9,601  209,302 
Pegatron Corp. (Taiwan) †  219,000  283,259 
Perficient, Inc. †  15,988  192,975 
Pericom Semiconductor Corp. †  25,067  217,707 
Photronics, Inc. †  30,130  161,798 
Plantronics, Inc.  5,027  177,604 
Polycom, Inc. †  39,561  390,467 
Procera Networks, Inc. †  12,193  286,536 
QLIK Technologies, Inc. †  3,605  80,788 

 

42    Dynamic Asset Allocation Growth Fund 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
  
Technology cont.     
QLogic Corp. †  119,034  $1,359,368 
Qualcomm, Inc.  20,497  1,280,858 
RealPage, Inc. †  8,450  190,970 
RF Micro Devices, Inc. †  29,830  117,829 
Rovi Corp. †  32,699  474,462 
Rudolph Technologies, Inc. †  24,080  252,840 
Samsung Electronics Co., Ltd. (South Korea)  3,229  3,887,496 
SAP AG (Germany)  7,241  513,469 
Semtech Corp. †  11,120  279,668 
Silicon Graphics International Corp. †  8,398  76,422 
Silicon Image, Inc. †  29,080  133,477 
SK Hynix, Inc. (South Korea) †  40,560  823,721 
Skyworks Solutions, Inc. †  7,526  177,350 
Softbank Corp. (Japan)  18,800  760,939 
Sourcefire, Inc. †  3,810  186,804 
Spreadtrum Communications, Inc. ADR (China)  27,008  555,284 
SS&C Technologies Holdings, Inc. †  13,000  327,730 
Symantec Corp. †  142,068  2,557,224 
Synaptics, Inc. †  1,164  27,959 
Synchronoss Technologies, Inc. †  4,534  103,829 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  194,350  592,210 
Tangoe, Inc. †  7,889  103,583 
Tech Data Corp. †  12,610  571,233 
Telefonaktiebolaget LM Ericsson Class B (Sweden)  37,172  339,043 
Tencent Holdings, Ltd. (China)  23,000  779,288 
Teradyne, Inc. †  62,311  886,062 
TIBCO Software, Inc. †  16,051  485,222 
Travelzoo, Inc. †  6,249  147,289 
Tripod Technology Corp. (Taiwan)  125,180  307,191 
Tyler Technologies, Inc. †  4,315  189,946 
Ultimate Software Group, Inc. †  3,061  312,528 
Ultra Clean Holdings, Inc. †  27,621  157,716 
Unisys Corp. †  4,112  85,612 
VASCO Data Security International, Inc. †  47,525  445,785 
Vishay Intertechnology, Inc. †  54,190  532,688 
Western Digital Corp. †  34,748  1,345,790 
Wistron NeWeb Corp. (Taiwan)  190,200  352,091 
Yandex NV Class A (Russia) †  16,400  395,404 
    161,072,736 
Transportation (0.7%)     
Central Japan Railway Co. (Japan)  21,300  1,868,408 
ComfortDelgro Corp., Ltd. (Singapore)  354,000  493,947 
Delta Air Lines, Inc. †  188,077  1,722,785 
Deutsche Lufthansa AG (Germany)  12,357  167,846 
Deutsche Post AG (Germany)  14,026  274,216 
Globaltrans Investment PLC 144A GDR (Russia)  17,809  370,071 
Hankyu Hanshin Holdings, Inc. (Japan)  144,000  777,204 

 

Dynamic Asset Allocation Growth Fund    43 

 


COMMON STOCKS (55.7%)* cont.  Shares  Value 
 
Transportation cont.     
International Consolidated Airlines Group SA (Spain) †  147,664  $355,911 
Japan Airlines Co., Ltd. (Japan) †  1,500  70,156 
Neptune Orient Lines, Ltd. (Singapore) †  600,000  550,053 
Swift Transportation Co. †  38,253  329,741 
Turk Hava Yollari (Turkey) †  217,881  456,466 
United Continental Holdings, Inc. †  55,844  1,088,958 
United Parcel Service, Inc. Class B  19,348  1,384,736 
US Airways Group, Inc. †  13,271  138,815 
Wabtec Corp.  12,321  989,253 
    11,038,566 
Utilities and power (1.5%)     
Aboitiz Power Corp. (Philippines)  575,000  462,373 
AES Corp. (The) †  147,770  1,621,037 
Ameren Corp.  56,789  1,855,297 
CenterPoint Energy, Inc.  97,600  2,078,880 
Centrica PLC (United Kingdom)  114,883  608,921 
China Resources Gas Group, Ltd. (China)  202,000  412,483 
Chubu Electric Power, Inc. (Japan)  15,100  196,728 
CMS Energy Corp.  62,373  1,468,884 
DTE Energy Co.  38,213  2,290,487 
Electric Power Development Co. (Japan)  10,000  262,046 
Enel SpA (Italy)  192,275  681,628 
Energias de Portugal (EDP) SA (Portugal)  56,450  155,696 
Entergy Corp.  37,924  2,628,133 
GDF Suez (France)  34,618  775,801 
National Grid PLC (United Kingdom)  116,631  1,287,497 
Origin Energy, Ltd. (Australia)  28,116  329,983 
PG&E Corp.  79,890  3,408,906 
Power Grid Corp. of India, Ltd. (India)  162,347  370,421 
Red Electrica Corporacion SA (Spain)  18,699  888,108 
TECO Energy, Inc.  57,367  1,017,691 
Toho Gas Co., Ltd. (Japan)  83,000  551,033 
Tokyo Gas Co., Ltd. (Japan)  102,000  561,916 
Westar Energy, Inc.  31,488  933,934 
    24,847,883 
     
Total common stocks (cost $776,159,124)    $878,969,492 
 
CORPORATE BONDS AND NOTES (12.5%)*  Principal amount  Value 
 
Basic materials (1.0%)     
Agrium, Inc. sr. unsec. notes 3.15s, 2022 (Canada)  $20,000  $20,095 
Airgas, Inc. sr. unsec. unsub. notes 3 1/4s, 2015  355,000  378,093 
Allegheny Technologies, Inc. sr. unsec.     
unsub. notes 9 3/8s, 2019  65,000  83,981 
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95s, 2021  40,000  44,154 
ArcelorMittal sr. unsec. unsub. 10.1s, 2019 (France)  275,000  317,554 
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022  90,000  92,025 

 

44    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Basic materials cont.       
Atkore International, Inc. company       
guaranty sr. notes 9 7/8s, 2018    $440,000  $427,900 
Cabot Corp. sr. unsec. unsub. notes 2.55s, 2018    365,000  374,236 
Celanese US Holdings, LLC company guaranty sr. unsec.       
notes 6 5/8s, 2018 (Germany)    125,000  136,875 
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)    300,000  336,000 
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016  200,000  206,500 
CF Industries, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/8s, 2020    210,000  263,550 
CF Industries, Inc. company guaranty sr. unsec.       
unsub. notes 6 7/8s, 2018    245,000  297,981 
Compass Minerals International, Inc. company       
guaranty sr. unsec. notes 8s, 2019    275,000  297,000 
Domtar Corp. company guaranty sr. unsec.       
unsub. notes 6 1/4s, 2042 (Canada)    160,000  163,355 
Dow Chemical Co. (The) sr. unsec. unsub. notes 8.55s, 2019    135,000  181,030 
E.I. du Pont de Nemours & Co. sr. notes 3 5/8s, 2021    265,000  294,784 
Eastman Chemical Co. sr. unsec. notes 4.8s, 2042    745,000  807,188 
Eastman Chemical Co. sr. unsec. notes 3.6s, 2022    535,000  563,571 
Eastman Chemical Co. sr. unsec. unsub. notes 2.4s, 2017    170,000  177,550 
Ferro Corp. sr. unsec. notes 7 7/8s, 2018    355,000  342,575 
FMG Resources August 2006 Pty, Ltd. 144A company       
guaranty sr. unsec. notes 6 3/8s, 2016 (Australia)    160,000  155,600 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s,       
2019 (Australia)    165,000  160,050 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s,       
2018 (Australia)    340,000  319,600 
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec.       
notes 6 7/8s, 2022 (Australia)    140,000  128,450 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC       
company guaranty sr. notes 8 7/8s, 2018    215,000  220,913 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC       
company guaranty sr. notes 6 5/8s, 2020    85,000  86,488 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC       
company guaranty sr. notes FRN 4.935s, 2014    90,000  85,725 
Huntsman International, LLC company guaranty sr. unsec.       
sub. notes 8 5/8s, 2021    140,000  160,300 
Huntsman International, LLC company guaranty sr. unsec.       
sub. notes 8 5/8s, 2020    265,000  299,450 
IAMGOLD Corp. 144A company guaranty sr. unsec.       
notes 6 3/4s, 2020 (Canada)    330,000  323,400 
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s,       
2020 (United Kingdom)    170,000  172,125 
INEOS Group Holdings, Ltd. company guaranty sr. unsec.       
notes Ser. REGS, 7 7/8s, 2016 (United Kingdom)  EUR  160,000  191,213 
International Paper Co. sr. unsec. notes 7.95s, 2018    $725,000  933,121 
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019    285,000  319,913 
Louisiana-Pacific Corp. company guaranty sr. unsec.       
unsub. notes 7 1/2s, 2020    115,000  128,081 

 

Dynamic Asset Allocation Growth Fund  45 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Basic materials cont.       
Lubrizol Corp. (The) sr. unsec. notes 8 7/8s, 2019    $135,000  $190,817 
LyondellBasell Industries NV sr. unsec. notes 6s, 2021       
(Netherlands)    530,000  604,200 
LyondellBasell Industries NV sr. unsec. unsub notes 5s,       
2019 (Netherlands)    880,000  935,000 
LyondellBasell Industries NV sr. unsec.       
unsub. notes 5 3/4s, 2024 (Netherlands)    285,000  324,188 
Momentive Performance Materials, Inc. company       
guaranty notes 9 1/2s, 2021  EUR  100,000  92,353 
Momentive Performance Materials, Inc. notes 9s, 2021    $60,000  43,500 
New Gold, Inc. 144A company guaranty sr. unsec.       
unsub. notes 7s, 2020 (Canada)    135,000  143,100 
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020    225,000  249,188 
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015    270,000  271,350 
Nufarm Australia Ltd. 144A company       
guaranty sr. notes 6 3/8s, 2019 (Australia)    95,000  95,000 
PH Glatfelter Co. 144A sr. notes 5 3/8s, 2020    35,000  35,700 
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec.       
unsub. notes 3 1/2s, 2020 (Australia)    10,000  10,550 
Rock-Tenn Co. 144A sr. unsec. notes 4.9s, 2022    210,000  227,487 
Rock-Tenn Co. 144A sr. unsec. notes 4.45s, 2019    210,000  221,511 
Rockwood Specialties Group, Inc. company       
guaranty sr. unsec. notes 4 5/8s, 2020    50,000  50,688 
Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029    275,000  368,736 
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A       
company guaranty sr. unsec. notes 10s, 2020    180,000  196,200 
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company       
guaranty sr. notes 9s, 2017    175,000  179,375 
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s,       
2015 (Ireland)    195,000  197,184 
Smurfit Kappa Treasury company guaranty sr. unsec.       
unsub. debs 7 1/2s, 2025 (Ireland)    55,000  55,963 
Steel Dynamics, Inc. sr. unsec. notes company       
guaranty 7 5/8s, 2020    20,000  21,700 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.       
notes 6 3/8s, 2022    40,000  41,300 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.       
notes 6 1/8s, 2019    50,000  52,000 
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020    285,000  307,800 
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017    250,000  270,000 
Tronox Finance, LLC 144A company guaranty sr. unsec.       
notes 6 3/8s, 2020    260,000  262,600 
Verso Paper Holdings, LLC/Verso Paper, Inc. company       
guaranty sr. notes 8 3/4s, 2019    60,000  28,800 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A company       
guaranty sr. notes 11 3/4s, 2019    20,000  15,400 
      14,982,116 
Capital goods (0.6%)       
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020    40,000  40,800 
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016    301,000  322,446 

 

46    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Capital goods cont.       
American Axle & Manufacturing, Inc. company       
guaranty sr. unsec. notes 7 3/4s, 2019    $420,000  $460,950 
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s,       
2017 (Ireland)  EUR  315,000  429,726 
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020    $75,000  83,250 
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022    175,000  181,125 
Ball Corp. company guaranty sr. unsec. notes 5s, 2022    45,000  47,138 
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018    145,000  159,138 
Berry Plastics Corp. company guaranty unsub. notes       
9 3/4s, 2021    285,000  324,900 
Berry Plastics Holding Corp. company guaranty sr. unsec.       
sub. notes 10 1/4s, 2016    100,000  103,750 
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019    105,000  124,989 
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada)    125,000  143,125 
Bombardier, Inc. 144A sr. unsec. notes 5 3/4s, 2022 (Canada)    55,000  56,375 
Briggs & Stratton Corp. company guaranty sr. unsec.       
notes 6 7/8s, 2020    280,000  305,200 
Consolidated Container Co. LLC/Consolidated Container       
Capital, Inc. 144A company guaranty sr. unsec.       
notes 10 1/8s, 2020    140,000  150,150 
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)  EUR  65,000  91,089 
Deere & Co. sr. unsec. unsub. notes 2.6s, 2022    $235,000  241,207 
Exide Technologies sr. notes 8 5/8s, 2018    170,000  147,263 
John Deere Capital Corp. notes Ser. MTN, 5 1/4s, 2012    115,000  115,016 
Kratos Defense & Security Solutions, Inc. company       
guaranty sr. notes 10s, 2017    380,000  410,400 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    805,000  1,029,037 
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015    60,000  63,000 
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016    400,000  372,000 
Polypore International, Inc. company guaranty sr. unsec.       
notes 7 1/2s, 2017    270,000  290,925 
Raytheon Co. sr. unsec. notes 4 7/8s, 2040    65,000  76,945 
Rexel SA 144A company guaranty sr. unsec.       
unsub. notes 6 1/8s, 2019 (France)    200,000  207,544 
Reynolds Group Issuer, Inc. company       
guaranty sr. notes 7 7/8s, 2019    100,000  107,750 
Reynolds Group Issuer, Inc. company       
guaranty sr. notes 7 3/4s, 2016    150,000  156,375 
Reynolds Group Issuer, Inc. company       
guaranty sr. notes 7 1/8s, 2019    195,000  205,725 
Reynolds Group Issuer, Inc. company guaranty sr. unsec.       
unsub. notes 9 7/8s, 2019    200,000  212,000 
Reynolds Group Issuer, Inc. company guaranty sr. unsec.       
unsub. notes 9s, 2019    105,000  107,100 
Reynolds Group Issuer, Inc. 144A company       
guaranty sr. notes 5 3/4s, 2020    130,000  130,000 
Ryerson Holding Corp. sr. disc. notes zero %, 2015    190,000  134,425 
Ryerson, Inc. company guaranty sr. notes 12s, 2015    501,000  517,283 
Staples, Inc. sr. unsec. notes 9 3/4s, 2014    195,000  215,736 

 

Dynamic Asset Allocation Growth Fund    47 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Capital goods cont.     
Tenneco, Inc. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2018  $110,000  $119,625 
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020  210,000  229,950 
Terex Corp. sr. unsec. sub. notes 8s, 2017  265,000  274,275 
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017  400,000  426,000 
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017  188,000  209,385 
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018  285,000  314,925 
United Technologies Corp. sr. unsec. unsub notes 4 1/2s, 2042  280,000  313,820 
United Technologies Corp. sr. unsec. unsub. notes 3.1s, 2022  265,000  282,390 
    9,934,252 
Communication services (1.6%)     
Adelphia Communications Corp. escrow bonds zero %, 2012  200,000  1,520 
America Movil SAB de CV company guaranty sr. unsec.     
unsub. notes 6 1/8s, 2040 (Mexico)  140,000  182,163 
America Movil SAB de CV company guaranty unsec.     
unsub. notes 2 3/8s, 2016 (Mexico)  200,000  208,046 
American Tower Corp. sr. unsec. notes 7s, 2017 R  210,000  249,920 
AT&T, Inc. sr. unsec. bonds 6.55s, 2039  50,000  67,775 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038  125,000  164,090 
AT&T, Inc. sr. unsec. unsub. notes 3s, 2022  175,000  185,009 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030  310,000  416,285 
Bresnan Broadband Holdings, LLC 144A company     
guaranty sr. unsec. unsub. notes 8s, 2018  165,000  177,788 
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017  525,000  610,313 
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020  80,000  89,200 
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018  150,000  166,125 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 7 7/8s, 2018  150,000  162,375 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 6 1/2s, 2021  185,000  198,413 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 5 1/4s, 2022  95,000  95,238 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 7 3/8s, 2020  150,000  166,875 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 6 5/8s, 2022  165,000  180,263 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsub. notes 7s, 2019  235,000  255,269 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. notes 8 5/8s, 2017  495,000  528,413 
Cincinnati Bell, Inc. company guaranty sr. unsec.     
sub. notes 8 3/4s, 2018  190,000  193,325 
Cincinnati Bell, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2017  95,000  101,413 
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A     
company guaranty sr. notes 12s, 2015  360,000  356,400 
Comcast Corp. company guaranty sr. unsec.     
unsub. notes 6.95s, 2037  368,000  500,980 
Corning, Inc. sr. unsec. unsub. notes 5 3/4s, 2040  150,000  182,163 

 

48    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Communication services cont.     
Cricket Communications, Inc. company guaranty sr. unsec.     
notes 7 3/4s, 2020  $285,000  $277,875 
Cricket Communications, Inc. company guaranty sr. unsec.     
unsub. notes 10s, 2015  535,000  563,088 
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019  100,000  108,500 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021  145,000  159,863 
Deutsche Telekom International Finance BV company     
guaranty 8 3/4s, 2030 (Netherlands)  195,000  293,301 
Digicel Group, Ltd. 144A sr. notes 10 1/2s, 2018 (Jamaica)  170,000  184,875 
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)  225,000  243,000 
DISH DBS Corp. company guaranty 6 5/8s, 2014  45,000  48,825 
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  445,000  517,313 
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015  10,000  11,250 
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021  235,000  256,150 
Equinix, Inc. sr. unsec. notes 7s, 2021  165,000  184,800 
France Telecom sr. unsec. unsub. notes 4 1/8s, 2021 (France)  132,000  146,009 
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021  80,000  92,600 
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020  330,000  372,900 
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017  190,000  215,650 
Hughes Satellite Systems Corp. company     
guaranty sr. notes 6 1/2s, 2019  290,000  310,300 
Hughes Satellite Systems Corp. company guaranty sr. unsec.     
notes 7 5/8s, 2021  320,000  354,400 
Inmarsat Finance PLC 144A company     
guaranty sr. notes 7 3/8s, 2017 (United Kingdom)  130,000  140,400 
Intelsat Investments SA company guaranty sr. unsec.     
notes 11 1/4s, 2016 (Bermuda)  151,000  157,606 
Intelsat Jackson Holdings SA company guaranty sr. unsec.     
notes 7 1/2s, 2021 (Bermuda)  210,000  227,325 
Intelsat Jackson Holdings SA 144A company     
guaranty sr. unsec. notes 7 1/4s, 2020 (Bermuda)  130,000  139,750 
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s,     
2022 (Bermuda)  105,000  104,475 
Intelsat Luxembourg SA company guaranty sr. unsec.     
notes 11 1/2s, 2017 (Luxembourg) ‡‡  684,843  725,934 
Intelsat Luxembourg SA company guaranty sr. unsec.     
notes 11 1/4s, 2017 (Luxembourg)  1,280,000  1,353,600 
Koninklijke (Royal) KPN NV sr. unsec. unsub. bonds 8 3/8s,     
2030 (Netherlands)  90,000  120,374 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 9 3/8s, 2019  185,000  205,350 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 8 5/8s, 2020  185,000  199,800 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2019  45,000  47,813 
Level 3 Financing, Inc. 144A company guaranty sr. unsec     
unsub. notes 7s, 2020  210,000  212,100 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec.     
notes 9 1/8s, 2019  205,000  226,525 

 

Dynamic Asset Allocation Growth Fund    49 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Communication services cont.     
Mediacom, LLC/Mediacom Capital Corp. sr. unsec.     
unsub. notes 7 1/4s, 2022  $125,000  $134,063 
MetroPCS Wireless, Inc. company guaranty sr. unsec.     
notes 7 7/8s, 2018  420,000  455,700 
Nextel Communications, Inc. company guaranty sr. unsec.     
notes Ser. D, 7 3/8s, 2015  8,000  8,030 
Nextel Communications, Inc. company guaranty sr. unsec.     
unsub. notes 5.95s, 2014  545,000  546,363 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 10s, 2016  440,000  433,400 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 8 7/8s, 2019  55,000  46,200 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 7 5/8s, 2021  250,000  200,000 
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017  260,000  282,100 
PAETEC Holding Corp. company guaranty sr. unsec.     
notes 9 7/8s, 2018  230,000  263,350 
Qwest Corp. notes 6 3/4s, 2021  777,000  927,181 
Qwest Corp. sr. notes FRN 3.639s, 2013  1,475,000  1,482,950 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025  85,000  104,103 
Rogers Communications, Inc. company guaranty sr. unsec.     
bonds 8 3/4s, 2032 (Canada)  225,000  347,625 
SBA Telecommunications, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2019  13,000  14,528 
SBA Telecommunications, Inc. 144A company     
guaranty sr. unsec. unsub. notes 5 3/4s, 2020  70,000  73,500 
SBA Tower Trust 144A notes 2.933s, 2017  610,000  626,746 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  1,095,000  1,007,400 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017  250,000  278,125 
Sprint Nextel Corp. sr. unsec. notes 6s, 2016  310,000  319,300 
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017  205,000  232,163 
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020  145,000  150,800 
Sprint Nextel Corp. 144A company guaranty sr. unsec.     
notes 9s, 2018  485,000  580,788 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 8 1/4s, 2014  340,000  374,326 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2039  105,000  136,846 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 4 1/2s, 2042  590,000  588,393 
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec.     
notes 5 3/8s, 2022  65,000  66,219 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A     
company guaranty sr. notes 7 1/2s, 2019 (Germany)  150,000  164,931 
Verizon Communications, Inc. sr. unsec.     
unsub. notes 8 3/4s, 2018  270,000  377,023 
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s,     
2022 (Canada)  260,000  271,700 
Virgin Media Finance PLC company guaranty sr. notes Ser. 1,     
9 1/2s, 2016 (United Kingdom)  123,000  136,223 

 

50    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Communication services cont.     
Wind Acquisition Finance SA 144A company     
guaranty sr. notes 7 1/4s, 2018 (Luxembourg)  $360,000  $342,000 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017     
(Luxembourg)  400,000  377,000 
Windstream Corp. company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2018  85,000  91,800 
Windstream Corp. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2017  385,000  430,238 
Windstream Corp. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2021  160,000  172,400 
    25,684,626 
Consumer cyclicals (2.2%)     
Academy, Ltd./Academy Finance Corp. 144A company     
guaranty sr. unsec. notes 9 1/4s, 2019  35,000  38,675 
ADT Corp./The 144A company guaranty sr. unsec notes     
4 7/8s, 2042  258,000  278,516 
ADT Corp./The 144A company guaranty sr. unsec notes     
3 1/2s, 2022  362,000  372,982 
Advance Auto Parts, Inc. company guaranty sr. unsec.     
notes 5 3/4s, 2020  205,000  237,131 
Affinion Group Holdings, Inc. company guaranty sr. unsec.     
notes 11 5/8s, 2015  245,000  166,600 
Affinion Group, Inc. company guaranty sr. unsec.     
notes 7 7/8s, 2018  315,000  257,513 
Affinion Group, Inc. company guaranty sr. unsec.     
sub. notes 11 1/2s, 2015  215,000  178,450 
AMC Entertainment, Inc. company     
guaranty sr. sub. notes 9 3/4s, 2020  365,000  411,081 
American Casino & Entertainment Properties LLC     
sr. notes 11s, 2014  299,000  310,960 
American Media, Inc. 144A notes 13 1/2s, 2018  11,246  10,403 
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016 ‡‡  105,000  107,626 
Ashtead Capital, Inc. 144A company     
guaranty sr. notes 6 1/2s, 2022  105,000  110,250 
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018  90,000  101,138 
Autonation, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2020  70,000  74,813 
Beazer Homes USA, Inc. company guaranty sr. unsec.     
notes 6 7/8s, 2015  205,000  206,025 
Beazer Homes USA, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2018  35,000  35,350 
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019  95,000  95,475 
Beazer Homes USA, Inc. sr. unsec. notes company     
guaranty 8 1/8s, 2016  105,000  109,725 
Beazer Homes USA, Inc. 144A company     
guaranty sr. notes 6 5/8s, 2018  120,000  128,250 
Bon-Ton Department Stores, Inc. (The) 144A company     
guaranty sr. notes 10 5/8s, 2017  390,000  351,975 
Building Materials Corp. 144A company     
guaranty sr. notes 7 1/2s, 2020  240,000  262,200 
Building Materials Corp. 144A sr. notes 7s, 2020  95,000  103,075 

 

Dynamic Asset Allocation Growth Fund    51 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Building Materials Corp. 144A sr. notes 6 7/8s, 2018  $110,000  $117,975 
Building Materials Corp. 144A sr. notes 6 3/4s, 2021  95,000  104,025 
Burlington Coat Factory Warehouse Corp. company     
guaranty sr. unsec. notes 10s, 2019  205,000  226,781 
Caesars Entertainment Operating Co., Inc.     
sr. notes 11 1/4s, 2017  1,075,000  1,155,625 
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019  120,000  129,000 
CBS Corp. company guaranty sr. unsec. debs. notes 7 7/8s, 2030  100,000  136,019 
CBS Corp. sr. unsec. unsub. notes 4 1/2s, 2021  210,000  238,488 
CCM Merger, Inc. 144A company guaranty sr. unsec.     
notes 9 1/8s, 2019  175,000  176,313 
Cedar Fair LP/Canada’s Wonderland Co./Magnum     
Management Corp. company guaranty sr. unsec. notes     
9 1/8s, 2018  45,000  51,131 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018  225,000  213,188 
Choice Hotels International, Inc. company     
guaranty sr. unsec. unsub. notes 5 3/4s, 2022  95,000  103,550 
Choice Hotels International, Inc. company     
guaranty sr. unsec. unsub. notes 5.7s, 2020  160,000  172,800 
Chrysler Group, LLC/CG Co-Issuer, Inc. company     
guaranty notes 8 1/4s, 2021  375,000  399,375 
Cinemark USA, Inc. company guaranty sr. unsec.     
notes 8 5/8s, 2019  80,000  88,800 
Cinemark USA, Inc. company guaranty sr. unsec.     
sub. notes 7 3/8s, 2021  125,000  139,063 
CityCenter Holdings LLC/CityCenter Finance Corp. company     
guaranty 10 3/4s, 2017 ‡‡  413,162  441,050 
Clear Channel Communications, Inc. company     
guaranty sr. notes 9s, 2021  275,000  244,750 
Clear Channel Communications, Inc. sr. unsec. notes     
5 1/2s, 2014  120,000  108,000 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec notes 7 5/8s, 2020  345,000  337,238 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017  380,000  409,450 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015  215,000  223,063 
Cumulus Media Holdings, Inc. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2019  330,000  320,925 
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company     
guaranty sr. unsec. notes 6.35s, 2040  145,000  168,849 
DR Horton, Inc. company guaranty sr. unsec.     
unsub. notes 4 3/8s, 2022  95,000  94,406 
Entercom Radio, LLC company guaranty sr. unsec.     
sub. notes 10 1/2s, 2019  245,000  267,050 
Expedia, Inc. company guaranty sr. unsec.     
unsub. notes 5.95s, 2020  395,000  435,676 
FelCor Lodging LP company guaranty sr. notes 10s, 2014 R  352,000  403,920 
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R  370,000  396,825 
Ford Motor Co. sr. unsec. unsub. bonds 7.7s, 2097  265,000  300,113 
Ford Motor Co. sr. unsec. unsub. notes 7.4s, 2046  210,000  252,000 

 

52    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020    $255,000  $320,191 
Ford Motor Credit Co., LLC sr. unsec. notes 4 1/4s, 2022    570,000  584,113 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021    480,000  543,815 
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015    300,000  325,125 
Gray Television, Inc. 144A company guaranty sr. unsec.       
notes 7 1/2s, 2020    160,000  159,200 
Great Canadian Gaming Corp. 144A company       
guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)  CAD  325,000  341,053 
Hanesbrands, Inc. company guaranty sr. unsec. notes       
6 3/8s, 2020    $190,000  206,150 
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019    235,000  256,150 
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016    170,000  196,685 
Host Hotels & Resorts LP company guaranty sr. unsec.       
unsub. notes 4 3/4s, 2023 R    65,000  67,600 
Host Hotels & Resorts LP company guaranty sr. unsec.       
unsub. notes Ser. Q, 6 3/4s, 2016 R    89,000  91,448 
Interactive Data Corp. company guaranty sr. unsec.       
notes 10 1/4s, 2018    520,000  582,400 
Isle of Capri Casinos, Inc. company guaranty sr. unsec.       
unsub. notes 7 3/4s, 2019    205,000  220,375 
Isle of Capri Casinos, Inc. 144A company       
guaranty sr. sub. notes 8 7/8s, 2020    160,000  168,800 
Jarden Corp. company guaranty sr. unsec. sub. notes       
Ser. 1, 7 1/2s, 2020  EUR  50,000  68,946 
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017    $355,000  403,813 
Johnson Controls, Inc. sr. unsec. notes 5.7s, 2041    35,000  41,721 
K Hovnanian Enterprises, Inc. 144A company       
guaranty notes 9 1/8s, 2020    65,000  65,325 
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020    140,000  142,800 
KB Home company guaranty sr. unsec. unsub. notes       
7 1/2s, 2022    25,000  26,625 
Lamar Media Corp. company guaranty sr. sub. notes       
7 7/8s, 2018    65,000  71,825 
Lamar Media Corp. company guaranty sr. sub. notes       
5 7/8s, 2022    145,000  154,425 
Lender Processing Services, Inc. company       
guaranty sr. unsec. unsub. notes 8 1/8s, 2016    787,000  822,415 
Lender Processing Services, Inc. company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2023    250,000  250,000 
Lennar Corp. 144A company guaranty sr. notes 4 3/4s, 2017    70,000  72,275 
Liberty Interactive, LLC debs. 8 1/4s, 2030    195,000  205,725 
Limited Brands, Inc. company guaranty sr. unsec.       
notes 6 5/8s, 2021    230,000  261,625 
Limited Brands, Inc. sr. notes 5 5/8s, 2022    105,000  112,744 
M/I Homes, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2018    420,000  454,125 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.       
notes 5.9s, 2016    245,000  286,068 

 

Dynamic Asset Allocation Growth Fund    53 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.     
notes 5 1/8s, 2042  $220,000  $239,841 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.     
notes 3 7/8s, 2022  70,000  75,299 
Marriott International, Inc. sr. unsec. unsub notes 3s, 2019  695,000  711,435 
Mashantucket Western Pequot Tribe 144A bonds Ser. A,     
8 1/2s, 2015 (In default) †  285,000  25,650 
Masonite International Corp., 144A company     
guaranty sr. notes 8 1/4s, 2021 (Canada)  275,000  290,125 
MGM Resorts International company guaranty sr. notes 9s, 2020  25,000  27,906 
MGM Resorts International company guaranty sr. unsec.     
notes 6 7/8s, 2016  95,000  99,275 
MGM Resorts International company guaranty sr. unsec.     
notes 6 5/8s, 2015  125,000  133,750 
MGM Resorts International company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2022  135,000  140,738 
MGM Resorts International sr. notes 10 3/8s, 2014  30,000  33,750 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 8 5/8s, 2019  145,000  158,050 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 6 3/4s, 2020  150,000  150,000 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  180,000  188,568 
MTR Gaming Group, Inc. company guaranty notes     
11 1/2s, 2019 ‡‡  666,616  701,613 
Navistar International Corp. sr. notes 8 1/4s, 2021  527,000  500,650 
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019  205,000  209,100 
News America Holdings, Inc. debs. 7 3/4s, 2045  210,000  281,432 
Nielsen Finance, LLC/Nielsen Finance Co. company     
guaranty sr. unsec. notes 7 3/4s, 2018 (Netherlands)  75,000  84,563 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec.     
notes 4 1/2s, 2020 (Netherlands)  110,000  109,175 
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018  255,000  281,775 
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021  100,000  106,500 
Owens Corning company guaranty sr. unsec. notes 9s, 2019  670,000  842,525 
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019  140,000  156,800 
Penske Automotive Group, Inc. 144A company     
guaranty sr. sub. notes 5 3/4s, 2022  195,000  199,875 
PETCO Animal Supplies, Inc. 144A company     
guaranty sr. notes 9 1/4s, 2018  145,000  159,500 
Pinnacle Entertainment, Inc. company guaranty sr. unsec.     
notes 8 5/8s, 2017  45,000  49,163 
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017  285,000  327,750 
Pulte Group, Inc. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2032  195,000  202,800 
QVC Inc. 144A sr. notes 7 3/8s, 2020  160,000  177,880 
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014  85,000  88,400 
Realogy Corp. company guaranty sr. unsec.     
sub. notes 12 3/8s, 2015  130,000  133,900 

 

54    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Realogy Corp. company guaranty sr. unsec.     
unsub. notes 11 1/2s, 2017  $380,000  $407,550 
Realogy Corp. 144A company guaranty sr. notes 9s, 2020  55,000  59,675 
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019  80,000  84,000 
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020  55,000  60,638 
Regal Entertainment Group company guaranty sr. unsec.     
notes 9 1/8s, 2018  295,000  329,663 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh     
Finance Corp. 144A sr. notes 9 1/2s, 2019  195,000  208,163 
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes     
12 1/8s, 2018  295,000  342,200 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  315,000  312,638 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  90,000  89,325 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016  330,000  334,950 
Sabre, Inc. 144A sr. notes 8 1/2s, 2019  220,000  227,150 
Schaeffler Finance BV 144A company     
guaranty sr. notes 8 1/2s, 2019 (Germany)  485,000  539,563 
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec.     
unsub. notes 6 5/8s, 2020  210,000  226,275 
Sealy Mattress Co. 144A company guaranty sr. notes     
10 7/8s, 2016  110,000  120,175 
Sears Holdings Corp. company guaranty 6 5/8s, 2018  120,000  111,900 
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022  90,000  90,225 
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022  55,000  54,588 
Spectrum Brands Holdings, Inc. company     
guaranty sr. notes 9 1/2s, 2018  155,000  174,763 
Spectrum Brands Holdings, Inc. 144A company     
guaranty sr. notes 9 1/2s, 2018  105,000  118,388 
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020  200,000  206,500 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming     
Finance Corp. 144A notes 8 5/8s, 2016  45,000  48,263 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. notes 7 3/4s, 2020  65,000  69,225 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A sr. notes 7 3/4s, 2020  340,000  362,100 
Time Warner, Inc. company guaranty sr. unsec. notes 4.7s, 2021  180,000  206,598 
Time Warner, Inc. company guaranty sr. unsec. notes 3.15s, 2015  30,000  32,015 
Toyota Motor Credit Corp. sr. unsec. unsub. notes 3.3s, 2022  450,000  484,381 
Toys R Us — Delaware, Inc. 144A company     
guaranty sr. notes 7 3/8s, 2016  65,000  66,138 
Toys R Us Property Co., LLC company guaranty sr. unsec.     
notes 10 3/4s, 2017  535,000  583,150 
Toys R Us, Inc. 144A sr. unsec. notes 10 3/8s, 2017  65,000  66,219 
Travelport, LLC company guaranty sr. unsec.     
sub. notes 11 7/8s, 2016  50,000  18,875 
Travelport, LLC company guaranty sr. unsec.     
unsub. notes 9 7/8s, 2014  80,000  64,000 
Travelport, LLC 144A sr. notes 6.362s, 2016 ‡‡  46,000  34,960 

 

Dynamic Asset Allocation Growth Fund    55 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Travelport, LLC/Travelport, Inc. company       
guaranty sr. unsec. notes 9s, 2016    $124,000  $88,660 
TRW Automotive, Inc. company guaranty sr. unsec.       
unsub. notes Ser. REGS, 6 3/8s, 2014  EUR  165,000  223,296 
TRW Automotive, Inc. 144A company       
guaranty sr. notes 7 1/4s, 2017    $100,000  114,250 
TRW Automotive, Inc. 144A company guaranty sr. unsec.       
unsub. notes 7s, 2014    330,000  351,450 
Univision Communications, Inc. 144A company       
guaranty sr. unsec. notes 8 1/2s, 2021    240,000  243,600 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037    540,000  773,628 
Walt Disney Co. (The) sr. unsec. notes 2 3/4s, 2021    80,000  83,942 
Walt Disney Co. (The) sr. unsec. unsub. notes 4 3/8s, 2041    30,000  34,486 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company       
guaranty 1st mtge. notes 7 3/4s, 2020    55,000  61,188 
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018    300,000  331,500 
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec.       
notes 10 1/4s, 2016 (no set date to PIK expiration) ‡‡    185,000  191,475 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016    484,000  522,720 
      35,349,459 
Consumer staples (1.0%)       
Altria Group, Inc. company guaranty sr. unsec. notes 9.7s, 2018    51,000  73,047 
Altria Group, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2019    7,000  9,939 
Altria Group, Inc. company guaranty sr. unsec.       
unsub. notes 2.85s, 2022    255,000  253,109 
Anheuser-Busch InBev Worldwide, Inc. company       
guaranty unsec. unsub. notes 5 3/8s, 2020    315,000  391,126 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 9 3/4s, 2020    80,000  91,400 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 9 5/8s, 2018    70,000  77,700 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 8 1/4s, 2019    65,000  70,769 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 7 3/4s, 2016    104,000  106,991 
Bunge Ltd., Finance Corp. company guaranty sr. unsec.       
notes 8 1/2s, 2019    13,000  16,471 
Bunge Ltd., Finance Corp. company guaranty unsec.       
unsub. notes 4.1s, 2016    122,000  130,251 
Burger King Corp. company guaranty sr. unsec. notes       
9 7/8s, 2018    180,000  208,800 
Carrols Restaurant Group, Inc. 144A company       
guaranty sr. notes 11 1/4s, 2018    70,000  76,300 
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016 ‡‡    165,026  179,878 
Claire’s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019    180,000  165,600 
Claire’s Stores, Inc. 144A company guaranty sr. unsec.       
notes 9 5/8s, 2015    256,907  233,143 
Claire’s Stores, Inc. 144A sr. notes 9s, 2019    375,000  388,125 

 

56    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Consumer staples cont.       
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/4s, 2016    $350,000  $400,750 
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 6s, 2022    110,000  125,125 
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 4 5/8s, 2023    50,000  50,750 
Corrections Corporation of America company       
guaranty sr. notes 7 3/4s, 2017    550,000  588,500 
CVS Caremark Corp. sr. unsec. unsub. notes 6.6s, 2019    80,000  102,236 
CVS Pass-Through Trust 144A pass-through certificates       
6.117s, 2013    398,429  403,673 
Darden Restaurants, Inc. sr. unsec. unsub. notes 6.8s, 2037    205,000  251,750 
Dave & Buster’s, Inc. company guaranty sr. unsec.       
unsub. notes 11s, 2018    295,000  333,350 
Dean Foods Co. company guaranty sr. unsec.       
unsub. notes 9 3/4s, 2018    75,000  85,500 
Dean Foods Co. company guaranty sr. unsec. unsub. notes       
7s, 2016    290,000  313,200 
Del Monte Corp. company guaranty sr. unsec. notes       
7 5/8s, 2019    100,000  102,500 
Delhaize Group company guaranty sr. unsec notes 5.7s,       
2040 (Belgium)    480,000  427,065 
Delhaize Group company guaranty sr. unsec notes 4 1/8s,       
2019 (Belgium)    125,000  120,751 
Delhaize Group company guaranty sr. unsec.       
unsub. bonds 5 7/8s, 2014 (Belgium)    135,000  141,835 
Diageo Capital PLC company guaranty sr. unsec.       
unsub. notes 5 3/4s, 2017 (United Kingdom)    280,000  341,817 
DineEquity, Inc. company guaranty sr. unsec. notes       
9 1/2s, 2018    285,000  321,338 
Dole Food Co. sr. notes 13 7/8s, 2014    107,000  120,375 
Dole Food Co. 144A sr. notes 8s, 2016    170,000  177,863 
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021    240,000  268,800 
General Mills, Inc. sr. unsec. notes 5.65s, 2019    75,000  91,302 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013    216,000  224,213 
Hertz Corp. (The) company guaranty sr. unsec. notes       
7 1/2s, 2018    100,000  108,000 
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015       
(Netherlands)  EUR  250,000  346,353 
JBS USA, LLC/JBS USA Finance, Inc. company       
guaranty sr. unsec. notes 11 5/8s, 2014    $310,000  347,975 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec.       
notes 8 1/4s, 2020    85,000  84,788 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec.       
notes 7 1/4s, 2021    55,000  51,150 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 1/2s, 2040    180,000  245,358 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec.       
unsub. notes 5s, 2042    40,000  44,623 
Kraft Foods, Inc. sr. unsec. notes 6 1/2s, 2017    20,000  24,590 

 

Dynamic Asset Allocation Growth Fund    57 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Consumer staples cont.     
Kroger Co. company guaranty sr. unsec. unsub. notes 6.4s, 2017  $74,000  $89,553 
Landry’s Acquisition Co. 144A sr. unsec. notes 9 3/8s, 2020  145,000  152,250 
Libbey Glass, Inc. 144A company guaranty sr. notes     
6 7/8s, 2020  135,000  145,125 
McDonald’s Corp. sr. unsec. bonds 6.3s, 2037  56,000  79,479 
McDonald’s Corp. sr. unsec. notes 5.7s, 2039  174,000  234,152 
Michael Foods, Inc. company guaranty sr. unsec.     
notes 9 3/4s, 2018  125,000  139,375 
Molson Coors Brewing Co. company guaranty sr. unsec.     
unsub. notes 5s, 2042  290,000  323,996 
PepsiCo, Inc. sr. unsec. notes 7.9s, 2018  185,000  250,809 
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022  90,000  95,625 
Prestige Brands, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2018  315,000  346,500 
Revlon Consumer Products Corp. company     
guaranty notes 9 3/4s, 2015  520,000  549,900 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017  245,000  251,738 
Rite Aid Corp. company guaranty sr. unsec.     
unsub. notes 9 1/2s, 2017  709,000  729,384 
Rite Aid Corp. company guaranty sr. unsec.     
unsub. notes 9 1/4s, 2020  210,000  215,250 
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020  80,000  90,800 
SABMiller Holdings, Inc. 144A company guaranty sr. unsec.     
notes 4.95s, 2042  250,000  290,934 
Service Corporation International sr. notes 7s, 2019  115,000  127,075 
Service Corporation International sr. unsec.     
unsub. notes 6 3/4s, 2016  625,000  698,438 
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022  185,000  191,938 
Stewart Enterprises, Inc. company guaranty sr. unsec.     
notes 6 1/2s, 2019  200,000  215,000 
Tyson Foods, Inc. company guaranty sr. unsec.     
unsub. notes 6.85s, 2016  355,000  407,363 
UR Financing Escrow Corp. 144A company     
guaranty notes 5 3/4s, 2018  70,000  73,938 
UR Financing Escrow Corp. 144A sr. unsec. notes 7 5/8s, 2022  105,000  114,975 
UR Merger Sub Corp. company guaranty sr. unsec.     
unsub. notes 9 1/4s, 2019  365,000  411,538 
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018  85,000  89,250 
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  155,000  159,650 
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020  65,000  69,875 
WPP Finance UK company guaranty sr. unsec. notes 8s, 2014     
(United Kingdom)  110,000  123,484 
    15,385,573 
Energy (1.6%)     
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. notes 5 7/8s, 2021  100,000  104,750 
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2022  80,000  84,600 
Alpha Natural Resources, Inc. company guaranty sr. unsec.     
notes 6 1/4s, 2021  80,000  66,400 

 

58    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Energy cont.       
Alpha Natural Resources, Inc. company guaranty sr. unsec.       
notes 6s, 2019    $165,000  $139,425 
AmeriGas Finance, LLC/AmeriGas Finance Corp. company       
guaranty sr. unsec. notes 7s, 2022    185,000  198,875 
Anadarko Finance Co. company guaranty sr. unsec.       
unsub. notes Ser. B, 7 1/2s, 2031    610,000  816,760 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016    130,000  151,134 
Apache Corp. sr. unsec. unsub notes 3 1/4s, 2022    170,000  182,741 
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020    40,000  33,600 
Arch Coal, Inc. company guaranty sr. unsec.       
unsub. notes 7s, 2019    220,000  184,800 
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp.       
144A company guaranty sr. notes 6 5/8s, 2020    75,000  76,313 
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s,       
2015 (In default) †    120,000  22,800 
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020    125,000  133,750 
Aurora USA Oil & Gas Inc. 144A sr. notes 9 7/8s, 2017    195,000  208,650 
BP Capital Markets PLC company guaranty sr. unsec.       
unsub. notes 3.2s, 2016 (United Kingdom)    430,000  461,312 
Canadian Natural Resources, Ltd. sr. unsec.       
unsub. notes 5.7s, 2017 (Canada)    300,000  356,554 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec.       
notes 8 5/8s, 2018    455,000  487,988 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/2s, 2020    65,000  66,463 
Cenovus Energy, Inc. sr. unsec. unsub. notes 4.45s, 2042       
(Canada)    455,000  472,591 
Chaparral Energy, Inc. company guaranty sr. unsec.       
notes 9 7/8s, 2020    200,000  226,000 
Chaparral Energy, Inc. company guaranty sr. unsec.       
notes 8 1/4s, 2021    230,000  248,400 
Chesapeake Energy Corp. company guaranty 6 1/2s, 2017    95,000  99,038 
Chesapeake Energy Corp. company guaranty sr. unsec.       
bonds 6 1/4s, 2017  EUR  50,000  65,662 
Chesapeake Energy Corp. company guaranty sr. unsec.       
unsub. notes 6.775s, 2019    $50,000  50,125 
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield       
Finance, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 5/8s, 2019    255,000  244,800 
Concho Resources, Inc. company guaranty sr. unsec.       
notes 6 1/2s, 2022    275,000  302,500 
Concho Resources, Inc. company guaranty sr. unsec.       
unsub. notes 5 1/2s, 2023    65,000  67,925 
Concho Resources, Inc. company guaranty sr. unsec.       
unsub. notes 5 1/2s, 2022    110,000  114,675 
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)    105,000  90,300 
CONSOL Energy, Inc. company guaranty sr. unsec.       
notes 8 1/4s, 2020    530,000  555,175 
CONSOL Energy, Inc. company guaranty sr. unsec. notes       
8s, 2017    310,000  323,950 

 

Dynamic Asset Allocation Growth Fund    59 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Energy cont.     
Continental Resources, Inc. company guaranty sr. unsec     
notes 5s, 2022  $235,000  $244,988 
Continental Resources, Inc. 144A company     
guaranty sr. unsec. unsub. notes 5s, 2022  195,000  203,775 
Crosstex Energy LP/Crosstex Energy Finance Corp. company     
guaranty sr. unsec. notes 8 7/8s, 2018  325,000  347,750 
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 7 1/8s, 2022  80,000  79,600 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2020  339,000  381,375 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 6 3/8s, 2021  50,000  54,250 
EXCO Resources, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2018  585,000  544,050 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec.     
notes 9 1/8s, 2017  145,000  155,513 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec.     
notes 6 1/2s, 2021  145,000  140,288 
Forbes Energy Services Ltd. company guaranty sr. unsec.     
notes 9s, 2019  185,000  179,450 
FTS International Services, LLC/FTS International     
Bonds, Inc. 144A company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2018  265,000  282,225 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
unsub. notes 8.146s, 2018 (Russia)  158,000  193,292 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
unsub. notes 6.51s, 2022 (Russia)  230,000  270,365 
Gazprom Via OAO White Nights Finance BV notes 10 1/2s,     
2014 (Russia)  1,000,000  1,118,640 
Goodrich Petroleum Corp. company guaranty sr. unsec.     
unsub. notes 8 7/8s, 2019  420,000  406,350 
Hercules Offshore, Inc. 144A company     
guaranty sr. notes 7 1/8s, 2017  20,000  20,800 
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017  245,000  258,169 
Hiland Partners LP / Hiland Partners Finance Corp. 144A     
company guaranty sr. notes 7 1/4s, 2020  105,000  109,200 
Kerr-McGee Corp. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2031  60,000  80,553 
Key Energy Services, Inc. company guaranty unsec.     
unsub. notes 6 3/4s, 2021  245,000  248,675 
Key Energy Services, Inc. 144A company guaranty sr. unsec.     
notes 6 3/4s, 2021  55,000  55,550 
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019  375,000  397,500 
Laredo Petroleum, Inc. company guaranty sr. unsec.     
notes 7 3/8s, 2022  80,000  86,400 
Laredo Petroleum, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/2s, 2019  355,000  402,038 
Lone Pine Resources Canada, Ltd. 144A company     
guaranty sr. notes 10 3/8s, 2017 (Canada)  100,000  92,000 

 

60    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Energy cont.     
MEG Energy Corp. 144A company guaranty sr. unsec.     
notes 6 1/2s, 2021 (Canada)  $205,000  $219,350 
MEG Energy Corp. 144A company guaranty sr. unsec.     
notes 6 3/8s, 2023 (Canada)  80,000  85,400 
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016  275,000  195,250 
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022  210,000  233,625 
Noble Holding International, Ltd. company     
guaranty sr. unsec. notes 6.05s, 2041  245,000  284,894 
Northern Oil and Gas, Inc. company guaranty sr. unsec.     
notes 8s, 2020  200,000  206,000 
Oasis Petroleum, Inc. company guaranty sr. unsec.     
notes 6 7/8s, 2023  135,000  142,931 
Offshore Group Investment, Ltd. company     
guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)  460,000  508,300 
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018  345,000  376,050 
Peabody Energy Corp. company guaranty sr. unsec.     
notes 7 3/8s, 2016  405,000  458,663 
Peabody Energy Corp. company guaranty sr. unsec.     
unsub. notes 6 1/2s, 2020  25,000  25,563 
Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018  190,000  190,000 
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020     
(Canada)  410,000  426,400 
Petrohawk Energy Corp. company guaranty sr. unsec.     
notes 7 1/4s, 2018  215,000  244,258 
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014     
(Venezuela)  1,920,000  1,735,142 
Plains Exploration & Production Co. company     
guaranty sr. unsec. notes 6 3/4s, 2022  385,000  390,775 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  370,000  373,700 
Range Resources Corp. company     
guaranty sr. sub. notes 6 3/4s, 2020  115,000  126,500 
Range Resources Corp. company guaranty sr. unsec.     
sub. notes 5s, 2022  95,000  100,225 
Rosetta Resources, Inc. company guaranty sr. unsec.     
notes 9 1/2s, 2018  315,000  348,075 
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016  995,000  1,074,600 
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020  515,000  530,450 
SandRidge Energy, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2021  60,000  61,800 
SandRidge Energy, Inc. 144A company guaranty sr. unsec.     
unsub. notes 8s, 2018  115,000  120,750 
Shell International Finance BV company guaranty sr. unsec.     
notes 3.1s, 2015 (Netherlands)  270,000  288,635 
SM Energy Co. sr. unsec. notes 6 5/8s, 2019  125,000  131,875 
SM Energy Co. sr. unsec. notes 6 1/2s, 2021  105,000  111,300 
SM Energy Co. 144A sr. notes 6 1/2s, 2023  40,000  42,100 
Statoil ASA company guaranty sr. unsec. notes 5.1s,     
2040 (Norway)  110,000  136,503 
Suburban Propane Partners LP/Suburban Energy Finance Corp.     
144A sr. unsec. notes 7 3/8s, 2021  195,000  208,163 

 

Dynamic Asset Allocation Growth Fund    61 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Energy cont.     
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019     
(Canada)  $55,000  $59,400 
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021  75,000  77,625 
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021  135,000  139,388 
Weatherford Bermuda company guaranty sr. unsec.     
notes 9 7/8s, 2039  685,000  991,525 
Whiting Petroleum Corp. company guaranty 7s, 2014  370,000  394,050 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  16,000  20,466 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  43,000  56,379 
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022  85,000  91,375 
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017  320,000  345,600 
    24,543,937 
Financials (2.2%)     
Abbey National Treasury Service bank guaranty sr. unsec.     
unsub. notes FRN 2.028s, 2014 (United Kingdom)  135,000  133,986 
ABN Amro Bank NV 144A sr. unsec. notes 4 1/4s, 2017     
(Netherlands)  890,000  954,685 
ACE Cash Express, Inc. 144A sr. notes 11s, 2019  150,000  141,000 
Aflac, Inc. sr. unsec. notes 8 1/2s, 2019  495,000  663,002 
Aflac, Inc. sr. unsec. notes 6.9s, 2039  220,000  285,077 
Air Lease Corp. 144A sr. notes 5 5/8s, 2017  210,000  214,725 
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017  210,000  227,133 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 8.3s, 2015  160,000  177,200 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 8s, 2020  145,000  169,650 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2020  140,000  160,650 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2017  85,000  88,613 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes FRN 2.618s, 2014  236,000  233,052 
Ally Financial, Inc. unsec. sub. notes 8s, 2018  155,000  174,375 
American Express Co. sr. unsec. notes 8 1/8s, 2019  420,000  568,191 
American International Group, Inc. jr. sub. bonds FRB     
8.175s, 2068  412,000  504,185 
American International Group, Inc. sr. unsec. Ser. MTN,     
5.85s, 2018  437,000  507,199 
Associates Corp. of North America sr. unsec. notes 6.95s, 2018  209,000  251,305 
AXA SA 144A jr. unsec. sub. notes FRN 6.463s, 2049 (France)  425,000  389,938 
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017  60,000  69,033 
Bank of America Corp. sr. unsec. unsub notes 5 7/8s, 2042  285,000  331,280 
Bank of America Corp. sr. unsec. unsub. notes 6 1/2s, 2016  1,005,000  1,162,293 
Bank of Montreal sr. unsec. unsub. bonds 2 1/8s, 2013 (Canada)  185,000  187,472 
Bank of New York Mellon Corp. (The) sr. unsec. unsub     
notes 1.969s, 2017  270,000  278,622 
Bank of New York Mellon Corp. (The) 144A sr. unsec.     
notes Ser. MTN, 2 1/2s, 2016  20,000  20,952 

 

62    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
  
Financials cont.     
Barclays Bank PLC jr. unsec. sub. notes FRN 6.278s, 2049     
(United Kingdom)  $130,000  $120,250 
Barclays Bank PLC 144A sub. notes 10.179s, 2021     
(United Kingdom)  588,000  763,888 
Barclays Bank PLC 144A unsec. sub. notes 6.05s, 2017     
(United Kingdom)  480,000  516,513 
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 5.7s, 2014  640,000  700,853 
BNP Paribas SA sr. unsec. notes Ser. MTN, 2 3/8s, 2017     
(France)  110,000  110,082 
BNP Paribas SA 144A jr. unsec. sub. notes FRN 5.186s, 2049     
(France)  411,000  378,120 
Camden Property Trust sr. unsec. notes 4 7/8s, 2023 R  190,000  218,132 
Capital One Capital IV company guaranty jr. unsec.     
sub. notes FRN 6.745s, 2037  455,000  457,275 
Capital One Capital V company guaranty jr. unsec.     
sub. notes 10 1/4s, 2039  136,000  140,080 
CB Richard Ellis Services, Inc. company guaranty sr. unsec.     
notes 6 5/8s, 2020  85,000  92,863 
CB Richard Ellis Services, Inc. company guaranty sr. unsec.     
sub. notes 11 5/8s, 2017  265,000  296,800 
CIT Group, Inc. sr. unsec. notes 5s, 2022  210,000  218,485 
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020  170,000  184,025 
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018  225,000  241,313 
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017  135,000  144,113 
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018  305,000  346,175 
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019  210,000  227,325 
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018  11,000  13,022 
Citigroup, Inc. unsec. sub. notes 6 5/8s, 2032  602,000  689,423 
Citigroup, Inc. unsec. sub. notes 6 1/8s, 2036  280,000  304,039 
CNO Financial Group, Inc. 144A company     
guaranty sr. notes 9s, 2018  140,000  163,450 
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019  250,000  243,750 
Deutsche Bank AG London sr. unsec. notes 2 3/8s, 2013     
(United Kingdom)  5,000  5,024 
E*Trade Financial Corp. sr. notes 6 3/4s, 2016  180,000  189,450 
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017  120,000  136,350 
General Electric Capital Corp. sr. unsec. FRN Ser. MTN,     
0.638s, 2016  260,000  252,617 
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032  440,000  563,651 
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019  335,000  414,596 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037  122,000  131,066 
Hartford Financial Services Group, Inc. (The) sr. unsec.     
unsub notes 5 1/8s, 2022  100,000  111,810 
HCP, Inc. sr. unsec. unsub. notes 3.15s, 2022 R  195,000  189,406 
Health Care REIT, Inc. sr. unsec. notes 4 1/8s, 2019 R  320,000  341,159 
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021  408,000  473,165 
Hub International Ltd. 144A company     
guaranty sr. notes 8 1/8s, 2018  85,000  86,700 

 

Dynamic Asset Allocation Growth Fund    63 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Financials cont.     
Icahn Enterprises LP/Icahn Enterprises Finance Corp.     
company guaranty sr. unsec. notes 8s, 2018  $575,000  $616,688 
International Lease Finance Corp. sr. unsec. Ser. MTN,     
5 5/8s, 2013  625,000  644,531 
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019  65,000  70,038 
International Lease Finance Corp. sr. unsec.     
unsub. notes 5 7/8s, 2022  245,000  252,963 
International Lease Finance Corp. sr. unsec.     
unsub. notes 4 7/8s, 2015  395,000  408,825 
iStar Financial, Inc. sr. unsec. unsub. notes 9s, 2017 R  185,000  198,413 
JPMorgan Chase & Co. sr. notes 6s, 2018  724,000  863,199 
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec.     
sub. bonds 7.8s, 2037  700,000  759,500 
Macquarie Bank Ltd. 144A sr. unsec. notes 3.45s, 2015 (Australia)  90,000  91,316 
Merrill Lynch & Co., Inc. sr. unsec. notes Ser. MTN,     
6 7/8s, 2018  906,000  1,085,491 
MetLife, Inc. sr. unsec. 6 3/4s, 2016  155,000  185,522 
Metropolitan Life Global Funding I 144A notes 3.65s, 2018  1,175,000  1,278,757 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. notes 6 7/8s, 2021 R  115,000  125,350 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R  140,000  150,500 
National Money Mart Co. company guaranty sr. unsec.     
unsub. notes 10 3/8s, 2016 (Canada)  120,000  134,100 
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A     
company guaranty sr. unsec. notes 9 5/8s, 2019  60,000  65,550 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 7/8s, 2022  155,000  165,850 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 5/8s, 2020  100,000  106,000 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020  55,000  54,725 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017  125,000  124,063 
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016  215,000  246,713 
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019  160,000  171,400 
Primerica, Inc. sr. unsec. unsub notes 4 3/4s, 2022  234,000  250,489 
Progressive Corp. (The) jr. unsec. sub. notes FRN 6.7s, 2037  190,000  205,200 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/4s, 2017  160,000  172,000 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/8s, 2019  140,000  144,200 
Prudential Covered Trust 2012-1 144A company guaranty mtge.     
notes 2.997s, 2015  555,000  576,602 
Prudential Financial, Inc. jr. unsec. sub. notes FRN     
8 7/8s, 2038  140,000  169,400 
Rayonier, Inc. company guaranty sr. unsec.     
unsub. notes 3 3/4s, 2022 R  170,000  175,954 
Residential Capital LLC company guaranty jr. notes 9 5/8s,     
2015 (In default) †  295,000  295,738 

 

64     Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Financials cont.       
Royal Bank of Scotland PLC (The) bank guaranty sr. unsec.       
unsub. notes 3.95s, 2015 (United Kingdom)    $320,000  $339,265 
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A       
notes 7 1/8s, 2014 (Russia)    120,000  126,972 
Santander Holdings USA, Inc. sr. unsec.       
unsub. notes 4 5/8s, 2016    63,000  66,000 
Santander Issuances S.A. Unipersonal 144A bank       
guaranty unsec. sub. notes 5.911s, 2016 (Spain)    500,000  492,500 
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s,       
2022 (Luxembourg)    220,000  241,722 
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s,       
2017 (Luxembourg)    320,000  336,000 
Simon Property Group LP sr. unsec. unsub. notes 5 1/4s, 2016 R    100,000  114,564 
SLM Corp. sr. notes Ser. MTN, 8s, 2020    225,000  259,875 
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018    140,000  163,970 
Vnesheconombank Via VEB Finance PLC 144A bank guaranty,       
sr. unsec. unsub. bonds 6.8s, 2025 (Russia)    2,000,000  2,350,180 
Vornado Realty LP sr. unsec. unsub. notes 4 1/4s, 2015 R    195,000  206,073 
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035       
(Russia)    500,000  531,450 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec.       
notes 6 7/8s, 2018 (Russia)    1,976,000  2,126,769 
Wachovia Corp. sr. unsec. notes 5 3/4s, 2017    95,000  113,866 
Westpac Banking Corp. sr. unsec. bonds 3s, 2015 (Australia)    45,000  47,670 
Westpac Banking Corp. sr. unsec. notes 4 7/8s, 2019 (Australia)    220,000  251,030 
ZFS Finance USA Trust V 144A bonds FRB 6 1/2s, 2037    290,000  300,150 
      35,215,721 
Health care (0.7%)       
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016    129,000  151,977 
Amgen, Inc. sr. unsec. notes 3.45s, 2020    345,000  364,079 
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037       
(United Kingdom)    270,000  369,405 
Aviv Healthcare Properties LP company guaranty sr. unsec.       
notes 7 3/4s, 2019    215,000  227,900 
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020    275,000  284,969 
Capella Healthcare, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2017    295,000  314,544 
Capsugel FinanceCo SCA 144A company guaranty sr. unsec.       
notes 9 7/8s, 2019  EUR  250,000  360,579 
CDRT Holding Corp. 144A sr. notes 9 1/4s, 2017 ‡‡    $255,000  246,075 
CHS/Community Health Systems, Inc. company       
guaranty sr. notes 5 1/8s, 2018    195,000  202,313 
CHS/Community Health Systems, Inc. company       
guaranty sr. unsec. unsub. notes 8s, 2019    275,000  301,813 
CHS/Community Health Systems, Inc. company       
guaranty sr. unsec. unsub. notes 7 1/8s, 2020    135,000  143,775 
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021    235,000  261,006 
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017       
(Luxembourg)  EUR  105,000  145,564 

 

Dynamic Asset Allocation Growth Fund    65 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Health care cont.     
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s,     
2018 (Luxembourg)  $545,000  $591,325 
Emergency Medical Services Corp. company     
guaranty sr. unsec. notes 8 1/8s, 2019  220,000  233,200 
Endo Health Solutions, Inc. company guaranty sr. unsec.     
notes 7s, 2019  155,000  167,013 
Fresenius Medical Care US Finance II, Inc. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2019  205,000  218,325 
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018  270,000  298,350 
HCA, Inc. sr. notes 6 1/2s, 2020  795,000  882,450 
HCA, Inc. sr. unsec. notes 7 1/2s, 2022  70,000  79,100 
HCA, Inc. sr. unsec. notes 6 1/4s, 2013  50,000  50,688 
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017  400,000  418,000 
Hologic, Inc. 144A company guaranty sr. unsec.     
notes 6 1/4s, 2020  60,000  63,600 
IASIS Healthcare, LLC/IASIS Capital Corp. company     
guaranty sr. unsec. notes 8 3/8s, 2019  300,000  286,500 
Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A     
sr. unsec. notes 9 1/2s, 2019  255,000  286,238 
Kinetic Concepts/KCI USA 144A company     
guaranty notes 10 1/2s, 2018  450,000  475,875 
Kinetic Concepts/KCI USA 144A company guaranty sr. unsec.     
notes 12 1/2s, 2019  245,000  230,300 
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018  210,000  232,050 
Omega Healthcare Investors, Inc. company     
guaranty sr. unsec. notes 6 3/4s, 2022 R  155,000  171,275 
Quest Diagnostics, Inc. company guaranty sr. unsec.     
notes 6.95s, 2037  45,000  58,872 
Sky Growth Acquisition Corp. 144A company     
guaranty sr. unsec. notes 7 3/8s, 2020  65,000  65,325 
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017  80,000  82,400 
Surgical Care Affiliates, Inc. 144A sr. unsec.     
notes 8 7/8s, 2015  87,885  88,324 
Teleflex, Inc. company guaranty sr. unsec.     
sub. notes 6 7/8s, 2019  200,000  215,000 
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018  67,000  77,385 
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018  300,000  330,000 
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019  155,000  175,150 
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical     
Finance III LLC company guaranty sr. unsec.     
unsub. notes 3s, 2015 (Curacao)  135,000  143,459 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021  310,000  359,746 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4 5/8s, 2041  55,000  59,357 
USPI Finance Corp. 144A sr. unsec. notes 9s, 2020  170,000  184,450 
Valeant Pharmaceuticals International 144A company     
guaranty sr. notes 7s, 2020  45,000  47,363 
Valeant Pharmaceuticals International 144A company     
guaranty sr. unsec. notes 6 7/8s, 2018  105,000  110,513 

 

66    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Health care cont.     
Valeant Pharmaceuticals International 144A     
sr. notes 6 3/4s, 2017  $45,000  $47,925 
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016  10,000  7,000 
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada)  40,000  40,800 
Watson Pharmaceuticals, Inc. sr. unsec. notes 4 5/8s, 2042  95,000  97,527 
Watson Pharmaceuticals, Inc. sr. unsec. notes 3 1/4s, 2022  80,000  80,977 
Watson Pharmaceuticals, Inc. sr. unsec. notes 1 7/8s, 2017  20,000  20,216 
WellPoint, Inc. notes 7s, 2019  95,000  118,637 
    10,468,714 
Technology (0.7%)     
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020  315,000  319,725 
Advanced Micro Devices, Inc. 144A sr. unsec. notes 7 1/2s, 2022  35,000  33,775 
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029  195,000  127,725 
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015  155,000  137,563 
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019  300,000  279,000 
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 ‡‡  410,000  407,950 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  175,000  172,375 
Cisco Systems, Inc. company guaranty sr. unsec.     
unsub. notes 3.15s, 2017  395,000  433,078 
Dell, Inc. sr. unsec. notes 5 7/8s, 2019  215,000  254,446 
Epicor Software Corp. company guaranty sr. unsec.     
notes 8 5/8s, 2019  235,000  247,925 
Fidelity National Information Services, Inc. company     
guaranty sr. unsec. notes 7 7/8s, 2020  140,000  156,450 
Fidelity National Information Services, Inc. company     
guaranty sr. unsec. notes 7 5/8s, 2017  95,000  104,025 
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021  290,000  300,513 
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015  933,166  955,329 
First Data Corp. 144A company guaranty notes 8 1/4s, 2021  555,000  553,613 
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019  200,000  206,250 
Freescale Semiconductor, Inc. company guaranty sr. unsec.     
notes 10 3/4s, 2020  136,000  147,220 
Freescale Semiconductor, Inc. 144A company     
guaranty sr. notes 10 1/8s, 2018  88,000  96,800 
Freescale Semiconductor, Inc. 144A company     
guaranty sr. notes 9 1/4s, 2018  315,000  342,563 
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014  95,000  101,277 
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018  135,000  153,821 
Honeywell International, Inc. sr. unsec.     
unsub. notes 5 3/8s, 2041  155,000  202,916 
Honeywell International, Inc. sr. unsec.     
unsub. notes 4 1/4s, 2021  120,000  141,141 
IBM Corp. sr. unsec. unsub. notes 1 7/8s, 2022  390,000  379,626 
Infor (US), Inc. 144A sr. notes 11 1/2s, 2018  110,000  125,400 
Infor (US), Inc. 144A sr. notes 9 3/8s, 2019  130,000  144,300 
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019  105,000  118,125 
Iron Mountain, Inc. company guaranty sr. unsec.     
sub. notes 8s, 2020  470,000  499,375 

 

Dynamic Asset Allocation Growth Fund    67 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Technology cont.     
Jazz Technologies, Inc. company guaranty sr. unsec.     
notes 8s, 2015  $167,000  $125,250 
Lexmark International Inc, sr. unsec. notes 5.9s, 2013  1,925,000  1,974,259 
Microsoft Corp. sr. unsec. unsub. notes 5.3s, 2041  60,000  79,402 
Microsoft Corp. sr. unsec. unsub. notes 4.2s, 2019  250,000  292,513 
NXP BV/NXP Funding, LLC 144A company     
guaranty sr. notes 10s, 2013 (Netherlands)  34,000  36,295 
NXP BV/NXP Funding, LLC 144A company     
guaranty sr. notes 9 3/4s, 2018 (Netherlands)  355,000  408,250 
Pitney Bowes, Inc. sr. unsec. unsub. notes Ser. MTN,     
5 1/4s, 2037  155,000  160,022 
Seagate HDD Cayman company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2018 (Cayman Islands)  195,000  215,475 
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020  215,000  233,275 
Syniverse Holdings, Inc. company guaranty sr. unsec.     
notes 9 1/8s, 2019  275,000  295,625 
Xerox Corp. sr. unsec. notes 6 3/4s, 2039  154,000  192,581 
Xerox Corp. sr. unsec. unsub. notes 5 5/8s, 2019  60,000  68,389 
    11,223,642 
Transportation (0.2%)     
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018     
(Luxembourg)  340,000  357,000 
Air Medical Group Holdings, Inc. company     
guaranty sr. notes 9 1/4s, 2018  290,000  318,275 
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.4s, 2041  105,000  126,610 
Burlington Northern Santa Fe, LLC sr. unsec.     
unsub. notes 5 3/4s, 2040  95,000  118,673 
CSX Corp. sr. unsec. unsub. notes 4 3/4s, 2042  560,000  608,593 
Delta Air Lines, Inc. sr. notes Ser. A, 7 3/4s, 2019  184,790  211,123 
FedEx Corp. company guaranty sr. unsec.     
unsub. notes 2 5/8s, 2022  45,000  44,875 
Ryder System, Inc. sr. unsec. unsub. notes 2 1/2s, 2018  295,000  299,052 
Swift Services Holdings, Inc. company     
guaranty sr. notes 10s, 2018  360,000  389,700 
Western Express, Inc. 144A sr. notes 12 1/2s, 2015  165,000  110,550 
    2,584,451 
Utilities and power (0.7%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  180,000  183,671 
AES Corp. (The) sr. unsec. unsub notes 7 3/8s, 2021  325,000  370,500 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017  725,000  837,375 
Arizona Public Services Co. sr. unsec. notes 4 1/2s, 2042  35,000  38,122 
Atmos Energy Corp. sr. unsec. sub. notes 8 1/2s, 2019  20,000  26,772 
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020  235,000  258,500 
Calpine Corp. 144A sr. notes 7 1/4s, 2017  570,000  608,475 
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)  30,000  35,134 
Consolidated Edison Co. of New York sr. unsec.     
unsub. notes 4.2s, 2042  130,000  142,935 
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016  345,000  378,638 
Duke Energy Corp. sr. unsec. unsub. notes 2.15s, 2016  265,000  274,444 

 

68    Dynamic Asset Allocation Growth Fund 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Utilities and power cont.     
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default) †  $410,000  $231,650 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  70,000  36,400 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  30,000  16,500 
Edison Mission Energy sr. unsec. notes 7.2s, 2019  395,000  203,425 
Edison Mission Energy sr. unsec. notes 7s, 2017  10,000  5,175 
El Paso Corp. sr. unsec. notes 7s, 2017  670,000  768,829 
El Paso, LLC sr. notes Ser. GMTN, 7 3/4s, 2032  225,000  262,039 
Electricite de France SA (EDF) 144A notes 6.95s, 2039 (France)  115,000  152,639 
Electricite de France SA (EDF) 144A notes 6 1/2s, 2019 (France)  165,000  201,842 
Energy Future Holdings Corp. company     
guaranty sr. notes 10s, 2020  100,000  110,250 
Energy Future Intermediate Holding Co., LLC     
sr. notes 9 3/4s, 2019  256,000  273,920 
Energy Future Intermediate Holding Co., LLC/EFIH     
Finance, Inc. sr. notes 10s, 2020  154,000  173,250 
Energy Transfer Equity LP company guaranty sr. unsec.     
notes 7 1/2s, 2020  300,000  340,500 
Energy Transfer Partners LP sr. unsec. unsub. notes 6 1/2s, 2042  85,000  98,354 
Energy Transfer Partners LP sr. unsec. unsub. notes 5.2s, 2022  75,000  83,508 
Enterprise Products Operating, LLC company     
guaranty sr. unsec. unsub. notes 4.85s, 2042  230,000  236,770 
EP Energy, LLC/EP Energy Finance, Inc. 144A     
sr. notes 6 7/8s, 2019  90,000  96,300 
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec.     
notes 9 3/8s, 2020  395,000  430,550 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A     
company guaranty sr. unsec. notes 7 3/4s, 2022  60,000  61,200 
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020  400,000  444,000 
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018  65,000  73,775 
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016  105,000  116,813 
Kinder Morgan Energy Partners LP sr. unsec. notes 6.85s, 2020  195,000  244,912 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  7,000  8,956 
MidAmerican Funding, LLC sr. sec. bonds 6.927s, 2029  235,000  313,242 
Nevada Power Co. mtge. sec. notes 7 1/8s, 2019  115,000  150,197 
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019  95,000  108,300 
NiSource Finance Corp. company guaranty sr. unsec.     
notes 6 1/8s, 2022  75,000  92,107 
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021  735,000  799,313 
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020  160,000  184,889 
Pacific Gas & Electric Co. 1st mtge. 6.05s, 2034  112,000  147,201 
PPL Capital Funding, Inc. company guaranty sr. unsec.     
unsub. notes 4.2s, 2022  425,000  450,099 
PSEG Power, LLC company guaranty sr. unsec. notes 5.32s, 2016  144,000  163,761 
Public Service Electric & Gas Co. sr. notes Ser. MTN,     
5 1/2s, 2040  75,000  98,387 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s, 2067  240,000  256,800 
Regency Energy Partners company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2023  155,000  156,163 

 

Dynamic Asset Allocation Growth Fund    69 

 


CORPORATE BONDS AND NOTES (12.5%)* cont.  Principal amount  Value 
 
Utilities and power cont.     
Teco Finance, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2015  $10,000  $11,307 
Texas Competitive/Texas Competitive Electric     
Holdings Co., LLC company guaranty notes 15s, 2021  185,000  68,450 
Texas Competitive/Texas Competitive Electric     
Holdings Co., LLC company guaranty sr. unsec.     
notes 10 1/2s, 2016 ‡‡  506,166  118,949 
Texas Competitive/Texas Competitive Electric Holdings Co.,     
LLC 144A company guaranty sr. notes 11 1/2s, 2020  130,000  101,725 
Toledo Edison Co. (The) 1st mortgage bonds 7 1/4s, 2020  120,000  157,312 
Union Electric Co. sr. notes 6.4s, 2017  140,000  172,002 
    11,376,327 
     
Total corporate bonds and notes (cost $184,057,758)    $196,748,818 
 
U.S. GOVERNMENT AND AGENCY     
MORTGAGE OBLIGATIONS (4.2%)*  Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (0.5%)     
Government National Mortgage Association Pass-Through     
Certificates 3s, TBA, October 1, 2042  $7,000,000  $7,498,750 
    7,498,750 
U.S. Government Agency Mortgage Obligations (3.7%)     
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates 3s, TBA, October 1, 2042  1,000,000  1,054,219 
Federal National Mortgage Association     
Pass-Through Certificates     
6s, October 1, 2016  403,668  430,332 
5s, TBA, October 1, 2042  23,000,000  25,091,563 
4 1/2s, with due dates from February 1, 2039 to April 1, 2039  346,408  374,270 
4s, TBA, October 1, 2042  17,000,000  18,318,828 
3 1/2s, TBA, October 1, 2027  11,000,000  11,704,688 
3s, TBA, November 1, 2042  1,000,000  1,052,891 
3s, TBA, October 1, 2042  1,000,000  1,055,547 
    59,082,338 
     
Total U.S. government and agency mortgage obligations (cost $66,171,272)  $66,581,088 
 
MORTGAGE-BACKED SECURITIES (2.6%)*  Principal amount  Value 
 
Adjustable Rate Mortgage Trust FRB Ser. 06-2, 5.37s, 2036  $2,997,000  $2,320,817 
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO,     
2.781s, 2047  2,753,945  330,473 
American Home Mortgage Investment Trust Ser. 07-1,     
Class GIOP, IO, 2.078s, 2047  948,581  132,801 
Banc of America Commercial Mortgage, Inc.     
Ser. 07-2, Class A2, 5.634s, 2049  218,935  228,234 
Ser. 07-1, Class XW, IO, 0.481s, 2049  1,506,705  14,282 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 04-4, Class XC, IO, 1.038s, 2042  2,050,491  22,287 
Ser. 04-5, Class XC, IO, 0.877s, 2041  2,474,102  32,270 
Ser. 02-PB2, Class XC, IO, 0.679s, 2035  1,106,238  277 
Ser. 07-5, Class XW, IO, 0.555s, 2051  6,255,272  81,519 
Ser. 05-1, Class XW, IO, 0.073s, 2042  12,420,131  4,297 

 

70    Dynamic Asset Allocation Growth Fund 

 


MORTGAGE-BACKED SECURITIES (2.6%)* cont.  Principal amount  Value 
 
Banc of America Funding Corp. FRB Ser. 06-A, Class 3A1,     
2.942s, 2036  $499,753  $334,835 
Barclays Capital, LLC Trust FRB Ser. 07-AA1, Class 2A1,     
0.397s, 2037  1,064,650  723,962 
Barclays Capital, LLC Trust 144A     
Ser. 09-RR7, Class 1A7, IO, 1.769s, 2046  5,943,456  252,597 
Ser. 09-RR7, Class 2A7, IO, 1.589s, 2047  13,654,343  568,021 
Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047  13,012,879  331,828 
Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046  13,004,852  331,624 
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-10,     
Class A3, 2.648s, 2035  543,096  502,363 
Bear Stearns Commercial Mortgage Securities, Inc.     
FRB Ser. 07-T28, Class AJ, 6.163s, 2042  568,000  562,933 
Ser. 04-PR3I, Class X1, IO, 1.155s, 2041  321,095  4,078 
Bear Stearns Commercial Mortgage     
Securities, Inc. 144A     
Ser. 04-PWR5, Class E, 5.222s, 2042  406,000  410,523 
Ser. 06-PW14, Class X1, IO, 0.215s, 2038  7,102,630  124,296 
Bear Stearns Mortgage Funding Trust     
Ser. 06-AR2, Class 1X, IO, 0.7s, 2046  2,281,793  59,783 
Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047  1,427,575  30,407 
Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046  3,022,849  57,434 
Ser. 06-AR3, Class 1X, IO, 0.4s, 2036  1,614,280  22,761 
CFCRE Commercial Mortgage Trust 144A Ser. 11-C1, Class XA,     
IO, 1.664s, 2044  4,809,696  288,582 
Chase Mortgage Finance Corp. FRB Ser. 05-A2, Class 1A5,     
2.782s, 2036  463,386  388,086 
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3,     
Class AJ, 4.96s, 2043  340,000  358,493 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5,     
Class XC, IO, 0.157s, 2049  38,623,874  538,803 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-AR3,     
Class 1A2A, 5.584s, 2036  557,727  507,532 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 07-CD4, Class XW, IO, 0.568s, 2049  2,723,207  36,273 
Ser. 07-CD4, Class XC, IO, 0.192s, 2049  9,108,237  83,796 
Commercial Mortgage Pass-Through Certificates Ser. 05-C6,     
Class AJ, 5.209s, 2044  645,000  656,623 
Commercial Mortgage Pass-Through Certificates 144A     
Ser. 05-LP5, Class XC, IO, 0.471s, 2043  15,280,969  136,291 
Ser. 06-C8, Class XS, IO, 0.213s, 2046  49,735,715  592,454 
Countrywide Home Loans     
Ser. 06-9, Class A2, 6s, 2036  600,888  519,768 
Ser. 06-6, Class 06-6, 6s, 2036  757,750  676,103 
Ser. 07-3, Class A30, 5 3/4s, 2037  540,224  469,804 
Credit Suisse Mortgage Capital Certificates     
FRB Ser. 07-C4, Class A2, 5.955s, 2039  628,532  630,255 
Ser. 06-C5, Class AX, IO, 0.21s, 2039  5,775,508  79,124 
Credit Suisse Mortgage Capital Certificates 144A     
Ser. 07-C2, Class AX, IO, 0.238s, 2049  15,831,374  58,750 
Ser. 07-C1, Class AX, IO, 0.205s, 2040  38,085,490  236,130 

 

Dynamic Asset Allocation Growth Fund    71 

 


MORTGAGE-BACKED SECURITIES (2.6%)* cont.  Principal amount  Value 
 
CS First Boston Mortgage Securities Corp. Ser. 05-C5,     
Class AJ, 5.1s, 2038  $270,000  $283,946 
CS First Boston Mortgage Securities Corp. 144A     
Ser. 98-C1, Class F, 6s, 2040 F  359,809  389,484 
FRB Ser. 03-CK2, Class G, 5.744s, 2036  909,000  911,025 
Ser. 03-C3, Class AX, IO, 1.904s, 2038  4,043,005  16,952 
Ser. 02-CP3, Class AX, IO, 1.333s, 2035  577,264  1,764 
Federal Home Loan Mortgage Corp.     
IFB Ser. 3182, Class SP, 27.717s, 2032  138,657  225,731 
IFB Ser. 3072, Class SM, 22.987s, 2035  187,985  300,032 
IFB Ser. 3072, Class SB, 22.841s, 2035  168,175  267,373 
IFB Ser. 3249, Class PS, 21.547s, 2036  146,517  224,743 
IFB Ser. 3065, Class DC, 19.198s, 2035  107,574  167,554 
IFB Ser. 2990, Class LB, 16.381s, 2034  177,132  248,550 
IFB Ser. 3727, Class PS, IO, 6.479s, 2038  1,845,817  165,255 
IFB Ser. 3708, Class SQ, IO, 6.329s, 2040  1,258,374  167,313 
IFB Ser. 3934, Class SA, IO, 6.179s, 2041  3,900,884  617,549 
Ser. 3747, Class HI, IO, 4 1/2s, 2037  229,919  18,310 
Ser. T-56, Class A, IO, 0.524s, 2043  133,109  2,324 
Ser. T-56, Class 3, IO, 0.482s, 2043  108,266  1,421 
Ser. T-56, Class 1, IO, 0.299s, 2043  141,446  1,061 
Ser. T-56, Class 2, IO, 0.131s, 2043  129,875  406 
Ser. 1208, Class F, PO, zero %, 2022  2,657  2,481 
FRB Ser. 3326, Class WF, zero %, 2035  14,765  13,289 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 38.601s, 2036  85,812  157,831 
IFB Ser. 06-8, Class HP, 23.773s, 2036  88,843  150,696 
IFB Ser. 07-53, Class SP, 23.406s, 2037  163,440  265,127 
IFB Ser. 05-75, Class GS, 19.601s, 2035  175,791  259,834 
IFB Ser. 404, Class S13, IO, 6.184s, 2040  1,409,863  208,103 
Ser. 03-W10, Class 1, IO, 1.408s, 2043  202,631  9,229 
Ser. 01-50, Class B1, IO, 0.406s, 2041  1,408,053  8,800 
Ser. 02-W8, Class 1, IO, 0.334s, 2042  743,445  7,783 
Ser. 01-79, Class BI, IO, 0.311s, 2045  504,612  4,691 
Ser. 03-34, Class P1, PO, zero %, 2043  24,158  21,551 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO,     
1.068s, 2020  216,271  4,596 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C3, Class XC, IO, 0.275s, 2045  98,321,288  402,840 
Ser. 07-C1, Class XC, IO, 0.145s, 2049  36,475,282  275,498 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 04-C3, Class AJ, 4.915s, 2041  415,000  413,104 
Ser. 97-C1, Class X, IO, 1.345s, 2029  193,863  7,824 
Ser. 05-C1, Class X1, IO, 0.763s, 2043  2,432,051  32,706 
Government National Mortgage Association     
IFB Ser. 10-120, Class SB, IO, 5.982s, 2035  169,677  11,548 
IFB Ser. 10-20, Class SC, IO, 5.932s, 2040  69,924  10,628 
Ser. 11-18, Class PI, IO, 4 1/2s, 2040  85,914  12,879 
Ser. 10-107, Class NI, IO, 4 1/2s, 2039  2,089,265  235,439 
Ser. 10-103, Class DI, IO, 4 1/2s, 2038  1,609,762  169,025 
Ser. 10-85, Class MI, IO, 4 1/2s, 2036  3,137,426  202,270 
Ser. 99-31, Class MP, PO, zero %, 2029  4,956  4,691 

 

72    Dynamic Asset Allocation Growth Fund 

 


MORTGAGE-BACKED SECURITIES (2.6%)* cont.  Principal amount  Value 
  
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X,     
IO, 1s, 2036  $1,616,741  $61,113 
Greenwich Capital Commercial Funding Corp. 144A     
Ser. 05-GG3, Class XC, IO, 1.043s, 2042  5,417,766  89,897 
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2,     
5.506s, 2038  98,653  98,653 
GS Mortgage Securities Corp. II 144A Ser. 06-GG6, Class XC,     
IO, 0.148s, 2038  2,558,078  4,658 
Harborview Mortgage Loan Trust FRB Ser. 05-8, Class 1A2A,     
0.549s, 2035  582,623  387,444 
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39,     
Class A1, 0.397s, 2037  2,164,628  1,374,539 
JPMorgan Chase Commercial Mortgage Securities Corp.     
FRB Ser. 04-CB9, Class B, 5.852s, 2041  207,000  211,324 
FRB Ser. 05-CB12, Class AJ, 4.987s, 2037  846,000  862,962 
Ser. 04-C3, Class B, 4.961s, 2042  331,000  327,525 
Ser. 06-LDP8, Class X, IO, 0.73s, 2045  2,604,407  44,410 
Ser. 06-CB17, Class X, IO, 0.688s, 2043  12,748,902  226,497 
Ser. 07-LDPX, Class X, IO, 0.49s, 2049  14,056,168  163,473 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 05-CB12, Class X1, IO, 0.486s, 2037  2,763,827  24,360 
JPMorgan Mortgage Trust FRB Ser. 06-A2, Class 1A3, 2.889s, 2036  997,459  797,343 
Key Commercial Mortgage Ser. 07-SL1, Class A2, 5.719s, 2040  879,984  844,784 
LB-UBS Commercial Mortgage Trust     
Ser. 06-C7, Class A2, 5.3s, 2038  410,019  410,019 
Ser. 07-C2, Class XW, IO, 0.693s, 2040  1,175,889  22,519 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 06-C7, Class XW, IO, 0.841s, 2038  1,525,934  33,546 
Ser. 05-C5, Class XCL, IO, 0.645s, 2040  9,878,894  141,179 
Ser. 05-C2, Class XCL, IO, 0.502s, 2040  8,905,942  65,610 
Ser. 06-C7, Class XCL, IO, 0.331s, 2038  2,874,056  40,389 
Ser. 06-C6, Class XCL, IO, 0.24s, 2039  34,874,320  610,614 
Ser. 05-C7, Class XCL, IO, 0.153s, 2040  9,259,474  55,909 
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X,     
IO, PO, 0.8s, 2047  1,523,483  45,705 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,     
Class JS, IO, 2.408s, 2028  19,932  25 
Merrill Lynch Mortgage Trust     
FRB Ser. 07-C1, Class A3, 6.042s, 2050  57,000  61,262 
FRB Ser. 07-C1, Class A2, 5.938s, 2050  73,739  75,015 
Ser. 05-CKI1, Class AJ, 5.39s, 2037  254,000  257,556 
Ser. 03-KEY1, Class C, 5.373s, 2035  280,000  282,772 
Merrill Lynch Mortgage Trust 144A     
Ser. 04-KEY2, Class XC, IO, 1.034s, 2039  2,875,598  35,197 
Ser. 05-MCP1, Class XC, IO, 0.252s, 2043  3,282,549  38,521 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 06-C4, Class X, IO, 6.391s, 2045  774,010  58,593 
Ser. 05-C3, Class X, IO, 6.146s, 2044  332,042  24,173 

 

Dynamic Asset Allocation Growth Fund    73 

 


MORTGAGE-BACKED SECURITIES (2.6%)* cont.  Principal amount  Value 
 
Morgan Stanley Capital I     
Ser. 98-CF1, Class D, 7.35s, 2032  $1,930  $1,945 
FRB Ser. 06-T23, Class A2, 5.918s, 2041  385,387  387,298 
FRB Ser. 07-HQ12, Class A2, 5.759s, 2049  591,097  604,397 
Ser. 07-IQ14, Class A2, 5.61s, 2049  252,550  262,045 
Morgan Stanley Capital I 144A Ser. 03-IQ6, Class C, 5.243s, 2041  394,000  401,837 
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A,     
Class A3B, 5.843s, 2043  1,333,143  1,373,137 
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO,     
1.988s, 2012  90  — 
Structured Asset Mortgage Investments, Inc.     
Ser. 06-AR6, Class 2X, IO, 1s, 2046  3,132,278  115,581 
Ser. 07-AR1, Class 1X, IO, 0.6s, 2037  1,075,167  23,116 
Ser. 06-AR8, Class X, IO, 0.4s, 2036  4,770,315  63,922 
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3,     
IO, 6.035s, 2045  1,202,140  228,407 
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4,     
Class AJ, 5.585s, 2039  529,000  568,754 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 06-C26, Class AJ, 6.199s, 2045  329,000  306,299 
Ser. 06-C29, IO, 0.541s, 2048  37,988,218  559,946 
Ser. 07-C34, IO, 0.53s, 2046  4,274,228  51,718 
Wachovia Bank Commercial Mortgage Trust 144A     
Ser. 05-C18, Class XC, IO, 0.506s, 2042  9,821,664  68,752 
Ser. 06-C26, Class XC, IO, 0.092s, 2045  14,686,272  33,191 
WAMU Commercial Mortgage Securities Trust 144A Ser. 07-SL2,     
Class A1, 5.429s, 2049  874,955  883,704 
WAMU Mortgage Pass-Through Certificates     
FRB Ser. 06-AR1, Class 2A1B, 1.218s, 2046  386,261  328,322 
FRB Ser. 06-AR15, Class 1A, 0.988s, 2046  393,982  299,427 
FRB Ser. 07-OA6, Class 1A, 0.958s, 2047  1,376,588  1,032,441 
FRB Ser. 05-AR9, Class A1C3, 0.697s, 2045  612,485  502,237 
FRB Ser. 05-AR15, Class A1A2, 0.497s, 2045  585,756  483,248 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 07-8, Class 2A8, 6s, 2037  432,827  430,663 
Ser. 05-9, Class 2A9, 5 1/4s, 2035  300,000  310,827 
FRB Ser. 06-AR2, Class 2A1, 2.617s, 2036  573,104  548,030 
FRB Ser. 06-AR10, Class 5A3, 2.614s, 2036  970,267  827,764 
FRB Ser. 06-AR13, Class A4, 2.613s, 2036  2,989,096  2,480,950 
Total mortgage-backed securities (cost $39,035,044)    $41,600,369 
 
COMMODITY LINKED NOTES (0.8%)*  Principal amount  Value 
 
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A,     
1-month LIBOR less 0.16%, 2013 (Indexed to the DB Custom     
Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P     
GSCI Light Energy Index TR multiplied by 3) (United Kingdom)  $4,844,000  $6,578,152 
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013     
(Indexed to the UBS Custom Commodity Index: 75% S&P GSCI     
Gold Index TR and 25% S&P GSCI Light Energy Index TR     
multiplied by 3) (Jersey)  4,844,000  6,580,324 
Total commodity linked notes (cost $9,688,000)    $13,158,476 

 

74    Dynamic Asset Allocation Growth Fund 

 


INVESTMENT COMPANIES (0.8%)*  Shares  Value 
 
iShares FTSE A50 China Index ETF (China)  193,300  $242,135 
iShares Russell 2000 Growth Index Fund  5,460  522,031 
SPDR S&P 500 ETF Trust  78,147  11,247,698 
Total investment companies (cost $10,876,434)    $12,011,864 
 
FOREIGN GOVERNMENT AND     
AGENCY BONDS AND NOTES (0.7%)*  Principal amount/units  Value 
  
Argentina (Republic of) sr. unsec. bonds 7s, 2017  $125,000  $106,250 
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013  850,000  845,750 
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015  4,755,000  4,338,938 
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017  200,000  215,572 
Indonesia (Republic of) 144A notes 5 1/4s, 2042  930,000  1,059,038 
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021  400,000  458,000 
Poland (Government of) sr. unsec. bonds 5s, 2022  645,000  748,200 
South Africa (Republic of) sr. unsec. unsub. notes 4.665s, 2024  735,000  825,038 
Ukraine (Government of ) Financing of Infrastructural     
Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017  150,000  138,000 
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013  2,425,000  2,440,763 
Total foreign government and agency bonds and notes (cost $11,039,510)  $11,175,549 

 

PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.6%)*  strike price  amount  Value 
 
 
SPDR S&P 500 ETF Trust (Put)  Nov-12/138.00  20,867  $27,782 
Option on an interest rate swap with Citibank, N.A.       
for the right to receive a fixed rate of 4.74% versus       
the three month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.74  $9,601,827  1,743,903 
Option on an interest rate swap with Citibank, N.A.       
for the right to pay a fixed rate of 4.74% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  Jul-16/4.74  9,601,827  175,080 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate of       
4.28% versus the three month USD-LIBOR-BBA       
maturing August 2026. E  Aug-16/4.28  6,544,000  967,858 
Option on an interest rate swap with Credit Suisse       
International for the right to pay a fixed rate of 4.67%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.67  9,607,000  184,570 
Option on an interest rate swap with Credit Suisse       
International for the right to pay a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  Aug-16/4.28  6,544,000  158,352 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate of       
4.67% versus the three month USD-LIBOR-BBA       
maturing July 2026. E  Jul-16/4.67  9,607,000  1,696,596 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate of       
2.193% versus the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.193  1,340,000  60,622 

 

Dynamic Asset Allocation Growth Fund    75 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.6%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with Deutsche       
Bank AG for the right to receive a fixed rate of 4.765%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.765  $1,560,694  $193,771 
Option on an interest rate swap with Deutsche       
Bank AG for the right to pay a fixed rate of 4.765%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.765  1,560,694  11,693 
Option on an interest rate swap with Deutsche       
Bank AG for the right to receive a fixed rate of 4.77%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.77  324,000  40,399 
Option on an interest rate swap with Deutsche       
Bank AG for the right to pay a fixed rate of 4.77%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.77  324,000  2,393 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
3.49% versus the three month USD-LIBOR-BBA       
maturing September 2026. E  Sep-16/3.49  1,127,866  106,756 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of       
3.49% versus the three month USD-LIBOR-BBA       
maturing September 2026. E  Sep-16/3.49  1,127,866  45,746 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
4.17% versus the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,681,000  257,979 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.17%       
versus the three month USD-LIBOR-BBA maturing       
August 2021. E  Aug-16/4.17  2,681,000  29,928 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
4.72% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.72  8,455,000  1,032,719 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.72%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.72  8,455,000  64,723 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
4.705% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  7,941,000  967,357 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.705%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.705  7,941,000  60,495 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
1.8625% versus the three month USD-LIBOR-BBA       
maturing January 2023.  Jan-13/1.8625  515,000  9,656 

 

76    Dynamic Asset Allocation Growth Fund 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.6%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
1.855% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.855  $515,000  $9,244 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
2.325% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/2.325  170,000  9,155 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of       
2.325% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/2.325  170,000  262 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
2.8825% versus the three month USD-LIBOR-BBA       
maturing December 2042.  Dec-12/2.8825  987,000  65,843 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of       
2.8825% versus the three month USD-LIBOR-BBA       
maturing December 2042.  Dec-12/2.8825  987,000  12,535 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
1.845% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.845  515,000  8,580 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
1.835% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.835  515,000  7,854 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
2.305% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  170,000  9,041 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of       
2.305% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  170,000  77 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
1.82% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.82  515,000  7,066 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate of       
2.28% versus the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.28  170,000  9,005 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 2.28%       
versus the three month USD-LIBOR-BBA maturing       
October 2022.  Oct-12/2.28  170,000  2 
Option on an interest rate swap with JPMorgan       
Chase Bank NA for the right to receive a fixed rate       
of 4.17% versus the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,681,000  257,979 

 

Dynamic Asset Allocation Growth Fund    77 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.6%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with JPMorgan       
Chase Bank NA for the right to pay a fixed rate of       
4.17% versus the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  $2,681,000  $29,928 
Option on an interest rate swap with JPMorgan       
Chase Bank NA for the right to pay a fixed rate of       
5.11% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/5.11  5,322,000  34,609 
Option on an interest rate swap with JPMorgan       
Chase Bank NA for the right to receive a fixed rate       
of 4.705% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  7,941,000  967,357 
Option on an interest rate swap with JPMorgan       
Chase Bank NA for the right to pay a fixed rate of       
4.705% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  7,941,000  60,495 
Total purchased options outstanding (cost $9,601,798)      $9,327,410 
   

 

SENIOR LOANS (0.3%)* c  Principal amount  Value 
 
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015  $299,143  $299,143 
Burlington Coat Factory Warehouse Corp. bank term loan FRN     
Ser. B1, 5 1/2s, 2017  40,538  40,965 
Caesars Entertainment Operating Co., Inc. bank term loan     
FRN Ser. B6, 5.467s, 2018  551,000  499,836 
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017  195,000  195,488 
Clear Channel Communications, Inc. bank term loan FRN     
Ser. A, 3.632s, 2014  118,112  110,907 
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016  71,605  71,649 
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018  162,989  162,514 
Emergency Medical Services Corp. bank term loan FRN Ser. B,     
5 1/4s, 2018  190,513  191,069 
First Data Corp. bank term loan FRN 5.217s, 2017  59,603  58,411 
First Data Corp. bank term loan FRN 4.217s, 2018  560,071  534,168 
Frac Tech International, LLC bank term loan FRN Ser. B,     
6 1/4s, 2016  172,610  165,544 
Goodman Global, Inc. bank term loan FRN 9s, 2017  216,364  217,986 
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016  156,044  156,156 
Intelsat SA bank term loan FRN 3.221s, 2014 (Luxembourg)  400,000  396,300 
Landry’s, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017  279,300  282,791 
Level 3 Financing, Inc. bank term loan FRN 5 1/4s, 2019  160,000  160,300 
Motor City Casino bank term loan FRN 6s, 2017  350,765  352,957 
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018  195,000  195,820 
Pharmaceutical Product Development, Inc. bank term loan FRN     
Ser. B, 6 1/4s, 2018  173,688  175,063 
Revlon Consumer Products Corp. bank term loan FRN 4 3/4s, 2017  297,000  297,789 
Springleaf Financial bank term loan FRN Ser. B, 5 1/2s, 2017  210,000  205,433 
SRAM Corp. bank term loan FRN 8 1/2s, 2018  75,000  76,125 
Texas Competitive Electric Holdings Co., LLC bank term loan     
FRN 4.757s, 2017  799,610  548,857 
Thomson Learning bank term loan FRN Ser. B, 2 1/2s, 2014  62,293  59,057 
Total senior loans (cost $5,577,929)    $5,454,328 

 

78    Dynamic Asset Allocation Growth Fund 

 


PREFERRED STOCKS (0.1%)*  Shares  Value 
 
Ally Financial, Inc. 144A 7.00% cum. pfd.  471  $440,606 
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.  15,430  387,447 
M/I Homes, Inc. $2.438 pfd. †  5,500  112,255 
Samsung Electronics Co., Ltd. zero % cum. pfd. (South Korea)  657  463,780 
Total preferred stocks (cost $1,283,221)    $1,404,088 
 
CONVERTIBLE BONDS AND NOTES (0.1%)*  Principal amount  Value 
Altra Holdings, Inc. cv. company guaranty sr. unsec.     
notes 2 3/4s, 2031  $162,000  $159,570 
Exide Technologies cv. sr. sub. notes FRN zero %, 2013  201,000  184,920 
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016  49,000  67,865 
Meritor, Inc. cv. company guaranty sr. unsec.     
notes stepped-coupon 4 5/8s (zero % , 3/1/16) 2026 ††  324,000  289,778 
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014  90,000  79,819 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014  59,000  61,692 
Total convertible bonds and notes (cost $828,995)    $843,644 
 
CONVERTIBLE PREFERRED STOCKS (—%)*  Shares  Value 
 
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. R  7,578  $154,099 
General Motors Co. Ser. B, $2.375 cv. pfd.  5,637  211,563 
Lucent Technologies Capital Trust I 7.75% cv. pfd.  217  125,318 
United Technologies Corp. $3.75 cv. pfd. †  2,600  145,860 
Total convertible preferred stocks (cost $763,288)    $636,840 
 
MUNICIPAL BONDS AND NOTES (—%)*  Principal amount  Value 
 
IL State G.O. Bonds     
4.421s, 1/1/15  $50,000  $53,017 
4.071s, 1/1/14  150,000  155,301 
Total municipal bonds and notes (cost $200,000)    $208,318 
   

 

WARRANTS (—%)* †  Expiration  Strike     
  date  price  Warrants  Value 
Charter Communications, Inc. Class A  11/30/14  $46.86  62  $1,815 
Hartalega Holdings Bhd (Malaysia)  5/29/15  MYR 4.67  5,560  2,092 
Tower Semiconductor, Ltd. 144A (Israel) F  6/30/15  $25.50  49,174  9,835 
Total warrants (cost $10,021)        $13,742 
   

 

ASSET-BACKED SECURITIES (—%)*  Principal amount  Value 
 
Merrill Lynch Mortgage Investors, Inc. FRB Ser. 04-HE2,     
Class A1A, 0.617s, 2035  $2,087  $1,737 
Total asset-backed securities (cost $2,087)    $1,737 
 
SHORT-TERM INVESTMENTS (27.0%)*  Principal amount/shares  Value 
Putnam Cash Collateral Pool, LLC 0.21% d  2,166,004  $2,166,004 
Putnam Money Market Liquidity Fund 0.14% L  325,561,660  325,561,660 
SSgA Prime Money Market Fund 0.14% P  9,502,276  9,502,276 
U.S. Treasury Bills with effective yields ranging from     
0.164% to 0.168%, May 30, 2013 # ##  $4,582,000  4,577,404 

 

Dynamic Asset Allocation Growth Fund    79 

 


SHORT-TERM INVESTMENTS (27.0%)* cont.  Principal amount/shares  Value 
 
U.S. Treasury Bills with effective yields ranging from     
0.187% to 0.190%, May 2, 2013 # ##  $6,771,000  $6,764,994 
U.S. Treasury Bills with an effective yield of 0.172%,     
April 4, 2013 # ##  6,026,000  6,021,746 
U.S. Treasury Bills with effective yields ranging from     
0.105% to 0.107%, December 13, 2012 # ##  4,153,000  4,152,306 
U.S. Treasury Bills with effective yields ranging from     
0.083% to 0.105%, November 15, 2012 #  23,402,000  23,398,952 
Straight-A Funding, LLC commercial paper 144A Ser. 1     
with an effective yield of 0.178%, October 10, 2012  31,000,000  30,998,605 
Straight-A Funding, LLC commercial paper with     
an effective yield of 0.178%, November 5, 2012  12,391,000  12,388,832 
Total short-term investments (cost $425,529,297)    $425,532,779 
 
TOTAL INVESTMENTS     
 
Total investments (cost $1,540,823,778)    $1,663,668,542 

 

Key to holding’s currency abbreviations 
 
CAD  Canadian Dollar 
CHF  Swiss Franc 
EUR  Euro 
GBP  British Pound 
KRW  South Korean Won 
MXN  Mexican Peso 
MYR  Malaysian Ringgit 
   
Key to holding’s abbreviations 
 
ADR  American Depository Receipts: represents ownership of foreign securities on deposit with a 
  custodian bank 
ADS  American Depository Shares: represents ownership of foreign securities on deposit with a 
  custodian bank 
ETF  Exchange Traded Fund 
FRB  Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period 
FRN  Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period 
GDR  Global Depository Receipts: represents ownership of foreign securities on deposit with a 
  custodian bank 
GMTN  Global Medium Term Notes 
G.O. Bonds  General Obligation Bonds 
IFB  Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to 
  changes in the market interest rates. As interest rates rise, inverse floaters produce less current 
  income. The rate shown is the current interest rate at the close of the reporting period. 
IO  Interest Only 
MTN  Medium Term Notes 
NVDR  Non-voting Depository Receipt 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
PO  Principal Only 
SDR  Swedish Depository Receipts: represents ownership of foreign securities on deposit with a 
  custodian bank 
SPDR  S&P Depository Receipts 
TBA  To Be Announced Commitments 

 

80    Dynamic Asset Allocation Growth Fund 

 


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 October 1, 2011 through September 30, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $1,577,108,264.

† Non-income-producing security.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

‡ Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $126,255, or less than 0.1% of net assets.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.

## 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.

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

d See Note 1 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.

E Extended settlement date on premium.

F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1).

L Affiliated company (Note 6). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).

R Real Estate Investment Trust.

S Security on loan, in part or in entirety, at the close of the reporting period (Note 1).

At the close of the reporting period, the fund maintained liquid assets totaling $248,630,565 to cover certain derivatives contracts.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under 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’s.

The dates shown on debt obligations are the original maturity dates.

Dynamic Asset Allocation Growth Fund    81 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392)   
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.           
  British Pound  Buy  10/17/12  $1,476,345  $1,452,092  $24,253 
  Canadian Dollar  Sell  10/17/12  3,030,616  3,017,531  (13,085) 
  Swedish Krona  Buy  10/17/12  1,574,788  1,537,787  37,001 
Barclays Bank PLC           
  Australian Dollar  Buy  10/17/12  1,549,777  1,511,807  37,970 
  Brazilian Real  Buy  10/17/12  967,212  960,696  6,516 
  Brazilian Real  Sell  10/17/12  967,212  964,931  (2,281) 
  British Pound  Buy  10/17/12  2,381,722  2,355,517  26,205 
  Canadian Dollar  Sell  10/17/12  3,864  27,253  23,389 
  Chilean Peso  Sell  10/17/12  263,240  277,745  14,505 
  Czech Koruna  Buy  10/17/12  1,891,771  1,924,165  (32,394) 
  Czech Koruna  Sell  10/17/12  1,891,771  1,879,374  (12,397) 
  Euro  Buy  10/17/12  5,504,291  5,511,726  (7,435) 
  Hungarian Forint  Buy  10/17/12  6,390  6,467  (77) 
  Hungarian Forint  Sell  10/17/12  6,390  6,228  (162) 
  Indian Rupee  Buy  10/17/12  262,439  259,464  2,975 
  Indian Rupee  Sell  10/17/12  262,439  246,603  (15,836) 
  Japanese Yen  Buy  10/17/12  369,158  365,340  3,818 
  Malaysian Ringgit  Buy  10/17/12  240,626  239,369  1,257 
  Malaysian Ringgit  Sell  10/17/12  240,626  235,971  (4,655) 
  Mexican Peso  Buy  10/17/12  259,369  282,553  (23,184) 
  New Zealand Dollar  Sell  10/17/12  481,228  461,444  (19,784) 
  Norwegian Krone  Buy  10/17/12  309,017  315,926  (6,909) 
  Polish Zloty  Buy  10/17/12  468,565  540,507  (71,942) 
  Singapore Dollar  Sell  10/17/12  239,484  225,311  (14,173) 
  South African Rand  Sell  10/17/12  15,216  13,565  (1,651) 
  South Korean Won  Buy  10/17/12  129,912  118,981  10,931 
  Swedish Krona  Buy  10/17/12  142,947  135,814  7,133 
  Swiss Franc  Buy  10/17/12  686,205  675,124  11,081 
  Taiwan Dollar  Buy  10/17/12  1,454,900  1,454,305  595 
  Taiwan Dollar  Sell  10/17/12  1,454,900  1,430,989  (23,911) 
  Thai Baht  Buy  10/17/12  238,586  234,841  3,745 
  Turkish Lira  Buy  10/17/12  2,315,527  2,297,536  17,991 
Citibank, N.A.             
  Australian Dollar  Buy  10/17/12  4,616,595  4,568,275  48,320 
  Brazilian Real  Sell  10/17/12  2,165,027  2,151,277  (13,750) 
  British Pound  Buy  10/17/12  6,407,236  6,291,954  115,282 
  Canadian Dollar  Buy  10/17/12  4,058,142  4,058,061  81 
  Canadian Dollar  Sell  10/17/12  4,058,142  4,075,214  17,072 
  Czech Koruna  Buy  10/17/12  1,397,723  1,422,163  (24,440) 
  Czech Koruna  Sell  10/17/12  1,397,723  1,404,908  7,185 
  Danish Krone  Buy  10/17/12  1,447,195  1,420,556  26,639 
  Euro  Buy  10/17/12  1,656,286  1,622,157  34,129 
  Euro  Sell  10/17/12  1,656,286  1,693,428  37,142 

 

82    Dynamic Asset Allocation Growth Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392) cont.   
          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty   Currency  type  date  Value  face value  (depreciation) 
Citibank, N.A. cont.           
Japanese Yen  Buy  10/17/12  $3,095,828  $3,082,975  $12,853 
Mexican Peso  Buy  10/17/12  419  1,390  (971) 
Singapore Dollar  Buy  10/17/12  107,804  120,154  (12,350) 
South Korean Won  Buy  10/17/12  78,478  65,678  12,800 
Swiss Franc  Buy  10/17/12  593,995  584,633  9,362 
Taiwan Dollar  Sell  10/17/12  1,058,441  1,039,226  (19,215) 
Turkish Lira  Buy  10/17/12  1,810,472  1,795,057  15,415 
Credit Suisse AG           
Australian Dollar  Buy  10/17/12  1,574,849  1,569,579  5,270 
Australian Dollar  Sell  10/17/12  1,574,849  1,583,458  8,609 
Brazilian Real  Buy  10/17/12  1,195,206  1,184,612  10,594 
Brazilian Real  Sell  10/17/12  1,195,206  1,193,490  (1,716) 
British Pound  Buy  10/17/12  1,541,418  1,496,278  45,140 
Canadian Dollar  Buy  10/17/12  11,185  43,847  (32,662) 
Chilean Peso  Sell  10/17/12  106,068  112,424  6,356 
Czech Koruna  Buy  10/17/12  1,618,058  1,640,029  (21,971) 
Czech Koruna  Sell  10/17/12  1,618,058  1,625,628  7,570 
Euro  Sell  10/17/12  4,502,447  4,342,880  (159,567) 
Hungarian Forint  Buy  10/17/12  477,633  472,206  5,427 
Hungarian Forint  Sell  10/17/12  477,633  465,934  (11,699) 
Japanese Yen  Buy  10/17/12  7,765,981  7,735,486  30,495 
Malaysian Ringgit  Buy  10/17/12  354,158  347,084  7,074 
Malaysian Ringgit  Sell  10/17/12  354,158  351,794  (2,364) 
Mexican Peso  Buy  10/17/12  1,002,428  1,011,397  (8,969) 
New Zealand Dollar  Sell  10/17/12  999,054  958,041  (41,013) 
Norwegian Krone  Buy  10/17/12  4,154,859  4,073,432  81,427 
Philippines Peso  Buy  10/17/12  833,988  828,454  5,534 
Polish Zloty  Buy  10/17/12  915,164  948,457  (33,293) 
Singapore Dollar  Sell  10/17/12  195,645  175,511  (20,134) 
South African Rand  Sell  10/17/12  624,890  630,270  5,380 
South Korean Won  Buy  10/17/12  563,785  540,123  23,662 
Swedish Krona  Buy  10/17/12  3,640,348  3,662,652  (22,304) 
Swedish Krona  Sell  10/17/12  3,640,348  3,623,585  (16,763) 
Swiss Franc  Buy  10/17/12  3,730,310  3,671,371  58,939 
Taiwan Dollar  Sell  10/17/12  889,645  875,300  (14,345) 
Turkish Lira  Buy  10/17/12  1,030,431  1,019,089  11,342 
Deutsche Bank AG           
Australian Dollar  Buy  10/17/12  7,490,402  7,319,329  171,073 
Brazilian Real  Buy  10/17/12  967,212  957,790  9,422 
Brazilian Real  Sell  10/17/12  967,212  964,694  (2,518) 
British Pound  Buy  10/17/12  3,204,425  3,206,387  (1,962) 
British Pound  Sell  10/17/12  3,204,425  3,218,978  14,553 
Canadian Dollar  Buy  10/17/12  13,524  13,510  14 
Canadian Dollar  Sell  10/17/12  13,524  13,610  86 

 

Dynamic Asset Allocation Growth Fund    83 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392) cont.   
 
          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty   Currency  type  date  Value  face value  (depreciation) 
Deutsche Bank AG cont.           
Czech Koruna  Buy  10/17/12  $666,102  $682,990  $(16,888) 
Czech Koruna  Sell  10/17/12  666,102  662,905  (3,197) 
Euro  Sell  10/17/12  8,078,109  7,890,613  (187,496) 
Japanese Yen  Buy  10/17/12  1,618,080  1,622,074  (3,994) 
Japanese Yen  Sell  10/17/12  1,618,080  1,613,415  (4,665) 
Mexican Peso  Buy  10/17/12  44,954  45,495  (541) 
Norwegian Krone  Buy  10/17/12  1,589,289  1,567,025  22,264 
Polish Zloty  Buy  10/17/12  946,570  1,000,693  (54,123) 
Singapore Dollar  Sell  10/17/12  892,746  878,231  (14,515) 
South Korean Won  Buy  10/17/12  257,673  246,097  11,576 
Swedish Krona  Buy  10/17/12  1,571,349  1,579,136  (7,787) 
Swedish Krona  Sell  10/17/12  1,571,349  1,537,204  (34,145) 
Turkish Lira  Buy  10/17/12  934,050  919,926  14,124 
Goldman Sachs International           
Czech Koruna  Buy  10/17/12  32,358  32,848  (490) 
Czech Koruna  Sell  10/17/12  32,358  32,210  (148) 
Euro  Buy  10/17/12  3,263,349  3,194,658  68,691 
Euro  Sell  10/17/12  3,263,349  3,266,146  2,797 
Japanese Yen  Buy  10/17/12  5,825,791  5,796,092  29,699 
Singapore Dollar  Sell  10/17/12  29,335  11,469  (17,866) 
South Korean Won  Buy  10/17/12  8,847  8,627  220 
Turkish Lira  Buy  10/17/12  35,199  34,707  492 
HSBC Bank USA, National Association         
Australian Dollar  Buy  10/17/12  3,091,992  3,076,295  15,697 
British Pound  Sell  10/17/12  1,577,790  1,560,960  (16,830) 
Canadian Dollar  Buy  10/17/12  1,752,844  1,761,229  (8,385) 
Canadian Dollar  Sell  10/17/12  1,752,844  1,765,131  12,287 
Czech Koruna  Buy  10/17/12  1,748,773  1,778,492  (29,719) 
Czech Koruna  Sell  10/17/12  1,748,773  1,740,911  (7,862) 
Euro  Sell  10/17/12  4,841,494  4,688,508  (152,986) 
Hong Kong Dollar  Buy  10/17/12  1,105,516  1,105,186  330 
Indian Rupee  Buy  10/17/12  750,024  736,155  13,869 
Indian Rupee  Sell  10/17/12  750,024  711,683  (38,341) 
Japanese Yen  Sell  10/17/12  6,036,805  6,012,257  (24,548) 
Norwegian Krone  Buy  10/17/12  201,185  186,986  14,199 
Russian Ruble  Buy  10/17/12  966,934  987,901  (20,967) 
Singapore Dollar  Buy  10/17/12  4,869,689  4,806,831  62,858 
South Korean Won  Buy  10/17/12  159,260  152,190  7,070 
Swiss Franc  Buy  10/17/12  3,092,603  3,041,918  50,685 
Turkish Lira  Buy  10/17/12  707,255  696,304  10,951 
JPMorgan Chase Bank, N.A.           
Australian Dollar  Buy  10/17/12  756,914  718,748  38,166 
Brazilian Real  Buy  10/17/12  967,261  957,671  9,590 

 

84    Dynamic Asset Allocation Growth Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392) cont.   
 
          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty   Currency  type  date  Value  face value  (depreciation) 
JPMorgan Chase Bank, N.A. cont.           
Brazilian Real  Sell  10/17/12  $967,261  $965,455  $(1,806) 
British Pound  Sell  10/17/12  839,658  813,932  (25,726) 
Canadian Dollar  Sell  10/17/12  1,495,277  1,507,269  11,992 
Chilean Peso  Buy  10/17/12  208,395  199,116  9,279 
Czech Koruna  Buy  10/17/12  1,407,793  1,432,861  (25,068) 
Czech Koruna  Sell  10/17/12  1,407,793  1,416,746  8,953 
Euro  Sell  10/17/12  1,431,113  1,240,133  (190,980) 
Hong Kong Dollar  Buy  10/17/12  1,451,619  1,451,120  499 
Hungarian Forint  Buy  10/17/12  477,633  467,258  10,375 
Hungarian Forint  Sell  10/17/12  477,633  465,985  (11,648) 
Japanese Yen  Buy  10/17/12  4,692,720  4,670,179  22,541 
Mexican Peso  Buy  10/17/12  663,941  651,429  12,512 
New Zealand Dollar  Sell  10/17/12  968,418  966,961  (1,457) 
Norwegian Krone  Sell  10/17/12  1,627,565  1,603,337  (24,228) 
Polish Zloty  Buy  10/17/12  451,428  478,962  (27,534) 
Russian Ruble  Buy  10/17/12  966,934  988,579  (21,645) 
Singapore Dollar  Sell  10/17/12  3,196,564  3,135,791  (60,773) 
South African Rand  Sell  10/17/12  409,763  404,025  (5,738) 
South Korean Won  Buy  10/17/12  142,191  131,286  10,905 
Swedish Krona  Buy  10/17/12  485,690  460,461  25,229 
Swiss Franc  Buy  10/17/12  8,934  8,793  141 
Swiss Franc  Sell  10/17/12  8,934  8,972  38 
Taiwan Dollar  Sell  10/17/12  1,060,195  1,037,819  (22,376) 
Turkish Lira  Buy  10/17/12  1,085,506  1,071,108  14,398 
Royal Bank of Scotland PLC (The)           
Brazilian Real  Buy  10/17/12  84,088  83,341  747 
Brazilian Real  Sell  10/17/12  84,088  84,051  (37) 
British Pound  Buy  10/17/12  3,616,181  3,553,863  62,318 
Euro  Buy  10/17/12  1,593,439  1,559,588  33,851 
Euro  Sell  10/17/12  1,593,439  1,594,804  1,365 
Singapore Dollar  Buy  10/17/12  964,290  965,986  (1,696) 
Singapore Dollar  Sell  10/17/12  964,290  955,491  (8,799) 
South Korean Won  Buy  10/17/12  5,726  5,589  137 
Taiwan Dollar  Buy  10/17/12  101,402  101,412  (10) 
Taiwan Dollar  Sell  10/17/12  101,402  99,545  (1,857) 
Turkish Lira  Buy  10/17/12  44,249  43,634  615 
State Street Bank and Trust Co.           
Australian Dollar  Buy  10/17/12  921,745  895,722  26,023 
Brazilian Real  Buy  10/17/12  1,120,816  1,111,621  9,195 
Brazilian Real  Sell  10/17/12  1,120,816  1,118,806  (2,010) 
British Pound  Sell  10/17/12  3,846,441  3,815,834  (30,607) 
Canadian Dollar  Buy  10/17/12  8,396,121  8,381,543  14,578 
Canadian Dollar  Sell  10/17/12  8,396,121  8,404,044  7,923 
Chilean Peso  Buy  10/17/12  143,486  141,419  2,067 

 

Dynamic Asset Allocation Growth Fund     85 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392) cont.   
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
State Street Bank and Trust Co. cont.           
  Czech Koruna  Buy  10/17/12  $933,323  $960,603  $(27,280) 
  Czech Koruna  Sell  10/17/12  933,323  930,263  (3,060) 
  Euro  Buy  10/17/12  8,478,718  8,361,244  117,474 
  Euro  Sell  10/17/12  8,412,914  8,420,124  7,210 
  Hungarian Forint  Buy  10/17/12  554,875  541,222  13,653 
  Hungarian Forint  Sell  10/17/12  554,875  544,135  (10,740) 
  Japanese Yen  Buy  10/17/12  5,332,232  5,305,971  26,261 
  Mexican Peso  Buy  10/17/12  331,800  331,617  183 
  New Zealand Dollar  Sell  10/17/12  481,228  461,502  (19,726) 
  Norwegian Krone  Buy  10/17/12  343,594  344,812  (1,218) 
  Norwegian Krone  Sell  10/17/12  343,594  338,967  (4,627) 
  Polish Zloty  Buy  10/17/12  979,628  985,497  (5,869) 
  Polish Zloty  Sell  10/17/12  979,628  942,690  (36,938) 
  Singapore Dollar  Sell  10/17/12  951,334  936,262  (15,072) 
  South African Rand  Buy  10/17/12  75,706  64,183  11,523 
  South Korean Won  Buy  10/17/12  140,896  124,959  15,937 
  Swedish Krona  Buy  10/17/12  1,589,046  1,570,709  18,337 
  Swiss Franc  Buy  10/17/12  9,997  9,838  159 
  Swiss Franc  Sell  10/17/12  9,997  10,040  43 
  Taiwan Dollar  Sell  10/17/12  1,290,696  1,265,908  (24,788) 
  Thai Baht  Buy  10/17/12  590,596  581,651  8,945 
  Turkish Lira  Buy  10/17/12  234,067  216,871  17,196 
UBS AG             
  Australian Dollar  Buy  10/17/12  5,896,594  5,805,774  90,820 
  British Pound  Buy  10/17/12  2,149,040  2,059,000  90,040 
  Canadian Dollar  Sell  10/17/12  1,750,810  1,737,804  (13,006) 
  Czech Koruna  Buy  10/17/12  1,397,743  1,422,219  (24,476) 
  Czech Koruna  Sell  10/17/12  1,397,743  1,401,945  4,202 
  Euro  Buy  10/17/12  9,006,822  8,968,168  38,654 
  Hungarian Forint  Buy  10/17/12  469,075  459,298  9,777 
  Hungarian Forint  Sell  10/17/12  469,075  477,903  8,828 
  Indian Rupee  Buy  10/17/12  750,024  735,848  14,176 
  Indian Rupee  Sell  10/17/12  750,024  713,496  (36,528) 
  Japanese Yen  Sell  10/17/12  10,773,224  10,729,273  (43,951) 
  Mexican Peso  Buy  10/17/12  2,234  36,114  (33,880) 
  New Zealand Dollar  Sell  10/17/12  912,032  912,910  878 
  Norwegian Krone  Buy  10/17/12  7,045,810  6,962,630  83,180 
  Philippines Peso  Buy  10/17/12  595,071  591,320  3,751 
  Russian Ruble  Buy  10/17/12  966,934  987,933  (20,999) 
  Singapore Dollar  Sell  10/17/12  1,234,901  1,215,005  (19,896) 
  South African Rand  Sell  10/17/12  1,807,427  1,830,981  23,554 
  Swedish Krona  Buy  10/17/12  1,646,779  1,662,023  (15,244) 
  Swedish Krona  Sell  10/17/12  1,646,779  1,646,006  (773) 
  Swiss Franc  Buy  10/17/12  89,232  87,781  1,451 

 

86    Dynamic Asset Allocation Growth Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $378,613,392) cont.   
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
UBS AG cont.             
  Taiwan Dollar  Sell  10/17/12  $529,887  $495,293  $(34,594) 
  Thai Baht  Buy  10/17/12  590,593  581,583  9,010 
  Turkish Lira  Buy  10/17/12  969,915  956,846  13,069 
WestPac Banking Corp.           
  Australian Dollar  Buy  10/17/12  3,011,390  2,971,241  40,149 
  British Pound  Sell  10/17/12  6,905,540  6,793,075  (112,465) 
  Canadian Dollar  Buy  10/17/12  2,395,391  2,430,787  (35,396) 
  Canadian Dollar  Sell  10/17/12  2,395,391  2,406,294  10,903 
  Euro  Buy  10/17/12  9,335,201  9,350,357  (15,157) 
  Euro  Sell  10/17/12  9,335,229  9,175,860  (159,369) 
  Japanese Yen  Sell  10/17/12  3,084,445  3,072,256  (12,189) 
  Mexican Peso  Buy  10/17/12  832,727  836,896  (4,169) 
  Swedish Krona  Buy  10/17/12  3,956  3,865  91 
  Swedish Krona  Sell  10/17/12  3,956  3,976  20 
Total            $(128,448) 
   

 

FUTURES CONTRACTS OUTSTANDING at 9/30/12       
 
        Unrealized 
Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government         
Treasury Bond 3 yr (Short)  32  $3,668,340  Dec-12  $(19,846) 
Canadian Government Bond         
10 yr (Long)  22  3,072,078  Dec-12  26,977 
Euro STOXX 50 Index (Short)  563  17,761,508  Dec-12  656,561 
FTSE 100 Index (Short)  324  29,890,129  Dec-12  605,991 
Japanese Government Bond         
10 yr (Short)  3  5,542,927  Dec-12  (19,623) 
Japanese Government Bond         
10 yr Mini (Long)  23  4,251,051  Dec-12  17,271 
MSCI EAFE Index Mini (Long)  60  4,494,600  Dec-12  (141,677) 
NASDAQ 100 Index E-Mini (Short)  420  23,452,800  Dec-12  87,511 
OMXS 30 Index (Short)  268  4,385,885  Oct-12  111,585 
Russell 2000 Index Mini (Short)  107  8,928,080  Dec-12  57,514 
S&P 500 Index (Long)  12  4,302,600  Dec-12  (11,024) 
S&P 500 Index E-Mini (Long)  4,727  338,973,170  Dec-12  368,706 
S&P 500 Index E-Mini (Short)  1,584  113,588,640  Dec-12  (129,888) 
S&P Mid Cap 400 Index E-Mini (Long)  1,004  99,044,600  Dec-12  (1,697,020) 
SGX MSCI Singapore Index (Short)  36  2,065,189  Oct-12  6,864 
SPI 200 Index (Long)  68  7,730,792  Dec-12  (25,005) 
SPI 200 Index (Short)  54  6,139,158  Dec-12  26,355 
Tokyo Price Index (Short)  151  14,221,553  Dec-12  (194,361) 
U.S. Treasury Bond 30 yr (Long)  170  25,393,750  Dec-12  (113,870) 
U.S. Treasury Bond Ultra 30 yr (Long)  23  3,800,031  Dec-12  (43,512) 
U.S. Treasury Note 2 yr (Long)  118  26,022,688  Dec-12  12,963 

 

Dynamic Asset Allocation Growth Fund    87 

 


FUTURES CONTRACTS OUTSTANDING at 9/30/12 cont.       
 
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
U.S. Treasury Note 2 yr (Short)  162  $35,726,063  Dec-12  $(18,026) 
U.S. Treasury Note 5 yr (Long)  188  23,430,969  Dec-12  86,244 
U.S. Treasury Note 5 yr (Short)  411  51,224,086  Dec-12  (199,859) 
U.S. Treasury Note 10 yr (Long)  73  9,744,359  Dec-12  45,627 
U.S. Treasury Note 10 yr (Short)  122  16,285,094  Dec-12  (64,372) 
Total        $(567,914) 
   

 

WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $10,663,051)     
 
  Contract  Expiration date/   
  amount  strike price  Value 
SPDR S&P 500 ETF Trust (Put)  20,867  Nov-12/134.00  $16,058 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.35%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  $5,935,733  Aug-16/4.35  905,241 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to receive a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  3,616,372  Aug-16/4.28  87,509 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  3,616,372  Aug-16/4.28  531,364 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.67%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  991,517  Jul-16/4.67  19,049 
Option on an interest rate swap with Barclay’s Bank, PLC       
for the obligation to pay a fixed rate of 4.67% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  991,517  Jul-16/4.67  182,086 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.80%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,276,607  Jul-16/4.80  22,653 
Option on an interest rate swap with Barclay’s Bank, PLC       
for the obligation to pay a fixed rate of 4.80% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  1,276,607  Jul-16/4.80  247,786 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.89%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  4,495,597  Jun-16/4.89  32,566 
Option on an interest rate swap with Barclay’s Bank, PLC       
for the obligation to pay a fixed rate of 4.39% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  4,495,597  Jun-16/4.39  498,899 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  4,355,295  May-16/4.745  32,543 

 

88    Dynamic Asset Allocation Growth Fund 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $10,663,051) cont.     
 
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  $4,355,295  May-16/4.745  $555,252 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.11% versus the       
three month USD-LIBOR-BBA maturing May 2021. E  735,127  May-16/4.11  70,799 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to receive a fixed rate of 5.12% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  4,568,578  Jun-16/5.12  29,869 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to receive a fixed rate of 5.11% versus the       
three month USD-LIBOR-BBA maturing May 2021. E  735,127  May-16/5.11  4,781 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.12% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  4,568,578  Jun-16/4.12  441,128 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate       
of 4.7575% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  2,851,997  May-16/4.7575  20,249 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  10,888,239  May-16/4.77  80,421 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  2,851,997  May-16/4.7575  353,362 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  10,888,239  May-16/4.77  1,357,622 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to receive a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing May 2021. E  939,055  May-16/4.60  7,705 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to pay a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing May 2021. E  939,055  May-16/4.60  109,586 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to receive a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing April 2026. E  18,028,331  Apr-16/5.02  253,118 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to pay a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing April 2026. E  18,028,331  Apr-16/5.02  3,730,927 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  1,197,000  Oct-12/1.75  9,037 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 4.86% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  943,752  May-16/4.86  6,864 

 

Dynamic Asset Allocation Growth Fund    89 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $10,663,051) cont.     
 
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 4.36% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  $943,752  May-16/4.36  $100,629 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  1,197,000  Oct-12/1.75  5,518 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to receive a fixed rate of       
4.575% versus the three month USD-LIBOR-BBA       
maturing June 2021. E  4,467,054  Jun-16/4.575  37,438 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to pay a fixed rate of 4.575%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  4,467,054  Jun-16/4.575  515,820 
Total      $10,265,879 
 
E Extended settlement date on premium.  
 

 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/12 (proceeds receivable $1,041,094)   
 
  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3s,       
October 1, 2042  $1,000,000  10/11/12  $1,055,547 
Total      $1,055,547 
   

 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12     
 
  Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Bank of America N.A.           
$3,671,000  $—  5/14/14  0.58%  3 month USD-   
        LIBOR-BBA  $(19,253) 
270,000  —  5/14/17  1.0925%  3 month USD-   
        LIBOR-BBA  (5,885) 
242,000  6,423  6/20/22  2.183%  3 month USD-   
        LIBOR-BBA  (6,615) 
Barclay’s Bank, PLC           
13,407,000 E  11,034  12/19/14  0.45%  3 month USD-   
        LIBOR-BBA  (7,199) 
188,000 E  (158)  12/19/14  3 month USD-     
      LIBOR-BBA  0.45%  98 
911,000 E  (56,435)  12/19/42  2.40%  3 month USD-   
        LIBOR-BBA  (10,858) 
28,376,000 E  307,018  12/19/22  3 month USD-     
      LIBOR-BBA  1.75%  260,764 
582,000 E  (2,313)  12/19/22  1.75%  3 month USD-   
        LIBOR-BBA  (1,365) 
3,805,000 E  (788)  12/19/17  3 month USD-     
      LIBOR-BBA  0.90%  11,198 

 

90    Dynamic Asset Allocation Growth Fund 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Upfront    Payments  Payments  Unrealized 
Swap counterparty/  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Barclay’s Bank, PLC cont.         
  $6,500,000  $—  9/13/14  3 month USD-     
        LIBOR-BBA  0.389%  $2,373 
  12,500,000  —  9/13/17  3 month USD-     
        LIBOR-BBA  0.8075%  30,680 
  1,000,000  —  9/13/22  3 month USD-     
        LIBOR-BBA  1.7823%  8,652 
  1,800,000  —  9/13/42  3 month USD-     
        LIBOR-BBA  2.633%  11,713 
GBP  2,287,000  —  8/15/31  3.6%  6 month GBP-   
          LIBOR-BBA  (548,013) 
Citibank, N.A.           
  $217,000 E  —  10/7/21  3 month USD-     
        LIBOR-BBA  3.0625%  6,701 
  4,187,000 E  995  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (4,700) 
  7,669,000 E  (8,835)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (32,992) 
  5,196,000 E  (40,530)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (32,061) 
  767,000 E  (32,527)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  5,846 
Credit Suisse International         
  77,631,000 E  (86,296)  12/19/14  3 month USD-     
        LIBOR-BBA  0.45%  19,284 
  81,569,000 E  (11,824)  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  245,118 
  643,000 E  59,637  12/19/42  3 month USD-     
        LIBOR-BBA  2.40%  27,468 
  27,641,000 E  33,446  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (4,146) 
  3,103,000 E  853  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (8,921) 
  3,491,000 E  (227,356)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (52,701) 
  932,000 E  16,238  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  14,719 
  24,931,000 E  (318,799)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (278,162) 
MXN  23,310,000  —  7/21/20  1 month MXN-     
        TIIE-BANXICO  6.895%  147,695 
Deutsche Bank AG           
  $110,000 E  —  10/7/21  3 month USD-     
        LIBOR-BBA  3.0475%  3,321 
  100,092,000 E  97,903  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (38,222) 

 

Dynamic Asset Allocation Growth Fund    91 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Upfront    Payments  Payments  Unrealized 
Swap counterparty/  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Deutsche Bank AG cont.         
  $4,032,000 E  $(1,251)  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  $11,450 
  2,710,000 E  (25,496)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (21,079) 
KRW  2,074,000,000  —  4/24/17  3.54%  3 month KRW-   
          CD-KSDA-   
          BLOOMBERG  (62,038) 
MXN  23,310,000  —  7/17/20  1 month MXN-     
        TIIE-BANXICO  6.95%  154,522 
Goldman Sachs International         
  $21,374,000 E  (14,725)  12/19/14  3 month USD-     
        LIBOR-BBA  0.45%  14,344 
  2,730,000 E  (5,219)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (13,819) 
  17,212,000 E  (270,885)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (242,830) 
  2,924,000 E  207,813  12/19/42  3 month USD-     
        LIBOR-BBA  2.40%  61,525 
GBP  2,287,000  —  9/23/31  6 month GBP-     
        LIBOR-BBA  3.1175%  257,714 
JPMorgan Chase Bank NA         
  $87,240,000 E  (159,110)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (433,916) 
  134,000 E  40  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  259 
  15,190,000 E  343,528  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  318,768 
  1,110,000 E  (112,249)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (56,716) 
CAD  2,400,000  —  9/21/21  2.3911%  3 month CAD-   
          BA-CDOR  (67,382) 
CAD  3,583,000  —  5/2/15  3 month CAD-     
        BA-CDOR  1.6575%  30,848 
MXN  8,850,000  —  9/11/20  6.82%  1 month MXN-   
          TIIE-BANXICO  (53,059) 
MXN  11,445,000  —  9/14/20  6.82%  1 month MXN-   
          TIIE-BANXICO  (68,474) 
MXN  3,330,000  —  7/16/20  1 month MXN-     
        TIIE-BANXICO  6.99%  22,758 
MXN  42,045,000  —  7/30/20  6.3833%  1 month MXN-   
          TIIE-BANXICO  (160,850) 
MXN  12,390,000  —  11/4/20  1 month MXN-     
        TIIE-BANXICO  6.75%  70,112 
UBS AG             
CHF  15,261,000  —  5/23/13  0.7625%  6 month CHF-   
          LIBOR-BBA  (97,674) 
Total            $(591,000) 

E Extended effective date.

92    Dynamic Asset Allocation Growth Fund 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12     
 
    Fixed payments  Total return  Unrealized 
Swap counterparty/  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Barclay’s Bank, PLC         
 $9,018 1/12/38  6.50% (1 month  Synthetic TRS  $(43) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
 49,703 1/12/38  (6.50%) 1 month  Synthetic MBX  (117) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
 4,420,000 4/7/16  (2.63%)  USA Non Revised  (102,796) 
      Consumer Price   
      Index-Urban (CPI-U) 
 115,356 1/12/40  5.00% (1 month  Synthetic MBX  415 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
1,003,327  1/12/40  4.50% (1 month  Synthetic MBX  (1,666) 
    USD-LIBOR)  Index 4.50%   
      30 year Fannie Mae   
      pools   
2,034,933  1/12/41  5.00% (1 month  Synthetic MBX  7,323 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
1,016,424  1/12/41  5.00% (1 month  Synthetic MBX  3,658 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
193,840  1/12/40  5.00% (1 month  Synthetic MBX  698 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
629,454  1/12/40  5.00% (1 month  Synthetic MBX  2,266 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
456,156  1/12/40  5.00% (1 month  Synthetic MBX  1,642 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
Citibank, N.A.         
1,128,356  1/12/41  5.00% (1 month  Synthetic MBX  4,060 
    USD-LIBOR)  Index 5.00%   
      30 year Fannie Mae   
      pools   
baskets  406  2/13/13  (3 month USD-  A basket  1,296,695 
    LIBOR-BBA plus  (CGPUTQL2)   
    0.10%)  of common stocks   
baskets   172 2/13/13  3 month USD-  A basket  548,486 
    LIBOR-BBA  (CGPUTQL2)   
    plus 0.10%  of common stocks   

 

Dynamic Asset Allocation Growth Fund    93 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Fixed payments  Total return  Unrealized 
Swap counterparty/  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Citibank, N.A. cont.         
units  9,015  2/13/13  3 month USD-  Russell 1000  $(1,043,699) 
    LIBOR-BBA  Total Return Index   
    minus 0.15%     
units  4,841  2/13/13  3 month USD-  Russell 1000  (560,436) 
    LIBOR-BBA  Total Return Index   
    minus 0.15%     
Credit Suisse International         
$4,254,444  1/12/41  4.50% (1 month  Synthetic MBX  17,520 
    USD-LIBOR)  Index 4.50%   
      30 year Ginnie Mae II 
      pools   
Goldman Sachs International      
2,530,000  3/1/16  2.47%  USA Non Revised  32,966 
      Consumer Price   
      Index-Urban (CPI-U) 
1,897,500  3/3/16  2.45%  USA Non Revised  23,425 
      Consumer Price   
      Index-Urban (CPI-U) 
84,306  1/12/38  6.50% (1 month  Synthetic TRS  (398) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
 3,611,911 1/12/41  4.00% (1 month  Synthetic TRS  (98,543) 
    USD-LIBOR)  Index 4.00%   
      30 year Fannie Mae   
      pools   
6,921  1/12/38  6.50% (1 month  Synthetic TRS  (33) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
 88,710 1/12/38  (6.50%) 1 month  Synthetic MBX  (209) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
106,536  1/12/38  (6.50%) 1 month  Synthetic MBX  (251) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
 2,010,966 1/12/38  (6.50%) 1 month  Synthetic MBX  (4,738) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
1,710,000  4/3/17  2.3225%  USA Non Revised  12,517 
      Consumer Price   
      Index-Urban (CPI-U) 
1,710,000  4/4/17  2.35%  USA Non Revised  15,048 
      Consumer Price   
      Index-Urban (CPI-U) 

 

94    Dynamic Asset Allocation Growth Fund 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Fixed payments  Total return  Unrealized 
Swap counterparty/  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International cont.      
 $1,710,000 4/5/17  2.355%  USA Non Revised  $15,527 
      Consumer Price   
      Index-Urban (CPI-U) 
 1,710,000 4/5/22  2.66%  USA Non Revised  16,756 
      Consumer Price   
      Index-Urban (CPI-U) 
GBP  1,067,000  3/30/17  (3.0925%)  GBP Non-revised  (49,588) 
      UK Retail Price   
      Index   
GBP  1,067,000  4/2/17  (3.085%)  GBP Non-revised  (54,429) 
      UK Retail Price   
      Index   
GBP  2,134,000  9/20/17  2.6625%  GBP Non-revised  10,676 
      UK Retail Price   
      Index   
GBP  1,067,000  9/21/17  2.66%  GBP Non-revised  5,105 
      UK Retail Price   
      Index   
GBP  1,067,000  4/3/17  (3.09%)  GBP Non-revised  (54,895) 
      UK Retail Price   
      Index   
GBP  1,067,000  4/3/22  (3.21%)  GBP Non-revised  (108,238) 
      UK Retail Price   
      Index   
JPMorgan Chase Bank NA      
shares  966,887  10/22/12  (3 month USD-  iShares MSCI  3,607,912 
    LIBOR-BBA plus  Emerging Markets   
    0.04%)  Index   
Total        $3,542,616 
   

 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12       
    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Barclay’s Bank, PLC          
DJ CDX NA IG Series             
18 Index  BBB+/P  $15,240  $3,745,000  6/20/17  100 bp  $32,900 
DJ CDX NA IG Series             
18 Index  BBB+/P  (1,017)  465,000  6/20/17  100 bp  1,175 
Citibank, N.A.             
DJ CDX NA IG Series             
18 Index  BBB+/P  10,302  985,000  6/20/17  100 bp  14,947 
Credit Suisse International           
Bonos Y Oblig Del             
Estado, 5 1/2%,             
7/30/17  —  (10,504)  1,180,000  12/20/19  (100 bp)  188,831 
DJ CDX NA HY Series             
18 Index  B+/P  1,054,200  29,818,800  6/20/17  500 bp  1,258,094 

 

Dynamic Asset Allocation Growth Fund    95 

 


CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12 cont.       
 
    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Credit Suisse International cont.           
DJ CDX NA IG Series             
18 Index  BBB+/P  $45,868  $5,375,000  6/20/17  100 bp  $71,214 
DJ CDX NA IG Series             
18 Index  BBB+/P  618  590,000  6/20/17  100 bp  3,401 
Deutsche Bank AG             
DJ CDX NA HY Series             
18 Index  B+/P  1,126,361  42,479,910  6/20/17  500 bp  1,416,830 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B1  —  EUR 435,000  9/20/13  715 bp  38,353 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR 605,000  9/20/13  477 bp  33,826 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR 605,000  9/20/13  535 bp  38,404 
Goldman Sachs International           
CSC Holdings, Inc.,             
7 5/8%, 7/15/18  Ba3  —  $340,000  9/20/13  495 bp  14,624 
JPMorgan Chase Bank NA          
DJ CDX NA HY Series             
18 Index  B+/P  162,908  6,143,940  6/20/17  500 bp  204,919 
Total            $3,317,518 

* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2012. Securities rated by Putnam are indicated by “/P.”

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:

96    Dynamic Asset Allocation Growth Fund 

 


    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $33,545,880  $22,248,640  $— 
Capital goods  34,167,194  14,094,899  — 
Communication services  33,498,407  11,116,135  — 
Conglomerates  17,725,699  2,467,256  — 
Consumer cyclicals  76,609,108  25,258,833  6 
Consumer staples  59,669,625  20,678,950  4,643 
Energy  65,267,651  18,658,624  — 
Financials  103,229,697  50,622,846  — 
Health care  74,318,170  18,828,044  — 
Technology  144,416,510  16,656,226  — 
Transportation  5,724,444  5,314,122  — 
Utilities and power  17,303,249  7,544,634  — 
Total common stocks  665,475,634  213,489,209  4,649 
Asset-backed securities  —  1,737  — 
Commodity linked notes  —  13,158,476  — 
Convertible bonds and notes  —  843,644  — 
Convertible preferred stocks  145,860  490,980  — 
Corporate bonds and notes  —  196,748,818  — 
Foreign government and agency bonds and notes  —  11,175,549  — 
Investment companies  11,769,729  242,135  — 
Mortgage-backed securities  —  41,600,369  — 
Municipal bonds and notes  —  208,318  — 
Preferred stocks  112,255  1,291,833  — 
Purchased options outstanding  —  9,327,410  — 
Senior loans  —  5,454,328  — 
U.S. government and agency mortgage obligations  —  66,581,088  — 
Warrants  2,092  1,815  9,835 
Short-term investments  335,063,936  90,468,843  — 
Totals by level  $1,012,569,506  $651,084,552  $14,484 
       
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—  $(128,448)  $— 
Futures contracts  (567,914)  —  — 
Written options  —  (10,265,879)  — 
TBA sale commitments  —  (1,055,547)  — 
Interest rate swap contracts  —  (301,132)  — 
Total return swap contracts  —  3,542,616  — 
Credit default contracts  —  913,542  — 
Totals by level  $(567,914)  $(7,294,848)  $— 

At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Growth Fund    97 

 


Statement of assets and liabilities 9/30/12

ASSETS   
Investment in securities, at value, including $2,039,175 of securities on loan (Note 1):   
Unaffiliated issuers (identified cost $1,213,096,114)  $1,335,940,878 
Affiliated issuers (identified cost $327,727,664) (Notes 1 and 6)  327,727,664 
Cash  509,454 
Foreign currency (cost $3,072,383) (Note 1)  2,863,660 
Dividends, interest and other receivables  6,064,456 
Receivable for shares of the fund sold  1,606,736 
Receivable for investments sold  15,276,251 
Receivable for sales of delayed delivery securities (Note 1)  1,041,927 
Unrealized appreciation on swap contracts (Note 1)  10,678,143 
Unrealized appreciation on forward currency contracts (Note 1)  2,424,332 
Premium paid on swap contracts (Note 1)  1,386,317 
Total assets  1,705,519,818 
 
LIABILITIES   
Payable for variation margin (Note 1)  478,837 
Payable for investments purchased  16,015,039 
Payable for purchases of delayed delivery securities (Note 1)  65,491,260 
Payable for shares of the fund repurchased  9,979,391 
Payable for compensation of Manager (Note 2)  788,884 
Payable for investor servicing fees (Note 2)  434,223 
Payable for custodian fees (Note 2)  119,967 
Payable for Trustee compensation and expenses (Note 2)  301,510 
Payable for administrative services (Note 2)  6,875 
Payable for distribution fees (Note 2)  932,433 
Unrealized depreciation on forward currency contracts (Note 1)  2,552,780 
Written options outstanding, at value (premiums $10,663,051) (Notes 1 and 3)  10,265,879 
Premium received on swap contracts (Note 1)  3,500,425 
Unrealized depreciation on swap contracts (Note 1)  4,409,009 
TBA sale commitments, at value (proceeds receivable $1,041,094) (Note 1)  1,055,547 
Collateral on securities loaned, at value (Note 1)  2,166,004 
Collateral on certain derivative contracts, at value (Note 1)  9,502,276 
Other accrued expenses  411,215 
Total liabilities  128,411,554 
 
Net assets  $1,577,108,264 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $1,635,752,226 
Distributions in excess of net investment income (Note 1)  (2,465,423) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (184,691,355) 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  128,512,816 
Total — Representing net assets applicable to capital shares outstanding  $1,577,108,264 

(Continued on next page)

98    Dynamic Asset Allocation Growth Fund 

 


Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($1,111,788,930 divided by 82,536,535 shares)  $13.47 
Offering price per class A share (100/94.25 of $13.47)*  $14.29 
Net asset value and offering price per class B share ($126,619,519 divided by 9,602,526 shares)**  $13.19 
Net asset value and offering price per class C share ($127,911,773 divided by 9,908,306 shares)**  $12.91 
Net asset value and redemption price per class M share ($25,302,877 divided by 1,915,744 shares)  $13.21 
Offering price per class M share (100/96.50 of $13.21)*  $13.69 
Net asset value, offering price and redemption price per class R share   
($15,264,893 divided by 1,152,605 shares)  $13.24 
Net asset value, offering price and redemption price per class R5 share   
($10,627 divided by 782 shares)†  $13.58 
Net asset value, offering price and redemption price per class R6 share   
($10,627 divided by 782 shares)†  $13.58 
Net asset value, offering price and redemption price per class Y share   
($170,199,018 divided by 12,531,300 shares)  $13.58 

* 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.

† Net asset value may not recalculate due to rounding of fractional shares.

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Growth Fund    99 

 


Statement of operations Year ended 9/30/12

INVESTMENT INCOME   
Dividends (net of foreign tax of $712,152)  $20,865,642 
Interest (including interest income of $299,511 from investments in affiliated issuers) (Note 6)  19,931,150 
Securities lending (Note 1)  122,500 
Total investment income  40,919,292 
 
EXPENSES   
Compensation of Manager (Note 2)  9,409,513 
Investor servicing fees (Note 2)  2,889,589 
Custodian fees (Note 2)  321,957 
Trustee compensation and expenses (Note 2)  131,751 
Administrative services (Note 2)  47,207 
Distribution fees (Note 2)  5,589,170 
Other  813,978 
Total expenses  19,203,165 
Expense reduction (Note 2)  (103,809) 
Net expenses  19,099,356 
 
Net investment income  21,819,936 
 
Net realized gain on investments (net of foreign tax of $5,864) (Notes 1 and 3)  64,417,485 
Net realized loss on swap contracts (Note 1)  (5,338,097) 
Net realized gain on futures contracts (Note 1)  60,082,577 
Net realized loss on foreign currency transactions (Note 1)  (1,507,144) 
Net realized loss on written options (Notes 1 and 3)  (5,153,593) 
Net unrealized depreciation of assets and liabilities in foreign currencies during the year  (2,729,661) 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options,   
and TBA sale commitments during the year  212,832,331 
Net gain on investments  322,603,898 
 
Net increase in net assets resulting from operations  $344,423,834 

The accompanying notes are an integral part of these financial statements.

100    Dynamic Asset Allocation Growth Fund 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Year ended 9/30/12  Year ended 9/30/11 
Operations:     
Net investment income  $21,819,936  $24,735,289 
Net realized gain on investments     
and foreign currency transactions  112,501,228  95,820,531 
Net unrealized appreciation (depreciation) of investments     
and assets and liabilities in foreign currencies  210,102,670  (177,181,369) 
Net increase (decrease) in net assets resulting     
from operations  344,423,834  (56,625,549) 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (3,359,117)  (43,801,232) 
Class B  —  (5,116,040) 
Class C  —  (4,215,119) 
Class M  —  (975,553) 
Class R  (9,736)  (512,268) 
Class R5  —  — 
Class R6  —  — 
Class Y  (912,638)  (6,748,213) 
Increase in capital from settlement payments (Note 9)  —  71,106 
Decrease from capital share transactions (Note 4)  (197,596,035)  (125,435,755) 
Total increase (decrease) in net assets  142,546,308  (243,358,623) 
 
NET ASSETS     
Beginning of year  1,434,561,956  1,677,920,579 
End of year (including distributions in excess of net investment     
income $2,465,423 and $8,012,466, respectively)  $1,577,108,264  $1,434,561,956 

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Growth Fund    101 

 


Financial highlights (For a common share outstanding throughout the period)

INVESTMENT OPERATIONS:        LESS DISTRIBUTIONS:            RATIOS AND SUPPLEMENTAL DATA:   
                            Ratio   
  Net asset    Net realized                    Ratio  of net investment   
  value,    and unrealized  Total from  From  From          Total return  Net assets,  of expenses  income (loss)   
  beginning  Net investment  gain (loss)  investment  net investment   net realized gain  Total  Redemption  Non-recurring  Net asset value,  at net asset  end of period  to average  to average  Portfolio 
Period ended  of period  income (loss) a  on investments  operations  income  on investments  distributions  fees  reimbursements  end of period  value (%) b  (in thousands)  net assets (%) c  net assets (%)  turnover (%) d 
Class A                               
September 30, 2012  $10.79  .19  2.53  2.72  (.04)  —  (.04)  —  —  $13.47  25.24  $1,111,789  1.13  1.51  120 
September 30, 2011  11.72  .19  (.67)  (.48)  (.45)  —  (.45)  —  — e,f  10.79  (4.52)  1,004,060  1.14  1.53  98 
September 30, 2010  11.03  .20  .98  1.18  (.49)  —  (.49)  — e  — e,g  11.72  10.98  1,160,684  1.20  1.79  116 
September 30, 2009  11.30  .19  (.07)  .12  (.39)  —  (.39)  — e  — e,h  11.03  2.31  1,127,303  1.22 i,j  2.09 i  130 
September 30, 2008  15.14  .28  (3.82)  (3.54)  (.16)  (.14)  (.30)  — e  —  11.30  (23.82)  1,338,008  1.13 i  2.08 i  113 
Class B                               
September 30, 2012  $10.60  .09  2.50  2.59  —  —  —  —  —  $13.19  24.43  $126,620  1.88  .76  120 
September 30, 2011  11.52  .09  (.66)  (.57)  (.35)  —  (.35)  —  — e,f  10.60  (5.27)  130,730  1.89  .77  98 
September 30, 2010  10.85  .11  .97  1.08  (.41)  —  (.41)  — e  — e,g  11.52  10.18  175,341  1.95  1.03  116 
September 30, 2009  11.05  .12  (.04)  .08  (.28)  —  (.28)  — e  — e,h  10.85  1.64  201,795  1.97 i,j  1.34 i  130 
September 30, 2008  14.80  .17  (3.74)  (3.57)  (.04)  (.14)  (.18)  — e  —  11.05  (24.38)  269,312  1.88 i  1.30 i  113 
Class C                               
September 30, 2012  $10.38  .09  2.44  2.53  —  —  —  —  —  $12.91  24.37  $127,912  1.88  .77  120 
September 30, 2011  11.29  .09  (.64)  (.55)  (.36)  —  (.36)  —  — e,f  10.38  (5.22)  115,474  1.89  .78  98 
September 30, 2010  10.66  .11  .93  1.04  (.41)  —  (.41)  — e  — e,g  11.29  10.05  134,498  1.95  1.04  116 
September 30, 2009  10.87  .12  (.04)  .08  (.29)  —  (.29)  — e  — e,h  10.66  1.63  134,572  1.97 i,j  1.34 i  130 
September 30, 2008  14.58  .17  (3.68)  (3.51)  (.06)  (.14)  (.20)  — e  —  10.87  (24.37)  167,237  1.88 i  1.31 i  113 
Class M                               
September 30, 2012  $10.59  .12  2.50  2.62  —  —  —  —  —  $13.21  24.74  $25,303  1.63  1.01  120 
September 30, 2011  11.52  .13  (.67)  (.54)  (.39)  —  (.39)  —  — e,f  10.59  (5.07)  23,402  1.64  1.03  98 
September 30, 2010  10.86  .14  .96  1.10  (.44)  —  (.44)  — e  — e,g  11.52  10.41  29,272  1.70  1.28  116 
September 30, 2009  11.09  .14  (.05)  .09  (.32)  —  (.32)  — e  — e,h  10.86  1.84  29,912  1.72 i,j  1.58 i  130 
September 30, 2008  14.86  .21  (3.75)  (3.54)  (.09)  (.14)  (.23)  — e  —  11.09  (24.15)  37,313  1.63 i  1.57 i  113 
Class R                               
September 30, 2012  $10.60  .15  2.50  2.65  (.01)  —  (.01)  —  —  $13.24  25.00  $15,265  1.38  1.26  120 
September 30, 2011  11.53  .16  (.66)  (.50)  (.43)  —  (.43)  —  — e,f  10.60  (4.79)  13,215  1.39  1.29  98 
September 30, 2010  10.88  .17  .95  1.12  (.47)  —  (.47)  — e  — e,g  11.53  10.60  13,669  1.45  1.54  116 
September 30, 2009  11.16  .17  (.08)  .09  (.37)  —  (.37)  — e  — e,h  10.88  1.97  10,844  1.47 i,j  1.85 i  130 
September 30, 2008  14.96  .25  (3.80)  (3.55)  (.11)  (.14)  (.25)  — e  —  11.16  (24.08)  8,950  1.38 i  1.88 i  113 
Class R5                               
September 30, 2012†  $12.78  .06  .74  .80  —  —  —  —  —  $13.58  6.26*  $11  .21*  .43*  120 
Class R6                               
September 30, 2012†  $12.78  .06  .74  .80  —  —  —  —  —  $13.58  6.26*  $11  .18*  .45*  120 
Class Y                               
September 30, 2012  $10.88  .22  2.55  2.77  (.07)  —  (.07)  —  —  $13.58  25.58  $170,199  .88  1.76  120 
September 30, 2011  11.82  .22  (.68)  (.46)  (.48)  —  (.48)  —  — e,f  10.88  (4.33)  147,682  .89  1.79  98 
September 30, 2010  11.12  .23  .98  1.21  (.51)  —  (.51)  — e  — e,g  11.82  11.24  164,457  .95  2.02  116 
September 30, 2009  11.42  .22  (.09)  .13  (.43)  —  (.43)  — e  — e,h  11.12  2.43  240,911  .97 i,j  2.41 i  130 
September 30, 2008  15.28  .32  (3.85)  (3.53)  (.19)  (.14)  (.33)  — e  —  11.42  (23.55)  166,154  .88 i  2.30 i  113 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

102    Dynamic Asset Allocation Growth Fund  Dynamic Asset Allocation Growth Fund    103 

 


Financial highlights (Continued)

* Not annualized.

† For the period July 3, 2012 (commencement of operations) to September 30, 2012.

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 brokerage/service arrangements (Note 2).

d Portfolio turnover excludes TBA roll transactions.

e Amount represents less than $0.01 per share.

f Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (the SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011 (Note 9).

g Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Prudential Securities, Inc., which amounted to less than $0.01 per share outstanding as of March 30, 2010.

h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Millennium Partners, L.P., Millennium Management, L.L.C., and Millennium International Management, L.L.C., which amounted to less than $0.01 per share outstanding as of June 23, 2009.

i Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to September 30, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:

  Percentage of 
  average net assets 
September 30, 2009  0.07% 
September 30, 2008  0.02 

j Includes interest accrued in connection with certain terminated derivative contracts, which amounted to less than 0.01% of average net assets as of September 30, 2009.

The accompanying notes are an integral part of these financial statements.

104    Dynamic Asset Allocation Growth Fund 

 


Notes to financial statements 9/30/12

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 and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Unless otherwise noted, the “reporting period” represents the period from October 1, 2011 through September 30, 2012.

Putnam Dynamic Asset Allocation Growth Fund (the fund) (which changed its name from Putnam Asset Allocation: Growth Portfolio on November 30, 2011) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The fund is one of three Putnam Dynamic Asset Allocation Funds, each of which has a unique strategic, or typical, allocation between equity and fixed-income investments. Using qualitative analysis and quantitative techniques, Putnam management adjusts portfolio allocations from time to time within a certain range for each fund to try to optimize a fund’s performance consistent with its goal. The investment objective of the fund is to seek capital appreciation. The fund invests mainly in equity securities (growth or value stocks or both) of U.S. and foreign companies of any size. 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. The fund also invests, to a lesser extent, in fixed-income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments).

The fund offers class A, class B, class C, class M, class R, class R5, class R6 and class Y shares. The fund began offering class R5 and class R6 shares on July 2, 2012. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay 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 have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R5, 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.

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 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

Dynamic Asset Allocation Growth Fund    105 

 


securities. If no sales are reported, as in the case of some securities traded over-the-counter, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.

Market quotations are not considered to be readily available for certain debt obligations 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 considers 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 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

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, 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 market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

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

106    Dynamic Asset Allocation Growth Fund 

 


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 market 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 market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

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 the return on a security owned and to enhance the return on securities owned.

The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Certain options contracts include premiums that do not settle until the expiration date of the contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. See Note 3 for the volume of written options contracts activity for the reporting period. The fund had an average contract amount of approximately $284,700,000 on purchased options contracts for the reporting period.

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. Outstanding contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the period.

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 on currency.

Dynamic Asset Allocation Growth Fund    107 

 


The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market 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. The fund had an average contract amount of approximately $741,600,000 on forward currency contracts for the reporting period.

Total return swap contracts The fund entered into 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 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. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $217,000,000 on total return swap contracts for the reporting period.

Interest rate swap contracts The fund entered into 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 interest rate swap can be purchased or sold with an upfront premium. 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. Upfront payments are recorded as realized gains and losses at the closing of the contract. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $1,867,000,000 on interest rate swap contracts for the reporting period.

Credit default contracts The fund entered into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.

In a credit default contract, the protection buyer typically makes an up front payment and 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. 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. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily

108    Dynamic Asset Allocation Growth Fund 

 


based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting 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 by having a master netting arrangement between the fund and the counterparty. 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 of the relevant credit default contract.

Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the period.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $2,935,269 at the close of the reporting period.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund had a net liability position of $1,137,267 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $7,725,394.

TBA purchase 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 has been established, the principal value has not been finalized. 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. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.

Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.

TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments

Dynamic Asset Allocation Growth Fund    109 

 


are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. 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 sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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 market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. 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 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 value of securities loaned amounted to $2,053,539. The fund received cash collateral of $2,166,004.

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.

Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% 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 ASC 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.

110    Dynamic Asset Allocation Growth Fund 

 


At September 30, 2012, the fund had a capital loss carryover of $179,274,065 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Loss carryover
Short-term  Long-term  Total  Expiration 
$66,936,358  N/A  $66,936,358  September 30, 2017 
112,337,707  N/A  112,337,707  September 30, 2018 

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences of losses on wash sale transactions, foreign currency gains and losses, unrealized and realized gains and losses on certain futures contracts, straddle loss deferrals, income on swap contracts, and interest only securities. 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. For the reporting period ended, the fund reclassified $11,991,402 to decrease undistributed net investment income, $92,730 to decrease paid-in-capital and $12,084,132 to decrease accumulated net realized losses.

The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:

Unrealized appreciation  $165,259,873 
Unrealized depreciation  (47,433,928) 
Net unrealized appreciation  117,825,945 
Undistributed ordinary income  4,784,159 
Capital loss carryforward  (179,274,065) 
Cost for federal income tax purposes  $1,545,842,597 

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

0.750%  of the first $5 billion, 
0.700%  of the next $5 billion, 
0.650%  of the next $10 billion, 
0.600%  of the next $10 billion, 
0.550%  of the next $50 billion, 
0.530%  of the next $50 billion, 
0.520%  of the next $100 billion and 
0.515%  of any excess thereafter. 

Putnam Management has contractually agreed, through June 30, 2013, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments

Dynamic Asset Allocation Growth Fund    111 

 


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. Putnam Management pays 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. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. Prior to March 1, 2012, investor servicing fees could not exceed an annual rate of 0.375% of the fund’s average net assets. During the reporting period, the class specific expenses related to investor servicing fees were as follows:

Class A  $2,033,276 
Class B  247,781 
Class C  233,194 
Class M  48,348 
Class R  27,321 
Class R5  4 
Class R6  1 
Class Y  299,664 
Total  $2,889,589 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $3,536 under the expense offset arrangements and by $100,273 under the brokerage/service arrangements.

Each independent Trustee of the fund receives an annual Trustee fee, of which $1,207, 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

112    Dynamic Asset Allocation Growth Fund 

 


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 its class A, class B, class C, class M and class R shares 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 for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class A  $2,735,056 
Class B  1,330,100 
Class C  1,255,224 
Class M  195,104 
Class R  73,686 
Class R5  — 
Class R6  — 
Total  $5,589,170 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $194,439 and $2,085 from the sale of class A and class M shares, respectively, and received $98,670 and $5,491 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $304 and no monies on class A and class M redemptions, respectively.

Note 3: Purchases and sales of securities

During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $1,376,417,939 and $1,502,409,341, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.

Written option transactions during the reporting period are summarized as follows:

    Written swap  Written  Written equity  Written 
    option contract  swap option  option contract  equity option 
    amounts  premiums  amounts  premiums 
Written options outstanding           
at the beginning of the  USD  297,394,344  $13,992,202  —  $— 
reporting period  CHF  13,400,000  $17,989  —  — 
Options opened  USD  256,023,375  14,886,603  20,867  15,024 
  CHF  —  —  —  — 
Options exercised  USD  (92,001,213)  (1,965,203)  —  — 
  CHF  —  —  —  — 
Options expired  USD  —  —  —  — 
  CHF  —  —  —  — 
Options closed  USD  (336,771,731)  (16,265,575)  —  — 
  CHF  (13,400,000)  (17,989)  —  — 
Written options outstanding           
at the end of the           
reporting period  USD  124,644,775  $10,648,027  20,867  $15,024 

 

Dynamic Asset Allocation Growth Fund    113 

 


Note 4: Capital shares

At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:

  Year ended 9/30/12  Year ended 9/30/11 
Class A  Shares  Amount  Shares  Amount 
Shares sold  6,906,238  $86,365,519  10,369,246  $129,070,996 
Shares issued in connection with         
reinvestment of distributions  279,952  3,205,456  3,413,788  41,375,107 
  7,186,190  89,570,975  13,783,034  170,446,103 
Shares repurchased  (17,742,423)  (221,330,460)  (19,762,973)  (246,131,232) 
Net decrease  (10,556,233)  $(131,759,485)  (5,979,939)  $(75,685,129) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class B  Shares  Amount  Shares  Amount 
Shares sold  687,279  $8,383,690  1,091,020  $13,377,521 
Shares issued in connection with         
reinvestment of distributions  —  —  400,244  4,794,919 
  687,279  8,383,690  1,491,264  18,172,440 
Shares repurchased  (3,412,704)  (41,841,800)  (4,389,684)  (53,907,484) 
Net decrease  (2,725,425)  $(33,458,110)  (2,898,420)  $(35,735,044) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class C  Shares  Amount  Shares  Amount 
Shares sold  857,477  $10,323,810  1,525,962  $18,353,737 
Shares issued in connection with         
reinvestment of distributions  —  —  311,665  3,655,835 
  857,477  10,323,810  1,837,627  22,009,572 
Shares repurchased  (2,071,945)  (24,733,246)  (2,623,691)  (31,460,687) 
Net decrease  (1,214,468)  $(14,409,436)  (786,064)  $(9,451,115) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class M  Shares  Amount  Shares  Amount 
Shares sold  229,200  $2,742,457  196,901  $2,412,124 
Shares issued in connection with         
reinvestment of distributions  —  —  79,829  953,962 
  229,200  2,742,457  276,730  3,366,086 
Shares repurchased  (522,412)  (6,451,903)  (609,890)  (7,509,687) 
Net decrease  (293,212)  $(3,709,446)  (333,160)  $(4,143,601) 

 

114    Dynamic Asset Allocation Growth Fund 

 


  Year ended 9/30/12  Year ended 9/30/11 
Class R  Shares  Amount  Shares  Amount 
Shares sold  338,649  $4,157,762  314,223  $3,829,557 
Shares issued in connection with         
reinvestment of distributions  859  9,692  42,757  510,517 
  339,508  4,167,454  356,980  4,340,074 
Shares repurchased  (433,052)  (5,323,292)  (296,052)  (3,653,772) 
Net increase (decrease)  (93,544)  $(1,155,838)  60,928  $686,302 

 

  For the period 7/3/12
   (commencement of operations) to 9/30/12
Class R5  Shares  Amount 
Shares sold  782  $10,000 
Shares issued in connection with     
reinvestment of distributions  —  — 
  782  10,000 
Shares repurchased  —  — 
Net increase  782  $10,000 

 

  For the period 7/3/12 
  (commencement of operations) to 9/30/12 
Class R6  Shares  Amount 
Shares sold  782  $10,000 
Shares issued in connection with     
reinvestment of distributions  —  — 
  782  10,000 
Shares repurchased  —  — 
Net increase  782  $10,000 

 

  Year ended 9/30/12  Year ended 9/30/11 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  3,151,673  $39,565,532  5,289,430  $66,460,901 
Shares issued in connection with         
reinvestment of distributions  78,133  900,090  545,903  6,660,012 
  3,229,806  40,465,622  5,835,333  73,120,913 
Shares repurchased  (4,272,458)  (53,589,342)  (6,178,232)  (74,228,081) 
Net decrease  (1,042,652)  $(13,123,720)  (342,899)  $(1,107,168) 

At the close of the reporting period, Putnam Investments, LLC owned the following class shares of the fund:

  Shares owned  Percentage of ownership  Value 
Class R5  782  100.00%  $10,627 
Class R6  782  100.00  10,627 

 

Dynamic Asset Allocation Growth Fund    115 

 


Note 5: Summary of derivative activity

The following is a summary of the market values of derivative instruments as of the close of the reporting period:

Market values 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  Market value  liabilities location  Market value 
Credit contracts  Receivables  $913,542  Payables  $— 
Foreign exchange         
contracts  Receivables  2,424,332  Payables  2,552,780 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  7,415,704*  Unrealized depreciation  3,819,168* 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  11,218,818*  Unrealized depreciation  13,066,511* 
Total    $21,972,396    $19,438,459 

* Includes cumulative appreciation/depreciation of futures contracts as reported in The fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $8,068,662  $8,068,662 
Foreign exchange           
contracts  —  —  (1,709,651)  —  $(1,709,651) 
Equity contracts  —  56,280,896  —  (9,813,044)  $46,467,852 
Interest rate contracts  (8,455,234)  3,801,681  —  (3,593,715)  $(8,247,268) 
Total  $(8,455,234)  $60,082,577  $(1,709,651)  $(5,338,097)  $44,579,595 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

Derivatives not             
accounted for as        Forward     
hedging instruments        currency     
under ASC 815  Options  Warrants*  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $5,973,007  $5,973,007 
Foreign exchange             
contracts  —  —  —  (2,455,684)  —  $(2,455,684) 
Equity contracts  1,290  1,227  17,226,936  —  13,544,412  $30,773,865 
Interest rate contracts  2,234,650  —  (1,981,131)  —  8,904,434  $9,157,953 
Total  $2,235,940  $1,227  $15,245,805  $(2,455,684)   $28,421,853  $43,449,141 

* For the reporting period, the transaction volume for warrants was minimal.

116    Dynamic Asset Allocation Growth Fund 

 


Note 6: Transactions with affiliated issuers

Transactions during the reporting period with Putnam Money Market Liquidity Fund, which is under common ownership or control, were as follows:

  Market         
  value at the        Market 
  beginning        value at the 
  of the        end of the 
  reporting  Purchase  Sale  Investment  reporting 
Name of affiliate  period  cost  proceeds  income  period 
Putnam Money           
Market Liquidity           
Fund*  $232,267,965  $571,200,199  $477,906,504  $299,511  $325,561,660 

* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Note 9: Regulatory matters and litigation

In late 2003 and 2004, Putnam Management settled charges brought by the SEC and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. In July 2011, the fund recorded a receivable of $69,500 related to restitution amounts in connection with a distribution plan approved by the SEC. This amount, which was received by the fund in December 2011, is reported as part of Increase in capital from settlement payments on the Statement of changes in net assets. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. In May 2011, the fund received a payment of $1,606 related to settlement of those lawsuits. This amount is reported as a part of Increase in capital from settlement payments on the Statement of changes in net assets. Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.

Note 10: New accounting pronouncements

In May 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2011–04 “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS”. ASU 2011–04 amends FASB Topic 820 “Fair Value Measurement” and seeks to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. ASU 2011–04 is effective for fiscal years and interim periods beginning after December 15, 2011. The application of ASU 2011–04 did not have a material impact on the fund’s financial statements.

Dynamic Asset Allocation Growth Fund     117 

 


In December 2011, the FASB issued ASU No. 2011–11 “Disclosures about Offsetting Assets and Liabilities”. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASU 2011–11 and its impact, if any, on the fund’s financial statements.

118    Dynamic Asset Allocation Growth Fund 

 


Federal tax information (Unaudited)

The fund designated 100.00% of ordinary income distributions as qualifying for the dividends received deduction for corporations.

For the reporting period ended, the fund hereby designates 100.00%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.

For the reporting period ended, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $4,281,490 of distributions paid as qualifying to be taxed as interest-related dividends, and no monies to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The Form 1099 that will be mailed to you in January 2013 will show the tax status of all distributions paid to your account in calendar 2012.

Dynamic Asset Allocation Growth Fund    119 

 


About the Trustees

Independent Trustees


120    Dynamic Asset Allocation Growth Fund 

 



* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and Putnam Retail Management. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.

The address of each Trustee is One Post Office Square, Boston, MA 02109.

As of September 30, 2012, there were 109 Putnam funds. All Trustees serve as Trustees of all Putnam funds.

Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

Dynamic Asset Allocation Growth Fund    121 

 


Officers

In addition to Robert L. Reynolds, the other officers of the fund are shown below:

Jonathan S. Horwitz (Born 1955)  Janet C. Smith (Born 1965) 
Executive Vice President, Principal Executive  Vice President, Principal Accounting Officer, 
Officer, and Compliance Liaison  and Assistant Treasurer 
Since 2004  Since 2007 
  Director of Fund Administration Services, 
Steven D. Krichmar (Born 1958)  Putnam Investments and Putnam Management 
Vice President and Principal Financial Officer   
Since 2002  Susan G. Malloy (Born 1957) 
Chief of Operations, Putnam Investments and  Vice President and Assistant Treasurer 
Putnam Management  Since 2007 
  Director of Accounting & Control Services, 
Robert T. Burns (Born 1961)  Putnam Management 
Vice President and Chief Legal Officer   
Since 2011  James P. Pappas (Born 1953) 
General Counsel, Putnam Investments and  Vice President 
Putnam Management  Since 2004 
  Director of Trustee Relations, 
Robert R. Leveille (Born 1969)  Putnam Investments and Putnam Management 
Vice President and Chief Compliance Officer   
Since 2007  Mark C. Trenchard (Born 1962) 
Chief Compliance Officer, Putnam Investments,  Vice President and BSA Compliance Officer 
Putnam Management, and Putnam Retail  Since 2002 
Management  Director of Operational Compliance, 
  Putnam Investments and Putnam 
Michael J. Higgins (Born 1976)  Retail Management 
Vice President and Treasurer   
Since 2010  Judith Cohen (Born 1945) 
Manager of Finance, Dunkin’ Brands (2008–  Vice President, Clerk, and Associate Treasurer 
2010); Senior Financial Analyst, Old Mutual Asset  Since 1993 
Management (2007–2008); Senior Financial   
Analyst, Putnam Investments (1999–2007)  Nancy E. Florek (Born 1957) 
Vice President, Proxy Manager, Assistant Clerk, 
  and Associate Treasurer 
  Since 2000 

The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.

122    Dynamic Asset Allocation Growth Fund 

 


The Putnam family of funds

The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.

Growth  Income 
Growth Opportunities Fund  American Government Income Fund 
International Growth Fund  Diversified Income Trust 
Multi-Cap Growth Fund  Floating Rate Income Fund 
Small Cap Growth Fund  Global Income Trust 
Voyager Fund  High Yield Advantage Fund 
  High Yield Trust 
Blend  Income Fund 
Asia Pacific Equity Fund  Money Market Fund* 
Capital Opportunities Fund  Short Duration Income Fund 
Capital Spectrum Fund  U.S. Government Income Trust 
Emerging Markets Equity Fund 
Equity Spectrum Fund  Tax-free income 
Europe Equity Fund  AMT-Free Municipal Fund 
Global Equity Fund  Tax Exempt Income Fund 
International Capital Opportunities Fund  Tax Exempt Money Market Fund* 
International Equity Fund  Tax-Free High Yield Fund 
Investors Fund   
Multi-Cap Core Fund  State tax-free income funds: 
Research Fund  Arizona, California, Massachusetts, Michigan, 
  Minnesota, New Jersey, New York, Ohio, 
Value  and Pennsylvania. 
Convertible Securities Fund   
Equity Income Fund  Absolute Return 
George Putnam Balanced Fund  Absolute Return 100 Fund 
The Putnam Fund for Growth and Income  Absolute Return 300 Fund 
International Value Fund  Absolute Return 500 Fund 
Multi-Cap Value Fund  Absolute Return 700 Fund 
Small Cap Value Fund   
   

 

* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.

Dynamic Asset Allocation Growth Fund    123 

 


Global Sector  Putnam RetirementReady Funds — portfolios 
Global Consumer Fund  with automatically adjusting allocations to 
Global Energy Fund  stocks, bonds, and money market instruments, 
Global Financials Fund  becoming more conservative over time. 
Global Health Care Fund   
Global Industrials Fund  RetirementReady 2055 Fund 
Global Natural Resources Fund  RetirementReady 2050 Fund 
Global Sector Fund  RetirementReady 2045 Fund 
Global Technology Fund  RetirementReady 2040 Fund 
Global Telecommunications Fund  RetirementReady 2035 Fund 
Global Utilities Fund  RetirementReady 2030 Fund 
  RetirementReady 2025 Fund 
Asset Allocation   RetirementReady 2020 Fund 
Putnam Global Asset Allocation Funds —  RetirementReady 2015 Fund 
portfolios with allocations to stocks, bonds,   
and money market instruments that are  Putnam Retirement Income Lifestyle 
adjusted dynamically within specified ranges  Funds — portfolios with managed 
as market conditions change.  allocations to stocks, bonds, and money 
  market investments to generate 
Dynamic Asset Allocation Balanced Fund   retirement income. 
Prior to November 30, 2011, this fund was known as   
Putnam Asset Allocation: Balanced Portfolio.  Retirement Income Fund Lifestyle 1  
Dynamic Asset Allocation  Retirement Income Fund Lifestyle 2 
Conservative Fund  Retirement Income Fund Lifestyle 3 
Prior to November 30, 2011, this fund was known as 
Putnam Asset Allocation: Conservative Portfolio.   
Dynamic Asset Allocation Growth Fund   
Prior to November 30, 2011, this fund was known as   
Putnam Asset Allocation: Growth Portfolio.   
Dynamic Risk Allocation Fund   
 

A short-term trading fee of 1% may apply to redemptions or exchanges from certain funds within the time period specified in the fund's prospectus.

Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.

124    Dynamic Asset Allocation Growth Fund 

 


Fund information

Founded 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Robert R. Leveille 
Putnam Investment  Jameson A. Baxter, Chair  Vice President and 
Management, LLC  Liaquat Ahamed  Chief Compliance Officer 
One Post Office Square  Ravi Akhoury   
Boston, MA 02109  Barbara M. Baumann  Michael J. Higgins 
  Charles B. Curtis  Vice President and Treasurer 
Investment Sub-Manager  Robert J. Darretta    
Putnam Investments Limited   Katinka Domotorffy  Janet C. Smith 
57–59 St James’s Street  John A. Hill  Vice President,  
London, England SW1A 1LD  Paul L. Joskow   Principal Accounting Officer, 
  Elizabeth T. Kennan  and Assistant Treasurer  
Investment Sub-Advisor  Kenneth R. Leibler    
The Putnam Advisory   Robert E. Patterson  Susan G. Malloy  
Company, LLC   George Putnam, III   Vice President and 
One Post Office Square  Robert L. Reynolds  Assistant Treasurer  
Boston, MA 02109  W. Thomas Stephens   
    James P. Pappas 
Marketing Services  Officers  Vice President 
Putnam Retail Management  Robert L. Reynolds   
One Post Office Square   President  Mark C. Trenchard 
Boston, MA 02109    Vice President and 
  Jonathan S. Horwitz  BSA Compliance Officer  
Custodian  Executive Vice President,   
State Street Bank  Principal Executive Officer, and  Judith Cohen 
and Trust Company   Compliance Liaison   Vice President, Clerk, and 
    Associate Treasurer  
Legal Counsel  Steven D. Krichmar   
Ropes & Gray LLP  Vice President and  Nancy E. Florek 
  Principal Financial Officer  Vice President, Proxy 
Independent Registered    Manager, Assistant Clerk, and  
Public Accounting Firm  Robert T. Burns  Associate Treasurer 
PricewaterhouseCoopers LLP   Vice President and 
Chief Legal Officer 
 
 
   
   

This report is for the information of shareholders of Putnam Dynamic Asset Allocation Growth Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.



Item 2. Code of Ethics:
(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.

(c) In May 2008, the Code of Ethics of Putnam Investment Management, LLC was updated in its entirety to include the amendments adopted in August 2007 as well as a several additional technical, administrative and non-substantive changes. In May of 2009, the Code of Ethics of Putnam Investment Management, LLC was amended to reflect that all employees will now be subject to a 90-day blackout restriction on holding Putnam open-end funds, except for portfolio managers and their supervisors (and each of their immediate family members), who will be subject to a one-year blackout restriction on the funds that they manage or supervise. In June 2010, the Code of Ethics of Putnam Investments was updated in its entirety to include the amendments adopted in May of 2009 and to change certain rules and limits contained in the Code of Ethics. In addition, the updated Code of Ethics included numerous technical, administrative and non-substantive changes, which were intended primarily to make the document easier to navigate and understand. In July 2011, the Code of Ethics of Putnam Investments was updated to reflect several technical, administrative and non-substantive changes resulting from changes in employee titles.

Item 3. Audit Committee Financial Expert:
The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services:
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor:


Fiscal year ended Audit Fees Audit-Related Fees Tax Fees All Other Fees
September 30, 2012 $229,014 $-- $33,559 $3,084
September 30, 2011 $232,703 $-- $24,007 $ —

For the fiscal years ended September 30 2012 and September 30, 2011, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $198,652 and $413,099 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.

Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.

Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.

All Other Fees represent fees billed for services relating to an analysis of fund profitability

Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.

The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.

The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.


Fiscal year ended Audit-Related Fees Tax Fees All Other Fees Total Non-Audit Fees
September 30, 2012 $ — $45,000 $ — $ —
September 30, 2011 $ — $112,505 $ — $ —

Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 12. Exhibits:
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

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

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Asset Allocation Funds
By (Signature and Title):
/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: November 28, 2012
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: November 28, 2012
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: November 28, 2012



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: (811-07121)
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2012
Date of reporting period: October 1, 2011 — September 30, 2012



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam Dynamic
Asset Allocation
Balanced Fund

Annual report
9 | 30 | 12

Message from the Trustees  1 
About the fund  2 
Performance snapshot  4 
Interview with your fund’s portfolio manager  5 
Your fund’s performance  11 
Your fund’s expenses  13 
Terms and definitions  15 
Other information for shareholders  16 
Trustee approval of management contract  17 
Financial statements  21 
Federal tax information  121 
About the Trustees  122 
Officers  124 

 

Consider these risks before investing: International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Investments in small and/or midsize companies increase the risk of greater price fluctuations. 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. Our allocation of assets among permitted asset categories may hurt performance. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk, which means the prices of the fund’s bond investments are likely to fall if interest rates rise. Bond investments also are subject to credit risk, which is the risk that the issuer of the bond may default on payment of interest or principal. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds, which may be considered speculative. Unlike bonds, funds that invest in bonds have ongoing fees and expenses. The prices of stocks and bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including both general financial market conditions and factors related to a specific issuer or industry. The use of derivatives may increase these risks by increasing investment exposure (which may be considered leverage) or, in the case of over-the-counter instruments, because of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

 


Message from the Trustees

Dear Fellow Shareholder:

Coordinated action by central banks on both sides of the Atlantic helped lift both equity and fixed-income markets this year. Global markets continue to show signs of vulnerability, however, with investors growing more concerned about economic slowdowns in the United States, Europe, and emerging markets, particularly China. The outcome of the U.S. presidential election and the impending “fiscal cliff” are additional sources of potential volatility.

Putnam’s veteran investment team relies on fundamental research and experienced judgment to seek opportunities and manage risk in this environment. In the same way, it is prudent for long-term investors to rely on the expertise of a trusted financial advisor, who can help you work toward your financial goals.

We would like to take this opportunity to announce the arrival of two new Trustees, Liaquat Ahamed and Katinka Domotorffy, CFA, to your fund’s Board of Trustees. Mr. Ahamed, who in 2010 won the Pulitzer Prize for History with his book, Lords of Finance: The Bankers Who Broke the World, also serves on the Board of Aspen Insurance and the Board of the Rohatyn Group, an emerging-market fund complex that manages money for institutional investors.

Ms. Domotorffy, who until year-end 2011 was a Partner, Chief Investment Officer, and Global Head of Quantitative Investment Strategies at Goldman Sachs Asset Management, currently serves as a member of the Anne Ray Charitable Trust’s Investment Committee, Margaret A. Cargill Philanthropies, and director for Reach Out and Read of Greater New York, an organization dedicated to promoting early childhood literacy.

We would also like to extend a welcome to new shareholders of the fund and to thank all of our investors for your continued confidence in 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 pages 5 and 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

* Putnam Balanced Blended Benchmark is administered by Putnam Management and comprises 50% Russell 3000 Index, 35% Barclays U.S. Aggregate Bond Index, 10% MSCI EAFE Index (ND), and 5% JPMorgan Developed High Yield Index.

† The fund’s secondary benchmark, the Putnam Balanced Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

4  Dynamic Asset Allocation Balanced Fund 

 


Interview with your fund’s portfolio manager


Jeff, after robust market gains in the first half of the fund’s fiscal year, the second half of the reporting period was much more subdued. What caused this transition?

It’s important to remember the backdrop. Three large macroeconomic risks loomed throughout the past year: Investors feared a double-dip recession in the United States, a credit-market crisis in Europe, and the possibility of a hard economic landing in China. These fears generally dominated markets at the outset of the year, and as data and investor sentiment changed in subsequent months, market performance seesawed.

A rally began in the final months of calendar year 2011 on signs of relatively strong growth in the U.S. economy, and action by the European Central Bank [ECB] in November 2011 to address its combined banking and sovereign debt crisis. The climate changed later, however, when investors recognized a real slowing in the pace of economic growth in the United States and the world. Real U.S. GDP grew at a 4.1% rate in the final three months of 2011, but only half that pace in the first three months of 2012. Market volatility jumped, and the prices of stocks and commodities retreated. This downward trend remained in place until the closing months of the fund’s fiscal year. Markets rose again in August and September after central banks acted to provide additional policy actions targeting stronger, more stable growth.


This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/12. See pages 4 and 11–13 for additional fund performance information. Index descriptions can be found on pages 15–16.

Dynamic Asset Allocation Balanced Fund  5 

 


Did you change the fund’s positions when market conditions deteriorated?

We employed the fund’s flexibility to adjust weightings to some degree, while still maintaining the standard, broad diversification that is an essential part of the fund’s philosophy. For example, as the fiscal year began in October 2011, the fund had an underweight position to international equities. The sovereign debt risk in the eurozone created the possibility that a bank could become insolvent and potentially lead to a widespread deleveraging crisis as in the Lehman Brothers’ collapse in 2008. In November, the ECB helped to reduce this risk by introducing the Long-Term Refinancing Operation to provide banks with short-term funding.

By January, we had changed our defensive posture to take on more risk, and this matched the sentiment of the period. The fund benefited from robust advances in the stock market, including Europe, and from the solid performance of high-yield securities. After big gains through March lifted market valuations, we moderated the stance again, particularly with regard to commodities. This move helped the fund avoid a major slide in commodities prices. A variety of factors can influence commodity performance, but softening demand in China played a role in the past year.

What were the strengths and weaknesses in fund performance for the year as a whole?

Putnam Dynamic Asset Allocation Balanced Fund’s robust performance can be attributed to several sources. U.S. high-yield securities contributed significantly. We favored this sector because we believed it offered an unusual combination of attractive yield spreads and solid corporate credit fundamentals. The corporate default rate has remained below its historical average in the past couple of years, and we think this may continue.

For the year as a whole, the high-yield sector significantly outperformed government bonds. We favored high-yield bonds over government bonds, which offered relatively little total return performance potential, we believed, relative to their vulnerability to


Allocations are represented as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any. Holdings and allocations may vary over time.

6  Dynamic Asset Allocation Balanced Fund 

 


rising interest rates. The fund had exposure to government bonds as well because they tend to be less volatile than risk assets and have the potential to help stabilize fund performance.


Our stock selection decisions within our equity weightings also helped performance. This was true across a variety of stocks, including large caps and small caps, and growth and value styles. Our results were somewhat stronger in the United States, while our international positions had more mixed results, given the ups and downs of these markets. For the year, U.S. stocks significantly outperformed international stocks, in both developed and developing markets. In addition to owning equity securities, we can use futures contracts to manage exposure to market risk or to equitize cash holdings. As the U.S. dollar generally appreciated against other major currencies during the period, the fund had a variety of hedging positions in an effort to reduce foreign exposure risk or to gain exposure to particular currencies.

One area of weakness involved our positioning in non-agency mortgage-backed securities, which experienced periods of poor performance when the fear of a deleveraging event in Europe was particularly high. This was the case early in the period and again during the downturn during the spring months. They have since rallied and, in our view, are poised to benefit as the Fed’s efforts to add liquidity to the mortgage-backed securities market have apparently increased the risk appetite of investors. To seek to manage risks in this and other fixed-income sectors, the fund can invest in interest-rate swaps with the goals of hedging interest-rate risk, gaining exposure to rates, or hedging prepayment risk. Futures contracts can also be used to hedge prepayment or interest-rate risks, or to gain exposure to interest rates.


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 9/30/12. Short-term holdings and derivatives are excluded. Holdings will vary over time.

Dynamic Asset Allocation Balanced Fund  7 

 


Could you discuss the recent interventions by central banks around the world?

The Fed is trying to boost employment, and the ECB appears committed to preserving the euro. In September, the Fed launched QE3 — a program that will increase mortgage bond purchases to $85 billion per month until economic data improve. Similarly, the ECB has deployed its balance sheet to make unlimited purchases of sovereign bonds, which will likely help protect the euro by lowering the borrowing costs of heavily indebted governments, particularly Spain and Italy.

What effects do you think these policies will have on financial markets, and can they help accelerate global economic growth?

In the Fed’s previous efforts with QE1, QE2, and Operation Twist, the benefits were temporary, they influenced markets more than the economy, and the influence of each successive intervention lasted for a shorter length of time.

However, the latest measure may defy this trend, because the ECB is acting at the same time. The ECB has substantial heft, governing monetary policy for a 17-nation, $12.6 trillion economy, which is nearly as large as the $15.6 trillion U.S. economy.

I would add that, while monetary policy intervention can affect market conditions, it cannot change the fact that governments around the world must still take measures to deleverage their balance sheets. Many governments absorbed a huge amount of bad debt created during the previous credit cycle in order to mitigate the economic impact of the financial crisis. They are now faced with reducing this debt burden. By its nature, deleveraging is a contractionary force. Monetary policy can delay, and to some extent help alleviate, the pain, but we believe it’s likely that economic growth will remain sluggish.

When you look across stocks, bonds, and commodities, which asset classes offer the most attractive return potential?

We are currently disposed toward increasing tactical equity risk. It appears that the recent


This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any. Holdings will vary over time.

8  Dynamic Asset Allocation Balanced Fund 

 


actions by the Fed and the ECB have made investors generally more inclined to favor risk assets.

A second reason we are inclined to favor equities is that we are pessimistic about government bonds. We have observed during the Fed’s previous quantitative easing programs that yields on interest-rate-sensitive bonds rose. We believe this might happen again, as suggested by periods of rising yields that we saw during the summer months as talk of QE3 increased.

Aside from their potential volatility, however, plain-vanilla government bonds are unattractive to us because we believe they offer relatively low return potential, in our view. Yields are low and at times have fallen to negative levels in inflation-adjusted terms. In relatively safe countries, including the United States and Germany, government bond yields today reflect a great deal of investor fear rather than a rational assessment of investment opportunities, we believe.

What risks are likely to influence financial markets?

The United States faces a fiscal contraction, or “cliff,” that would occur in 2013 if currently scheduled federal budget cuts and tax increases go into effect. While we expect that the government will act to alter the slated changes, even a mild fiscal contraction would hurt an economy that has struggled to maintain a 2% growth rate.

Also, we have concern about inflation risk as a consequence of expansive monetary policies in the United States and other regions of the world. If inflation were to rise, we would be inclined to shift from a neutral position to an overweight in commodities, an asset class that can serve as an inflation hedge.

Thank you, Jeff, for your time and insights today.

A word 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 forward currency 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 some types of derivatives, Putnam also seeks to mitigate the level of ongoing counterparty credit risk by entering into collateral agreements with counterparties that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.

Dynamic Asset Allocation Balanced Fund  9 

 


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.

Portfolio Manager Jeffrey L. Knight is Head of Global Asset Allocation at Putnam. He holds an M.B.A. from the Tuck School of Business at Dartmouth College and a B.A. from Colgate University. A CFA charterholder, he joined Putnam in 1993 and has been in the investment industry since 1987.

In addition to Jeff, your fund’s portfolio managers are James A. Fetch; Robert J. Kea, CFA; Joshua B. Kutin, CFA; Robert J. Schoen; and Jason R. Vaillancourt, CFA.

IN THE NEWS

Global economic growth is losing steam, according to the International Monetary Fund (IMF), with the majority of the world’s advanced economies expected to contract in 2012, or expand at anemic rates of less than 2%. Several issues are challenging economic growth, including Europe’s sovereign debt troubles, the impending “fiscal cliff” in the United States, and high unemployment in various economies. Unless leaders take meaningful steps to address these issues, the current global economic expansion may slow to the weakest level since 2009’s Great Recession. These issues are weighing increasingly on the global economy. In July, the IMF predicted that global growth would be 3.5% in 2012, rising to 3.9% in 2013, but now, in its recently released World Economic Outlook, the IMF has revised its growth forecasts downwards, to growth of just 3.3% this year, and 3.6% in 2013.

10  Dynamic Asset Allocation Balanced Fund 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2012, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, class R5, class R6, and class 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 9/30/12

  Class A  Class B  Class C  Class M  Class R  Class R5*  Class R6*  Class Y 
(inceptiondates)  (2/7/94)  (2/11/94)  (9/1/94)  (2/6/95)  (1/21/03)  (7/2/12)  (7/2/12)  (7/5/94) 
  Before  After          Before  After  Net  Net  Net  Net 
  sales  sales  Before  After  Before  After  sales  sales  asset  asset  asset  asset 
  charge  charge  CDSC  CDSC  CDSC  CDSC  charge  charge  value  value  value  value 
Annual average                         
(life of fund)  6.61%  6.28%  5.83%  5.83%  5.78%  5.78%  6.10%  5.89%  6.33%  7.31%  7.31%  6.87% 
10 years  96.63  85.41  82.73  82.73  82.19  82.19  87.15  80.66  90.99  101.47  101.52  101.49 
Annual average  7.00  6.37  6.21  6.21  6.18  6.18  6.47  6.09  6.68  7.26  7.26  7.26 
5 years  12.93  6.42  8.90  7.03  8.71  8.71  10.12  6.28  11.40  14.26  14.29  14.27 
Annual average  2.46  1.25  1.72  1.37  1.68  1.68  1.95  1.23  2.18  2.70  2.71  2.70 
3 years  35.08  27.30  32.01  29.01  31.98  31.98  33.00  28.29  33.97  36.03  36.06  36.04 
Annual average  10.54  8.38  9.70  8.86  9.69  9.69  9.97  8.66  10.24  10.80  10.81  10.80 
1 year  21.06  14.09  20.13  15.12  20.07  19.07  20.40  16.21  20.70  21.33  21.36  21.34 

 

* Performance for class R5 and R6 shares, which for periods prior to their inception is derived from the historical performance of class Y shares (as described below), is shown only since 7/5/94 (the inception date of class Y).

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Class R5 and class R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Performance for class R5 and class R6 shares prior to their inception is derived from the historical performance of class Y shares, beginning with inception of the Y share class and has not been adjusted for the lower investor servicing fees applicable to class R5 and class R6 shares; had it, returns would have been higher.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance does not reflect conversion to class A shares.

Dynamic Asset Allocation Balanced Fund  11 

 


Comparative index returns For periods ended 9/30/12

      Lipper Mixed-Asset 
      Target Allocation 
    Putnam Balanced  Moderate Funds 
  Russell 3000 Index  Blended Benchmark  category average* 
Annual average       
(life of fund)  8.26%  —†  6.74% 
10 years  125.85  112.44%  93.37 
Annual average  8.49  7.83  6.75 
5 years  6.69  17.94  11.49 
Annual average  1.30  3.35  2.16 
3 years  45.27  33.18  27.10 
Annual average  13.26  10.02  8.30 
1 year  30.20  19.07  16.77 

 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/12, there were 474, 426, 388, 204, and 36 funds, respectively, in this Lipper category.

† The fund’s secondary benchmark, the Putnam Balanced Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.


Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and class C shares would have been valued at $18,273 and $18,219, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $18,066. A $10,000 investment in the fund’s class R, R5, R6, and Y shares would have been valued at $19,099, $20,147, $20,152, and $20,149, respectively.

12  Dynamic Asset Allocation Balanced Fund 

 


Fund price and distribution information For the 12-month period ended 9/30/12

Distributions  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Number  4  4  4  4  4  1  1  4 
Income  $0.192  $0.106  $0.110  $0.137  $0.165  $0.054  $0.057  $0.220 
Capital gains  —  —  —  —  —  —  —  — 
Total  $0.192  $0.106  $0.110  $0.137  $0.165  $0.054  $0.057  $0.220 
  Before  After  Net  Net  Before  After  Net  Net  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value  value 
9/30/11  $9.99   $10.60  $9.95  $9.80  $9.98  $10.34  $9.93  —  —  $10.00 
7/2/12*  —  —  —  —  —   —  —  $11.34  $11.34  — 
9/30/12  11.89  12.62  11.84  11.65  11.87  12.30  11.81  11.90  11.90  11.90 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

* The inception date of the R5 and R6 shares.

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. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Total annual operating expenses for                 
the fiscal year ended 9/30/11  1.07%  1.82%  1.82%  1.57%  1.32%  0.76%*  0.66%*  0.82% 
Annualized expense ratio for the                 
six-month period ended 9/30/12†  1.05%  1.80%  1.80%  1.55%  1.30%  0.77%  0.67%  0.80% 

 

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 because it includes an impact of 0.01% in fees and expenses of acquired funds. Expenses are shown as a percentage of average net assets.

* Expenses for class R5 and R6 shares are based on the expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class R5 and R6 shares.

† For the fund’s most recent fiscal half year or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12; may differ from expense ratios based on one-year data in the financial highlights.

Dynamic Asset Allocation Balanced Fund  13 

 


Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in the fund from April 1, 2012, (or, in the case of class R5 and R6 shares, from July 3, 2012 (commencement of operations)), to September 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.34  $9.13  $9.13  $7.87  $6.60  $1.94‡  $1.69‡  $4.07 
Ending value (after expenses)  $1,033.50  $1,028.80  $1,028.50  $1,030.00  $1,031.60  $1,054.10  $1,054.40  $1,033.80 

 

* 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 9/30/12 (or, in the case of class R5 and R6 shares, the period from 7/3/12 (commencement of operations)) to 9/30/12. 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.

‡ Had expenses for class R5 and R6 shares been shown for the entire period from April 1, 2012 to September 30, 2012, they would have been higher.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended September 30, 2012, use the following calculation method. To find the value of your investment on April 1, 2012, call Putnam at 1-800-225-1581.


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.30  $9.07  $9.07  $7.82  $6.56  $3.89  $3.39  $4.04 
Ending value (after expenses)  $1,019.75  $1,016.00  $1,016.00  $1,017.25  $1,018.50  $1,021.15  $1,021.65  $1,021.00 

 

* 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 9/30/12 (for class R5 and R6 shares, the period from 7/3/12 (commencement of operations) to 9/30/12). The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

14  Dynamic Asset Allocation Balanced Fund 

 


Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.

Class R5 shares and class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to certain defined contribution plans with assets of at least $50 million.

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 yield is the annual rate of return earned from dividends or interest of an investment. Current yield 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-through” has its 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 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

Barclays U.S. Aggregate Bond Index is an  unmanaged index of U.S. investment-grade fixed-income securities.

Dynamic Asset Allocation Balanced Fund  15 

 


BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

Putnam Balanced Blended Benchmark is a benchmark administered by Putnam Management, comprising 50% the Russell 3000 Index, 35% the Barclays U.S. Aggregate Bond Index, 10% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies.

S&P 500 Index is an unmanaged index of common stock performance.

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.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

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, 2012, are available in the Individual Investors section at putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2012, Putnam employees had approximately $342,000,000 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.

16  Dynamic Asset Allocation Balanced Fund 

 


Trustee approval of management contract

General conclusions

The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”), the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”), and the sub-advisory contract among Putnam Management, PIL, and anotheraffiliate, The Putnam Advisory Company (“PAC”).

The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2012, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.

In May 2012, the Contract Committee met in executive session with the other Independent Trustees to discuss the Contract Committee’s preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 22, 2012 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management, sub-management and sub-advisory contracts, effective July 1, 2012. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not evaluated PIL or PAC as separate entities, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services, and

• That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

Dynamic Asset Allocation Balanced Fund  17 

 


These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. In reviewing management fees, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.

Most of the open-end Putnam funds, including your fund, have relatively new management contracts, which introduced fee schedules that reflect more competitive fee levels for many funds, complex-wide breakpoints for the open-end funds, and performance fees for some funds. These new management contracts have been in effect for two years — since January or, for a few funds, February 2010. The Trustees approved the new management contracts on July 10, 2009, and fund shareholders subsequently approved the contracts by overwhelming majorities of the shares voted.

Under its management contract, your fund has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Contract Committee observed that the complex-wide breakpoints of the open-end funds had only been in place for two years, and the Trustees will continue to examine the operation of this new breakpoint structure in future years in light of further experience.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet evolving competitive standards, the Trustees and Putnam Management agreed in 2009 to implement certain expense limitations. These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. The expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 37.5 basis points (effective March 1, 2012, this expense limitation was reduced to 32 basis points) on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). Putnam Management’s support for these expense limitations, including its agreement to reduce the expense limitation applicable to the open-end funds’ investor servicing fees and expenses as noted above, was an important factor in the Trustees’ decision approve the continuance of your fund’s management, sub-management and sub-advisory contracts.

The Trustees reviewed comparative fee and expense information for a custom group of

18  Dynamic Asset Allocation Balanced Fund 

 


competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the 1st quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 2nd quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2011 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2011 reflected the most recent fiscal year-end data available in Lipper’s database at that time.

In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the funds at that time.

The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does

Dynamic Asset Allocation Balanced Fund  19 

 


not guarantee favorable investment results for every fund in every time period.

The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund’s performance with various benchmarks and, where applicable, with the performance of competitive funds or targeted annualized return. They noted that since 2009, when Putnam Management began implementing major changes to strengthen its investment personnel and processes, there has been a steady improvement in the number of Putnam funds showing above-median three-year performance results. They also noted the disappointing investment performance of some funds for periods ended December 31, 2011 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.

In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper Mixed-Asset Target Allocation Moderate Funds) for the one-year, three-year and five-year periods ended December 31, 2011 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

One-year period  3rd 
Three-year period  1st 
Five-year period  3rd 

 

Over the one-year, three-year and five-year periods ended December 31, 2011, there were 483, 433 and 398 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft-dollar credits acquired through these means are used primarily to acquire research services that supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft-dollar credits continues to be allocated to the payment of fund expenses. The Trustees indicated their continued intent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the potential benefits associated with fund brokerage and soft-dollar allocations and trends in industry practices to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management, sub-management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services.

20  Dynamic Asset Allocation Balanced Fund 

 


Financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Dynamic Asset Allocation Balanced Fund  21 

 


Report of Independent Registered Public Accounting Firm

To the Trustees of Putnam Asset Allocation Funds and Shareholders
of Putnam Dynamic Asset Allocation Balanced Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Putnam Dynamic Asset Allocation Balanced Fund (the “fund”) (formerly known as the Putnam Asset Allocation Fund: Balanced Portfolio) at September 30, 2012, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments owned at September 30, 2012 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 14, 2012

22  Dynamic Asset Allocation Balanced Fund 

 


The fund’s portfolio 9/30/12

COMMON STOCKS (45.4%)*  Shares  Value 
 
Basic materials (2.6%)     
Agnico-Eagle Mines, Ltd. (Canada)  290  $15,050 
Agrium, Inc. (Canada)  715  73,974 
Air Liquide SA (France)  560  69,575 
Albemarle Corp.  14,165  746,212 
Allied Nevada Gold Corp. †  240  9,379 
Amcor, Ltd. (Australia)  5,890  47,430 
American Vanguard Corp.  3,765  131,022 
Andersons, Inc. (The)  376  14,160 
Archer Daniels-Midland Co.  1,971  53,572 
Arkema (France)  2,007  188,532 
Assa Abloy AB Class B (Sweden)  20,045  650,590 
Barrick Gold Corp. (Canada)  3,800  158,788 
BASF SE (Germany)  18,191  1,537,094 
Bemis Co., Inc.  18,981  597,337 
BHP Billiton PLC (United Kingdom)  13,765  429,866 
BHP Billiton, Ltd. (Australia)  23,611  809,001 
Black Earth Farming, Ltd. SDR (Jersey) †  3,511  6,548 
Buckeye Technologies, Inc.  6,418  205,761 
Cambrex Corp. †  20,892  245,063 
CF Industries Holdings, Inc.  9,132  2,029,496 
Chicago Bridge & Iron Co., NV (Netherlands)  19,117  728,167 
China Shanshui Cement Group, Ltd. (China)  123,000  79,855 
Cliffs Natural Resources, Inc.  6,440  251,997 
Cresud S.A.C.I.F. y A. ADR (Argentina)  1,430  11,683 
Cytec Industries, Inc.  8,717  571,138 
Domtar Corp. (Canada)  6,241  488,608 
Eagle Materials, Inc.  3,887  179,813 
Evraz PLC (United Kingdom)  142,461  569,546 
First Resources, Ltd. (Singapore)  48,000  82,587 
Fletcher Building, Ltd. (New Zealand)  2,790  16,124 
FMC Corp.  280  15,512 
Fortescue Metals Group, Ltd. (Australia) S  21,624  77,268 
Fortune Brands Home & Security, Inc. †  32,390  874,854 
Furmanite Corp. †  19,028  108,079 
Georgia Gulf Corp.  2,179  78,923 
Goldcorp, Inc. (Canada)  13,596  624,290 
Golden Agri-Resources, Ltd. (Singapore)  180,000  96,398 
GrainCorp, Ltd. (Australia)  4,151  38,559 
Holcim, Ltd. (Switzerland)  280  17,840 
Holmen AB Class B (Sweden)  340  9,295 
Incitec Pivot, Ltd. (Australia)  11,918  36,633 
Indocement Tunggal Prakarsa (Indonesia)  35,000  74,329 
Innophos Holdings, Inc.  6,311  306,020 
Innospec, Inc. †  7,087  240,391 
International Flavors & Fragrances, Inc.  170  10,132 

 

Dynamic Asset Allocation Balanced Fund  23 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Basic materials cont.     
Intrepid Potash, Inc. †  1,026  $22,038 
K&S AG (Germany)  2,306  113,629 
Kansai Paint Co., Ltd. (Japan)  1,000  11,088 
KapStone Paper and Packaging Corp. †  7,491  167,723 
Koninklijke DSM NV (Netherlands)  7,886  394,217 
Kraton Performance Polymers, Inc. †  3,212  83,833 
Kronos Worldwide, Inc.  10,342  154,509 
KWS Saat AG (Germany)  76  20,275 
L.B. Foster Co. Class A  2,524  81,626 
Landec Corp. †  11,514  131,835 
Lanxess AG (Germany)  3,520  292,220 
Linde AG (Germany)  3,135  540,443 
LSB Industries, Inc. †  18,931  830,503 
LyondellBasell Industries NV Class A (Netherlands)  43,069  2,224,945 
Minerals Technologies, Inc.  1,261  89,443 
Monsanto Co.  57,915  5,271,423 
Mosaic Co. (The)  763  43,956 
Newcrest Mining, Ltd. (Australia)  2,312  68,718 
Newmont Mining Corp.  520  29,136 
Nitto Denko Corp. (Japan)  18,500  881,062 
NN, Inc. †  16,437  139,550 
Nufarm, Ltd. (Australia)  5,942  37,276 
Oji Holdings Corp. (Japan)  2,000  6,102 
OM Group, Inc. †  5,464  101,303 
Orica, Ltd. (Australia)  470  12,130 
PolyOne Corp.  20,095  332,974 
Potash Corp. of Saskatchewan, Inc. (Canada)  2,120  92,050 
PPG Industries, Inc.  20,526  2,357,210 
PT Astra Agro Lestari Tbk (Indonesia)  10,000  22,852 
Randgold Resources, Ltd. (Jersey)  430  52,899 
Rio Tinto PLC (United Kingdom)  17,054  797,212 
Rio Tinto, Ltd. (Australia)  16,632  912,470 
Royal Gold, Inc.  130  12,984 
Sealed Air Corp.  21,632  334,431 
Sherwin-Williams Co. (The)  150  22,340 
Sigma-Aldrich Corp.  220  15,838 
Sika AG (Switzerland)  7  14,281 
SLC Agricola SA (Brazil)  1,580  16,952 
Sociedad Quimica y Minera de Chile SA ADR (Chile)  1,230  75,817 
Steel Dynamics, Inc.  37,144  417,127 
Stillwater Mining Co. †  11,248  132,614 
Svenska Cellulosa AB Class B (Sweden)  1,140  21,181 
Syngenta AG (Switzerland)  1,993  744,800 
Taiheiyo Cement Corp. (Japan)  3,000  6,461 
Teck Resources, Ltd. Class B (Canada)  4,000  118,035 
Toray Industries, Inc. (Japan)  3,000  17,767 

 

24  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Basic materials cont.     
Trex Co., Inc. †  5,704  $194,620 
Tronox, Ltd. Class A  9,741  220,634 
Valspar Corp.  15,563  873,089 
Vilmorin & Cie (France)  173  20,821 
Viterra, Inc. (Canada)  3,461  56,715 
voestalpine AG (Austria)  12,204  366,688 
W.R. Grace & Co. †  5,257  310,584 
Westlake Chemical Corp.  4,557  332,934 
Wilmar International, Ltd. (Singapore)  11,000  29,006 
Xstrata PLC (United Kingdom)  4,957  76,925 
Yamana Gold, Inc. (Canada)  1,040  19,888 
Yara International ASA (Norway)  1,151  57,808 
    34,433,481 
Capital goods (2.3%)     
ABB, Ltd. (Switzerland)  22,904  430,582 
AGCO Corp. †  1,729  82,093 
Aisin Seiki Co., Ltd. (Japan)  12,700  360,934 
Amada Co., Ltd. (Japan)  14,000  61,294 
American Axle & Manufacturing Holdings, Inc. †  8,571  96,595 
Applied Industrial Technologies, Inc.  6,800  281,724 
AZZ, Inc.  4,071  154,617 
Ball Corp.  330  13,969 
Canon, Inc. (Japan)  9,200  294,426 
Cascade Corp.  5,032  275,452 
Chart Industries, Inc. †  5,742  424,047 
Chase Corp.  6,620  121,609 
China Communications Construction Co., Ltd. (China)  247,000  198,814 
Chiyoda Corp. (Japan)  6,000  93,264 
CNH Global NV (Netherlands) †  1,314  50,944 
Cobham PLC (United Kingdom)  117,248  420,703 
Covanta Holding Corp.  490  8,418 
Cummins, Inc.  26,249  2,420,420 
Daelim Industrial Co., Ltd. (South Korea)  1,050  89,017 
Deere & Co.  1,040  85,790 
Dongfang Electric Corp., Ltd. (China)  62,000  84,076 
Dover Corp.  28,485  1,694,573 
DXP Enterprises, Inc. †  4,634  221,366 
Embraer SA ADR (Brazil)  1,900  50,578 
Emerson Electric Co.  91,868  4,434,468 
European Aeronautic Defense and Space Co. NV (France) S  20,981  667,017 
Finning International, Inc. (Canada)  3,400  82,449 
Fluor Corp.  27,756  1,562,108 
Franklin Electric Co., Inc.  4,756  287,690 
Fuji Electric Co., Ltd. (Japan)  140,000  284,982 
Gardner Denver, Inc.  3,080  186,063 
Generac Holdings, Inc.  5,903  135,120 
General Dynamics Corp.  480  31,747 

 

Dynamic Asset Allocation Balanced Fund  25 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Capital goods cont.     
Global Power Equipment Group, Inc.  5,870  $108,536 
Great Lakes Dredge & Dock Corp.  52,572  404,804 
Greenbrier Companies, Inc. †  15,517  250,444 
Hyflux, Ltd. (Singapore)  90,000  102,771 
IHI Corp. (Japan)  79,000  175,996 
JGC Corp. (Japan)  14,000  467,042 
Lindsay Corp.  630  45,341 
Lockheed Martin Corp.  36,122  3,373,080 
McDermott International, Inc. †  77,317  944,814 
Metso Corp. OYJ (Finland)  1,536  55,182 
Mitsubishi Electric Corp. (Japan)  37,000  272,475 
NACCO Industries, Inc. Class A  1,234  154,756 
Northrop Grumman Corp.  440  29,238 
Raytheon Co.  50,898  2,909,341 
Republic Services, Inc.  670  18,445 
Rexam PLC (United Kingdom)  6,480  45,755 
Rolls-Royce Holdings PLC (United Kingdom)  19,631  267,911 
Roper Industries, Inc.  210  23,081 
Safran SA (France)  1,726  62,216 
Schindler Holding AG (Switzerland)  2,959  364,228 
Schneider Electric SA (France)  3,661  217,447 
Singapore Technologies Engineering, Ltd. (Singapore)  56,000  161,266 
Smith & Wesson Holding Corp. †  11,590  127,606 
Societe BIC SA (France)  280  33,911 
Standard Motor Products, Inc.  11,800  217,356 
Standex International Corp.  3,490  155,131 
Staples, Inc.  93,008  1,071,452 
Stericycle, Inc. †  190  17,203 
Sturm Ruger & Co., Inc.  3,953  195,634 
Tetra Tech, Inc. †  3,044  79,935 
Textron, Inc.  47,247  1,236,454 
TriMas Corp. †  19,888  479,500 
Valmont Industries, Inc.  2,428  319,282 
Vinci SA (France)  14,522  620,641 
Waste Connections, Inc.  370  11,200 
Zardoya Otis SA (Spain)  2,510  29,525 
    30,735,948 
Communication services (2.3%)     
Allot Communications, Ltd. (Israel) †  5,845  155,009 
American Tower Corp. Class A R  350  24,994 
Aruba Networks, Inc. †  5,792  130,233 
AT&T, Inc.  100,682  3,795,727 
BCE, Inc. (Canada)  4,899  215,530 
Belgacom SA (Belgium)  1,120  34,196 
British Sky Broadcasting Group PLC (United Kingdom)  1,070  12,916 
BroadSoft, Inc. †  2,764  113,379 
BT Group PLC (United Kingdom)  267,339  997,159 

 

26  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Communication services cont.     
CalAmp Corp. †  12,452  $102,231 
Cincinnati Bell, Inc. †  41,010  233,757 
Comcast Corp. Class A  211,867  7,578,483 
Comtech Telecommunications Corp.  6,622  183,032 
Deutsche Telekom AG (Germany)  26,654  328,024 
EchoStar Corp. Class A †  30,398  871,207 
Eutelsat Communications SA (France)  850  27,389 
France Telecom SA (France)  27,952  337,916 
HSN, Inc.  6,206  304,404 
IAC/InterActiveCorp.  22,785  1,186,193 
InterDigital, Inc.  1,740  64,867 
InterXion Holding NV (Netherlands) †  6,089  138,342 
Kabel Deutschland Holding AG (Germany) †  12,675  905,536 
Loral Space & Communications, Inc.  3,472  246,859 
NeuStar, Inc. Class A †  7,056  282,452 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  17,200  816,168 
NTELOS Holdings Corp.  12,011  208,631 
NTT DoCoMo, Inc. (Japan)  168  272,477 
Premiere Global Services, Inc. †  8,319  77,783 
SES SA GDR (France)  1,390  37,820 
Shaw Communications, Inc. Class B (Canada)  810  16,594 
StarHub, Ltd. (Singapore)  5,000  15,169 
Swisscom AG (Switzerland)  60  24,124 
TDC A/S (Denmark)  4,450  32,428 
Tele2 AB Class B (Sweden)  15,873  288,565 
Telecity Group PLC (United Kingdom)  11,591  167,778 
Telefonica SA (Spain)  26,611  354,845 
USA Mobility, Inc.  9,701  115,151 
Verizon Communications, Inc.  180,350  8,218,582 
Vodafone Group PLC (United Kingdom)  438,504  1,248,175 
Windstream Corp.  800  8,104 
Ziggo NV (Netherlands)  3,277  111,364 
    30,283,593 
Conglomerates (1.2%)     
AMETEK, Inc.  41,408  1,467,925 
Danaher Corp.  71,858  3,962,984 
General Electric Co.  193,809  4,401,436 
Keisei Electric Railway Co., Ltd. (Japan)  1,000  9,037 
Marubeni Corp. (Japan)  22,000  140,282 
Mitsui & Co., Ltd. (Japan)  29,000  407,707 
Siemens AG (Germany)  10,224  1,020,988 
Tyco International, Ltd.  65,999  3,713,104 
    15,123,463 
Consumer cyclicals (5.2%)     
ABC-Mart, Inc. (Japan)  200  8,845 
Advance Auto Parts, Inc.  10,917  747,162 
Aeon Co., Ltd. (Japan)  23,800  268,734 

 

Dynamic Asset Allocation Balanced Fund  27 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Aggreko PLC (United Kingdom)  5,440  $203,721 
Alliance Data Systems Corp. †  10,599  1,504,528 
Amazon.com, Inc. †  260  66,128 
AutoZone, Inc. †  40  14,788 
Axel Springer AG (Germany)  450  19,507 
Babcock International Group PLC (United Kingdom)  1,190  17,911 
Bayerische Motoren Werke (BMW) AG (Germany)  3,598  263,773 
Beazer Homes USA, Inc. †  108,524  385,260 
Bed Bath & Beyond, Inc. †  30,402  1,915,332 
Belo Corp. Class A  58,234  455,972 
Big Lots, Inc. †  8,328  246,345 
Bluegreen Corp. †  16,848  105,805 
BR Malls Participacoes SA (Brazil)  3,500  48,600 
Brilliance China Automotive Holdings, Inc. (China) †  94,000  103,125 
Brunswick Corp.  3,001  67,913 
Buckle, Inc. (The)  2,901  131,792 
Bunzl PLC (United Kingdom)  21,948  393,753 
Bureau Veritas SA (France)  420  43,238 
Cabela’s, Inc. †  5,403  295,436 
Cash America International, Inc.  2,511  96,849 
CBS Corp. Class B  76,566  2,781,643 
Christian Dior SA (France)  3,018  406,142 
Cintas Corp.  340  14,100 
Coach, Inc.  32,649  1,828,997 
Compass Group PLC (United Kingdom)  60,418  668,277 
Conn’s, Inc. †  12,466  274,875 
Continental AG (Germany)  2,440  239,373 
Cooper Tire & Rubber Co.  22,521  431,953 
Corporate Executive Board Co. (The)  2,139  114,715 
Crocs, Inc. †  8,211  133,100 
Daihatsu Motor Co., Ltd. (Japan)  15,000  250,050 
Daimler AG (Registered Shares) (Germany)  7,762  376,484 
Deckers Outdoor Corp. †  1,841  67,454 
Deluxe Corp.  12,079  369,134 
Demand Media, Inc. †  6,246  67,894 
Destination Maternity Corp.  13,703  256,246 
Dillards, Inc. Class A  13,273  959,903 
Discovery Communications, Inc. Class A †  350  20,878 
Dolby Laboratories, Inc. Class A †  13,075  428,206 
Dollar General Corp. †  190  9,796 
Dollar Tree, Inc. †  320  15,454 
Dun & Bradstreet Corp. (The)  9,659  769,053 
Ecolab, Inc.  370  23,987 
Elders, Ltd. (Australia) †  35,584  9,183 
Equifax, Inc.  340  15,844 
Expedia, Inc.  16,900  977,500 

 

28  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Express, Inc. †  10,576  $156,736 
Fiat Industrial SpA (Italy)  60,238  590,896 
Fiat SpA (Italy) †  14,831  79,465 
Finish Line, Inc. (The) Class A  14,329  325,841 
Foot Locker, Inc.  53,190  1,888,245 
Foschini Group, Ltd. (The) (South Africa)  3,632  55,357 
Francesca’s Holdings Corp. †  5,961  183,182 
GameStop Corp. Class A  5,867  123,207 
Gannett Co., Inc.  41,403  734,903 
Geberit International AG (Switzerland)  130  28,278 
General Motors Co. †  86,372  1,964,963 
Genesco, Inc. †  1,456  97,159 
Global Cash Access Holdings, Inc. †  16,739  134,749 
Global Mediacom Tbk PT (Indonesia)  316,000  67,505 
Goodyear Tire & Rubber Co. (The) †  21,435  261,293 
Haier Electronics Group Co., Ltd. (China) †  131,000  151,808 
Hakuhodo DY Holdings, Inc. (Japan)  6,960  468,907 
Helen of Troy, Ltd. †  3,864  122,991 
HMS Holdings Corp. †  947  31,658 
Home Depot, Inc. (The)  90,740  5,477,997 
Indofood Agri Resources, Ltd. (Singapore)  6,000  6,648 
Isuzu Motors, Ltd. (Japan)  111,000  535,714 
KAR Auction Services, Inc. †  10,031  198,012 
Kimberly-Clark Corp.  640  54,912 
Kingfisher PLC (United Kingdom)  52,363  223,751 
Kohl’s Corp.  320  16,397 
La-Z-Boy, Inc. †  22,052  322,621 
LeapFrog Enterprises, Inc. †  22,869  206,278 
Lear Corp.  16,245  613,899 
Localiza Rent a Car SA (Brazil)  6,000  105,364 
Lowe’s Cos., Inc.  64,212  1,941,771 
LS Corp. (South Korea)  551  47,829 
Lumber Liquidators Holdings, Inc. †  1,533  77,692 
LVMH Moet Hennessy Louis Vuitton SA (France)  2,637  397,668 
M.D.C. Holdings, Inc.  3,529  135,902 
Macy’s, Inc.  50,615  1,904,136 
Major Cineplex Group PCL (Thailand)  57,500  35,307 
Marriott International, Inc. Class A  34,965  1,367,132 
McGraw-Hill Cos., Inc. (The)  37,514  2,047,897 
MGM China Holdings, Ltd. (Hong Kong)  183,200  315,706 
Mitsubishi Motors Corp. (Japan) †  268,000  247,131 
Moody’s Corp.  480  21,211 
MSC Industrial Direct Co., Inc. Class A  150  10,122 
News Corp. Class A  149,766  3,673,760 
Next PLC (United Kingdom)  11,676  651,999 
Nissan Motor Co., Ltd. (Japan)  71,500  608,748 

 

Dynamic Asset Allocation Balanced Fund  29 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Nitori Holdings Co., Ltd. (Japan)  150  $13,941 
O’Reilly Automotive, Inc. †  16,712  1,397,461 
Omnicom Group, Inc.  340  17,537 
OPAP SA (Greece)  23,219  119,665 
Oriental Land Co., Ltd. (Japan)  200  26,356 
Pearson PLC (United Kingdom)  10,063  196,973 
PetSmart, Inc.  17,326  1,195,151 
Pier 1 Imports, Inc.  4,061  76,103 
PPR SA (France)  818  125,898 
Priceline.com, Inc. †  1,972  1,220,137 
Publicis Group SA (France)  8,688  487,118 
Randstad Holding NV (Netherlands)  3,104  103,450 
Reed Elsevier NV (Netherlands)  2,240  29,963 
Rent-A-Center, Inc.  4,296  150,704 
Rinnai Corp. (Japan)  200  14,921 
Ross Stores, Inc.  300  19,386 
RPX Corp. †  6,881  77,136 
Ryland Group, Inc. (The)  12,951  388,530 
Sankyo Co., Ltd. (Japan)  300  13,979 
Scania AB Class B (Sweden)  16,928  311,645 
Scholastic Corp.  4,905  155,881 
Scotts Miracle-Gro Co. (The) Class A  130  5,654 
Scripps Networks Interactive Class A  170  10,413 
Secom Co., Ltd. (Japan)  500  26,087 
Serco Group PLC (United Kingdom)  1,760  16,575 
Shimamura Co., Ltd. (Japan)  100  11,653 
Sinclair Broadcast Group, Inc. Class A  27,825  311,918 
Singapore Press Holdings, Ltd. (Singapore)  7,000  23,234 
SJM Holdings, Ltd. (Hong Kong)  196,000  424,459 
Sodexho (France)  460  34,717 
Sonic Automotive, Inc. Class A  35,778  679,066 
Spectrum Brands Holdings, Inc. †  2,853  114,149 
Standard Parking Corp. †  12,212  273,915 
Suzuki Motor Corp. (Japan)  22,900  444,241 
Swire Pacific, Ltd. Class A (Hong Kong)  47,500  580,313 
Target Corp.  590  37,459 
TNS, Inc. †  12,423  185,724 
Towers Watson & Co. Class A  11,264  597,559 
Town Sports International Holdings, Inc. †  14,999  185,538 
Toyota Motor Corp. (Japan)  200  7,794 
True Religion Apparel, Inc.  5,844  124,653 
Trump Entertainment Resorts, Inc. †  180  720 
TUI Travel PLC (United Kingdom)  50,372  190,839 
Tupperware Brands Corp.  120  6,433 
URS Corp.  15,353  542,114 
USS Co. Ltd. (Japan)  150  15,864 

 

30  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Valeo SA (France)  4,560  $211,699 
Verisk Analytics, Inc. Class A †  330  15,718 
Vertis Holdings, Inc. † F  593  6 
Viacom, Inc. Class B  60,120  3,221,841 
VistaPrint NV †  20,405  696,831 
Volkswagen AG (Preference) (Germany)  2,646  483,321 
Volvo AB Class B (Sweden)  8,527  120,063 
VOXX International Corp. †  22,840  170,843 
Wal-Mart de Mexico SAB de CV ADR (Mexico)  4,400  123,420 
Wal-Mart Stores, Inc.  15,454  1,140,505 
WPP PLC (United Kingdom)  35,875  488,465 
Wyndham Worldwide Corp.  22,485  1,180,013 
Wynn Resorts, Ltd.  10,797  1,246,406 
    67,719,662 
Consumer staples (4.3%)     
AFC Enterprises †  23,655  581,913 
Ajinomoto Co., Inc. (Japan)  9,000  140,947 
Altria Group, Inc.  2,320  77,511 
Anheuser-Busch InBev NV (Belgium)  10,820  925,561 
Associated British Foods PLC (United Kingdom)  19,059  397,481 
Avis Budget Group, Inc. †  27,358  420,766 
Barrett Business Services, Inc.  1,011  27,398 
Barry Callebaut AG (Switzerland)  10  9,281 
Beacon Roofing Supply, Inc. †  7,786  221,901 
Benesse Holdings, Inc. (Japan)  300  14,537 
BRF — Brasil Foods SA ADR (Brazil)  1,989  34,410 
Brinker International, Inc.  20,985  740,774 
British American Tobacco (BAT) PLC (United Kingdom)  19,587  1,007,155 
Buffalo Wild Wings, Inc. †  2,181  186,999 
Bunge, Ltd.  805  53,975 
Campbell Soup Co.  36,550  1,272,671 
Capita PLC (United Kingdom)  1,850  23,264 
Casino Guichard-Perrachon SA (France)  5,060  448,657 
Chaoda Modern Agriculture Holdings, Ltd. (China) † F  58,000  3,740 
Cheesecake Factory, Inc. (The)  2,968  106,106 
Chiquita Brands International, Inc. †  700  5,348 
Church & Dwight Co., Inc.  8,583  463,405 
Coca-Cola Co. (The)  52,986  2,009,765 
Cola-Cola Amatil, Ltd. (Australia)  8,948  125,425 
ConAgra Foods, Inc.  72,089  1,988,957 
Core-Mark Holding Co., Inc.  3,666  176,371 
Costco Wholesale Corp.  50,912  5,097,564 
CVS Caremark Corp.  101,646  4,921,699 
Danone (France)  4,730  291,674 
Diageo PLC (United Kingdom)  11,764  331,233 
Distribuidora Internacional de Alimentacion SA (Spain)  43,300  239,424 
Domino’s Pizza, Inc.  2,831  106,729 

 

Dynamic Asset Allocation Balanced Fund  31 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer staples cont.     
Dr. Pepper Snapple Group, Inc.  24,307  $1,082,404 
Fomento Economico Mexicano SAB de CV ADR (Mexico)  1,800  165,564 
Geo Group, Inc. (The)  13,453  372,245 
Glanbia PLC (Ireland)  2,493  22,104 
Heineken Holding NV (Netherlands)  8,204  399,187 
Imperial Tobacco Group PLC (United Kingdom)  1,344  49,818 
Ingredion, Inc.  830  45,783 
IOI Corp. Bhd (Malaysia)  21,500  35,023 
Itron, Inc. †  7,196  310,507 
Japan Tobacco, Inc. (Japan)  44,400  1,330,694 
Kao Corp. (Japan)  15,200  447,953 
Kerry Group PLC Class A (Ireland)  9,933  508,045 
Koninklijke Ahold NV (Netherlands)  26,056  326,636 
Kroger Co. (The)  92,060  2,167,119 
Kuala Lumpur Kepong Bhd (Malaysia)  5,100  36,823 
Lawson, Inc. (Japan)  2,900  222,854 
Lindt & Spruengli AG (Switzerland)  4  12,662 
Lorillard, Inc.  19,882  2,315,264 
Maple Leaf Foods, Inc. (Canada)  1,612  18,168 
McDonald’s Corp.  10,070  923,936 
Minor International PCL (Thailand)  175,500  87,807 
Molson Coors Brewing Co. Class B  30,508  1,374,385 
Nestle SA (Switzerland)  30,091  1,898,169 
Nissin Food Products Co., Ltd. (Japan)  300  11,768 
Olam International, Ltd. (Singapore)  10,000  16,604 
On Assignment, Inc. †  8,556  170,436 
OpenTable, Inc. †  3,049  126,838 
Panera Bread Co. Class A †  60  10,255 
PepsiCo, Inc.  13,102  927,229 
Pernod-Ricard SA (France)  3,870  434,895 
Philip Morris International, Inc.  103,775  9,333,547 
Prestige Brands Holdings, Inc. †  9,109  154,489 
Procter & Gamble Co. (The)  48,261  3,347,391 
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk (Indonesia)  77,000  19,654 
Rakuten, Inc. (Japan)  22,700  230,974 
Reynolds American, Inc.  760  32,954 
Robert Half International, Inc.  28,527  759,674 
SABMiller PLC (United Kingdom)  6,041  265,761 
Shoppers Drug Mart Corp. (Canada)  350  14,579 
Smithfield Foods, Inc. †  907  17,823 
Spartan Stores, Inc.  6,906  105,731 
Starbucks Corp.  660  33,508 
Tate & Lyle PLC (United Kingdom)  2,830  30,442 
Tesco PLC (United Kingdom)  25,242  135,439 
Toyota Tsusho Corp. (Japan)  23,400  500,063 
Tyson Foods, Inc. Class A  1,587  25,424 

 

32  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Consumer staples cont.     
Unilever NV GDR (Netherlands)  2,260  $79,985 
Unilever PLC (United Kingdom)  8,256  300,700 
USANA Health Sciences, Inc. †  1,681  78,116 
W.W. Grainger, Inc.  110  22,923 
Walgreen Co.  56,696  2,066,002 
WM Morrison Supermarkets PLC (United Kingdom)  39,563  182,743 
Woolworths, Ltd. (Australia)  17,631  524,946 
Yamazaki Baking Co., Inc. (Japan)  21,000  280,758 
Yum! Brands, Inc.  430  28,535 
    56,875,977 
Energy (4.4%)     
Basic Energy Services, Inc. †  15,669  175,806 
BG Group PLC (United Kingdom)  38,356  776,674 
BP PLC (United Kingdom)  64,721  456,886 
Canadian Natural Resources, Ltd. (Canada)  14,400  444,260 
Chevron Corp.  68,911  8,032,289 
Clayton Williams Energy, Inc. †  2,519  130,711 
ConocoPhillips  21,686  1,240,027 
Crescent Point Energy Corp. (Canada)  480  21,263 
CVR Energy, Inc. (Escrow) F  10,772  — 
Deepocean Group (Shell) (acquired 6/9/11, cost $122,268) (Norway) † ‡  8,417  126,255 
Delek US Holdings, Inc.  16,386  417,679 
Diamond Offshore Drilling, Inc.  11,094  730,096 
ENI SpA (Italy)  41,992  921,349 
EPL Oil & Gas, Inc. †  11,675  236,886 
Exxon Mobil Corp.  116,389  10,643,818 
Ezion Holdings, Ltd. (Singapore)  80,000  87,170 
FMC Technologies, Inc. †  490  22,697 
Halliburton Co.  6,000  202,140 
Helix Energy Solutions Group, Inc. †  22,471  410,545 
Helmerich & Payne, Inc.  13,966  664,921 
HollyFrontier Corp.  27,908  1,151,775 
Husky Energy, Inc. (Canada)  610  16,406 
Imperial Oil, Ltd. (Canada)  460  21,182 
Inpex Corp. (Japan)  70  414,658 
Key Energy Services, Inc. †  22,118  154,826 
Kodiak Oil & Gas Corp. †  19,016  177,990 
Marathon Oil Corp.  67,394  1,992,861 
Marathon Petroleum Corp.  37,887  2,068,251 
Mitcham Industries, Inc. †  5,414  86,245 
Murphy Oil Corp.  22,489  1,207,442 
National Oilwell Varco, Inc.  36,550  2,928,021 
Occidental Petroleum Corp.  37,350  3,214,341 
Oceaneering International, Inc.  29,913  1,652,693 
Peabody Energy Corp.  33,281  741,833 
Pembina Pipeline Corp. (Canada)  530  14,891 
Petrofac, Ltd. (Jersey)  27,296  705,154 

 

Dynamic Asset Allocation Balanced Fund  33 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Energy cont.     
Petroleo Brasileiro SA ADR (Brazil)  3,100  $71,114 
Phillips 66  10,853  503,265 
Repsol YPF SA (Spain)  12,335  240,084 
Rosetta Resources, Inc. †  3,333  159,651 
Royal Dutch Shell PLC Class A (United Kingdom)  31,464  1,090,054 
Royal Dutch Shell PLC Class A (United Kingdom)  22,301  772,441 
Royal Dutch Shell PLC Class B (United Kingdom)  22,465  799,266 
Schlumberger, Ltd.  12,976  938,554 
Spectra Energy Corp.  1,010  29,674 
Stallion Oilfield Holdings, Ltd.  923  30,459 
Statoil ASA (Norway)  25,749  666,065 
Stone Energy Corp. †  7,841  196,966 
Suncor Energy, Inc. (Canada)  4,600  151,321 
Superior Energy Services †  25,159  516,263 
Swift Energy Co. †  10,173  212,412 
Technip SA (France)  3,720  415,076 
Tesoro Corp.  34,802  1,458,204 
Total SA (France)  12,354  614,470 
TransCanada Corp. (Canada)  790  35,967 
Tullow Oil PLC (United Kingdom)  10,702  237,385 
Unit Corp. †  3,846  159,609 
Vaalco Energy, Inc. †  41,280  352,944 
Valero Energy Corp.  93,107  2,949,630 
W&T Offshore, Inc.  7,327  137,601 
Walter Energy, Inc.  10,819  351,185 
Western Refining, Inc.  11,583  303,243 
Williams Cos., Inc. (The)  38,116  1,332,917 
    57,015,861 
Financials (7.5%)     
3i Group PLC (United Kingdom)  56,402  203,440 
ACE, Ltd.  4,759  359,793 
Admiral Group PLC (United Kingdom)  3,890  66,504 
AG Mortgage Investment Trust, Inc. R  3,880  93,624 
Agree Realty Corp. R  6,979  177,895 
AIA Group, Ltd. (Hong Kong)  224,800  834,840 
Allianz SE (Germany)  6,606  786,583 
Allied World Assurance Co. Holdings AG  14,124  1,091,085 
American Equity Investment Life Holding Co.  21,263  247,289 
American Express Co.  1,180  67,118 
American Financial Group, Inc.  18,780  711,762 
Amtrust Financial Services, Inc.  4,035  103,377 
Aon PLC  53,784  2,812,365 
Apollo Commercial Real Estate Finance, Inc. R  7,729  134,021 
Apollo Residential Mortgage, Inc.  10,241  225,712 
Arch Capital Group, Ltd. †  28,569  1,190,771 
Arlington Asset Investment Corp. Class A  4,492  107,179 
ARMOUR Residential REIT, Inc. R  20,686  158,455 

 

34  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Financials cont.     
Ascendas Real Estate Investment Trust (Singapore) R  9,000  $17,689 
Ashford Hospitality Trust, Inc. R  24,113  202,549 
Ashmore Group PLC (United Kingdom)  33,869  186,787 
Assurant, Inc.  21,197  790,648 
Australia & New Zealand Banking Group, Ltd. (Australia)  50,517  1,292,175 
AvalonBay Communities, Inc. R  11,699  1,590,949 
AXA SA (France)  41,564  621,088 
Baloise Holding AG (Switzerland)  320  25,171 
Banco Bilbao Vizcaya Argentaria SA (BBVA) (Spain)  24,311  192,217 
Banco Latinoamericano de Exportaciones SA Class E (Panama)  15,447  341,224 
Banco Santander Central Hispano SA (Spain) †  42,466  318,140 
Bank of America Corp.  39,159  345,774 
Bank of Hawaii Corp.  240  10,954 
Barclays PLC (United Kingdom)  341,390  1,188,351 
Berkshire Hathaway, Inc. Class B †  24,640  2,173,259 
BM&F Bovespa SA (Brazil)  19,400  117,228 
BNP Paribas SA (France)  12,595  601,983 
BOC Hong Kong Holdings, Ltd. (Hong Kong)  10,500  33,429 
BofI Holding, Inc. †  11,270  293,584 
British Land Company PLC (United Kingdom) R  24,971  210,934 
CapitaMall Trust (Singapore) R  12,000  19,768 
Cardinal Financial Corp.  12,902  184,499 
Cardtronics, Inc. †  5,755  171,384 
CBL & Associates Properties, Inc. R  25,174  537,213 
CBOE Holdings, Inc.  33,974  999,515 
Chiba Bank, Ltd. (The) (Japan)  5,000  29,099 
Chimera Investment Corp. R  217,641  589,807 
China Construction Bank Corp. (China)  322,000  222,510 
Chubb Corp. (The)  400  30,520 
CIT Group, Inc. †  15,650  616,454 
Citigroup, Inc.  25,457  832,953 
Citizens & Northern Corp.  8,315  163,057 
Citizens Republic Bancorp, Inc. †  7,317  141,584 
City National Corp.  4,161  214,333 
CNO Financial Group, Inc.  28,769  277,621 
Commerce Bancshares, Inc.  320  12,912 
Commonwealth Bank of Australia (Australia)  14,648  844,538 
Credit Acceptance Corp. †  845  72,256 
Credit Suisse Group (Switzerland)  8,325  177,051 
DBS Group Holdings, Ltd. (Singapore)  27,000  315,359 
Deutsche Bank AG (Germany)  16,398  648,958 
Dexus Property Group (Australia)  480,011  472,871 
Digital Realty Trust, Inc. R  130  9,083 
Discover Financial Services  1,000  39,750 
Dynex Capital, Inc. R  18,253  196,220 
East West Bancorp, Inc.  10,593  223,724 

 

Dynamic Asset Allocation Balanced Fund  35 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Financials cont.     
Eaton Vance Corp.  43,780  $1,267,869 
Education Realty Trust, Inc. R  21,502  234,372 
Entertainment Properties Trust R  2,595  115,296 
Equity Residential Trust R  34,463  1,982,662 
Essex Property Trust, Inc. R  50  7,413 
Everest Re Group, Ltd.  10,086  1,078,804 
Fairfax Financial Holdings, Ltd. (Canada)  140  54,078 
Federal Realty Investment Trust R  90  9,479 
Fidelity National Financial, Inc. Class A  49,129  1,050,869 
Financial Institutions, Inc.  8,562  159,596 
First Community Bancshares Inc.  8,050  122,843 
First Industrial Realty Trust † R  11,636  152,897 
Flushing Financial Corp.  14,955  236,289 
Genworth Financial, Inc. Class A †  59,179  309,506 
Gjensidige Forsikring ASA (Norway)  2,920  40,512 
Glimcher Realty Trust R  15,052  159,100 
Goldman Sachs Group, Inc. (The)  15,254  1,734,075 
GPT Group (Australia) R  8,910  31,437 
Hachijuni Bank, Ltd. (The) (Japan)  57,000  314,213 
Hang Lung Group, Ltd. (Hong Kong)  54,000  341,092 
Hang Seng Bank, Ltd. (Hong Kong)  2,200  33,785 
Hanmi Financial Corp. †  16,673  213,581 
Hannover Rueckversicherung AG (Germany)  730  46,665 
Hartford Financial Services Group, Inc. (The)  80,726  1,569,313 
Heartland Financial USA, Inc.  5,752  156,857 
HFF, Inc. Class A †  26,504  394,910 
Home Bancshares, Inc.  3,730  127,156 
Hongkong Land Holdings, Ltd. (Hong Kong)  17,000  101,943 
Housing Development Finance Corp., Ltd. (HDFC) (India) †  12,716  186,426 
HSBC Holdings, PLC (United Kingdom)  160,252  1,487,093 
Hysan Development Co., Ltd. (Hong Kong)  24,000  108,960 
ING Groep NV GDR (Netherlands) †  70,949  564,006 
Insurance Australia Group, Ltd. (Australia)  121,237  547,637 
Intact Financial Corp. (Canada)  880  53,545 
Invesco Mortgage Capital, Inc. R  6,418  129,194 
Investment AB Kinnevik Class B (Sweden)  21,485  446,847 
Investors Real Estate Trust R  17,750  146,793 
Japan Retail Fund Investment Corp. (Japan) R  20  35,765 
Jefferies Group, Inc.  67,156  919,366 
Jones Lang LaSalle, Inc.  3,559  271,730 
JPMorgan Chase & Co.  157,307  6,367,795 
Julius Baer Group, Ltd. (Switzerland)  920  32,098 
Kasikornbank PCL NVDR (Thailand)  9,800  57,892 
Lexington Realty Trust R  48,416  467,699 
LTC Properties, Inc. R  9,244  294,421 
M&T Bank Corp.  14,102  1,341,953 

 

36  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Financials cont.     
Macquarie Group, Ltd. (Australia)  3,496  $102,643 
Maiden Holdings, Ltd. (Bermuda)  14,221  126,425 
MainSource Financial Group, Inc.  12,762  163,864 
MFA Financial, Inc. R  20,600  175,100 
Mission West Properties R  12,235  106,445 
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan)  199,200  928,126 
Mitsui Fudosan Co., Ltd. (Japan)  21,000  420,239 
Morgan Stanley  145,504  2,435,737 
Nasdaq OMX Group, Inc. (The)  46,003  1,071,649 
National Australia Bank, Ltd. (Australia)  13,169  346,972 
National Bank of Canada (Canada)  2,956  223,707 
National Financial Partners Corp. †  6,942  117,320 
National Health Investors, Inc. R  8,161  419,802 
Nationstar Mortgage Holdings, Inc. †  6,659  220,946 
Nelnet, Inc. Class A  7,788  184,887 
Northern Trust Corp.  45,667  2,119,644 
Ocwen Financial Corp. †  17,218  471,945 
One Liberty Properties, Inc. R  8,458  157,742 
ORIX Corp. (Japan)  8,390  841,292 
Oversea-Chinese Banking Corp., Ltd. (China)  5,000  38,085 
PartnerRe, Ltd.  6,826  507,035 
People’s United Financial, Inc.  1,300  15,808 
Peoples Bancorp, Inc.  7,741  177,191 
Persimmon PLC (United Kingdom)  13,685  168,111 
PNC Financial Services Group, Inc.  33,182  2,093,784 
Popular, Inc. (Puerto Rico) †  6,590  114,864 
Portfolio Recovery Associates, Inc. †  1,694  176,904 
ProAssurance Corp.  5,141  464,952 
Protective Life Corp.  6,625  173,641 
Prudential Financial, Inc.  10,898  594,050 
Prudential PLC (United Kingdom)  88,797  1,152,216 
PS Business Parks, Inc. R  5,672  379,003 
Public Storage R  15,780  2,196,105 
Rayonier, Inc. R  17,871  875,862 
Realty Income Corp. R  200  8,182 
Regus PLC (United Kingdom)  82,109  135,209 
Reinsurance Group of America, Inc. Class A  7,569  438,018 
RenaissanceRe Holdings, Ltd.  11,637  896,521 
Republic Bancorp, Inc. Class A  5,117  112,318 
Resona Holdings, Inc. (Japan)  56,400  231,116 
RioCan Real Estate Investment Trust (Canada) R  1,680  47,319 
Royal Bank of Scotland Group PLC (United Kingdom) †  25,319  105,160 
RSA Insurance Group PLC (United Kingdom)  37,870  67,940 
Sberbank of Russia ADR (Russia)  38,236  450,097 
SCOR SE (France)  6,548  168,858 
Shizuoka Bank, Ltd. (The) (Japan)  3,000  30,727 

 

Dynamic Asset Allocation Balanced Fund  37 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Financials cont.     
Simon Property Group, Inc. R  29,044  $4,409,174 
Societe Generale SA (France) †  3,853  109,897 
Southside Bancshares, Inc.  6,298  137,359 
Sovran Self Storage, Inc. R  5,755  332,927 
St. Joe Co. (The) † S  29,965  584,318 
Standard Chartered PLC (United Kingdom)  23,082  522,847 
Starwood Property Trust, Inc. R  4,983  115,954 
Stockland (Units) (Australia) R  102,371  353,683 
Sun Hung Kai Properties, Ltd. (Hong Kong)  16,000  234,250 
Suncorp Group, Ltd. (Australia)  43,228  414,123 
Svenska Handelsbanken AB Class A (Sweden)  12,646  475,052 
Swedbank AB Class A (Sweden)  25,369  477,204 
Swiss Life Holding AG (Switzerland)  4,204  501,898 
SWS Group, Inc. †  21,739  132,825 
Symetra Financial Corp.  14,303  175,927 
TD Ameritrade Holding Corp.  72,505  1,114,402 
Toronto-Dominion Bank (The) (Canada)  14,722  1,226,931 
UBS AG (Switzerland)  22,301  272,174 
Unibail-Rodamco (France) R  190  37,960 
UniCredit SpA (Italy) †  24,990  104,461 
United Overseas Bank, Ltd. (Singapore)  6,000  95,802 
Universal Health Realty Income Trust R  2,159  99,271 
Urstadt Biddle Properties, Inc. Class A R  6,889  139,364 
Validus Holdings, Ltd.  18,746  635,689 
Virginia Commerce Bancorp, Inc. †  20,960  183,400 
Visa, Inc. Class A  1,400  187,992 
W.R. Berkley Corp.  25,859  969,468 
Walker & Dunlop, Inc. †  12,949  199,026 
Walter Investment Management Corp.  8,224  304,370 
Washington Banking Co.  9,742  138,044 
Wells Fargo & Co.  189,644  6,548,417 
Westpac Banking Corp. (Australia)  16,200  416,092 
Wheelock and Co., Ltd. (Hong Kong)  62,000  266,125 
World Acceptance Corp. †  1,846  124,513 
Zurich Insurance Group AG (Switzerland)  180  44,841 
    98,014,158 
Health care (5.1%)     
Abbott Laboratories  9,311  638,382 
ABIOMED, Inc. †  6,439  135,155 
Aetna, Inc.  44,343  1,755,993 
Affymax, Inc. †  9,564  201,418 
Alfresa Holdings Corp. (Japan)  4,500  221,793 
Amedisys, Inc. †  2,092  28,891 
AmerisourceBergen Corp.  33,929  1,313,401 
Amgen, Inc.  12,258  1,033,606 
AmSurg Corp. †  5,863  166,392 
Astellas Pharma, Inc. (Japan)  12,600  639,964 

 

38  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Health care cont.     
AstraZeneca PLC (United Kingdom)  13,275  $634,187 
athenahealth, Inc. †  1,027  94,248 
Bayer AG (Germany)  13,035  1,121,557 
Bio-Reference Labs, Inc. †  3,725  106,461 
Biogen Idec, Inc. †  210  31,343 
Biosensors International Group, Ltd. (Singapore) †  65,000  64,385 
Bristol-Myers Squibb Co.  1,230  41,537 
C.R. Bard, Inc.  11,452  1,198,455 
Cardinal Health, Inc.  490  19,105 
Catamaran Corp. (Canada) †  90  8,822 
Celgene Corp. †  12,382  945,985 
Centene Corp. †  1,712  64,046 
Coloplast A/S Class B (Denmark)  2,113  440,183 
Community Health Systems, Inc. †  11,635  339,044 
Computer Programs & Systems, Inc.  1,437  79,825 
Conmed Corp.  11,805  336,443 
Covidien PLC  5,537  329,009 
CSL, Ltd. (Australia)  280  13,366 
Cubist Pharmaceuticals, Inc. †  5,752  274,255 
Cyberonics, Inc. †  2,247  117,788 
Eisai Co., Ltd. (Japan)  400  18,049 
Eli Lilly & Co.  104,396  4,949,430 
Endo Health Solutions, Inc. †  36,835  1,168,406 
Forest Laboratories, Inc. †  85,575  3,047,333 
Fresenius SE & Co. KGgA (Germany)  3,804  442,005 
Gilead Sciences, Inc. †  44,717  2,966,091 
GlaxoSmithKline PLC (United Kingdom)  51,909  1,197,773 
Greatbatch, Inc. †  14,113  343,369 
Grifols SA ADR (Spain) †  12,214  278,846 
Haemonetics Corp. †  2,260  181,252 
HCA Holdings, Inc.  19,018  632,349 
Health Management Associates, Inc. Class A †  48,535  407,209 
Health Net, Inc. †  5,025  113,113 
HealthSouth Corp. †  10,617  255,445 
Hi-Tech Pharmacal Co., Inc. †  2,568  85,026 
Humana, Inc.  20,248  1,420,402 
Impax Laboratories, Inc. †  11,671  302,979 
Jazz Pharmaceuticals PLC †  12,551  715,533 
Johnson & Johnson  46,201  3,183,718 
Kindred Healthcare, Inc. †  17,010  193,574 
Magellan Health Services, Inc. †  2,226  114,884 
McKesson Corp.  28,639  2,463,819 
MedAssets, Inc. †  26,593  473,355 
Medicines Co. (The) †  14,983  386,711 
Merck & Co., Inc.  34,173  1,541,204 
Merck KGaA (Germany)  1,657  204,512 

 

Dynamic Asset Allocation Balanced Fund  39 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Health care cont.     
Metropolitan Health Networks, Inc. †  29,718  $277,566 
Miraca Holdings, Inc. (Japan)  100  4,493 
Mitsubishi Tanabe Pharma Corp. (Japan)  7,600  115,578 
Molina Healthcare, Inc. †  2,940  73,941 
Novartis AG (Switzerland)  10,887  666,365 
Novo Nordisk A/S Class B (Denmark)  3,597  567,729 
Obagi Medical Products, Inc. †  30,471  378,145 
Omega Healthcare Investors, Inc. R  14,234  323,539 
Omnicare, Inc.  27,737  942,226 
Oncothyreon, Inc. †  3,918  20,288 
Ono Pharmaceutical Co., Ltd. (Japan)  100  6,160 
OraSure Technologies, Inc. †  23,878  265,523 
Orion OYJ Class B (Finland)  11,501  246,419 
Otsuka Holdings Company, Ltd. (Japan)  19,600  607,729 
PDL BioPharma, Inc.  31,093  239,105 
Perrigo Co.  110  12,781 
Pfizer, Inc.  362,186  9,000,341 
Pharmacyclics, Inc. †  987  63,662 
PharMerica Corp. †  10,353  131,069 
PSS World Medical, Inc. †  3,112  70,891 
Quality Systems, Inc.  2,031  37,675 
Roche Holding AG-Genusschein (Switzerland)  6,125  1,144,216 
RTI Biologics, Inc. †  25,874  107,895 
Salix Pharmaceuticals, Ltd. †  1,804  76,381 
Sanofi (France)  19,269  1,646,141 
Shire PLC (United Kingdom)  8,479  250,973 
Sinopharm Group Co. (China)  30,800  98,645 
Spectrum Pharmaceuticals, Inc. † S  26,271  307,371 
STAAR Surgical Co. †  30,728  232,304 
Steris Corp.  3,846  136,418 
Suzuken Co., Ltd. (Japan)  5,200  172,509 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  5,344  221,295 
Triple-S Management Corp. Class B (Puerto Rico) †  4,296  89,786 
United Therapeutics Corp. †  19,351  1,081,334 
UnitedHealth Group, Inc.  100,560  5,572,048 
Ventas, Inc. R  270  16,813 
ViroPharma, Inc. †  9,363  282,950 
Warner Chilcott PLC Class A  67,227  907,565 
WellCare Health Plans, Inc. †  6,654  376,284 
    66,253,579 
Technology (8.7%)     
Acacia Research Corp. †  2,402  65,839 
Accenture PLC Class A  700  49,035 
Actuate Corp. †  67,031  471,228 
Acxiom Corp. †  21,036  384,328 
Agilent Technologies, Inc.  47,247  1,816,647 
Altera Corp.  740  25,164 

 

40  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Technology cont.     
Amadeus IT Holding SA Class A (Spain)  9,000  $210,124 
Analog Devices, Inc.  690  27,055 
Anixter International, Inc.  2,435  139,915 
AOL, Inc. †  45,464  1,601,697 
Apple, Inc.  62,160  41,476,890 
Applied Materials, Inc.  116,284  1,298,311 
ASML Holding NV (Netherlands)  6,885  369,083 
Aspen Technology, Inc. †  5,649  146,027 
Asustek Computer, Inc. (Taiwan)  4,960  53,595 
Avago Technologies, Ltd. (Singapore)  610  21,280 
Baidu, Inc. ADR (China) †  1,000  116,820 
BMC Software, Inc. †  35,019  1,452,947 
Bottomline Technologies, Inc. †  7,039  173,793 
Broadcom Corp. Class A †  45,365  1,568,722 
Brocade Communications Systems, Inc. †  114,793  679,001 
CA, Inc.  61,138  1,575,221 
Cadence Design Systems, Inc. †  83,301  1,071,667 
CGI Group, Inc. Class A (Canada) †  170  4,569 
Cirrus Logic, Inc. †  2,204  84,612 
Cisco Systems, Inc.  236,798  4,520,561 
Coinstar, Inc. †  999  44,935 
Commvault Systems, Inc. †  2,954  173,400 
Computer Sciences Corp.  22,162  713,838 
Computershare, Ltd. (Australia)  15,554  133,422 
Cornerstone OnDemand, Inc. †  3,453  105,869 
CSG Systems International, Inc. †  7,323  164,694 
Dassault Systemes SA (France)  150  15,798 
Dell, Inc. †  123,638  1,219,071 
EMC Corp. †  5,400  147,258 
EnerSys †  9,193  324,421 
Entegris, Inc. †  42,068  342,013 
Entropic Communications, Inc. †  22,312  129,856 
Fair Isaac Corp.  12,380  547,939 
FEI Co.  4,580  245,030 
First Solar, Inc. † S  7,237  160,263 
Fujitsu, Ltd. (Japan)  146,000  547,701 
Gemalto NV (Netherlands)  865  76,195 
Google, Inc. Class A †  10,195  7,692,131 
GSI Group, Inc. †  7,062  62,922 
Hamamatsu Photonics K.K. (Japan)  500  17,184 
Hollysys Automation Technologies, Ltd. (China) †  12,100  118,096 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  42,710  132,275 
Hoya Corp. (Japan)  1,700  37,374 
IBM Corp.  24,328  5,046,856 
Infineon Technologies AG (Germany)  64,159  407,112 
Infoblox, Inc. †  5,946  138,245 

 

Dynamic Asset Allocation Balanced Fund  41 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Technology cont.     
InnerWorkings, Inc. †  10,677  $139,015 
Integrated Silicon Solutions, Inc. †  24,975  231,269 
Intel Corp.  75,174  1,704,955 
IntraLinks Holdings, Inc. †  20,467  133,854 
Intuit, Inc.  460  27,094 
Itochu Techno-Solutions Corp. (Japan)  200  10,409 
Ixia †  5,384  86,521 
JDA Software Group, Inc. †  6,149  195,415 
KLA-Tencor Corp.  20,102  958,976 
Konami Corp. (Japan)  3,500  79,547 
Konica Minolta Holdings, Inc. (Japan)  39,500  303,384 
L-3 Communications Holdings, Inc.  17,673  1,267,336 
Lam Research Corp. †  18,924  601,509 
LivePerson, Inc. †  8,040  145,604 
Manhattan Associates, Inc. †  3,305  189,277 
Maxim Integrated Products, Inc.  850  22,644 
Mentor Graphics Corp. †  20,005  309,677 
Microchip Technology, Inc.  620  20,311 
Microsemi Corp. †  7,105  142,597 
Microsoft Corp.  353,308  10,521,592 
MTS Systems Corp.  3,786  202,740 
Murata Manufacturing Co., Ltd. (Japan)  4,600  244,706 
NEC Corp. (Japan) †  211,000  333,424 
Netscout Systems, Inc. †  6,919  176,504 
Nomura Research Institute, Ltd. (Japan)  800  16,501 
NTT Data Corp. (Japan)  59  184,145 
NVIDIA Corp. †  66,165  882,641 
Omnivision Technologies, Inc. †  11,655  162,646 
Oracle Corp.  140,820  4,434,422 
Parametric Technology Corp. †  6,534  142,441 
Perficient, Inc. †  10,456  126,204 
Pericom Semiconductor Corp. †  16,412  142,538 
Photronics, Inc. †  20,880  112,126 
Plantronics, Inc.  3,471  122,630 
Polycom, Inc. †  30,012  296,218 
Procera Networks, Inc. †  8,305  195,168 
QLIK Technologies, Inc. †  2,488  55,756 
QLogic Corp. †  90,349  1,031,786 
Qualcomm, Inc.  15,573  973,157 
RealPage, Inc. †  5,779  130,605 
RF Micro Devices, Inc. †  19,537  77,171 
Rovi Corp. †  21,811  316,478 
Rudolph Technologies, Inc. †  16,411  172,316 
Sage Group PLC (The) (United Kingdom)  1,460  7,429 
Samsung Electronics Co., Ltd. (South Korea)  253  304,595 
SAP AG (Germany)  4,906  347,841 

 

42  Dynamic Asset Allocation Balanced Fund 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Technology cont.     
Semtech Corp. †  7,439  $187,091 
Silicon Graphics International Corp. †  5,756  52,380 
Silicon Image, Inc. †  19,755  90,675 
SK Hynix, Inc. (South Korea) †  4,500  91,389 
Skyworks Solutions, Inc. †  5,172  121,878 
Softbank Corp. (Japan)  9,700  392,612 
Sourcefire, Inc. †  2,589  126,939 
Spreadtrum Communications, Inc. ADR (China)  5,000  102,800 
SS&C Technologies Holdings, Inc. †  8,852  223,159 
Symantec Corp. †  107,865  1,941,570 
Synaptics, Inc. †  791  19,000 
Synchronoss Technologies, Inc. †  3,079  70,509 
Tangoe, Inc. †  5,367  70,469 
Tech Data Corp. †  9,608  435,242 
Telefonaktiebolaget LM Ericsson Class B (Sweden)  27,276  248,782 
Tencent Holdings, Ltd. (China)  4,400  149,081 
Teradyne, Inc. †  46,149  656,239 
TIBCO Software, Inc. †  10,720  324,066 
Travelzoo, Inc. †  4,247  100,102 
Tyler Technologies, Inc. †  2,932  129,067 
Ultimate Software Group, Inc. †  2,088  213,185 
Ultra Clean Holdings, Inc. †  18,068  103,168 
Unisys Corp. †  2,725  56,735 
VASCO Data Security International, Inc. †  31,765  297,956 
Vishay Intertechnology, Inc. †  41,106  404,072 
Western Digital Corp. †  26,447  1,024,292 
Xilinx, Inc.  690  23,067 
    114,086,728 
Transportation (0.5%)     
Canadian National Railway Co. (Canada)  300  26,549 
Central Japan Railway Co. (Japan)  11,100  973,743 
ComfortDelgro Corp., Ltd. (Singapore)  178,000  248,369 
Copa Holdings SA Class A (Panama)  120  9,755 
Delta Air Lines, Inc. †  142,731  1,307,416 
Deutsche Lufthansa AG (Germany)  8,948  121,541 
Deutsche Post AG (Germany)  10,227  199,943 
Hankyu Hanshin Holdings, Inc. (Japan)  76,000  410,228 
International Consolidated Airlines Group SA (Spain) †  74,707  180,065 
J. B. Hunt Transport Services, Inc.  260  13,536 
Japan Airlines Co., Ltd. (Japan) †  1,100  51,448 
Koninklijke Vopak NV (Netherlands)  580  40,741 
MTR Corp. (Hong Kong)  6,000  22,783 
Neptune Orient Lines, Ltd. (Singapore) †  297,000  272,276 
Nippon Express Co., Ltd. (Japan)  3,000  11,383 
Ryanair Holdings PLC ADR (Ireland) †  720  23,234 
Singapore Airlines, Ltd. (Singapore)  2,000  17,517 
Southwest Airlines Co.  1,860  16,349 

 

Dynamic Asset Allocation Balanced Fund  43 

 


COMMON STOCKS (45.4%)* cont.  Shares  Value 
 
Transportation cont.     
Swift Transportation Co. †  25,577  $220,474 
Tokyu Corp. (Japan)  3,000  14,345 
United Continental Holdings, Inc. †  41,759  814,301 
United Parcel Service, Inc. Class B  15,539  1,112,142 
US Airways Group, Inc. †  9,040  94,558 
Wabtec Corp.  9,410  755,529 
West Japan Railway Co. (Japan)  400  17,101 
Yamato Transport Co., Ltd. (Japan)  1,100  17,429 
    6,992,755 
Utilities and power (1.3%)     
AES Corp. (The) †  112,104  1,229,781 
Ameren Corp.  43,087  1,407,652 
Canadian Utilities, Ltd. (Canada)  80  5,588 
CenterPoint Energy, Inc.  74,089  1,578,096 
Centrica PLC (United Kingdom)  82,265  436,034 
Cheung Kong Infrastructure Holdings, Ltd. (Hong Kong)  1,000  6,059 
Chubu Electric Power, Inc. (Japan)  7,500  97,712 
CMS Energy Corp.  47,966  1,129,612 
DTE Energy Co.  29,362  1,759,965 
Electric Power Development Co. (Japan)  7,300  191,294 
Enbridge, Inc. (Canada)  860  33,609 
Enel SpA (Italy)  94,150  333,768 
Energias de Portugal (EDP) SA (Portugal)  48,904  134,847 
Entergy Corp.  29,045  2,012,825 
Fortum OYJ (Finland)  1,390  25,607 
GDF Suez (France)  17,482  391,777 
ITC Holdings Corp.  150  11,340 
Kinder Morgan, Inc.  580  20,613 
National Grid PLC (United Kingdom)  62,289  687,782 
Origin Energy, Ltd. (Australia)  21,780  255,633 
Osaka Gas Co., Ltd. (Japan)  3,000  13,229 
PG&E Corp.  61,239  2,608,103 
Pinnacle West Capital Corp.  290  15,318 
Power Assets Holdings, Ltd. (Hong Kong)  1,500  12,757 
Red Electrica Corporacion SA (Spain)  9,743  462,743 
Snam SpA (Italy)  5,180  22,974 
TECO Energy, Inc.  43,582  773,145 
Terna SPA (Italy)  5,160  19,237 
Toho Gas Co., Ltd. (Japan)  42,000  278,850 
Tokyo Gas Co., Ltd. (Japan)  75,000  413,173 
Westar Energy, Inc.  24,298  720,686 
    17,089,809 
 
Total common stocks (cost $515,399,816)    $594,625,014 

 

44  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)*  Principal amount  Value 
 
Basic materials (1.4%)     
Agrium, Inc. sr. unsec. notes 3.15s, 2022 (Canada)  $40,000  $40,189 
Airgas, Inc. sr. unsec. unsub. notes 3 1/4s, 2015  620,000  660,332 
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9 3/8s, 2019  135,000  174,422 
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95s, 2021  90,000  99,346 
ArcelorMittal sr. unsec. unsub. 10.1s, 2019 (France)  605,000  698,620 
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022  90,000  92,025 
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018  440,000  427,900 
Cabot Corp. sr. unsec. unsub. notes 2.55s, 2018  405,000  415,248 
Celanese US Holdings, LLC company guaranty sr. unsec. notes     
6 5/8s, 2018 (Germany)  120,000  131,400 
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)  310,000  347,200 
Cemex Finance, LLC 144A company guaranty sr. bonds     
9 1/2s, 2016  200,000  206,500 
CF Industries, Inc. company guaranty sr. unsec. unsub. notes     
7 1/8s, 2020  365,000  458,075 
CF Industries, Inc. company guaranty sr. unsec. unsub. notes     
6 7/8s, 2018  325,000  395,281 
Compass Minerals International, Inc. company guaranty sr. unsec.     
notes 8s, 2019  285,000  307,800 
Domtar Corp. company guaranty sr. unsec. unsub. notes 6 1/4s,     
2042 (Canada)  350,000  357,339 
Dow Chemical Co. (The) sr. unsec. unsub. notes 8.55s, 2019  295,000  395,584 
E.I. du Pont de Nemours & Co. sr. notes 3 5/8s, 2021  525,000  584,005 
Eastman Chemical Co. sr. unsec. notes 4.8s, 2042  880,000  953,457 
Eastman Chemical Co. sr. unsec. notes 3.6s, 2022  620,000  653,110 
Eastman Chemical Co. sr. unsec. unsub. notes 2.4s, 2017  205,000  214,104 
Ferro Corp. sr. unsec. notes 7 7/8s, 2018  360,000  347,400 
FMG Resources August 2006 Pty, Ltd. 144A company guaranty     
sr. unsec. notes 6 3/8s, 2016 (Australia)  180,000  175,050 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s,     
2019 (Australia)  165,000  160,050 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s,     
2018 (Australia)  335,000  314,900 
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes     
6 7/8s, 2022 (Australia)  135,000  123,863 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes 8 7/8s, 2018  220,000  226,050 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes 6 5/8s, 2020  85,000  86,488 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes FRN 4.935s, 2014  90,000  85,725 
Huntsman International, LLC company guaranty sr. unsec. sub.     
notes 8 5/8s, 2021  145,000  166,025 
Huntsman International, LLC company guaranty sr. unsec. sub.     
notes 8 5/8s, 2020  265,000  299,450 
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s,     
2020 (Canada)  330,000  323,400 
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s,     
2020 (United Kingdom)  140,000  141,750 

 

Dynamic Asset Allocation Balanced Fund  45 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Basic materials cont.       
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes       
Ser. REGS, 7 7/8s, 2016 (United Kingdom)  EUR  210,000  $250,968 
International Paper Co. sr. unsec. notes 7.95s, 2018    $1,070,000  1,377,158 
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019    280,000  314,300 
Louisiana-Pacific Corp. company guaranty sr. unsec unsub. notes       
7 1/2s, 2020    115,000  128,081 
Lubrizol Corp. (The) sr. unsec. notes 8 7/8s, 2019    310,000  438,171 
LyondellBasell Industries NV sr. unsec. notes 6s, 2021       
(Netherlands)    535,000  609,900 
LyondellBasell Industries NV sr. unsec. unsub notes 5s, 2019       
(Netherlands)    925,000  982,813 
LyondellBasell Industries NV sr. unsec. unsub. notes 5 3/4s, 2024       
(Netherlands)    285,000  324,188 
Momentive Performance Materials, Inc. company guaranty notes       
9 1/2s, 2021  EUR  100,000  92,353 
Momentive Performance Materials, Inc. notes 9s, 2021    $60,000  43,500 
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes       
7s, 2020 (Canada)    135,000  143,100 
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020    220,000  243,650 
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015    268,000  269,340 
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s,       
2019 (Australia)    95,000  95,000 
PH Glatfelter Co. 144A sr. notes 5 3/8s, 2020    35,000  35,700 
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes       
9s, 2019 (Australia)    265,000  362,362 
Rock-Tenn Co. 144A sr. unsec. notes 4.9s, 2022    227,000  245,903 
Rock-Tenn Co. 144A sr. unsec. notes 4.45s, 2019    228,000  240,497 
Rockwood Specialties Group, Inc. company       
guaranty sr. unsec. notes 4 5/8s, 2020    50,000  50,688 
Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029    300,000  402,257 
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A       
company guaranty sr. unsec. notes 10s, 2020    180,000  196,200 
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company       
guaranty sr. notes 9s, 2017    175,000  179,375 
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s,       
2015 (Ireland)    200,000  202,240 
Smurfit Kappa Treasury company guaranty sr. unsec. unsub.       
debs 7 1/2s, 2025 (Ireland)    55,000  55,963 
Steel Dynamics, Inc. sr. unsec. notes company guaranty       
7 5/8s, 2020    10,000  10,850 
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes       
6 3/8s, 2022    40,000  41,300 
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes       
6 1/8s, 2019    55,000  57,200 
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020    290,000  313,200 
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017    250,000  270,000 
Tronox Finance, LLC 144A company guaranty sr. unsec. notes       
6 3/8s, 2020    260,000  262,600 

 

46  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Basic materials cont.       
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty       
sr. notes 8 3/4s, 2019    $65,000  $31,200 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A company       
guaranty sr. notes 11 3/4s, 2019    20,000  15,400 
Xstrata Finance Canada, Ltd. 144A company guaranty sr. unsec.       
unsub. bonds 5.8s, 2016 (Canada)    180,000  203,370 
      18,550,915 
Capital goods (0.9%)       
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020    40,000  40,800 
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016    305,000  326,731 
American Axle & Manufacturing, Inc. company guaranty sr. unsec.       
notes 7 3/4s, 2019    425,000  466,438 
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s,       
2017 (Ireland)  EUR  305,000  416,084 
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020    $75,000  83,250 
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022    175,000  181,125 
Ball Corp. company guaranty sr. unsec. notes 5s, 2022    45,000  47,138 
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018    180,000  197,550 
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021    320,000  364,800 
Berry Plastics Holding Corp. company guaranty sr. unsec. sub.       
notes 10 1/4s, 2016    110,000  114,125 
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019    240,000  285,690 
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada)    125,000  143,125 
Bombardier, Inc. 144A sr. unsec. notes 5 3/4s, 2022 (Canada)    55,000  56,375 
Briggs & Stratton Corp. company guaranty sr. unsec. notes       
6 7/8s, 2020    280,000  305,200 
Consolidated Container Co. LLC/Consolidated Container       
Capital, Inc. 144A company guaranty sr. unsec. notes       
10 1/8s, 2020    145,000  155,513 
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)  EUR  60,000  84,082 
Deere & Co. sr. unsec. unsub. notes 2.6s, 2022    $510,000  523,471 
Exide Technologies sr. notes 8 5/8s, 2018    170,000  147,263 
John Deere Capital Corp. notes Ser. MTN, 5 1/4s, 2012    390,000  390,054 
Kratos Defense & Security Solutions, Inc. company guaranty       
sr. notes 10s, 2017    385,000  415,800 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    906,000  1,158,146 
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015    65,000  68,250 
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016    400,000  372,000 
Polypore International, Inc. company guaranty sr. unsec. notes       
7 1/2s, 2017    265,000  285,538 
Raytheon Co. sr. unsec. notes 4 7/8s, 2040    135,000  159,810 
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s,       
2019 (France)    200,000  207,544 
Reynolds Group Issuer, Inc. company guaranty sr. notes       
7 7/8s, 2019    100,000  107,750 
Reynolds Group Issuer, Inc. company guaranty sr. notes       
7 3/4s, 2016    135,000  140,738 
Reynolds Group Issuer, Inc. company guaranty sr. notes       
7 1/8s, 2019    190,000  200,450 

 

Dynamic Asset Allocation Balanced Fund  47 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Capital goods cont.     
Reynolds Group Issuer, Inc. company guaranty sr. unsec.     
unsub. notes 9 7/8s, 2019  $200,000  $212,000 
Reynolds Group Issuer, Inc. company guaranty sr. unsec.     
unsub. notes 9s, 2019  105,000  107,100 
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes     
5 3/4s, 2020  130,000  130,000 
Ryerson Holding Corp. sr. disc. notes zero %, 2015  195,000  137,963 
Ryerson, Inc. company guaranty sr. notes 12s, 2015  505,000  521,413 
Staples, Inc. sr. unsec. notes 9 3/4s, 2014  405,000  448,067 
Tenneco, Inc. company guaranty sr. unsec. unsub. notes     
7 3/4s, 2018  110,000  119,625 
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020  210,000  229,950 
Terex Corp. sr. unsec. sub. notes 8s, 2017  265,000  274,275 
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017  405,000  431,325 
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017  188,000  209,385 
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018  285,000  314,925 
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017  736,000  894,218 
United Technologies Corp. sr. unsec. unsub notes 4 1/2s, 2042  160,000  179,326 
United Technologies Corp. sr. unsec. unsub. notes 3.1s, 2022  100,000  106,562 
    11,760,974 
Communication services (2.1%)     
Adelphia Communications Corp. escrow bonds zero %, 2012  270,000  2,052 
America Movil SAB de CV company guaranty sr. unsec. unsub.     
notes 6 1/8s, 2040 (Mexico)  165,000  214,692 
America Movil SAB de CV company guaranty unsec. unsub. notes     
2 3/8s, 2016 (Mexico)  200,000  208,046 
American Tower Corp. sr. unsec. notes 7s, 2017 R  440,000  523,642 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038  387,000  508,021 
AT&T, Inc. sr. unsec. unsub. notes 3s, 2022  275,000  290,729 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030  715,000  960,141 
Bresnan Broadband Holdings, LLC 144A company guaranty     
sr. unsec. unsub. notes 8s, 2018  165,000  177,788 
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017  480,000  558,000 
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020  80,000  89,200 
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018  140,000  155,050 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 7 7/8s, 2018  150,000  162,375 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 6 1/2s, 2021  185,000  198,413 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 5 1/4s, 2022  95,000  95,238 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 7 3/8s, 2020  150,000  166,875 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 6 5/8s, 2022  165,000  180,263 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsub. notes 7s, 2019  240,000  260,700 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. notes 8 5/8s, 2017  500,000  533,750 

 

48  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Communication services cont.     
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes     
8 3/4s, 2018  $230,000  $234,025 
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes     
8 1/4s, 2017  95,000  101,413 
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A     
company guaranty sr. notes 12s, 2015  360,000  356,400 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.95s, 2037  800,000  1,089,088 
Corning, Inc. sr. unsec. unsub. notes 5 3/4s, 2040  230,000  279,317 
Cox Communications, Inc. 144A notes 5 7/8s, 2016  206,000  240,867 
Cricket Communications, Inc. company guaranty sr. unsec. notes     
7 3/4s, 2020  285,000  277,875 
Cricket Communications, Inc. company guaranty sr. unsec. unsub.     
notes 10s, 2015  716,000  753,590 
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019  100,000  108,500 
Crown Castle Towers, LLC 144A company guaranty sr. notes     
4.883s, 2020  75,000  84,397 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021  150,000  165,375 
Deutsche Telekom International Finance BV company guaranty     
8 3/4s, 2030 (Netherlands)  435,000  654,287 
Digicel Group, Ltd. 144A sr. notes 10 1/2s, 2018 (Jamaica)  165,000  179,438 
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)  230,000  248,400 
DISH DBS Corp. company guaranty 6 5/8s, 2014  10,000  10,850 
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  505,000  587,063 
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021  240,000  261,600 
Equinix, Inc. sr. unsec. notes 7s, 2021  165,000  184,800 
France Telecom sr. unsec. unsub. notes 4 1/8s, 2021 (France)  277,000  306,399 
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021  80,000  92,600 
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020  325,000  367,250 
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017  185,000  209,975 
Hughes Satellite Systems Corp. company guaranty sr. notes     
6 1/2s, 2019  295,000  315,650 
Hughes Satellite Systems Corp. company guaranty sr. unsec.     
notes 7 5/8s, 2021  325,000  359,938 
Intelsat Investments SA company guaranty sr. unsec. notes     
11 1/4s, 2016 (Bermuda)  160,000  167,000 
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes     
7 1/2s, 2021 (Bermuda)  210,000  227,325 
Intelsat Jackson Holdings SA 144A company guaranty sr. unsec.     
notes 7 1/4s, 2020 (Bermuda)  130,000  139,750 
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022     
(Bermuda)  105,000  104,475 
Intelsat Luxembourg SA company guaranty sr. unsec. notes     
11 1/2s, 2017 (Luxembourg) ‡‡  689,843  731,234 
Intelsat Luxembourg SA company guaranty sr. unsec. notes     
11 1/4s, 2017 (Luxembourg)  1,280,000  1,353,600 
Koninklijke (Royal) KPN NV sr. unsec. unsub. bonds 8 3/8s,     
2030 (Netherlands)  185,000  247,435 

 

Dynamic Asset Allocation Balanced Fund  49 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Communication services cont.     
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes     
9 3/8s, 2019  $185,000  $205,350 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes     
8 5/8s, 2020  185,000  199,800 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes     
8 1/8s, 2019  45,000  47,813 
Level 3 Financing, Inc. 144A company guaranty sr. unsec unsub.     
notes 7s, 2020  210,000  212,100 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes     
9 1/8s, 2019  215,000  237,575 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes     
7 1/4s, 2022  125,000  134,063 
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes     
7 7/8s, 2018  420,000  455,700 
Nextel Communications, Inc. company guaranty sr. unsec. notes     
Ser. D, 7 3/8s, 2015  8,000  8,030 
NII Capital Corp. company guaranty sr. unsec. unsub. notes     
10s, 2016  440,000  433,400 
NII Capital Corp. company guaranty sr. unsec. unsub. notes     
8 7/8s, 2019  55,000  46,200 
NII Capital Corp. company guaranty sr. unsec. unsub. notes     
7 5/8s, 2021  255,000  204,000 
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017  260,000  282,100 
PAETEC Holding Corp. company guaranty sr. unsec. notes     
9 7/8s, 2018  230,000  263,350 
Qwest Corp. notes 6 3/4s, 2021  825,000  984,459 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025  115,000  140,845 
SBA Telecommunications, Inc. company guaranty sr. unsec. notes     
8 1/4s, 2019  13,000  14,528 
SBA Telecommunications, Inc. 144A company guaranty sr. unsec.     
unsub. notes 5 3/4s, 2020  70,000  73,500 
SBA Tower Trust 144A notes 2.933s, 2017  775,000  796,276 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  1,125,000  1,035,000 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017  240,000  267,000 
Sprint Nextel Corp. sr. unsec. notes 6s, 2016  305,000  314,150 
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017  200,000  226,500 
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020  155,000  161,200 
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes     
9s, 2018  490,000  586,775 
Time Warner Cable, Inc. company guaranty sr. unsec. unsub.     
notes 8 1/4s, 2014  770,000  847,739 
Time Warner Cable, Inc. company guaranty sr. unsec. unsub.     
notes 6 3/4s, 2039  200,000  260,659 
Time Warner Cable, Inc. company guaranty sr. unsec. unsub.     
notes 4 1/2s, 2042  495,000  493,652 
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec.     
notes 5 3/8s, 2022  65,000  66,219 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH     
144A company guaranty sr. notes 7 1/2s, 2019 (Germany)  150,000  164,931 

 

50  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Communication services cont.     
Verizon Communications, Inc. sr. unsec. notes 7.35s, 2039  $18,000  $26,950 
Verizon Communications, Inc. sr. unsec. unsub. notes     
8 3/4s, 2018  480,000  670,263 
Verizon New Jersey, Inc. debs. 8s, 2022  160,000  214,875 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  240,000  319,141 
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s,     
2022 (Canada)  260,000  271,700 
Virgin Media Finance PLC company guaranty sr. notes Ser. 1,     
9 1/2s, 2016 (United Kingdom)  75,000  83,063 
Wind Acquisition Finance SA 144A company guaranty sr. notes     
7 1/4s, 2018 (Luxembourg)  355,000  337,250 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017     
(Luxembourg)  370,000  348,725 
Windstream Corp. company guaranty sr. unsec. unsub. notes     
8 1/8s, 2018  85,000  91,800 
Windstream Corp. company guaranty sr. unsec. unsub. notes     
7 7/8s, 2017  385,000  430,238 
Windstream Corp. company guaranty sr. unsec. unsub. notes     
7 3/4s, 2021  165,000  177,788 
    27,859,598 
Consumer cyclicals (3.1%)     
Academy, Ltd./Academy Finance Corp. 144A company     
guaranty sr. unsec. notes 9 1/4s, 2019  35,000  38,675 
ADT Corp./The 144A company guaranty sr. unsec notes     
4 7/8s, 2042  380,000  410,217 
ADT Corp./The 144A company guaranty sr. unsec notes     
3 1/2s, 2022  530,000  546,079 
Advance Auto Parts, Inc. company guaranty sr. unsec. notes     
5 3/4s, 2020  440,000  508,964 
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes     
11 5/8s, 2015  240,000  163,200 
Affinion Group, Inc. company guaranty sr. unsec. notes     
7 7/8s, 2018  315,000  257,513 
Affinion Group, Inc. company guaranty sr. unsec. sub. notes     
11 1/2s, 2015  215,000  178,450 
AMC Entertainment, Inc. company guaranty sr. sub. notes     
9 3/4s, 2020  420,000  473,025 
American Casino & Entertainment Properties LLC sr. notes     
11s, 2014  304,000  316,160 
American Media, Inc. 144A notes 13 1/2s, 2018  14,107  13,049 
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016 ‡‡  105,000  107,626 
Ashtead Capital, Inc. 144A company guaranty sr. notes     
6 1/2s, 2022  105,000  110,250 
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018  90,000  101,138 
Autonation, Inc. company guaranty sr. unsec. unsub. notes     
5 1/2s, 2020  70,000  74,813 
Beazer Homes USA, Inc. company guaranty sr. unsec. notes     
6 7/8s, 2015  230,000  231,150 
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub.     
notes 9 1/8s, 2018  35,000  35,350 

 

Dynamic Asset Allocation Balanced Fund  51 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019  $105,000  $105,525 
Beazer Homes USA, Inc. sr. unsec. notes company guaranty     
8 1/8s, 2016  125,000  130,625 
Beazer Homes USA, Inc. 144A company     
guaranty sr. notes 6 5/8s, 2018  125,000  133,594 
Bon-Ton Department Stores, Inc. (The) 144A company guaranty     
sr. notes 10 5/8s, 2017  395,000  356,488 
Building Materials Corp. 144A company guaranty sr. notes     
7 1/2s, 2020  240,000  262,200 
Building Materials Corp. 144A sr. notes 7s, 2020  95,000  103,075 
Building Materials Corp. 144A sr. notes 6 7/8s, 2018  110,000  117,975 
Building Materials Corp. 144A sr. notes 6 3/4s, 2021  95,000  104,025 
Burlington Coat Factory Warehouse Corp. company guaranty     
sr. unsec. notes 10s, 2019  205,000  226,781 
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017  1,070,000  1,150,250 
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019  120,000  129,000 
CBS Corp. company guaranty sr. unsec. debs. notes 7 7/8s, 2030  205,000  278,838 
CBS Corp. sr. unsec. unsub. notes 4 1/2s, 2021  430,000  488,333 
CCM Merger, Inc. 144A company guaranty sr. unsec. notes     
9 1/8s, 2019  170,000  171,275 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management     
Corp. company guaranty sr. unsec. notes 9 1/8s, 2018  45,000  51,131 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018  230,000  217,925 
Choice Hotels International, Inc. company guaranty sr. unsec.     
unsub. notes 5 3/4s, 2022  95,000  103,550 
Choice Hotels International, Inc. company guaranty sr. unsec.     
unsub. notes 5.7s, 2020  345,000  372,600 
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes     
8 1/4s, 2021  375,000  399,375 
Cinemark USA, Inc. company guaranty sr. unsec. notes     
8 5/8s, 2019  85,000  94,350 
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes     
7 3/8s, 2021  125,000  139,063 
CityCenter Holdings LLC/CityCenter Finance Corp. company     
guaranty 10 3/4s, 2017 ‡‡  442,672  472,552 
Clear Channel Communications, Inc. company guaranty sr. notes     
9s, 2021  280,000  249,200 
Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014  125,000  112,500 
Clear Channel Worldwide Holdings, Inc. company guaranty     
sr. unsec notes 7 5/8s, 2020  345,000  337,238 
Clear Channel Worldwide Holdings, Inc. company guaranty     
sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017  340,000  366,350 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015  195,000  202,313 
Cumulus Media Holdings, Inc. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2019  330,000  320,925 
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company     
guaranty sr. unsec. notes 6.35s, 2040  70,000  81,513 
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company     
guaranty sr. unsec. unsub. notes 5 7/8s, 2019  240,000  282,300 

 

52  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
DR Horton, Inc. company guaranty sr. unsec. unsub. notes       
4 3/8s, 2022    $95,000  $94,406 
Entercom Radio, LLC company guaranty sr. unsec. sub. notes       
10 1/2s, 2019    245,000  267,050 
Expedia, Inc. company guaranty sr. unsec. unsub. notes       
5.95s, 2020    535,000  590,093 
FelCor Lodging LP company guaranty sr. notes 10s, 2014 R    356,000  408,510 
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R    375,000  402,188 
Ford Motor Co. sr. unsec. unsub. bonds 7.7s, 2097    295,000  334,088 
Ford Motor Co. sr. unsec. unsub. notes 7.4s, 2046    235,000  282,000 
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020    355,000  445,756 
Ford Motor Credit Co., LLC sr. unsec. notes 4 1/4s, 2022    1,220,000  1,250,206 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021    470,000  532,485 
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015    320,000  346,800 
Gray Television, Inc. 144A company guaranty sr. unsec. notes       
7 1/2s, 2020    160,000  159,200 
Great Canadian Gaming Corp. 144A company guaranty sr. unsec.       
notes 6 5/8s, 2022 (Canada)  CAD  330,000  346,300 
Hanesbrands, Inc. company guaranty sr. unsec. notes       
6 3/8s, 2020    $190,000  206,150 
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019    235,000  256,150 
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016    385,000  445,433 
Host Hotels & Resorts LP company guaranty sr. unsec. unsub.       
notes 4 3/4s, 2023 R    65,000  67,600 
Interactive Data Corp. company guaranty sr. unsec. notes       
10 1/4s, 2018    515,000  576,800 
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub.       
notes 7 3/4s, 2019    205,000  220,375 
Isle of Capri Casinos, Inc. 144A company guaranty sr. sub. notes       
8 7/8s, 2020    165,000  174,075 
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1,       
7 1/2s, 2020  EUR  50,000  68,946 
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017    $360,000  409,500 
Johnson Controls, Inc. sr. unsec. notes 5.7s, 2041    75,000  89,402 
K Hovnanian Enterprises, Inc. 144A company guaranty notes       
9 1/8s, 2020    65,000  65,325 
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020    145,000  147,900 
KB Home company guaranty sr. unsec. unsub. notes 7 1/2s, 2022    25,000  26,625 
Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018    65,000  71,825 
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022    145,000  154,425 
Lender Processing Services, Inc. company guaranty sr. unsec.       
unsub. notes 8 1/8s, 2016    1,053,000  1,100,385 
Lender Processing Services, Inc. company guaranty sr. unsec.       
unsub. notes 5 3/4s, 2023    255,000  255,000 
Lennar Corp. 144A company guaranty sr. notes 4 3/4s, 2017    70,000  72,275 
Liberty Interactive, LLC debs. 8 1/4s, 2030    245,000  258,475 
Limited Brands, Inc. company guaranty sr. unsec. notes       
6 5/8s, 2021    235,000  267,313 
Limited Brands, Inc. sr. notes 5 5/8s, 2022    105,000  112,744 

 

Dynamic Asset Allocation Balanced Fund  53 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018  $415,000  $448,719 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec. notes     
5.9s, 2016  255,000  297,745 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec. notes     
5 1/8s, 2042  255,000  277,998 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec. notes     
3 7/8s, 2022  120,000  129,084 
Marriott International, Inc. sr. unsec. unsub notes 3s, 2019  530,000  542,533 
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s,     
2015 (In default) †  255,000  22,950 
Masonite International Corp., 144A company guaranty sr. notes     
8 1/4s, 2021 (Canada)  280,000  295,400 
MGM Resorts International company guaranty sr. notes 9s, 2020  25,000  27,906 
MGM Resorts International company guaranty sr. unsec. notes     
6 7/8s, 2016  95,000  99,275 
MGM Resorts International company guaranty sr. unsec. notes     
6 5/8s, 2015  130,000  139,100 
MGM Resorts International company guaranty sr. unsec. unsub.     
notes 7 3/4s, 2022  135,000  140,738 
MGM Resorts International sr. notes 10 3/8s, 2014  30,000  33,750 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 8 5/8s, 2019  140,000  152,600 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 6 3/4s, 2020  155,000  155,000 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  180,000  188,568 
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 ‡‡  666,616  701,613 
Navistar International Corp. sr. notes 8 1/4s, 2021  548,000  520,600 
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019  205,000  209,100 
News America Holdings, Inc. company guaranty sr. unsec. debs.     
7 3/4s, 2024  350,000  450,673 
News America Holdings, Inc. debs. 7 3/4s, 2045  510,000  683,477 
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty     
sr. unsec. notes 7 3/4s, 2018 (Netherlands)  75,000  84,563 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes     
4 1/2s, 2020 (Netherlands)  110,000  109,175 
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018  295,000  325,975 
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021  105,000  111,825 
Owens Corning company guaranty sr. unsec. notes 9s, 2019  670,000  842,525 
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019  145,000  162,400 
Penske Automotive Group, Inc. 144A company guaranty sr. sub.     
notes 5 3/4s, 2022  195,000  199,875 
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes     
9 1/4s, 2018  145,000  159,500 
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes     
8 5/8s, 2017  40,000  43,700 
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017  275,000  316,250 
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes     
7 7/8s, 2032  200,000  208,000 
QVC Inc. 144A sr. notes 7 3/8s, 2020  155,000  172,321 

 

54  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014  $85,000  $88,400 
Realogy Corp. company guaranty sr. unsec. sub. notes     
12 3/8s, 2015  130,000  133,900 
Realogy Corp. company guaranty sr. unsec. unsub. notes     
11 1/2s, 2017  380,000  407,550 
Realogy Corp. 144A company guaranty sr. notes 9s, 2020  55,000  59,675 
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019  80,000  84,000 
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020  55,000  60,638 
Regal Entertainment Group company guaranty sr. unsec. notes     
9 1/8s, 2018  295,000  329,663 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.     
144A sr. notes 9 1/2s, 2019  195,000  208,163 
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018  300,000  348,000 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  320,000  317,600 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  90,000  89,325 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016  400,000  406,000 
Sabre, Inc. 144A sr. notes 8 1/2s, 2019  220,000  227,150 
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s,     
2019 (Germany)  495,000  550,688 
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub.     
notes 6 5/8s, 2020  210,000  226,275 
Sealy Mattress Co. 144A company guaranty sr. notes     
10 7/8s, 2016  105,000  114,713 
Sears Holdings Corp. company guaranty 6 5/8s, 2018  120,000  111,900 
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022  90,000  90,225 
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022  55,000  54,588 
Spectrum Brands Holdings, Inc. Company guaranty sr. notes     
9 1/2s, 2018  155,000  174,763 
Spectrum Brands Holdings, Inc. 144A company guaranty sr. notes     
9 1/2s, 2018  110,000  124,025 
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020  195,000  201,338 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP     
Gaming Finance Corp. 144A notes 8 5/8s, 2016  45,000  48,263 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. notes 7 3/4s, 2020  65,000  69,225 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A sr. notes 7 3/4s, 2020  345,000  367,425 
Time Warner, Inc. company guaranty sr. unsec. notes 4.7s, 2021  390,000  447,628 
Time Warner, Inc. company guaranty sr. unsec. notes 3.15s, 2015  80,000  85,374 
Time Warner, Inc. debs. 9.15s, 2023  25,000  35,811 
Toyota Motor Credit Corp. sr. unsec. unsub. notes 3.3s, 2022  675,000  726,571 
Toys R Us — Delaware, Inc. 144A company guaranty sr. notes     
7 3/8s, 2016  65,000  66,138 
Toys R Us Property Co., LLC company guaranty sr. unsec. notes     
10 3/4s, 2017  555,000  604,950 
Toys R Us, Inc. 144A sr. unsec. notes 10 3/8s, 2017  70,000  71,313 
Travelport, LLC company guaranty sr. unsec. sub. notes     
11 7/8s, 2016  50,000  18,875 

 

Dynamic Asset Allocation Balanced Fund  55 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Travelport, LLC company guaranty sr. unsec. unsub. notes       
9 7/8s, 2014    $80,000  $64,000 
Travelport, LLC 144A sr. notes 6.362s, 2016 ‡‡    46,000  34,960 
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec.       
notes 9s, 2016    119,000  85,085 
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes       
Ser. REGS, 6 3/8s, 2014  EUR  140,000  189,464 
TRW Automotive, Inc. 144A company guaranty sr. unsec. unsub.       
notes 7s, 2014    $370,000  394,050 
Univision Communications, Inc. 144A company guaranty       
sr. unsec. notes 8 1/2s, 2021    240,000  243,600 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037    844,000  1,209,152 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 5s, 2040    50,000  60,632 
Walt Disney Co. (The) sr. unsec. notes 2 3/4s, 2021    165,000  173,131 
Walt Disney Co. (The) sr. unsec. unsub. notes 4 3/8s, 2041    65,000  74,720 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company       
guaranty 1st mtge. notes 7 3/4s, 2020    55,000  61,188 
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018    300,000  331,500 
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s,       
2016 (no set date to PIK expiration) ‡‡    185,000  191,475 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016    498,000  537,840 
      40,486,220 
Consumer staples (1.4%)       
Altria Group, Inc. company guaranty sr. unsec. notes 9.7s, 2018    105,000  150,392 
Altria Group, Inc. company guaranty sr. unsec. notes 9 1/4s, 2019    14,000  19,879 
Altria Group, Inc. company guaranty sr. unsec. unsub. notes       
2.85s, 2022    560,000  555,848 
Anheuser-Busch InBev Worldwide, Inc. company guaranty unsec.       
unsub. notes 5 3/8s, 2020    325,000  403,543 
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.       
notes 9 3/4s, 2020    80,000  91,400 
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.       
notes 9 5/8s, 2018    70,000  77,700 
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.       
notes 8 1/4s, 2019    65,000  70,769 
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.       
notes 7 3/4s, 2016    126,000  129,624 
Bunge Ltd., Finance Corp. company guaranty sr. unsec. notes       
8 1/2s, 2019    27,000  34,209 
Bunge Ltd., Finance Corp. company guaranty unsec. unsub. notes       
4.1s, 2016    253,000  270,111 
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018    175,000  203,000 
Carrols Restaurant Group, Inc. 144A company guaranty sr. notes       
11 1/4s, 2018    70,000  76,300 
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016 ‡‡    170,920  186,303 
Claire’s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019    180,000  165,600 
Claire’s Stores, Inc. 144A company guaranty sr. unsec. notes       
9 5/8s, 2015    229,929  208,661 
Claire’s Stores, Inc. 144A sr. notes 9s, 2019    380,000  393,300 

 

56  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer staples cont.       
Constellation Brands, Inc. company guaranty sr. unsec. unsub.       
notes 7 1/4s, 2016    $350,000  $400,750 
Constellation Brands, Inc. company guaranty sr. unsec. unsub.       
notes 6s, 2022    110,000  125,125 
Constellation Brands, Inc. company guaranty sr. unsec. unsub.       
notes 4 5/8s, 2023    55,000  55,825 
Corrections Corporation of America company guaranty sr. notes       
7 3/4s, 2017    570,000  609,900 
Darden Restaurants, Inc. sr. unsec. unsub. notes 6.8s, 2037    425,000  521,920 
Dave & Buster’s, Inc. company guaranty sr. unsec. unsub. notes       
11s, 2018    295,000  333,350 
Dean Foods Co. company guaranty sr. unsec. unsub. notes       
9 3/4s, 2018    75,000  85,500 
Dean Foods Co. company guaranty sr. unsec. unsub. notes       
7s, 2016    290,000  313,200 
Del Monte Corp. company guaranty sr. unsec. notes 7 5/8s, 2019    100,000  102,500 
Delhaize Group company guaranty sr. unsec notes 5.7s, 2040       
(Belgium)    180,000  160,149 
Delhaize Group company guaranty sr. unsec notes 4 1/8s, 2019       
(Belgium)    140,000  135,241 
Delhaize Group company guaranty sr. unsec. unsub. bonds 5 7/8s,       
2014 (Belgium)    310,000  325,695 
Diageo Capital PLC company guaranty sr. unsec. unsub. notes       
5 3/4s, 2017 (United Kingdom)    390,000  476,102 
Diageo Investment Corp. company guaranty sr. unsec. debs.       
8s, 2022    165,000  236,622 
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018    285,000  321,338 
Dole Food Co. sr. notes 13 7/8s, 2014    88,000  99,000 
Dole Food Co. 144A sr. notes 8s, 2016    190,000  198,788 
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021    240,000  268,800 
General Mills, Inc. sr. unsec. notes 5.65s, 2019    170,000  206,950 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013    492,000  510,707 
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018    95,000  102,600 
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015       
(Netherlands)  EUR  250,000  346,353 
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec.       
notes 11 5/8s, 2014    $325,000  364,813 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes       
8 1/4s, 2020    85,000  84,788 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes       
7 1/4s, 2021    35,000  32,550 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec. unsub.       
notes 6 1/2s, 2040    420,000  572,501 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec. unsub.       
notes 5s, 2042    75,000  83,668 
Kraft Foods, Inc. sr. unsec. notes 6 1/2s, 2017    27,000  33,196 
Kroger Co. company guaranty sr. unsec. unsub. notes 6.4s, 2017    118,000  142,801 
Kroger Co. sr. notes 6.15s, 2020    40,000  48,898 
Landry’s Acquisition Co. 144A sr. unsec. notes 9 3/8s, 2020    145,000  152,250 

 

Dynamic Asset Allocation Balanced Fund  57 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Consumer staples cont.     
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020  $140,000  $150,500 
McDonald’s Corp. sr. unsec. bonds 6.3s, 2037  302,000  428,620 
McDonald’s Corp. sr. unsec. notes 5.7s, 2039  393,000  528,860 
Michael Foods, Inc. company guaranty sr. unsec. notes     
9 3/4s, 2018  125,000  139,375 
Molson Coors Brewing Co. company guaranty sr. unsec. unsub.     
notes 5s, 2042  380,000  424,546 
PepsiCo, Inc. sr. unsec. notes 7.9s, 2018  346,000  469,080 
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022  90,000  95,625 
Prestige Brands, Inc. company guaranty sr. unsec. notes     
8 1/4s, 2018  315,000  346,500 
Revlon Consumer Products Corp. company guaranty notes     
9 3/4s, 2015  545,000  576,338 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017  225,000  231,188 
Rite Aid Corp. company guaranty sr. unsec. unsub. notes     
9 1/2s, 2017  737,000  758,189 
Rite Aid Corp. company guaranty sr. unsec. unsub. notes     
9 1/4s, 2020  205,000  210,125 
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020  80,000  90,800 
SABMiller Holdings, Inc. 144A company guaranty sr. unsec. notes     
4.95s, 2042  270,000  314,208 
Service Corporation International sr. notes 7s, 2019  115,000  127,075 
Service Corporation International sr. unsec. unsub. notes     
6 3/4s, 2016  645,000  720,788 
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022  185,000  191,938 
Stewart Enterprises, Inc. company guaranty sr. unsec. notes     
6 1/2s, 2019  200,000  215,000 
Tyson Foods, Inc. company guaranty sr. unsec. unsub. notes     
6.85s, 2016  495,000  568,013 
UR Financing Escrow Corp. 144A company guaranty notes     
5 3/4s, 2018  70,000  73,938 
UR Financing Escrow Corp. 144A sr. unsec. notes 7 5/8s, 2022  105,000  114,975 
UR Merger Sub Corp. company guaranty sr. unsec. unsub. notes     
9 1/4s, 2019  365,000  411,538 
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018  110,000  115,500 
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  155,000  159,650 
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020  65,000  69,875 
WPP Finance UK company guaranty sr. unsec. notes 8s, 2014     
(United Kingdom)  235,000  263,807 
    18,284,570 
Energy (2.2%)     
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. notes 5 7/8s, 2021  105,000  109,988 
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2022  80,000  84,600 
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes     
6 1/4s, 2021  80,000  66,400 
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes     
6s, 2019  165,000  139,425 

 

58  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Energy cont.       
AmeriGas Finance, LLC/AmeriGas Finance Corp. company       
guaranty sr. unsec. notes 7s, 2022    $180,000  $193,500 
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes       
Ser. B, 7 1/2s, 2031    700,000  937,265 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016    180,000  209,262 
Anadarko Petroleum Corp. sr. unsec. unsub. notes 6.95s, 2019    215,000  269,346 
Apache Corp. sr. unsec. unsub notes 3 1/4s, 2022    350,000  376,231 
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020    40,000  33,600 
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019    220,000  184,800 
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A       
company guaranty sr. notes 6 5/8s, 2020    80,000  81,400 
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015       
(In default) †    120,000  22,800 
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020    125,000  133,750 
Aurora USA Oil & Gas Inc 144A sr. notes 9 7/8s, 2017    195,000  208,650 
BP Capital Markets PLC company guaranty sr. unsec. unsub.       
notes 3.2s, 2016 (United Kingdom)    885,000  949,444 
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s,       
2017 (Canada)    650,000  772,534 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2018    450,000  482,625 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes       
7 1/2s, 2020    65,000  66,463 
Cenovus Energy, Inc. sr. unsec. unsub. notes 4.45s, 2042 (Canada)    760,000  789,383 
Chaparral Energy, Inc. company guaranty sr. unsec. notes       
9 7/8s, 2020    200,000  226,000 
Chaparral Energy, Inc. company guaranty sr. unsec. notes       
8 1/4s, 2021    230,000  248,400 
Chesapeake Energy Corp. company guaranty sr. unsec. bonds       
6 1/4s, 2017  EUR  50,000  65,662 
Chesapeake Energy Corp. company guaranty sr. unsec. unsub.       
notes 6.775s, 2019    $50,000  50,125 
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield       
Finance, Inc. 144A company guaranty sr. unsec. unsub. notes       
6 5/8s, 2019    260,000  249,600 
Concho Resources, Inc. company guaranty sr. unsec. notes       
6 1/2s, 2022    275,000  302,500 
Concho Resources, Inc. company guaranty sr. unsec. unsub.       
notes 5 1/2s, 2023    65,000  67,925 
Concho Resources, Inc. company guaranty sr. unsec. unsub.       
notes 5 1/2s, 2022    110,000  114,675 
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)    105,000  90,300 
CONSOL Energy, Inc. company guaranty sr. unsec. notes       
8 1/4s, 2020    525,000  549,938 
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017    310,000  323,950 
Continental Resources, Inc. company guaranty sr. unsec notes       
5s, 2022    235,000  244,988 
Continental Resources, Inc. 144A company guaranty sr. unsec.       
unsub. notes 5s, 2022    195,000  203,775 

 

Dynamic Asset Allocation Balanced Fund  59 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Energy cont.     
Crosstex Energy LP/Crosstex Energy Finance Corp. company     
guaranty sr. unsec. notes 8 7/8s, 2018  $320,000  $342,400 
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 7 1/8s, 2022  80,000  79,600 
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes     
8 1/4s, 2020  339,000  381,375 
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes     
6 3/8s, 2021  50,000  54,250 
EXCO Resources, Inc. company guaranty sr. unsec. notes     
7 1/2s, 2018  580,000  539,400 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes     
9 1/8s, 2017  145,000  155,513 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes     
6 1/2s, 2021  145,000  140,288 
Forbes Energy Services Ltd. company guaranty sr. unsec. notes     
9s, 2019  200,000  194,000 
FTS International Services, LLC/FTS International Bonds, Inc.     
144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018  265,000  282,225 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes     
8.146s, 2018 (Russia)  324,000  396,372 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes     
6.51s, 2022 (Russia)  507,000  595,979 
Gazprom Via OAO White Nights Finance BV notes 10 1/2s,     
2014 (Russia)  1,000,000  1,118,640 
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 8 7/8s, 2019  425,000  411,188 
Hercules Offshore, Inc. 144A company guaranty sr. notes     
7 1/8s, 2017  20,000  20,800 
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017  245,000  258,169 
Hiland Partners LP / Hiland Partners Finance Corp. 144A company     
guaranty sr. notes 7 1/4s, 2020  105,000  109,200 
Kerr-McGee Corp. company guaranty sr. unsec. unsub. notes     
7 7/8s, 2031  70,000  93,978 
Key Energy Services, Inc. company guaranty unsec. unsub. notes     
6 3/4s, 2021  245,000  248,675 
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes     
6 3/4s, 2021  55,000  55,550 
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019  370,000  392,200 
Laredo Petroleum, Inc. company guaranty sr. unsec. notes     
7 3/8s, 2022  80,000  86,400 
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes     
9 1/2s, 2019  355,000  402,038 
Lone Pine Resources Canada, Ltd. 144A company guaranty     
sr. notes 10 3/8s, 2017 (Canada)  100,000  92,000 
Marathon Petroleum Corp. sr. unsec. unsub. notes 6 1/2s, 2041  170,000  208,257 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6 1/2s, 2021 (Canada)  205,000  219,350 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6 3/8s, 2023 (Canada)  80,000  85,400 
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016  275,000  195,250 

 

60  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Energy cont.     
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022  $210,000  $233,625 
Noble Holding International, Ltd. company guaranty sr. unsec.     
notes 6.05s, 2041  510,000  593,044 
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes     
8s, 2020  200,000  206,000 
Oasis Petroleum, Inc. company guaranty sr. unsec. notes     
6 7/8s, 2023  140,000  148,225 
Offshore Group Investment, Ltd. company guaranty sr. notes     
11 1/2s, 2015 (Cayman Islands)  460,000  508,300 
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018  345,000  376,050 
Peabody Energy Corp. company guaranty sr. unsec. notes     
7 3/8s, 2016  405,000  458,663 
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes     
6 1/2s, 2020  25,000  25,563 
Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018  190,000  190,000 
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020     
(Canada)  410,000  426,400 
Petrohawk Energy Corp. company guaranty sr. unsec. notes     
7 1/4s, 2018  445,000  505,557 
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)  1,980,000  1,789,366 
Plains Exploration & Production Co. company guaranty sr. unsec.     
notes 6 3/4s, 2022  390,000  395,850 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  375,000  378,750 
Range Resources Corp. company guaranty sr. sub. notes     
6 3/4s, 2020  110,000  121,000 
Range Resources Corp. company guaranty sr. unsec. sub. notes     
5s, 2022  95,000  100,225 
Rosetta Resources, Inc. company guaranty sr. unsec. notes     
9 1/2s, 2018  315,000  348,075 
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016  810,000  874,800 
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020  520,000  535,600 
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes     
7 1/2s, 2021  60,000  61,800 
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub.     
notes 8s, 2018  135,000  141,750 
Shell International Finance BV company guaranty sr. unsec. notes     
3.1s, 2015 (Netherlands)  570,000  609,340 
SM Energy Co. sr. unsec. notes 6 5/8s, 2019  125,000  131,875 
SM Energy Co. sr. unsec. notes 6 1/2s, 2021  110,000  116,600 
SM Energy Co. 144A sr. notes 6 1/2s, 2023  40,000  42,100 
Spectra Energy Capital, LLC sr. notes 8s, 2019  250,000  327,657 
Statoil ASA company guaranty sr. unsec. notes 5.1s, 2040     
(Norway)  235,000  291,620 
Suburban Propane Partners LP/Suburban Energy Finance Corp.     
144A sr. unsec. notes 7 3/8s, 2021  195,000  208,163 
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada)  55,000  59,400 
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021  75,000  77,625 
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021  135,000  139,388 

 

Dynamic Asset Allocation Balanced Fund  61 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Energy cont.     
Weatherford Bermuda company guaranty sr. unsec. notes     
9 7/8s, 2039  $440,000  $636,892 
Weatherford International, Inc. company guaranty sr. unsec.     
unsub. notes 6.8s, 2037  110,000  120,405 
Weatherford International, Inc. company guaranty sr. unsec.     
unsub. notes 6.35s, 2017  130,000  151,356 
Whiting Petroleum Corp. company guaranty 7s, 2014  385,000  410,025 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  14,000  17,908 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  39,000  51,134 
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022  85,000  91,375 
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017  325,000  351,000 
    28,260,307 
Financials (3.8%)     
Abbey National Treasury Service bank guaranty sr. unsec. unsub.     
notes FRN 2.028s, 2014 (United Kingdom)  285,000  282,860 
ABN Amro Bank NV 144A sr. unsec. notes 4 1/4s, 2017     
(Netherlands)  955,000  1,024,409 
ACE Cash Express, Inc. 144A sr. notes 11s, 2019  145,000  136,300 
Aflac, Inc. sr. unsec. notes 8 1/2s, 2019  535,000  716,577 
Aflac, Inc. sr. unsec. notes 6.9s, 2039  450,000  583,111 
Air Lease Corp. 144A sr. notes 5 5/8s, 2017  205,000  209,613 
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017  210,000  227,133 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes     
8.3s, 2015  160,000  177,200 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes     
8s, 2020  140,000  163,800 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes     
7 1/2s, 2020  140,000  160,650 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes     
5 1/2s, 2017  85,000  88,613 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN     
2.618s, 2014  177,000  174,789 
Ally Financial, Inc. unsec. sub. notes 8s, 2018  155,000  174,375 
American Express Co. sr. unsec. notes 8 1/8s, 2019  870,000  1,176,967 
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068  464,000  567,820 
American International Group, Inc. sr. unsec. Ser. MTN, 5.85s, 2018  901,000  1,045,736 
American International Group, Inc. sr. unsec. unsub. notes     
4 1/4s, 2014  640,000  675,956 
Associates Corp. of North America sr. unsec. notes 6.95s, 2018  386,000  464,133 
AXA SA 144A jr. unsec. sub. notes FRN 6.463s, 2049 (France)  505,000  463,338 
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017  440,000  506,245 
Bank of America Corp. sr. unsec. unsub notes 5 7/8s, 2042  315,000  366,152 
Bank of America Corp. sr. unsec. unsub. notes 6 1/2s, 2016  240,000  277,562 
Bank of America NA sub. notes Ser. BKNT, 5.3s, 2017  250,000  277,611 
Bank of Montreal sr. unsec. unsub. bonds 2 1/8s, 2013 (Canada)  390,000  395,212 
Bank of New York Mellon Corp. (The) sr. unsec. unsub notes     
1.969s, 2017  615,000  634,638 
Bank of New York Mellon Corp. (The) 144A sr. unsec. notes     
Ser. MTN, 2 1/2s, 2016  20,000  20,952 

 

62  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Financials cont.     
Barclays Bank PLC jr. unsec. sub. notes FRN 6.278s, 2049     
(United Kingdom)  $230,000  $212,750 
Barclays Bank PLC 144A sub. notes 10.179s, 2021     
(United Kingdom)  270,000  350,765 
Barclays Bank PLC 144A unsec. sub. notes 6.05s, 2017     
(United Kingdom)  980,000  1,054,547 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s, 2018  240,000  299,485 
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 5.7s, 2014  330,000  361,377 
BNP Paribas SA sr. unsec. notes Ser. MTN, 2 3/8s, 2017 (France)  240,000  240,179 
BNP Paribas SA 144A jr. unsec. sub. notes FRN 7.195s, 2049     
(France)  100,000  94,550 
BNP Paribas SA 144A jr. unsec. sub. notes FRN 5.186s, 2049     
(France)  446,000  410,320 
Camden Property Trust sr. unsec. notes 4 7/8s, 2023 R  390,000  447,744 
Capital One Capital IV company guaranty jr. unsec. sub. notes     
FRN 6.745s, 2037  570,000  572,850 
Capital One Capital V company guaranty jr. unsec. sub. notes     
10 1/4s, 2039  174,000  179,220 
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes     
6 5/8s, 2020  85,000  92,863 
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub.     
notes 11 5/8s, 2017  265,000  296,800 
CIT Group, Inc. sr. unsec. notes 5s, 2022  210,000  218,485 
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020  170,000  184,025 
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018  225,000  241,313 
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017  135,000  144,113 
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018  305,000  346,175 
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019  210,000  227,325 
Citigroup, Inc. sub. notes 5s, 2014  599,000  631,777 
Citigroup, Inc. unsec. sub. notes 6 5/8s, 2032  482,000  551,997 
Citigroup, Inc. unsec. sub. notes 6 1/8s, 2036  820,000  890,399 
CNO Financial Group, Inc. 144A company guaranty sr. notes     
9s, 2018  145,000  169,288 
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019  255,000  248,625 
Duke Realty LP sr. unsec. notes 6 1/2s, 2018 R  411,000  477,246 
E*Trade Financial Corp. sr. notes 6 3/4s, 2016  180,000  189,450 
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017  120,000  136,350 
GATX Financial Corp. notes 5.8s, 2016  120,000  128,523 
GE Capital Trust I unsec. sub. bonds FRB 6 3/8s, 2067  975,000  1,029,844 
General Electric Capital Corp. sr. unsec. FRN Ser. MTN,     
0.638s, 2016  600,000  582,963 
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032  805,000  1,031,224 
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019  990,000  1,225,224 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037  164,000  176,188 
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub     
notes 5 1/8s, 2022  205,000  229,211 
HCP, Inc. sr. unsec. unsub. notes 3.15s, 2022 R  425,000  412,808 
Health Care REIT, Inc. sr. unsec. notes 4 1/8s, 2019 R  470,000  501,077 

 

Dynamic Asset Allocation Balanced Fund  63 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Financials cont.     
Highwood Realty LP sr. unsec. bonds 5.85s, 2017 R  $340,000  $373,212 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  700,000  688,625 
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021  879,000  1,019,392 
Hub International Ltd. 144A company guaranty sr. notes     
8 1/8s, 2018  85,000  86,700 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.     
company guaranty sr. unsec. notes 8s, 2018  585,000  627,413 
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019  65,000  70,038 
International Lease Finance Corp. sr. unsec. unsub. notes     
5 7/8s, 2022  245,000  252,963 
International Lease Finance Corp. sr. unsec. unsub. notes     
4 7/8s, 2015  439,000  454,365 
iStar Financial, Inc. sr. unsec. unsub. notes 9s, 2017 R  185,000  198,413 
JPMorgan Chase & Co. sr. notes 6s, 2018  1,282,000  1,528,482 
JPMorgan Chase Bank NA sub. notes Ser. BKNT, 6s, 2017  330,000  390,514 
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec.     
sub. bonds 7.8s, 2037  210,000  227,850 
Macquarie Bank Ltd. 144A sr. unsec. notes 3.45s, 2015 (Australia)  200,000  202,924 
Merrill Lynch & Co., Inc. sr. unsec. notes Ser. MTN, 6 7/8s, 2018  1,470,000  1,761,228 
MetLife Capital Trust IV 144A jr. sub. debs. 7 7/8s, 2037  300,000  354,000 
MetLife, Inc. sr. unsec. 6 3/4s, 2016  130,000  155,599 
Metropolitan Life Global Funding I 144A notes 3.65s, 2018  1,255,000  1,365,821 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. notes 6 7/8s, 2021 R  115,000  125,350 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R  140,000  150,500 
National Money Mart Co. company guaranty sr. unsec. unsub.     
notes 10 3/8s, 2016 (Canada)  120,000  134,100 
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A     
company guaranty sr. unsec. notes 9 5/8s, 2019  60,000  65,550 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  125,000  132,283 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  210,000  253,415 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 7/8s, 2022  155,000  165,850 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 5/8s, 2020  105,000  111,300 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020  55,000  54,725 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017  125,000  124,063 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  520,000  542,486 
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016  215,000  246,713 
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019  165,000  176,756 
Primerica, Inc. sr. unsec. unsub notes 4 3/4s, 2022  375,000  401,425 
Progressive Corp. (The) jr. unsec. sub. notes FRN 6.7s, 2037  405,000  437,400 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/4s, 2017  155,000  166,625 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/8s, 2019  140,000  144,200 
Prudential Covered Trust 2012-1 144A company guaranty mtge.     
notes 2.997s, 2015  445,000  462,321 

 

64  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Financials cont.     
Prudential Financial, Inc. jr. unsec. sub. notes FRN 8 7/8s, 2038  $225,000  $272,250 
Rayonier, Inc. company guaranty sr. unsec. unsub. notes     
3 3/4s, 2022 R  185,000  191,479 
Residential Capital LLC company guaranty jr. notes 9 5/8s,     
2015 (In default) †  330,000  330,825 
Royal Bank of Scotland PLC (The) bank guaranty sr. unsec.     
unsub. notes 3.95s, 2015 (United Kingdom)  475,000  503,597 
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A     
notes 7 1/8s, 2014 (Russia)  110,000  116,391 
Santander Holdings USA, Inc. sr. unsec. unsub. notes 4 5/8s, 2016  129,000  135,143 
Santander Issuances S.A. Unipersonal 144A bank guaranty unsec.     
sub. notes 5.911s, 2016 (Spain)  600,000  591,000 
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s,     
2022 (Luxembourg)  225,000  247,216 
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s,     
2017 (Luxembourg)  350,000  367,500 
Simon Property Group LP sr. unsec. unsub notes 3 3/8s, 2022 R  50,000  52,496 
Simon Property Group LP sr. unsec. unsub. notes 5 1/4s, 2016 R  147,000  168,409 
SLM Corp. sr. notes Ser. MTN, 8s, 2020  220,000  254,100 
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018  135,000  158,114 
State Street Capital Trust IV company guaranty jr. unsec. sub.     
bonds FRB 1.389s, 2037  475,000  350,167 
Vnesheconombank Via VEB Finance PLC 144A bank guaranty,     
sr. unsec. unsub. bonds 6.8s, 2025 (Russia)  1,900,000  2,232,671 
Vornado Realty LP sr. unsec. unsub. notes 4 1/4s, 2015 R  405,000  427,998 
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia)  500,000  531,450 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes     
6 7/8s, 2018 (Russia)  1,800,000  1,937,340 
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017  250,000  301,480 
Wachovia Corp. sr. unsec. notes 5 3/4s, 2017  105,000  125,852 
Westpac Banking Corp. sr. unsec. bonds 3s, 2015 (Australia)  75,000  79,450 
Westpac Banking Corp. sr. unsec. notes 4 7/8s, 2019 (Australia)  485,000  553,406 
Westpac Capital Trust III 144A unsec. sub. notes FRN 5.819s,     
perpetual maturity  295,000  293,313 
Willis Group North America, Inc. company guaranty 6.2s, 2017  70,000  79,771 
ZFS Finance USA Trust V 144A bonds FRB 6 1/2s, 2037  422,000  436,770 
    49,969,621 
Health care (1.0%)     
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016  288,000  339,298 
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037  286,000  378,921 
Amgen, Inc. sr. unsec. notes 3.45s, 2020  730,000  770,370 
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037     
(United Kingdom)  422,000  577,367 
Aviv Healthcare Properties LP company guaranty sr. unsec. notes     
7 3/4s, 2019  215,000  227,900 
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020  280,000  290,150 
Capella Healthcare, Inc. company guaranty sr. unsec. notes     
9 1/4s, 2017  295,000  314,544 

 

Dynamic Asset Allocation Balanced Fund  65 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Health care cont.       
Capsugel FinanceCo SCA 144A company guaranty sr. unsec.       
notes 9 7/8s, 2019  EUR  250,000  $360,579 
CDRT Holding Corp. 144A sr. notes 9 1/4s, 2017 ‡‡    $260,000  250,900 
CHS/Community Health Systems, Inc. company guaranty       
sr. notes 5 1/8s, 2018    200,000  207,500 
CHS/Community Health Systems, Inc. company guaranty       
sr. unsec. unsub. notes 8s, 2019    275,000  301,813 
CHS/Community Health Systems, Inc. company guaranty       
sr. unsec. unsub. notes 7 1/8s, 2020    140,000  149,100 
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021    490,000  544,224 
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017       
(Luxembourg)  EUR  105,000  145,564 
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018       
(Luxembourg)    $545,000  591,325 
Emergency Medical Services Corp. company guaranty sr. unsec.       
notes 8 1/8s, 2019    225,000  238,500 
Endo Health Solutions, Inc. company guaranty sr. unsec. notes       
7s, 2019    155,000  167,013 
Fresenius Medical Care US Finance II, Inc. 144A company guaranty       
sr. unsec. notes 5 5/8s, 2019    200,000  213,000 
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018    275,000  303,875 
HCA, Inc. sr. notes 6 1/2s, 2020    800,000  888,000 
HCA, Inc. sr. unsec. notes 7 1/2s, 2022    70,000  79,100 
HCA, Inc. sr. unsec. notes 6 1/4s, 2013    48,000  48,660 
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017    400,000  418,000 
Hologic, Inc. 144A company guaranty sr. unsec. notes       
6 1/4s, 2020    60,000  63,600 
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty       
sr. unsec. notes 8 3/8s, 2019    300,000  286,500 
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec.       
notes 9 1/2s, 2019    260,000  291,850 
Kinetics Concept/KCI USA 144A company guaranty notes       
10 1/2s, 2018    450,000  475,875 
Kinetics Concept/KCI USA 144A company guaranty sr. unsec.       
notes 12 1/2s, 2019    245,000  230,300 
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018    210,000  232,050 
Omega Healthcare Investors, Inc. company guaranty sr. unsec.       
notes 6 3/4s, 2022 R    150,000  165,750 
Quest Diagnostics, Inc. company guaranty sr. unsec. notes       
6.95s, 2037    95,000  124,285 
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec.       
notes 7 3/8s, 2020    65,000  65,325 
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017    75,000  77,250 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015    82,392  82,804 
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019    200,000  215,000 
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018    54,000  62,370 
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018    305,000  335,500 
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019    155,000  175,150 

 

66  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Health care cont.     
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical     
Finance III LLC company guaranty sr. unsec. unsub. notes 3s,     
2015 (Curacao)  $295,000  $313,485 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021  640,000  742,701 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4 5/8s, 2041  60,000  64,753 
USPI Finance Corp. 144A sr. unsec. notes 9s, 2020  170,000  184,450 
Valeant Pharmaceuticals International 144A company guaranty     
sr. notes 7s, 2020  40,000  42,100 
Valeant Pharmaceuticals International 144A company guaranty     
sr. unsec. notes 6 7/8s, 2018  105,000  110,513 
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017  40,000  42,600 
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016  10,000  7,000 
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada)  40,000  40,800 
Watson Pharmaceuticals, Inc. sr. unsec. notes 4 5/8s, 2042  215,000  220,718 
Watson Pharmaceuticals, Inc. sr. unsec. notes 3 1/4s, 2022  170,000  172,075 
Watson Pharmaceuticals, Inc. sr. unsec. notes 1 7/8s, 2017  35,000  35,378 
WellPoint, Inc. notes 7s, 2019  220,000  274,739 
    12,940,624 
Technology (0.9%)     
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020  315,000  319,725 
Advanced Micro Devices, Inc. 144A sr. unsec. notes 7 1/2s, 2022  35,000  33,775 
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029  200,000  131,000 
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015  155,000  137,563 
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019  300,000  279,000 
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 ‡‡  425,000  422,875 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  150,000  147,750 
Cisco Systems, Inc. company guaranty sr. unsec. unsub. notes     
3.15s, 2017  825,000  904,530 
Dell, Inc. sr. unsec. notes 5 7/8s, 2019  470,000  556,230 
Epicor Software Corp. company guaranty sr. unsec. notes     
8 5/8s, 2019  240,000  253,200 
Fidelity National Information Services, Inc. company guaranty     
sr. unsec. notes 7 7/8s, 2020  145,000  162,038 
Fidelity National Information Services, Inc. company guaranty     
sr. unsec. notes 7 5/8s, 2017  95,000  104,025 
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021  290,000  300,513 
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015  933,166  955,329 
First Data Corp. 144A company guaranty notes 8 1/4s, 2021  555,000  553,613 
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019  200,000  206,250 
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes     
10 3/4s, 2020  178,000  192,685 
Freescale Semiconductor, Inc. 144A company guaranty sr. notes     
10 1/8s, 2018  88,000  96,800 
Freescale Semiconductor, Inc. 144A company guaranty sr. notes     
9 1/4s, 2018  305,000  331,688 
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014  235,000  250,526 
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018  160,000  182,306 
Honeywell International, Inc. sr. unsec. unsub. notes 5 3/8s, 2041  315,000  412,377 
Honeywell International, Inc. sr. unsec. unsub. notes 4 1/4s, 2021  255,000  299,924 

 

Dynamic Asset Allocation Balanced Fund  67 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Technology cont.     
IBM Corp. sr. unsec. unsub. notes 1 7/8s, 2022  $850,000  $827,390 
Infor (US), Inc. 144A sr. notes 11 1/2s, 2018  110,000  125,400 
Infor (US), Inc. 144A sr. notes 9 3/8s, 2019  130,000  144,300 
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019  105,000  118,125 
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes     
8s, 2020  625,000  664,063 
Jazz Technologies, Inc. company guaranty sr. unsec. notes     
8s, 2015  173,000  129,750 
Microsoft Corp. sr. unsec. unsub. notes 5.3s, 2041  85,000  112,487 
Microsoft Corp. sr. unsec. unsub. notes 4.2s, 2019  555,000  649,378 
NXP BV/NXP Funding, LLC 144A company     
guaranty sr. notes 10s, 2013 (Netherlands)  15,000  16,013 
NXP BV/NXP Funding, LLC 144A company     
guaranty sr. notes 9 3/4s, 2018 (Netherlands)  360,000  414,000 
Oracle Corp. sr. unsec. unsub. notes 5 3/8s, 2040  215,000  274,266 
Pitney Bowes, Inc. sr. unsec. unsub. notes Ser. MTN, 5 1/4s, 2037  340,000  351,017 
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes     
7 3/4s, 2018 (Cayman Islands)  195,000  215,475 
SunGard Data Systems, Inc. company guaranty sr. unsec. sub.     
notes 10 1/4s, 2015  10,000  10,250 
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020  210,000  227,850 
Syniverse Holdings, Inc. company guaranty sr. unsec. notes     
9 1/8s, 2019  275,000  295,625 
Xerox Corp. sr. unsec. notes 6 3/4s, 2039  336,000  420,177 
Xerox Corp. sr. unsec. unsub. notes 5 5/8s, 2019  130,000  148,177 
    12,377,465 
Transportation (0.3%)     
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018     
(Luxembourg)  340,000  357,000 
Air Medical Group Holdings, Inc. company guaranty sr. notes     
9 1/4s, 2018  290,000  318,275 
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.4s, 2041  240,000  289,394 
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes     
5 3/4s, 2040  155,000  193,625 
CSX Corp. sr. unsec. unsub. notes 4 3/4s, 2042  685,000  744,440 
Delta Air Lines, Inc. sr. notes Ser. A, 7 3/4s, 2019  386,006  441,012 
FedEx Corp. company guaranty sr. unsec. unsub. notes     
2 5/8s, 2022  95,000  94,737 
Northwest Airlines Corp. pass-through certificates Ser. 00-1,     
7.15s, 2019  430,244  443,797 
Ryder System, Inc. sr. unsec. unsub. notes 2 1/2s, 2018  470,000  476,456 
Swift Services Holdings, Inc. company guaranty sr. notes     
10s, 2018  360,000  389,700 
Union Pacific Corp. 144A pass-through certificates 5.214s, 2014  115,000  123,246 
United AirLines, Inc. pass-through certificates Ser. 07-A,     
6.636s, 2022  125,084  130,713 
Western Express, Inc. 144A sr. notes 12 1/2s, 2015  165,000  110,550 
    4,112,945 

 

68  Dynamic Asset Allocation Balanced Fund 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Utilities and power (1.4%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  $412,000  $420,402 
AES Corp. (The) sr. unsec. unsub notes 7 3/8s, 2021  330,000  376,200 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017  520,000  600,600 
Appalachian Power Co. sr. notes Ser. L, 5.8s, 2035  145,000  176,180 
Arizona Public Services Co. sr. unsec. notes 4 1/2s, 2042  80,000  87,135 
Atmos Energy Corp. sr. unsec. sub. notes 8 1/2s, 2019  45,000  60,238 
Beaver Valley Funding Corp. sr. bonds 9s, 2017  87,000  89,377 
Boardwalk Pipelines LP company guaranty sr. unsec. notes     
5 7/8s, 2016  404,000  456,018 
Bruce Mansfield Unit pass-through certificates 6.85s, 2034  203,500  216,727 
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020  230,000  253,000 
Calpine Corp. 144A sr. notes 7 1/4s, 2017  595,000  635,163 
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)  50,000  58,556 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  133,000  174,463 
Consolidated Edison Co. of New York sr. unsec. unsub. notes     
4.2s, 2042  275,000  302,363 
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016  350,000  384,125 
Dominion Resources, Inc. jr. sub. notes FRN Ser. 06-B,     
2.662s, 2066  823,000  748,412 
Duke Energy Corp. sr. unsec. unsub. notes 2.15s, 2016  580,000  600,670 
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default) †  415,000  234,475 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  80,000  41,600 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  35,000  19,250 
Edison Mission Energy sr. unsec. notes 7.2s, 2019  400,000  206,000 
Edison Mission Energy sr. unsec. notes 7s, 2017  5,000  2,588 
El Paso Corp. sr. unsec. notes 7s, 2017  700,000  803,254 
El Paso, LLC sr. notes Ser. GMTN, 7 3/4s, 2032  215,000  250,393 
Electricite de France SA (EDF) 144A notes 6.95s, 2039 (France)  120,000  159,276 
Electricite de France SA (EDF) 144A notes 6 1/2s, 2019 (France)  375,000  458,731 
Energy Future Holdings Corp. company guaranty sr. notes     
10s, 2020  100,000  110,250 
Energy Future Intermediate Holding Co., LLC sr. notes 9 3/4s, 2019  265,000  283,550 
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.     
sr. notes 10s, 2020  159,000  178,875 
Energy Transfer Equity LP company guaranty sr. unsec. notes     
7 1/2s, 2020  305,000  346,175 
Energy Transfer Partners LP sr. unsec. unsub. notes 6 1/2s, 2042  185,000  214,065 
Energy Transfer Partners LP sr. unsec. unsub. notes 5.2s, 2022  155,000  172,584 
Enterprise Products Operating, LLC company guaranty sr. unsec.     
unsub. notes 4.85s, 2042  490,000  504,423 
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. notes     
6 7/8s, 2019  90,000  96,300 
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec. notes     
9 3/8s, 2020  395,000  430,550 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty sr. unsec. notes 7 3/4s, 2022  65,000  66,300 
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020  400,000  444,000 
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018  65,000  73,775 

 

Dynamic Asset Allocation Balanced Fund  69 

 


CORPORATE BONDS AND NOTES (18.5%)* cont.  Principal amount  Value 
 
Utilities and power cont.     
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016  $230,000  $255,875 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  260,000  298,877 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018  305,000  361,801 
Kansas Gas and Electric Co. bonds 5.647s, 2021  65,958  72,166 
Kinder Morgan Energy Partners LP sr. unsec. notes 6.85s, 2020  410,000  514,944 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  152,000  194,465 
MidAmerican Funding, LLC sr. sec. bonds 6.927s, 2029  400,000  533,178 
Nevada Power Co. mtge. sec. notes 7 1/8s, 2019  265,000  346,106 
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019  95,000  108,300 
NiSource Finance Corp. company guaranty sr. unsec. notes     
6 1/8s, 2022  165,000  202,636 
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021  735,000  799,313 
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020  155,000  179,111 
Pacific Gas & Electric Co. 1st mtge. 6.05s, 2034  255,000  335,145 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  456,000  516,911 
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub.     
notes 4.2s, 2022  655,000  693,682 
PSEG Power, LLC company guaranty sr. unsec. notes 5.32s, 2016  185,000  210,387 
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5 1/2s, 2040  160,000  209,893 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s, 2067  629,000  673,030 
Regency Energy Partners company guaranty sr. unsec. unsub.     
notes 5 1/2s, 2023  155,000  156,163 
Teco Finance, Inc. company guaranty sr. unsec. unsub. notes     
6 3/4s, 2015  10,000  11,307 
Texas Competitive/Texas Competitive Electric Holdings Co., LLC     
company guaranty notes 15s, 2021  185,000  68,450 
Texas Competitive/Texas Competitive Electric Holdings Co., LLC     
company guaranty sr. unsec. notes 10 1/2s, 2016 ‡‡  506,166  118,949 
Texas Competitive/Texas Competitive Electric Holdings Co., LLC     
144A company guaranty sr. notes 11 1/2s, 2020  130,000  101,725 
Trans-Canada Pipelines, Ltd. jr. unsec. sub. notes FRN 6.35s,     
2067 (Canada)  180,000  192,479 
Union Electric Co. sr. notes 6.4s, 2017  320,000  393,148 
West Penn Power Co. 144A 1st mtge. 5.95s, 2017  75,000  88,697 
    18,372,781 
 
Total corporate bonds and notes (cost $223,488,793)    $242,976,020 
 
 
U.S. GOVERNMENT AND AGENCY     
MORTGAGE OBLIGATIONS (10.5%)*  Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (1.1%)     
Government National Mortgage Association Pass-Through     
Certificates 3s, TBA, October 1, 2042  $14,000,000  $14,997,500 
    14,997,500 
U.S. Government Agency Mortgage Obligations (9.4%)     
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates 3s, TBA, October 1, 2042  1,000,000  1,054,219 

 

70  Dynamic Asset Allocation Balanced Fund 

 


U.S. GOVERNMENT AND AGENCY     
MORTGAGE OBLIGATIONS (10.5%)* cont.  Principal amount  Value 
 
Federal National Mortgage Association Pass-Through Certificates     
5s, TBA, October 1, 2042  $50,000,000  $54,546,875 
4s, TBA, October 1, 2042  37,000,000  39,870,390 
3 1/2s, TBA, October 1, 2027  24,000,000  25,537,500 
3s, TBA, November 1, 2042  1,000,000  1,052,891 
3s, TBA, October 1, 2042  1,000,000  1,055,547 
    123,117,422 
 
Total U.S. government and agency mortgage obligations (cost $137,452,305)  $138,114,922 
 
 
MORTGAGE-BACKED SECURITIES (3.7%)*  Principal amount  Value 
 
Adjustable Rate Mortgage Trust FRB Ser. 06-2, 5.37s, 2036  $3,320,000  $2,570,942 
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO,     
2.781s, 2047  2,938,908  352,669 
American Home Mortgage Investment Trust Ser. 07-1, Class GIOP,     
IO, 2.078s, 2047  1,030,450  144,263 
Banc of America Commercial Mortgage, Inc.     
FRB Ser. 07-3, Class A3, 5.893s, 2049  899,000  914,696 
Ser. 07-2, Class A2, 5.634s, 2049  224,478  234,012 
Ser. 07-1, Class XW, IO, 0.481s, 2049  9,135,479  86,595 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 04-4, Class XC, IO, 1.038s, 2042  5,820,177  63,260 
Ser. 04-5, Class XC, IO, 0.877s, 2041  6,005,452  78,329 
Ser. 02-PB2, Class XC, IO, 0.679s, 2035  1,421,286  355 
Ser. 07-5, Class XW, IO, 0.555s, 2051  18,627,170  242,749 
Banc of America Funding Corp. FRB Ser. 06-A, Class 3A1,     
2.942s, 2036  1,415,968  948,698 
Barclays Capital, LLC Trust FRB Ser. 07-AA1, Class 2A1,     
0.397s, 2037  1,064,650  723,962 
Barclays Capital, LLC Trust 144A     
Ser. 09-RR7, Class 1A7, IO, 1.769s, 2046  6,706,467  285,025 
Ser. 09-RR7, Class 2A7, IO, 1.589s, 2047  15,192,876  632,024 
Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047  15,072,549  384,350 
Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046  18,016,395  459,418 
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-10,     
Class A3, 2.648s, 2035  592,468  548,033 
Bear Stearns Commercial Mortgage Securities, Inc.     
FRB Ser. 07-T28, Class AJ, 6.163s, 2042  570,000  564,916 
FRB Ser. 07-PW17, Class AJ, 6.089s, 2050  609,000  487,200 
Ser. 04-PR3I, Class X1, IO, 1.155s, 2041  2,151,162  27,320 
Bear Stearns Commercial Mortgage Securities, Inc. 144A     
Ser. 06-PW14, Class X1, IO, 0.215s, 2038  9,963,980  174,370 
Bear Stearns Mortgage Funding Trust     
Ser. 06-AR2, Class 1X, IO, 0.7s, 2046  2,551,045  66,837 
Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047  1,596,765  34,011 
Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046  3,380,448  64,229 
Ser. 06-AR3, Class 1X, IO, 0.4s, 2036  1,805,237  25,454 
Chase Mortgage Finance Corp. FRB Ser. 05-A2, Class 1A5,     
2.782s, 2036  505,512  423,366 

 

Dynamic Asset Allocation Balanced Fund  71 

 


MORTGAGE-BACKED SECURITIES (3.7%)* cont.  Principal amount  Value 
 
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class AJ,     
4.96s, 2043  $380,000  $400,668 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5, Class XC, IO,     
0.157s, 2049  63,609,077  887,347 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-AR3, Class 1A2A,     
5.584s, 2036  637,402  580,036 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 07-CD4, Class XW, IO, 0.568s, 2049  8,164,745  108,754 
Ser. 07-CD4, Class XC, IO, 0.192s, 2049  46,147,426  424,556 
Ser. 07-CD5, Class XS, IO, 0.074s, 2044  2,640,788  10,133 
Commercial Mortgage Acceptance Corp. 144A Ser. 98-C1, Class F,     
6.23s, 2031  48,331  48,687 
Commercial Mortgage Pass-Through Certificates FRB Ser. 05-LP5,     
Class D, 5.273s, 2043  406,000  415,985 
Commercial Mortgage Pass-Through Certificates 144A Ser. 06-C8,     
Class XS, IO, 0.213s, 2046  37,436,091  445,940 
Countrywide Home Loans     
Ser. 06-9, Class A2, 6s, 2036  460,681  398,489 
Ser. 06-6, Class 06-6, 6s, 2036  855,525  763,342 
Ser. 07-3, Class A30, 5 3/4s, 2037  607,751  528,530 
Credit Suisse Mortgage Capital Certificates     
FRB Ser. 07-C4, Class A2, 5.955s, 2039  462,715  463,983 
Ser. 06-C5, Class AX, IO, 0.21s, 2039  15,625,834  214,074 
Credit Suisse Mortgage Capital Certificates 144A Ser. 07-C2, Class AX,     
IO, 0.238s, 2049  42,977,457  159,489 
CS First Boston Mortgage Securities Corp.     
Ser. 05-C6, Class AJ, 5.23s, 2040  294,000  310,887 
Ser. 05-C5, Class AJ, 5.1s, 2038  164,000  172,471 
CS First Boston Mortgage Securities Corp. 144A     
Ser. 98-C1, Class F, 6s, 2040 F  385,174  416,941 
Ser. 03-C3, Class AX, IO, 1.904s, 2038  7,835,991  32,856 
Ser. 02-CP3, Class AX, IO, 1.333s, 2035  1,609,671  4,919 
Federal Home Loan Mortgage Corp.     
IFB Ser. 3408, Class EK, 24.905s, 2037  335,769  541,703 
IFB Ser. 2979, Class AS, 23.464s, 2034  48,092  64,493 
IFB Ser. 3072, Class SM, 22.987s, 2035  170,283  271,778 
IFB Ser. 3072, Class SB, 22.841s, 2035  174,497  277,425 
IFB Ser. 3249, Class PS, 21.547s, 2036  239,886  367,961 
IFB Ser. 2990, Class LB, 16.381s, 2034  347,533  487,655 
IFB Ser. 3708, Class SQ, IO, 6.329s, 2040  1,378,970  183,348 
IFB Ser. 3934, Class SA, IO, 6.179s, 2041  3,392,109  537,005 
IFB Ser. 4105, Class LS, IO, 5.9s, 2041  838,000  175,812 
Ser. 3747, Class HI, IO, 4 1/2s, 2037  101,821  8,109 
Ser. 3751, Class MI, IO, 4s, 2034  2,485,530  42,304 
Ser. 3391, PO, zero %, 2037  34,337  31,336 
Ser. 3206, Class EO, PO, zero %, 2036  22,872  21,468 
FRB Ser. 3117, Class AF, zero %, 2036  18,495  15,299 
FRB Ser. 3326, Class WF, zero %, 2035  29,479  26,531 
FRB Ser. 3036, Class AS, zero %, 2035  27,833  24,380 

 

72  Dynamic Asset Allocation Balanced Fund 

 


MORTGAGE-BACKED SECURITIES (3.7%)* cont.  Principal amount  Value 
 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 38.601s, 2036  $163,615  $300,931 
IFB Ser. 05-45, Class DA, 23.626s, 2035  672,700  1,125,610 
IFB Ser. 07-53, Class SP, 23.406s, 2037  254,239  412,420 
IFB Ser. 05-75, Class GS, 19.601s, 2035  181,971  268,968 
IFB Ser. 05-106, Class JC, 19.453s, 2035  106,890  170,690 
IFB Ser. 05-83, Class QP, 16.831s, 2034  65,188  91,901 
IFB Ser. 404, Class S13, IO, 6.184s, 2040  1,913,048  282,376 
Ser. 07-14, Class KO, PO, zero %, 2037  118,879  110,979 
Ser. 06-125, Class OX, PO, zero %, 2037  14,980  14,451 
Ser. 06-84, Class OT, PO, zero %, 2036  15,917  15,134 
Ser. 06-46, Class OC, PO, zero %, 2036  31,805  29,624 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.068s, 2020  836,150  17,768 
First Union National Bank-Bank of America Commercial     
Mortgage Trust 144A Ser. 01-C1, Class 3, IO, 1.832s, 2033  305,168  39 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C3, Class XC, IO, 0.275s, 2045  176,057,858  721,341 
Ser. 07-C1, Class XC, IO, 0.145s, 2049  57,874,872  437,129 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 04-C3, Class AJ, 4.915s, 2041  440,000  437,990 
Ser. 05-C1, Class X1, IO, 0.763s, 2043  10,229,869  137,571 
Government National Mortgage Association     
IFB Ser. 10-120, Class SB, IO, 5.982s, 2035  208,120  14,165 
IFB Ser. 10-20, Class SC, IO, 5.932s, 2040  69,924  10,628 
Ser. 11-18, Class PI, IO, 4 1/2s, 2040  99,661  14,939 
Ser. 10-107, Class NI, IO, 4 1/2s, 2039  2,938,974  331,193 
Ser. 10-103, Class DI, IO, 4 1/2s, 2038  2,027,049  212,840 
Ser. 10-85, Class MI, IO, 4 1/2s, 2036  4,413,680  284,550 
Ser. 06-36, Class OD, PO, zero %, 2036  14,067  13,148 
Ser. 99-31, Class MP, PO, zero %, 2029  23,415  22,160 
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO,     
1s, 2036  1,807,826  68,336 
Greenwich Capital Commercial Funding Corp. 144A Ser. 05-GG3,     
Class XC, IO, 1.043s, 2042  19,058,573  316,239 
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2, 5.506s, 2038  115,095  115,095 
GS Mortgage Securities Corp. II 144A     
Ser. 98-C1, Class F, 6s, 2030  150,063  154,599 
FRB Ser. 03-C1, Class J, 5.309s, 2040  424,000  427,392 
Ser. 06-GG6, Class XC, IO, 0.148s, 2038  25,596,908  46,612 
Harborview Mortgage Loan Trust     
FRB Ser. 05-8, Class 1A2A, 0.549s, 2035  665,855  442,793 
FRB Ser. 06-7, Class 2A1A, 0.419s, 2046  2,116,292  1,502,567 
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1,     
0.397s, 2037  632,812  401,836 
JPMorgan Chase Commercial Mortgage Securities Corp.     
FRB Ser. 07-LD12, Class A3, 6.175s, 2051  291,000  311,232 
FRB Ser. 04-CB9, Class B, 5.852s, 2041  317,000  323,622 
FRB Ser. 05-LDP3, Class AJ, 5.171s, 2042  296,000  297,296 
Ser. 06-LDP8, Class X, IO, 0.73s, 2045  13,743,600  234,356 
Ser. 07-LDPX, Class X, IO, 0.49s, 2049  32,008,924  372,264 

 

Dynamic Asset Allocation Balanced Fund  73 

 


MORTGAGE-BACKED SECURITIES (3.7%)* cont.  Principal amount  Value 
 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 05-CB12, Class X1, IO, 0.486s, 2037  $7,911,080  $69,728 
Ser. 06-LDP6, Class X1, IO, 0.091s, 2043  20,881,129  72,938 
JPMorgan Mortgage Trust FRB Ser. 06-A2, Class 1A3, 2.889s, 2036  1,133,476  906,072 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  149,428  152,417 
Ser. 99-C1, Class G, 6.41s, 2031  159,961  159,961 
Ser. 98-C4, Class G, 5.6s, 2035  118,194  121,078 
Ser. 98-C4, Class H, 5.6s, 2035  223,000  242,994 
LB-UBS Commercial Mortgage Trust     
FRB Ser. 08-C1, Class AM, 6.325s, 2041  322,000  364,182 
Ser. 06-C7, Class A2, 5.3s, 2038  487,162  487,162 
Ser. 04-C6, Class E, 5.177s, 2036  331,000  333,979 
Ser. 07-C2, Class XW, IO, 0.693s, 2040  3,718,396  71,211 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 06-C7, Class XW, IO, 0.841s, 2038  8,155,411  179,289 
Ser. 05-C2, Class XCL, IO, 0.502s, 2040  17,791,696  131,071 
Ser. 06-C7, Class XCL, IO, 0.331s, 2038  15,340,551  215,581 
Ser. 05-C7, Class XCL, IO, 0.153s, 2040  24,047,059  145,196 
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, PO,     
0.8s, 2047  1,606,005  48,180 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO,     
2.408s, 2028  11,755  15 
Merrill Lynch Mortgage Trust     
FRB Ser. 07-C1, Class A3, 6.042s, 2050  254,000  272,992 
Ser. 05-CKI1, Class AJ, 5.39s, 2037  370,000  375,180 
Merrill Lynch Mortgage Trust 144A     
Ser. 04-KEY2, Class XC, IO, 1.034s, 2039  7,241,049  88,630 
Ser. 05-MCP1, Class XC, IO, 0.252s, 2043  11,110,660  130,384 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 06-C4, Class X, IO, 6.391s, 2045  1,938,457  146,741 
Ser. 05-C3, Class X, IO, 6.146s, 2044  525,332  38,244 
Ser. 07-C5, Class X, IO, 5.231s, 2049  525,055  38,959 
Morgan Stanley Capital I     
FRB Ser. 06-T23, Class A2, 5.918s, 2041  464,766  467,071 
FRB Ser. 07-HQ12, Class A2, 5.759s, 2049  732,628  749,112 
Ser. 07-IQ14, Class A2, 5.61s, 2049  274,006  284,308 
Morgan Stanley Capital I 144A Ser. 03-IQ6, Class C, 5.243s, 2041  430,000  438,553 
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B,     
5.843s, 2043  561,714  578,565 
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.988s, 2012  25  — 
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030  127,000  133,509 
Structured Asset Mortgage Investments, Inc.     
Ser. 06-AR6, Class 2X, IO, 1s, 2046  3,502,452  129,240 
Ser. 07-AR1, Class 1X, IO, 0.6s, 2037  1,202,143  25,846 
Ser. 06-AR8, Class X, IO, 0.4s, 2036  5,334,260  71,479 
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4, Class AJ,     
5.585s, 2039  379,000  407,482 

 

74  Dynamic Asset Allocation Balanced Fund 

 


MORTGAGE-BACKED SECURITIES (3.7%)* cont.  Principal amount  Value 
 
Wachovia Bank Commercial Mortgage Trust       
FRB Ser. 06-C26, Class AJ, 6.199s, 2045    $382,000  $355,642 
Ser. 07-C30, Class A3, 5.246s, 2043    195,991  198,275 
Ser. 06-C29, IO, 0.541s, 2048    64,918,853  956,904 
Ser. 07-C34, IO, 0.53s, 2046    9,583,734  115,963 
Wachovia Bank Commercial Mortgage Trust 144A       
FRB Ser. 03-C8, Class F, 5.383s, 2035    365,000  373,213 
Ser. 05-C18, Class XC, IO, 0.506s, 2042    16,759,356  117,315 
Ser. 06-C26, Class XC, IO, 0.092s, 2045    11,698,206  26,438 
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A,     
Class G, 5.72s, 2036    46,000  40,020 
WAMU Mortgage Pass-Through Certificates       
FRB Ser. 06-AR1, Class 2A1B, 1.218s, 2046    321,884  273,602 
FRB Ser. 06-AR15, Class 1A, 0.988s, 2046    443,230  336,855 
FRB Ser. 07-OA6, Class 1A, 0.958s, 2047    1,238,929  929,197 
FRB Ser. 05-AR9, Class A1C3, 0.697s, 2045    848,056  695,406 
FRB Ser. 05-AR15, Class A1A2, 0.497s, 2045    439,317  362,436 
Wells Fargo Mortgage Backed Securities Trust       
Ser. 07-8, Class 2A8, 6s, 2037    432,827  430,663 
Ser. 05-9, Class 2A9, 5 1/4s, 2035    300,000  310,827 
FRB Ser. 06-AR2, Class 2A1, 2.617s, 2036    654,975  626,320 
FRB Ser. 06-AR10, Class 5A3, 2.614s, 2036    748,978  638,975 
FRB Ser. 06-AR13, Class A4, 2.613s, 2036    3,382,398  2,807,391 
Total mortgage-backed securities (cost $43,082,680)      $48,567,352 
 
 
PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)*  strike price  amount  Value 
 
SPDR S&P 500 ETF Trust (Put)  Nov-12/$138.00  15,316  $20,392 
Option on an interest rate swap with Citibank, N.A.       
for the right to receive a fixed rate of 4.74% versus       
the three month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.74  $10,280,000  1,867,074 
Option on an interest rate swap with Citibank, N.A.       
for the right to pay a fixed rate of 4.74% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  Jul-16/4.74  10,280,000  187,446 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate       
of 4.28% versus the three month USD-LIBOR-BBA       
maturing August 2026. E  Aug-16/4.28  9,908,000  1,465,393 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate       
of 2.193% versus the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.193  1,578,000  71,389 
Option on an interest rate swap with Credit Suisse       
International for the right to pay a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  Aug-16/4.28  9,908,000  239,754 
Option on an interest rate swap with Credit Suisse       
International for the right to receive a fixed rate       
of 4.67% versus the three month USD-LIBOR-BBA       
maturing July 2026. E  Jul-16/4.67  10,280,000  1,815,448 

 

Dynamic Asset Allocation Balanced Fund  75 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with Credit Suisse       
International for the right to pay a fixed rate of 4.67%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.67  $10,280,000  $197,499 
Option on an interest rate swap with Deutsche Bank       
AG for the right to receive a fixed rate of 4.765%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.765  2,752,082  341,690 
Option on an interest rate swap with Deutsche Bank       
AG for the right to pay a fixed rate of 4.765% versus       
the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.765  2,752,082  20,619 
Option on an interest rate swap with Deutsche Bank       
AG for the right to receive a fixed rate of 4.77% versus       
the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.77  10,006,000  1,247,618 
Option on an interest rate swap with Deutsche Bank       
AG for the right to pay a fixed rate of 4.77% versus       
the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.77  10,006,000  73,904 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 3.49% versus the three month USD-LIBOR-BBA       
maturing September 2026. E  Sep-16/3.49  2,031,769  192,321 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 3.49%       
versus the three month USD-LIBOR-BBA maturing       
September 2026. E  Sep-16/3.49  2,031,769  82,409 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.17%       
versus the three month USD-LIBOR-BBA maturing       
August 2021. E  Aug-16/4.17  3,340,000  37,284 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 4.17% versus the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  3,340,000  321,392 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 4.72% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.72  11,625,000  1,419,912 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.72%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.72  11,625,000  88,989 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 4.705% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  6,171,000  751,739 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 4.705%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.705  6,171,000  47,011 

 

76  Dynamic Asset Allocation Balanced Fund 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 1.8625% versus the three month USD-LIBOR-BBA       
maturing January 2023.  Jan-13/1.8625  $607,000  $11,381 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 1.855% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.855  607,000  10,896 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 2.325% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/2.325  336,000  18,094 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 2.325%       
versus the three month USD-LIBOR-BBA maturing       
December 2022.  Dec-12/2.325  336,000  517 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 2.8825% versus the three month USD-LIBOR-BBA       
maturing December 2042.  Dec-12/2.8825  936,000  62,441 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 2.8825%       
versus the three month USD-LIBOR-BBA maturing       
December 2042.  Dec-12/2.8825  936,000  11,887 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 1.845% versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.845  607,000  10,113 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 1.835% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.835  607,000  9,257 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 2.305% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  336,000  17,868 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of       
2.305% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  336,000  151 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 1.82% versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.82  607,000  8,328 
Option on an interest rate swap with Goldman Sachs       
International for the right to receive a fixed rate       
of 2.28% versus the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.28  336,000  17,798 
Option on an interest rate swap with Goldman Sachs       
International for the right to pay a fixed rate of 2.28%       
versus the three month USD-LIBOR-BBA maturing       
October 2022.  Oct-12/2.28  336,000  3 

 

Dynamic Asset Allocation Balanced Fund  77 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the right to receive a fixed rate of 4.17%       
versus the three month USD-LIBOR-BBA maturing       
August 2021. E  Aug-16/4.17  $3,340,000  $321,392 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the right to pay a fixed rate of 4.17%       
versus the three month USD-LIBOR-BBA maturing       
August 2021. E  Aug-16/4.17  3,340,000  37,284 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the right to receive a fixed rate of 4.705%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.705  6,171,000  751,739 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the right to pay a fixed rate of 4.705%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/4.705  6,171,000  47,011 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the right to pay a fixed rate of 5.11%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  May-16/5.11  6,630,000  43,115 
Total purchased options outstanding (cost $12,234,773)    $11,868,558 
 
 
FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (0.9%)*  Principal amount  Value 
 
Argentina (Republic of) sr. unsec. bonds 7s, 2017    $115,000  $97,750 
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013  880,000  875,600 
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015  5,110,000  4,662,875 
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017    200,000  215,572 
Indonesia (Republic of) 144A notes 5 1/4s, 2042    875,000  996,406 
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021  560,000  641,200 
Poland (Government of) sr. unsec. bonds 5s, 2022    710,000  823,600 
South Africa (Republic of) sr. unsec. unsub. notes 4.665s, 2024  790,000  886,775 
Ukraine (Government of) Financing of Infrastructural Projects State     
Enterprise 144A govt. guaranty notes 8 3/8s, 2017    175,000  161,000 
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013  2,400,000  2,415,600 
Total foreign government and agency bonds and notes (cost $11,627,584)    $11,776,378 
 
 
COMMODITY LINKED NOTES (0.8%)*  Principal amount  Value 
 
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A, 1-month     
LIBOR less 0.16%, 2013 (Indexed to the DB Custom Commodity Index:     
75% S&P GSCI Gold Index TR and 25% S&P GSCI Light Energy Index TR     
multiplied by 3) (United Kingdom)    $4,067,000  $5,522,986 
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013     
(Indexed to the UBS Custom Commodity Index: 75% S&P GSCI Gold     
Index TR and 25% S&P GSCI Light Energy Index TR multiplied     
by 3) (Jersey)    4,067,000  5,524,810 
Total commodity linked notes (cost $8,134,000)      $11,047,796 

 

78  Dynamic Asset Allocation Balanced Fund 

 


INVESTMENT COMPANIES (0.8%)*  Shares  Value 
 
iShares Russell 2000 Growth Index Fund  4,220  $403,474 
SPDR S&P 500 ETF Trust  66,024  9,502,834 
Total investment companies (cost $8,963,297)    $9,906,308 
 
 
SENIOR LOANS (0.5%)* c  Principal amount  Value 
 
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015  $298,996  $298,996 
Burlington Coat Factory Warehouse Corp. bank term loan FRN     
Ser. B1, 5 1/2s, 2017  40,538  40,965 
Caesars Entertainment Operating Co., Inc. bank term loan FRN     
Ser. B6, 5.467s, 2018  612,546  555,667 
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017  200,000  200,500 
Clear Channel Communications, Inc. bank term loan FRN Ser. A,     
3.632s, 2014  118,112  110,907 
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016  68,621  68,664 
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018  162,989  162,514 
Emergency Medical Services Corp. bank term loan FRN Ser. B,     
5 1/4s, 2018  194,747  195,315 
First Data Corp. bank term loan FRN 5.217s, 2017  68,903  67,525 
First Data Corp. bank term loan FRN 4.217s, 2018  647,458  617,513 
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016  172,610  165,544 
Goodman Global, Inc. bank term loan FRN 9s, 2017  219,545  221,192 
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016  156,044  156,156 
Intelsat SA bank term loan FRN 3.221s, 2014 (Luxembourg)  540,000  535,005 
Landry’s, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017  279,300  282,791 
Level 3 Financing, Inc. bank term loan FRN 5 1/4s, 2019  160,000  160,300 
Motor City bank term loan FRN 6s, 2017  350,765  352,957 
National Bedding Company, LLC bank term loan FRN Ser. B, 4s, 2013  41,568  41,490 
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018  195,000  195,820 
Pharmaceutical Product Development, Inc. bank term loan FRN     
Ser. B, 6 1/4s, 2018  173,688  175,063 
Revlon Consumer Products Corp. bank term loan FRN 4 3/4s, 2017  297,000  297,789 
Springleaf Financial bank term loan FRN Ser. B, 5 1/2s, 2017  215,000  210,324 
SRAM Corp. bank term loan FRN 8 1/2s, 2018  75,000  76,125 
Texas Competitive Electric Holdings Co., LLC bank term loan FRN     
4.757s, 2017  933,336  640,647 
Thomson Learning bank term loan FRN Ser. B, 2.49s, 2014  57,458  54,474 
Univision Communications, Inc. bank term loan FRN 4.482s, 2017  69,168  68,418 
West Corp. bank term loan FRN Ser. B5, 5 1/2s, 2016  59,732  60,106 
Total senior loans (cost $6,132,725)    $6,012,767 
 
 
PREFERRED STOCKS (0.1%)*  Shares  Value 
 
Ally Financial, Inc. 144A 7.00% cum. pfd.  499  $466,799 
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.  15,485  388,828 
M/I Homes, Inc. $2.438 pfd. †  5,590  114,092 
Samsung Electronics Co., Ltd. zero % cum. pfd. (South Korea)  482  340,247 
Total preferred stocks (cost $1,117,270)    $1,309,966 

 

Dynamic Asset Allocation Balanced Fund  79 

 


CONVERTIBLE BONDS AND NOTES (0.1%)*    Principal amount  Value 
 
Altra Holdings, Inc. cv. company guaranty sr. unsec. notes 2 3/4s, 2031  $165,000  $162,525 
Exide Technologies cv. sr. sub. notes FRN zero %, 2013    202,000  185,840 
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016      39,000  54,015 
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon     
4 5/8s (zero %, 3/1/16) 2026 ††      329,000  294,249 
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014    90,000  79,819 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014      60,000  62,738 
Total convertible bonds and notes (cost $795,304)      $839,186 
 
 
CONVERTIBLE PREFERRED STOCKS (—%)*      Shares  Value 
 
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. R    7,508  $152,675 
General Motors Co. Ser. B, $2.375 cv. pfd.      5,621  210,963 
Lucent Technologies Capital Trust I 7.75% cv. pfd.      218  125,895 
United Technologies Corp. $3.75 cv. pfd. †      2,600  145,860 
Total convertible preferred stocks (cost $762,190)      $635,393 
 
 
MUNICIPAL BONDS AND NOTES (—%)*    Principal amount  Value 
 
IL State G.O. Bonds         
4.421s, 1/1/15      $105,000  $111,335 
4.071s, 1/1/14      315,000  326,132 
Total municipal bonds and notes (cost $420,000)      $437,467 
 
 
ASSET-BACKED SECURITIES (—%)*    Principal amount  Value 
 
GE Business Loan Trust 144A Ser. 04-2, Class D, 2.971s, 2032    $66,830  $38,761 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038    396,364  39,636 
Total asset-backed securities (cost $107,367)        $78,397 
 
 
WARRANTS (—%)* †  Expiration  Strike     
  date  price  Warrants  Value 
 
Charter Communications, Inc. Class A  11/30/14  $46.86  37  $1,083 
Hartalega Holdings Bhd (Malaysia)  5/29/15  MYR4.14  4,020  1,513 
Tower Semiconductor, Ltd. 144A (Israel) F  6/30/15  $0.01  50,760  10,152 
Total warrants (cost $10,263)        $12,748 
 
 
SHORT-TERM INVESTMENTS (29.5%)*    Principal amount/shares  Value 
 
Putnam Cash Collateral Pool, LLC 0.21% d      1,484,760  $1,484,760 
Putnam Money Market Liquidity Fund 0.14% L    296,854,200  296,854,200 
SSgA Prime Money Market Fund 0.14% P      8,266,454  8,266,454 
Straight-A Funding, LLC commercial paper with an effective       
yield of 0.178%, October 10, 2012    $22,000,000  21,999,010 
Straight-A Funding, LLC commercial paper with effective       
yields ranging from 0.177% to 0.179%, October 9, 2012    5,000,000  4,999,800 

 

80  Dynamic Asset Allocation Balanced Fund 

 


SHORT-TERM INVESTMENTS (29.5%)* cont.  Principal amount/shares  Value 
 
Straight-A Funding, LLC commercial paper with an effective     
yield of 0.178%, November 7, 2012  $10,510,000  $10,508,056 
U.S. Treasury Bills with effective yields ranging from     
0.084% to 0.105%, November 15, 2012 # ##  42,542,000  42,536,610 
Total short-term investments (cost $386,648,890)    $386,648,890 
 
 
TOTAL INVESTMENTS     
Total investments (cost $1,356,377,257)    $1,464,857,162 

 

Key to holding’s currency abbreviations

 

CAD  Canadian Dollar 
CHF  Swiss Franc 
EUR  Euro 
GBP  British Pound 
KRW  South Korean Won 
MXN  Mexican Peso 
MYR  Malaysian Ringgit 
USD / $  United States Dollar 

 

Key to holding’s abbreviations

 

ADR  American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ETF  Exchange Traded Fund 
FRB  Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period 
FRN  Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period 
GDR  Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
GMTN  Global Medium Term Notes 
G.O. Bonds  General Obligation Bonds 
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 currentincome. The rate shown is the current interest rate at the close of the reporting period.
IO  Interest Only 
MTN  Medium Term Notes 
NVDR  Non-voting Depository Receipt 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
PO  Principal Only 
SDR  Swedish Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
SPDR  S&P Depository Receipts 
TBA  To Be Announced Commitments 

 

Dynamic Asset Allocation Balanced Fund  81 

 


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 October 1, 2011 through September 30, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $1,310,354,240.

† Non-income-producing security.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

‡ Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $126,255, or less than 0.1% of net assets.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.

## 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.

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

d See Note 1 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.

E Extended settlement date on premium.

F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1).

L Affiliated company (Note 6). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).

R Real Estate Investment Trust.

S Security on loan, in part or in entirety, at the close of the reporting period (Note 1).

At the close of the reporting period, the fund maintained liquid assets totaling $356,662,499 to cover certain derivatives contracts.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under 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’s.

The dates shown on debt obligations are the original maturity dates.

82  Dynamic Asset Allocation Balanced Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501)

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.           
  Swedish Krona  Buy  10/17/12  $588,769  $574,935  $13,834 
Barclays Bank PLC           
  Australian Dollar  Buy  10/17/12  1,288,598  1,257,156  31,442 
  Brazilian Real  Buy  10/17/12  794,408  788,427  5,981 
  Brazilian Real  Sell  10/17/12  794,408  792,534  (1,874) 
  British Pound  Buy  10/17/12  3,325,853  3,329,851  (3,998) 
  British Pound  Sell  10/17/12  3,325,853  3,326,858  1,005 
  Canadian Dollar  Sell  10/17/12  6,203  25,375  19,172 
  Chilean Peso  Sell  10/17/12  161,326  174,142  12,816 
  Czech Koruna  Buy  10/17/12  1,447,456  1,472,432  (24,976) 
  Czech Koruna  Sell  10/17/12  1,447,456  1,437,971  (9,485) 
  Euro  Buy  10/17/12  5,495,551  5,459,376  36,175 
  Hungarian Forint  Buy  10/17/12  2,272  2,299  (27) 
  Hungarian Forint  Sell  10/17/12  2,272  2,214  (58) 
  Indian Rupee  Buy  10/17/12  239,793  237,075  2,718 
  Indian Rupee  Sell  10/17/12  239,793  225,324  (14,469) 
  Japanese Yen  Buy  10/17/12  2,555,925  2,543,172  12,753 
  Malaysian Ringgit  Buy  10/17/12  188,337  187,354  983 
  Malaysian Ringgit  Sell  10/17/12  188,337  184,694  (3,643) 
  Mexican Peso  Buy  10/17/12  300,693  318,085  (17,392) 
  New Zealand Dollar  Sell  10/17/12  397,932  381,572  (16,360) 
  Norwegian Krone  Buy  10/17/12  255,423  260,967  (5,544) 
  Polish Zloty  Buy  10/17/12  375,563  435,144  (59,581) 
  Singapore Dollar  Buy  10/17/12  371,000  371,827  (827) 
  Singapore Dollar  Sell  10/17/12  371,000  365,099  (5,901) 
  South African Rand  Sell  10/17/12  9,208  7,854  (1,354) 
  South Korean Won  Buy  10/17/12  95,557  86,839  8,718 
  Swedish Krona  Buy  10/17/12  455,941  449,158  6,783 
  Taiwan Dollar  Buy  10/17/12  1,194,892  1,194,404  488 
  Taiwan Dollar  Sell  10/17/12  1,194,892  1,174,469  (20,423) 
  Turkish Lira  Buy  10/17/12  2,123,598  2,105,577  18,021 
Citibank, N.A.             
  Australian Dollar  Buy  10/17/12  2,605,686  2,584,279  21,407 
  Brazilian Real  Sell  10/17/12  2,834,878  2,814,434  (20,444) 
  British Pound  Sell  10/17/12  1,320,201  1,304,055  (16,146) 
  Canadian Dollar  Buy  10/17/12  2,615,945  2,616,617  (672) 
  Canadian Dollar  Sell  10/17/12  2,615,945  2,632,950  17,005 
  Czech Koruna  Buy  10/17/12  1,150,581  1,170,641  (20,060) 
  Czech Koruna  Sell  10/17/12  1,150,581  1,156,982  6,401 
  Danish Krone  Buy  10/17/12  864,024  848,120  15,904 
  Euro  Sell  10/17/12  488,391  490,382  1,991 
  Japanese Yen  Buy  10/17/12  60,097  59,848  249 
  Japanese Yen  Sell  10/17/12  60,097  60,224  127 
  Mexican Peso  Buy  10/17/12  109  4,096  (3,987) 

 

Dynamic Asset Allocation Balanced Fund  83 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Citibank, N.A. cont.           
  Singapore Dollar  Buy  10/17/12  $792,194  $793,613  $(1,419) 
  Singapore Dollar  Sell  10/17/12  792,194  782,371  (9,823) 
  South Korean Won  Buy  10/17/12  37,505  27,603  9,902 
  Swiss Franc  Sell  10/17/12  1,253,505  1,233,749  (19,756) 
  Taiwan Dollar  Sell  10/17/12  879,125  863,165  (15,960) 
  Turkish Lira  Buy  10/17/12  1,469,197  1,456,769  12,428 
Credit Suisse AG           
  Australian Dollar  Sell  10/17/12  12,403,712  12,244,815  (158,897) 
  Brazilian Real  Buy  10/17/12  943,729  935,394  8,335 
  Brazilian Real  Sell  10/17/12  943,729  942,344  (1,385) 
  British Pound  Buy  10/17/12  356,370  247,086  109,284 
  Canadian Dollar  Sell  10/17/12  563,538  535,641  (27,897) 
  Chilean Peso  Sell  10/17/12  123,897  128,511  4,614 
  Czech Koruna  Buy  10/17/12  1,268,915  1,286,011  (17,096) 
  Czech Koruna  Sell  10/17/12  1,268,915  1,275,454  6,539 
  Euro  Buy  10/17/12  8,417,798  8,254,564  163,234 
  Hungarian Forint  Buy  10/17/12  425,234  417,256  7,978 
  Hungarian Forint  Sell  10/17/12  425,234  415,927  (9,307) 
  Japanese Yen  Sell  10/17/12  5,086,710  5,066,736  (19,974) 
  Malaysian Ringgit  Buy  10/17/12  295,137  289,242  5,895 
  Malaysian Ringgit  Sell  10/17/12  295,137  293,167  (1,970) 
  Mexican Peso  Buy  10/17/12  836,792  843,910  (7,118) 
  New Zealand Dollar  Sell  10/17/12  1,584,112  1,519,080  (65,032) 
  Norwegian Krone  Sell  10/17/12  970,402  978,590  8,188 
  Philippines Peso  Buy  10/17/12  685,528  680,978  4,550 
  Polish Zloty  Buy  10/17/12  735,359  763,364  (28,005) 
  Singapore Dollar  Sell  10/17/12  159,873  143,350  (16,523) 
  South African Rand  Sell  10/17/12  554,567  559,840  5,273 
  South Korean Won  Buy  10/17/12  396,157  378,234  17,923 
  Swedish Krona  Buy  10/17/12  466,974  500,919  (33,945) 
  Swiss Franc  Buy  10/17/12  2,352,050  2,314,677  37,373 
  Taiwan Dollar  Sell  10/17/12  693,961  686,229  (7,732) 
  Turkish Lira  Buy  10/17/12  719,526  710,039  9,487 
Deutsche Bank AG           
  Australian Dollar  Buy  10/17/12  11,052,436  10,830,187  222,249 
  Brazilian Real  Buy  10/17/12  794,408  786,639  7,769 
  Brazilian Real  Sell  10/17/12  794,408  792,340  (2,068) 
  British Pound  Buy  10/17/12  4,892,461  4,899,864  (7,403) 
  British Pound  Sell  10/17/12  4,892,461  4,866,788  (25,673) 
  Canadian Dollar  Sell  10/17/12  13,931  14,019  88 
  Czech Koruna  Buy  10/17/12  525,583  539,154  (13,571) 
  Czech Koruna  Sell  10/17/12  525,583  523,061  (2,522) 
  Euro  Sell  10/17/12  9,280,064  9,098,797  (181,267) 
  Japanese Yen  Buy  10/17/12  1,330,590  1,333,859  (3,269) 

 

84  Dynamic Asset Allocation Balanced Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501) cont.

          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Deutsche Bank AG cont.         
Japanese Yen  Sell  10/17/12  $1,330,590  $1,326,755  $(3,835) 
Mexican Peso  Buy  10/17/12  55,419  55,630  (211) 
Norwegian Krone  Buy  10/17/12  549,576  528,473  21,103 
Polish Zloty  Buy  10/17/12  761,905  807,109  (45,204) 
Singapore Dollar  Sell  10/17/12  540,977  528,859  (12,118) 
South Korean Won  Buy  10/17/12  202,712  195,697  7,015 
Swedish Krona  Buy  10/17/12  1,300,961  1,288,852  12,109 
Swedish Krona  Sell  10/17/12  1,300,961  1,272,692  (28,269) 
Turkish Lira  Buy  10/17/12  752,170  740,803  11,367 
Goldman Sachs International         
Australian Dollar  Buy  10/17/12  2,049,863  2,018,132  31,731 
British Pound  Buy  10/17/12  567,899  567,837  62 
British Pound  Sell  10/17/12  567,899  558,250  (9,649) 
Japanese Yen  Buy  10/17/12  13,833  12,682  1,151 
Norwegian Krone  Buy  10/17/12  3,053  3,064  (11) 
Norwegian Krone  Sell  10/17/12  3,053  3,012  (41) 
Singapore Dollar  Buy  10/17/12  792,194  793,568  (1,374) 
Singapore Dollar  Sell  10/17/12  792,194  779,821  (12,373) 
Turkish Lira  Buy  10/17/12  2,665  2,628  37 
HSBC Bank USA, National Association       
Australian Dollar  Buy  10/17/12  2,560,236  2,547,172  13,064 
British Pound  Sell  10/17/12  1,307,388  1,270,903  (36,485) 
Canadian Dollar  Buy  10/17/12  1,441,282  1,448,159  (6,877) 
Canadian Dollar  Sell  10/17/12  1,441,282  1,451,384  10,102 
Czech Koruna  Buy  10/17/12  1,448,708  1,473,252  (24,544) 
Czech Koruna  Sell  10/17/12  1,448,708  1,442,196  (6,512) 
Euro  Sell  10/17/12  3,937,200  3,812,266  (124,934) 
Indian Rupee  Buy  10/17/12  618,883  607,439  11,444 
Indian Rupee  Sell  10/17/12  618,883  587,461  (31,422) 
Japanese Yen  Buy  10/17/12  197,998  196,566  1,432 
Norwegian Krone  Buy  10/17/12  120,079  120,502  (423) 
Norwegian Krone  Sell  10/17/12  120,079  118,570  (1,509) 
Russian Ruble  Buy  10/17/12  794,924  812,161  (17,237) 
Singapore Dollar  Buy  10/17/12  633,951  636,735  (2,784) 
South Korean Won  Buy  10/17/12  136,141  130,228  5,913 
Turkish Lira  Buy  10/17/12  843,721  830,658  13,063 
JPMorgan Chase Bank, N.A.         
Australian Dollar  Buy  10/17/12  2,751,972  2,677,747  74,225 
Brazilian Real  Buy  10/17/12  794,359  786,615  7,744 
Brazilian Real  Sell  10/17/12  794,359  792,875  (1,484) 
British Pound  Buy  10/17/12  5,012,273  4,927,146  85,127 
Canadian Dollar  Sell  10/17/12  1,788,230  1,804,021  15,791 
Chilean Peso  Buy  10/17/12  218,374  209,992  8,382 
Czech Koruna  Buy  10/17/12  1,160,672  1,181,301  (20,629) 

 

Dynamic Asset Allocation Balanced Fund  85 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
JPMorgan Chase Bank, N.A. cont.           
  Czech Koruna  Sell  10/17/12  $1,160,672  $1,161,680  $1,008 
  Euro  Sell  10/17/12  9,307,697  9,084,859  (222,838) 
  Hong Kong Dollar  Sell  10/17/12  739,641  739,387  (254) 
  Hungarian Forint  Buy  10/17/12  394,933  386,342  8,591 
  Hungarian Forint  Sell  10/17/12  394,933  385,302  (9,631) 
  Japanese Yen  Buy  10/17/12  6,542,311  6,512,198  30,113 
  Mexican Peso  Buy  10/17/12  598,081  586,810  11,271 
  New Zealand Dollar  Sell  10/17/12  795,368  794,171  (1,197) 
  Norwegian Krone  Sell  10/17/12  1,370,624  1,350,257  (20,367) 
  Polish Zloty  Buy  10/17/12  359,922  382,723  (22,801) 
  Russian Ruble  Buy  10/17/12  794,921  812,715  (17,794) 
  Singapore Dollar  Buy  10/17/12  132,087  137,073  (4,986) 
  South African Rand  Sell  10/17/12  297,582  293,211  (4,371) 
  South Korean Won  Buy  10/17/12  97,973  89,453  8,520 
  Swedish Krona  Buy  10/17/12  435,703  425,801  9,902 
  Swedish Krona  Sell  10/17/12  435,703  437,851  2,148 
  Swiss Franc  Buy  10/17/12  12,869  12,666  203 
  Swiss Franc  Sell  10/17/12  12,869  12,924  55 
  Taiwan Dollar  Sell  10/17/12  877,955  859,426  (18,529) 
  Turkish Lira  Buy  10/17/12  865,429  853,950  11,479 
Royal Bank of Scotland PLC (The)           
  Brazilian Real  Buy  10/17/12  51,300  50,844  456 
  Brazilian Real  Sell  10/17/12  51,300  51,277  (23) 
  Euro  Buy  10/17/12  7,131,916  6,980,407  151,509 
  Singapore Dollar  Buy  10/17/12  792,113  793,506  (1,393) 
  Singapore Dollar  Sell  10/17/12  792,113  785,100  (7,013) 
  South Korean Won  Buy  10/17/12  13,779  13,450  329 
  Swiss Franc  Buy  10/17/12  3,681,706  3,620,280  61,426 
  Taiwan Dollar  Sell  10/17/12  25,217  23,610  (1,607) 
  Turkish Lira  Buy  10/17/12  8,828  8,749  79 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  10/17/12  2,568,908  2,535,169  33,739 
  Brazilian Real  Buy  10/17/12  975,926  967,920  8,006 
  Brazilian Real  Sell  10/17/12  975,926  974,254  (1,672) 
  British Pound  Sell  10/17/12  2,472,574  2,436,499  (36,075) 
  Canadian Dollar  Sell  10/17/12  208,251  213,766  5,515 
  Chilean Peso  Buy  10/17/12  97,838  96,429  1,409 
  Czech Koruna  Buy  10/17/12  768,344  790,802  (22,458) 
  Czech Koruna  Sell  10/17/12  768,344  766,387  (1,957) 
  Euro  Sell  10/17/12  2,993,963  2,883,376  (110,587) 
  Hungarian Forint  Buy  10/17/12  421,542  411,170  10,372 
  Hungarian Forint  Sell  10/17/12  421,542  412,212  (9,330) 
  Japanese Yen  Buy  10/17/12  2,455,592  2,442,603  12,989 
  Mexican Peso  Buy  10/17/12  144,613  143,747  866 

 

86  Dynamic Asset Allocation Balanced Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
State Street Bank and Trust Co. cont.           
  New Zealand Dollar  Sell  10/17/12  $398,098  $381,779  $(16,319) 
  Norwegian Krone  Buy  10/17/12  314,843  315,960  (1,117) 
  Norwegian Krone  Sell  10/17/12  314,843  310,604  (4,239) 
  Polish Zloty  Buy  10/17/12  815,370  820,248  (4,878) 
  Polish Zloty  Sell  10/17/12  815,370  784,626  (30,744) 
  Singapore Dollar  Sell  10/17/12  771,579  759,355  (12,224) 
  South African Rand  Buy  10/17/12  81,389  73,012  8,377 
  South Korean Won  Buy  10/17/12  314,644  297,362  17,282 
  Swedish Krona  Buy  10/17/12  696,154  694,987  1,167 
  Swiss Franc  Buy  10/17/12  13,720  13,501  219 
  Swiss Franc  Sell  10/17/12  13,720  13,779  59 
  Taiwan Dollar  Sell  10/17/12  1,114,239  1,092,840  (21,399) 
  Thai Baht  Buy  10/17/12  677,973  667,704  10,269 
  Turkish Lira  Buy  10/17/12  67,122  57,731  9,391 
UBS AG             
  Australian Dollar  Buy  10/17/12  6,646,359  6,543,991  102,368 
  British Pound  Sell  10/17/12  1,400,937  1,392,584  (8,353) 
  Canadian Dollar  Sell  10/17/12  1,443,213  1,432,415  (10,798) 
  Czech Koruna  Buy  10/17/12  1,150,596  1,170,686  (20,090) 
  Czech Koruna  Sell  10/17/12  1,150,596  1,155,018  4,422 
  Euro  Buy  10/17/12  8,159,593  8,018,761  140,832 
  Hungarian Forint  Buy  10/17/12  447,748  436,612  11,136 
  Hungarian Forint  Sell  10/17/12  447,748  455,765  8,017 
  Indian Rupee  Buy  10/17/12  618,882  607,184  11,698 
  Indian Rupee  Sell  10/17/12  618,882  588,934  (29,948) 
  Japanese Yen  Sell  10/17/12  7,093,584  7,065,004  (28,580) 
  Mexican Peso  Buy  10/17/12  5,089  32,728  (27,639) 
  New Zealand Dollar  Sell  10/17/12  733,683  735,040  1,357 
  Norwegian Krone  Buy  10/17/12  10,981,358  10,843,486  137,872 
  Philippines Peso  Buy  10/17/12  486,734  483,666  3,068 
  Russian Ruble  Buy  10/17/12  794,924  812,188  (17,264) 
  Singapore Dollar  Sell  10/17/12  1,010,818  994,532  (16,286) 
  South African Rand  Sell  10/17/12  15,276  23,978  8,702 
  Swedish Krona  Buy  10/17/12  1,371,324  1,383,466  (12,142) 
  Swedish Krona  Sell  10/17/12  1,371,324  1,370,794  (530) 
  Swiss Franc  Sell  10/17/12  36,586  35,991  (595) 
  Taiwan Dollar  Sell  10/17/12  455,757  426,977  (28,780) 
  Thai Baht  Buy  10/17/12  483,072  475,702  7,370 
  Turkish Lira  Buy  10/17/12  775,322  764,874  10,448 
WestPac Banking Corp.           
  Australian Dollar  Buy  10/17/12  1,249,540  1,236,169  13,371 
  British Pound  Sell  10/17/12  1,307,606  1,310,770  3,164 
  Canadian Dollar  Buy  10/17/12  1,969,230  1,998,328  (29,098) 
  Canadian Dollar  Sell  10/17/12  1,969,230  1,978,197  8,967 

 

Dynamic Asset Allocation Balanced Fund  87 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $297,292,501) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
WestPac Banking Corp. cont.           
  Euro  Sell  10/17/12  $15,443,451  $15,092,445  $(351,006) 
  Japanese Yen  Buy  10/17/12  1,151,160  1,146,611  4,549 
  Mexican Peso  Buy  10/17/12  694,893  698,102  (3,209) 
  Norwegian Krone  Buy  10/17/12  3,036  3,046  (10) 
  Norwegian Krone  Sell  10/17/12  3,036  2,995  (41) 
  Swedish Krona  Buy  10/17/12  27,375  26,746  629 
  Swedish Krona  Sell  10/17/12  27,374  27,511  137 
Total            $(402,130) 

 

FUTURES CONTRACTS OUTSTANDING at 9/30/12

 

        Unrealized 
Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury         
Bond 3 yr (Short)  37  $4,241,518  Dec-12  $(22,952) 
Canadian Government Bond         
10 yr (Long)  23  3,211,718  Dec-12  28,203 
Euro STOXX 50 Index (Short)  544  17,162,096  Dec-12  634,403 
FTSE 100 Index (Short)  292  26,938,018  Dec-12  546,140 
Japanese Government Bond         
10 yr Mini (Short)  1  184,828  Dec-12  (761) 
MSCI EAFE Index Mini (Long)  67  5,018,970  Dec-12  (158,309) 
NASDAQ 100 Index E-Mini (Short)  337  18,818,080  Dec-12  68,592 
OMXS 30 Index (Short)  315  5,155,051  Oct-12  131,154 
Russell 2000 Index Mini (Short)  116  9,679,040  Dec-12  69,815 
S&P 500 Index E-Mini (Long)  2,539  182,071,690  Dec-12  198,042 
S&P 500 Index E-Mini (Short)  950  68,124,500  Dec-12  (77,900) 
S&P Mid Cap 400 Index E-Mini (Long)  526  51,889,900  Dec-12  (867,398) 
SGX MSCI Singapore Index (Short)  38  2,179,922  Oct-12  7,246 
SPI 200 Index (Long)  57  6,480,222  Dec-12  (20,960) 
SPI 200 Index (Short)  50  5,684,406  Dec-12  24,402 
Tokyo Price Index (Short)  152  14,315,736  Dec-12  (195,648) 
U.S. Treasury Bond 30 yr (Long)  236  35,252,500  Dec-12  (156,995) 
U.S. Treasury Bond Ultra 30 yr (Long)  51  8,426,156  Dec-12  (93,941) 
U.S. Treasury Bond Ultra 30 yr (Short)  1  165,219  Dec-12  1,881 
U.S. Treasury Note 2 yr (Long)  253  55,794,406  Dec-12  27,753 
U.S. Treasury Note 2 yr (Short)  151  33,300,219  Dec-12  (16,802) 
U.S. Treasury Note 5 yr (Long)  405  50,476,289  Dec-12  185,856 
U.S. Treasury Note 5 yr (Short)  62  7,727,234  Dec-12  (30,149) 
U.S. Treasury Note 10 yr (Long)  158  21,090,531  Dec-12  98,872 
U.S. Treasury Note 10 yr (Short)  111  14,816,766  Dec-12  (55,930) 
Total        $324,614 

 

88  Dynamic Asset Allocation Balanced Fund 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $13,693,018)

  Contract  Expiration date/   
  amount  strike price  Value 
SPDR S&P 500 ETF Trust (Put)  15,316  Nov-12/$134.00  $11,786 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.35%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  $5,639,620  Aug-16/4.35  860,082 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to receive a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  6,141,710  Aug-16/4.28  148,617 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  6,141,710  Aug-16/4.28  902,420 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.80%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,362,729  Jul-16/4.80  24,182 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 4.80%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,362,729  Jul-16/4.80  264,502 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.89%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  6,616,660  Jun-16/4.89  47,931 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  6,398,663  May-16/4.745  47,811 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  6,398,663  May-16/4.745  815,759 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 4.39%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  6,616,660  Jun-16/4.39  734,284 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.12% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  6,724,074  Jun-16/4.12  649,256 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to receive a fixed rate of 5.12% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  6,724,074  Jun-16/5.12  43,962 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate       
of 4.7575% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  4,190,064  May-16/4.7575  29,749 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  15,996,658  May-16/4.77  118,151 

 

Dynamic Asset Allocation Balanced Fund  89 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $13,693,018) cont.

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  $4,190,064  May-16/4.7575  $519,149 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  15,996,658  May-16/4.77  1,994,575 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to receive a fixed rate of 4.60%       
versus the three month USD-LIBOR-BBA maturing       
May 2021. E  158,406  May-16/4.60  1,300 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to pay a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing May 2021. E  158,406  May-16/4.60  18,486 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to receive a fixed rate of 5.02%       
versus the three month USD-LIBOR-BBA maturing       
April 2026. E  23,092,447  Apr-16/5.02  324,218 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to pay a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing April 2026. E  23,092,447  Apr-16/5.02  4,778,936 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  1,006,000  Oct-12/1.75  7,595 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 4.86% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  159,199  May-16/4.86  1,158 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 4.36% versus the three month USD-LIBOR-BBA       
maturing May 2021. E  159,199  May-16/4.36  16,975 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  1,006,000  Oct-12/1.75  4,638 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to receive a fixed rate       
of 4.575% versus the three month USD-LIBOR-BBA       
maturing June 2021. E  6,574,650  Jun-16/4.575  55,102 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to pay a fixed rate of 4.575%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  6,574,650  Jun-16/4.575  759,187 
Total      $13,179,811 

 

E Extended settlement date on premium.

 

90  Dynamic Asset Allocation Balanced Fund 

 


TBA SALE COMMITMENTS OUTSTANDING at 9/30/12 (proceeds receivable $1,041,094)

  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3s,       
October 1, 2042  $1,000,000  10/11/12  $1,055,547 
Total      $1,055,547 

 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12

 

    Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Bank of America N.A.           
  $5,110,000  $—  5/14/22  2.0215%  3 month USD-   
          LIBOR-BBA  $(210,329) 
  285,000  7,565  6/20/22  2.183%  3 month USD-   
          LIBOR-BBA  (7,791) 
Barclay’s Bank, PLC           
  14,046,000 E  11,560  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (7,542) 
  211,000 E  (177)  12/19/14  3 month USD-     
        LIBOR-BBA  0.45%  110 
  741,000 E  (46,224)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (9,152) 
  29,340,000 E  316,986  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  269,161 
  524,000 E  (2,383)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (1,529) 
  4,829,000 E  (1,000)  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  14,211 
  16,000,000  —  9/13/14  3 month USD-     
        LIBOR-BBA  0.389%  5,842 
  25,000,000  —  9/13/17  3 month USD-     
        LIBOR-BBA  0.8075%  61,359 
  3,600,000  —  9/13/22  3 month USD-     
        LIBOR-BBA  1.7823%  31,146 
  4,200,000  —  9/13/42  3 month USD-     
        LIBOR-BBA  2.633%  27,330 
GBP  2,430,000  —  8/15/31  3.6%  6 month GBP-   
          LIBOR-BBA  (582,279) 
Citibank, N.A.           
  $252,000 E  —  10/7/21  3 month USD-     
        LIBOR-BBA  3.0625%  7,782 
  2,366,000 E  562  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (2,656) 
  163,000 E  188  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  701 
  6,434,000 E  (50,187)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (39,700) 
  163,000 E  (6,913)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  1,242 

 

Dynamic Asset Allocation Balanced Fund  91 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.

    Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Credit Suisse International         
  $72,818,000 E  $(80,397)  12/19/14  3 month USD-     
        LIBOR-BBA  0.45%  $18,636 
  9,775,000 E  20,293  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  51,084 
  827,000 E  73,464  12/19/42  3 month USD-     
        LIBOR-BBA  2.40%  32,089 
  14,860,000 E  16,743  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (3,466) 
  24,668,000 E  12,623  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (65,082) 
  2,866,000 E  (189,004)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (45,617) 
  3,446,000 E  63,040  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  57,423 
  19,892,000 E  (268,163)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (235,738) 
MXN  30,380,000  —  7/21/20  1 month MXN-     
        TIIE-BANXICO  6.895%  192,492 
Deutsche Bank AG           
  $128,000 E  —  10/7/21  3 month USD-     
        LIBOR-BBA  3.0475%  3,864 
  95,973,000 E  93,875  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (36,649) 
  2,041,000 E  (633)  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  5,796 
  8,521,000 E  (80,167)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (66,278) 
KRW  2,271,000,000  —  4/24/17  3.54%  3 month KRW-   
          CD-KSDA-   
          BLOOMBERG  (67,931) 
MXN  30,380,000  —  7/17/20  1 month MXN-     
        TIIE-BANXICO  6.95%  201,389 
Goldman Sachs International         
  $3,357,000 E  2,312  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (2,253) 
  7,717,000 E  (14,753)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (39,062) 
  970,000  15,260  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  13,679 
  1,834,000  130,345  12/19/42  3 month USD-     
        LIBOR-BBA  2.40%  38,590 
GBP  2,430,000  —  9/23/31  6 month GBP-     
        LIBOR-BBA  3.1175%  273,828 
JPMorgan Chase Bank NA         
  $230,000 E  (419)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (1,144) 
  787,000 E  236  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  1,519 

 

92  Dynamic Asset Allocation Balanced Fund 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.

    Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
JPMorgan Chase Bank NA cont.         
  $776,000 E  $17,550  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  $16,285 
  1,022,000 E  (103,350)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (52,219) 
CAD  2,470,000  —  9/21/21  2.3911%  3 month CAD-   
          BA-CDOR  (69,347) 
CAD  3,922,000  —  5/2/15  3 month CAD-     
        BA-CDOR  1.6575%  33,766 
MXN  10,354,000  —  9/11/20  6.82%  1 month MXN-   
          TIIE-BANXICO  (62,076) 
MXN  13,389,000  —  9/14/20  6.82%  1 month MXN-   
          TIIE-BANXICO  (80,105) 
MXN  4,340,000  —  7/16/20  1 month MXN-     
        TIIE-BANXICO  6.99%  29,660 
MXN  49,187,000  —  7/30/20  6.3833%  1 month MXN-   
          TIIE-BANXICO  (188,173) 
MXN  7,830,000  —  11/4/20  1 month MXN-     
        TIIE-BANXICO  6.75%  44,308 
UBS AG             
CHF  16,257,000  —  5/23/13  0.7625%  6 month CHF-   
          LIBOR-BBA  (104,047) 
Total            $(546,873) 

 

E See Note 1 to the financial statements regarding extended effective dates.

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12

    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Barclay’s Bank, PLC         
$19,713  1/12/38  6.50% (1 month  Synthetic TRS  $(93) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
107,794  1/12/38  (6.50%) 1 month  Synthetic MBX  (254) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
4,700,000  4/7/16  (2.63%)  USA Non Revised  (109,308) 
      Consumer Price   
      Index-Urban (CPI-U) 
762,764  1/12/41  4.00% (1 month  Synthetic TRS  (20,810) 
    USD-LIBOR)  Index 4.00%   
      30 year Fannie Mae   
      pools   

 

Dynamic Asset Allocation Balanced Fund  93 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.

      Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Barclay’s Bank, PLC cont.         
  $124,837  1/12/40  5.00% (1 month  Synthetic MBX  $449 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  1,051,104  1/12/40  4.50% (1 month  Synthetic MBX  (1,746) 
      USD-LIBOR)  Index 4.50%   
        30 year Fannie Mae   
        pools   
  1,830,536  1/12/41  5.00% (1 month  Synthetic MBX  6,587 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  1,100,546  1/12/41  5.00% (1 month  Synthetic MBX  3,960 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  210,169  1/12/40  5.00% (1 month  Synthetic MBX  757 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  682,128  1/12/40  5.00% (1 month  Synthetic MBX  2,455 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  494,608  1/12/40  5.00% (1 month  Synthetic MBX  1,780 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
Citibank, N.A.         
  846,093  1/12/41  5.00% (1 month  Synthetic MBX  3,045 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
  827,322  1/12/41  5.00% (1 month  Synthetic MBX  2,977 
      USD-LIBOR)  Index 5.00%   
        30 year Fannie Mae   
        pools   
baskets  326  2/13/13  (3 month USD-  A basket  1,041,188 
      LIBOR-BBA plus  (CGPUTQL2)   
      0.10%)  of common stocks   
baskets  156  2/13/13  3 month USD-  A basket  497,464 
      LIBOR-BBA plus  (CGPUTQL2)   
      0.10%  of common stocks   
units  7,226  2/13/13  3 month USD-  Russell 1000  (836,580) 
      LIBOR-BBA minus  Total Return Index   
      0.15%     
units  4,318  2/13/13  3 month USD-  Russell 1000  (499,889) 
      LIBOR-BBA minus  Total Return Index   
      0.15%     

 

94  Dynamic Asset Allocation Balanced Fund 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.

    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Credit Suisse International         
$4,821,600  1/12/41  4.50% (1 month  Synthetic MBX  $19,855 
    USD-LIBOR)  Index 4.50%   
      30 year Ginnie   
      Mae II pools   
Goldman Sachs International         
2,690,000  3/1/16  2.47%  USA Non Revised  35,051 
      Consumer Price   
      Index-Urban (CPI-U) 
2,017,500  3/3/16  2.45%  USA Non Revised  24,906 
      Consumer Price   
      Index-Urban (CPI-U) 
91,646  1/12/38  6.50% (1 month  Synthetic TRS  (432) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
3,906,451  1/12/41  4.00% (1 month  Synthetic TRS  (106,579) 
    USD-LIBOR)  Index 4.00%   
      30 year Fannie Mae   
      pools   
7,550  1/12/38  6.50% (1 month  Synthetic TRS  (36) 
    USD-LIBOR)  Index 6.50%   
      30 year Fannie Mae   
      pools   
572,435  1/12/41  4.00% (1 month  Synthetic TRS  (15,618) 
    USD-LIBOR)  Index 4.00%   
      30 year Fannie Mae   
      pools   
98,776  1/12/38  (6.50%) 1 month  Synthetic MBX  (233) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
118,490  1/12/38  (6.50%) 1 month  Synthetic MBX  (279) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
1,950,331  1/12/41  4.00% (1 month  Synthetic TRS  (53,211) 
    USD-LIBOR)  Index 4.00%   
      30 year Fannie Mae   
      pools   
2,186,289  1/12/38  (6.50%) 1 month  Synthetic MBX  (5,151) 
    USD-LIBOR  Index 6.50%   
      30 year Fannie Mae   
      pools   
1,864,000  4/3/17  2.3225%  USA Non Revised  13,644 
      Consumer Price   
      Index-Urban (CPI-U) 

 

Dynamic Asset Allocation Balanced Fund  95 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.

      Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International cont.       
  $1,864,000  4/4/17  2.35%  USA Non Revised  $16,403 
        Consumer Price   
        Index-Urban (CPI-U) 
  1,864,000  4/5/17  2.355%  USA Non Revised  16,925 
        Consumer Price   
        Index-Urban (CPI-U) 
  1,864,000  4/5/22  2.66%  USA Non Revised  18,265 
        Consumer Price   
        Index-Urban (CPI-U) 
GBP  1,163,000  3/30/17  (3.0925%)  GBP Non-revised  (54,049) 
        UK Retail Price   
        Index   
GBP  1,163,000  4/2/17  (3.085%)  GBP Non-revised  (59,326) 
        UK Retail Price   
        Index   
GBP  2,326,000  9/20/17  2.6625%  GBP Non-revised  11,636 
        UK Retail Price   
        Index   
GBP  1,163,000  9/21/17  2.66%  GBP Non-revised  5,565 
        UK Retail Price   
        Index   
GBP  1,163,000  4/3/17  (3.09%)  GBP Non-revised  (59,833) 
        UK Retail Price   
        Index   
GBP  1,163,000  4/3/22  (3.21%)  GBP Non-revised  (117,977) 
        UK Retail Price   
        Index   
JPMorgan Chase Bank NA       
shares  804,010  10/22/12  (3 month USD-  iShares MSCI  3,000,144 
      LIBOR-BBA plus  Emerging Markets   
      0.04%)  Index   
Total          $2,781,652 

 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12

 

    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty /    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Barclay’s Bank, PLC             
DJ CDX NA IG Series             
18 Index  BBB+/P  $25,108  $6,170,000  6/20/17  100 bp  $54,203 
DJ CDX NA IG Series             
18 Index  BBB+/P  (361)  165,000  6/20/17  100 bp  417 

 

96  Dynamic Asset Allocation Balanced Fund 

 


CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12 cont.

    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty /    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Citibank, N.A.             
DJ CDX EM Series 11             
Index  —  $(8,100)  $300,000  6/20/14  (500 bp)  $(30,623) 
DJ CDX NA IG Series             
18 Index  BBB+/P  73,942  7,070,000  6/20/17  100 bp  107,281 
DJ CDX NA IG Series             
18 Index  BBB+/P  (16,084)  4,070,000  6/20/17  100 bp  3,108 
Credit Suisse International           
Bonos Y Oblig Del             
Estado, 5 1/2%,             
7/30/17  —  (13,976)  1,570,000  12/20/19  (100 bp)  251,241 
DJ CDX NA HY Series             
18 Index  B+/P  853,825  24,151,050  6/20/17  500 bp  1,018,965 
DJ CDX NA IG Series             
18 Index  BBB+/P  38,145  4,470,000  6/20/17  100 bp  59,224 
DJ CDX NA IG Series             
18 Index  BBB+/P  1,358  1,295,000  6/20/17  100 bp  7,465 
Deutsche Bank AG             
DJ CDX EM Series 11             
Index  —  (37,840)  1,720,000  6/20/14  (500 bp)  (166,970) 
DJ CDX NA HY Series             
18 Index  B+/P  912,634  34,419,330  6/20/17  500 bp  1,147,985 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B1  —  EUR  580,000  9/20/13  715 bp  51,138 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR  800,000  9/20/13  477 bp  44,728 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR  800,000  9/20/13  535 bp  50,782 
Goldman Sachs International           
CSC Holdings, Inc.,             
7 5/8%, 7/15/18  Ba3  —  $605,000  9/20/13  495 bp  26,023 
JPMorgan Chase Bank NA             
DJ CDX NA HY Series             
18 Index  B+/P  178,448  6,730,020  6/20/17  500 bp  224,466 
Total            $2,849,433 

 

* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2012. Securities rated by Putnam are indicated by “/P.”

Dynamic Asset Allocation Balanced Fund  97 

 


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  $24,078,080  $10,355,401  $— 
Capital goods  24,874,473  5,861,475  — 
Communication services  24,271,544  6,012,049  — 
Conglomerates  13,545,449  1,578,014  — 
Consumer cyclicals  55,446,177  12,273,479  6 
Consumer staples  44,612,898  12,259,339  3,740 
Energy  48,662,415  8,353,446  — 
Financials  74,815,102  23,199,056  — 
Health care  55,728,848  10,524,731  — 
Technology  109,373,020  4,713,708  — 
Transportation  4,445,291  2,547,464  — 
Utilities and power  13,306,333  3,783,476  — 
Total common stocks  493,159,630  101,461,638  3,746 
 
Asset-backed securities  —  78,397  — 
Commodity linked notes  —  11,047,796  — 
Convertible bonds and notes  —  839,186  — 
Convertible preferred stocks  145,860  489,533  — 
Corporate bonds and notes  —  242,976,020  — 
Foreign government and agency bonds and notes  —  11,776,378  — 
Investment Companies  9,906,308  —  — 
Mortgage-backed securities  —  48,567,352  — 
Municipal bonds and notes  —  437,467  — 
Preferred stocks  114,092  1,195,874  — 
Purchased options outstanding  —  11,868,558  — 
Senior loans  —  6,012,767  — 
U.S. Government and Agency Mortgage Obligations  —  138,114,922  — 
Warrants  1,513  1,083  10,152 
Short-term investments  305,120,654  81,528,236  — 
Totals by level  $808,448,057  $656,395,207  $13,898 

 

98  Dynamic Asset Allocation Balanced Fund 

 


    Valuation inputs  
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—  $(402,130)  $— 
Futures contracts  324,614  —  — 
Written options  —  (13,179,811)  — 
TBA sale commitments  —  (1,055,547)  — 
Interest rate swap contracts  —  (485,705)  — 
Total return swap contracts  —  2,781,652  — 
Credit default contracts  —  842,334  — 
Totals by level  $324,614  $(11,499,207)  $— 

 

At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Balanced Fund  99 

 


Statement of assets and liabilities 9/30/12

ASSETS   
Investment in securities, at value, including $1,395,754 of securities on loan (Note 1):   
Unaffiliated issuers (identified cost $1,058,038,297)  $1,166,518,202 
Affiliated issuers (identified cost $298,338,960) (Notes 1 and 6)  298,338,960 
Cash  19,325 
Foreign currency (cost $3,235,195) (Note 1)  2,946,002 
Dividends, interest and other receivables  6,391,216 
Receivable for shares of the fund sold  4,568,566 
Receivable for investments sold  26,736,626 
Receivable for sales of delayed delivery securities (Note 1)  1,041,927 
Unrealized appreciation on swap contracts (Note 1)  9,203,374 
Receivable for variation margin (Note 1)  163,867 
Unrealized appreciation on forward currency contracts (Note 1)  2,100,800 
Premium paid on swap contracts (Note 1)  920,131 
Total assets  1,518,948,996 
 
LIABILITIES   
Distributions payable to shareholders  500 
Payable for investments purchased  28,149,863 
Payable for purchases of delayed delivery securities (Note 1)  137,620,444 
Payable for shares of the fund repurchased  6,923,565 
Payable for compensation of Manager (Note 2)  575,287 
Payable for investor servicing fees (Note 2)  379,878 
Payable for custodian fees (Note 2)  96,300 
Payable for Trustee compensation and expenses (Note 2)  292,959 
Payable for administrative services (Note 2)  5,729 
Payable for distribution fees (Note 2)  735,436 
Unrealized depreciation on forward currency contracts (Note 1)  2,502,930 
Written options outstanding, at value (premiums $13,693,018) (Notes 1 and 3)  13,179,811 
Premium received on swap contracts (Note 1)  2,866,062 
Unrealized depreciation on swap contracts (Note 1)  4,119,162 
TBA sale commitments, at value (proceeds receivable $1,041,094) (Note 1)  1,055,547 
Collateral on securities loaned, at value (Note 1)  1,484,760 
Collateral on certain derivative contracts, at value (Note 1)  8,266,454 
Other accrued expenses  340,069 
Total liabilities  208,594,756 
 
Net assets  $1,310,354,240 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $1,369,958,701 
Distributions in excess of net investment income (Note 1)  (5,723,446) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (167,568,775) 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  113,687,760 
Total — Representing net assets applicable to capital shares outstanding  $1,310,354,240 

 

(Continued on next page)

 

100  Dynamic Asset Allocation Balanced Fund 

 


Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($899,120,943 divided by 75,633,428 shares)  $11.89 
Offering price per class A share (100/94.25 of $11.89)*  $12.62 
Net asset value and offering price per class B share ($85,832,543 divided by 7,246,847 shares)**  $11.84 
Net asset value and offering price per class C share ($98,191,975 divided by 8,426,652 shares)**  $11.65 
Net asset value and redemption price per class M share ($21,875,755 divided by 1,842,913 shares)  $11.87 
Offering price per class M share (100/96.50 of $11.87)*  $12.30 
Net asset value, offering price and redemption price per class R share   
($11,821,262 divided by 1,000,853 shares)  $11.81 
Net asset value, offering price and redemption price per class R5 share   
($10,543 divided by 886 shares)  $11.90 
Net asset value, offering price and redemption price per class R6 share   
($10,545 divided by 886 shares)  $11.90 
Net asset value, offering price and redemption price per class Y share   
($193,490,674 divided by 16,256,864 shares)  $11.90 

 

* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Balanced Fund  101 

 


Statement of operations Year ended 9/30/12

INVESTMENT INCOME   
Interest (net of foreign tax of $8,896) (including interest income of $270,678 from investments   
in affiliated issuers) (Note 6)  $22,446,600 
Dividends (net of foreign tax of $307,312)  13,502,643 
Securities lending (Note 1)  52,304 
Total investment income  36,001,547 
 
EXPENSES   
Compensation of Manager (Note 2)  6,843,794 
Investor servicing fees (Note 2)  2,434,962 
Custodian fees (Note 2)  249,957 
Trustee compensation and expenses (Note 2)  108,749 
Administrative services (Note 2)  38,915 
Distribution fees (Note 2)  4,272,399 
Other  649,030 
Total expenses  14,597,806 
 
Expense reduction (Note 2)  (56,424) 
Net expenses  14,541,382 
 
Net investment income  21,460,165 
 
Net realized gain on investments (net of foreign tax of $7,073) (Notes 1 and 3)  60,019,894 
Net realized loss on swap contracts (Note 1)  (35,306,666) 
Net realized gain on futures contracts (Note 1)  28,498,836 
Net realized loss on foreign currency transactions (Note 1)  (26,553) 
Net realized loss on written options (Notes 1 and 3)  (6,259,280) 
Net unrealized depreciation of assets and liabilities in foreign currencies during the year  (3,867,502) 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options,   
and TBA sale commitments during the year  176,623,151 
Net gain on investments  219,681,880 
 
Net increase in net assets resulting from operations  $241,142,045 

 

The accompanying notes are an integral part of these financial statements.

 

102  Dynamic Asset Allocation Balanced Fund 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Year ended 9/30/12  Year ended 9/30/11 
Operations:     
Net investment income  $21,460,165  $25,455,269 
Net realized gain on investments     
and foreign currency transactions  46,926,231  57,556,207 
Net unrealized appreciation (depreciation) of investments     
and assets and liabilities in foreign currencies  172,755,649  (87,606,619) 
Net increase (decrease) in net assets resulting     
from operations  241,142,045  (4,595,143) 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (14,910,054)  (35,840,251) 
Class B  (831,938)  (3,326,863) 
Class C  (958,614)  (3,170,220) 
Class M  (268,070)  (740,848) 
Class R  (167,788)  (380,070) 
Class R5  (48)  — 
Class R6  (50)  — 
Class Y  (3,523,769)  (7,197,201) 
Increase in capital from settlement payments (Note 9)  —  123,114 
Decrease from capital share transactions (Note 4)  (133,881,070)  (66,213,432) 
Total increase (decrease) in net assets  86,600,644  (121,340,914) 
 
NET ASSETS     
Beginning of year  1,223,753,596  1,345,094,510 
End of year (including distributions in excess     
of net investment income of $5,723,446     
and $5,890,344, respectively)  $1,310,354,240  $1,223,753,596 

 

The accompanying notes are an integral part of these financial statements.

 

Dynamic Asset Allocation Balanced Fund  103 

 


Financial highlights (For a common share outstanding throughout the period)

INVESTMENT OPERATIONS:    LESS DISTRIBUTIONS:        RATIOS AND SUPPLEMENTAL DATA:   
                          Ratio     
                          of expenses     
                          to average  Ratio   
  Net asset    Net realized                  Ratio  net assets  of net investment   
  value,    and unrealized  Total from  From      Non-recurring    Total return  Net assets,  of expenses  excluding  income (loss)   
  beginning  Net investment  gain (loss)  investment  net investment  Total  Redemption  reimburse-  Net asset value,  at net asset  end of period  to average  interest expense  to average  Portfolio 
Period ended  of period  income (loss) a  on investments  operations  income  distributions  fees  ments  end of period  value (%) b  (in thousands)  net assets (%) c  (%) c  net assets (%)  turnover (%) d 
Class A                               
September 30, 2012  $9.99  .20  1.89  2.09  (.19)  (.19)  —  —  $11.89  21.06  $899,121  1.06  1.06  1.76  182 
September 30, 2011  10.47  .21  (.28)  (.07)  (.41)  (.41)  —  — e  9.99  (.92)  843,218  1.06  1.06  1.91  158 
September 30, 2010  9.82  .27  .94  1.21  (.56)  (.56)  — f  —  10.47  12.62  931,461  1.10 g  1.10 g  2.71 g  138 
September 30, 2009  10.01  .21  .05 h  .26  (.45)  (.45)  — f  —  9.82  3.79  927,285  1.23 g,i  1.13 g  2.54 g  201 
September 30, 2008  12.74  .36  (2.81)  (2.45)  (.28)  (.28)  — f  —  10.01  (19.45)  1,142,882  1.09 g  1.09 g  3.07 g  124 
Class B                               
September 30, 2012  $9.95  .11  1.89  2.00  (.11)  (.11)  —  —  $11.84  20.13  $85,833  1.81  1.81  1.02  182 
September 30, 2011  10.43  .13  (.29)  (.16)  (.32)  (.32)  —  — e  9.95  (1.71)  88,888  1.81  1.81  1.15  158 
September 30, 2010  9.78  .20  .93  1.13  (.48)  (.48)  — f  —  10.43  11.80  114,661  1.85 g  1.85 g  1.97 g  138 
September 30, 2009  9.96  .14  .07 h  .21  (.39)  (.39)  — f  —  9.78  3.10  131,854  1.98 g,i  1.88 g  1.76 g  201 
September 30, 2008  12.66  .27  (2.78)  (2.51)  (.19)  (.19)  — f  —  9.96  (19.99)  191,536  1.84 g  1.84 g  2.30 g  124 
Class C                               
September 30, 2012  $9.80  .11  1.85  1.96  (.11)  (.11)  —  —  $11.65  20.07  $98,192  1.81  1.81  1.01  182 
September 30, 2011  10.28  .13  (.28)  (.15)  (.33)  (.33)  —  — e  9.80  (1.68)  91,254  1.81  1.81  1.16  158 
September 30, 2010  9.65  .19  .92  1.11  (.48)  (.48)  — f  —  10.28  11.79  98,134  1.85 g  1.85 g  1.96 g  138 
September 30, 2009  9.85  .15  .04 h  .19  (.39)  (.39)  — f  —  9.65  2.97  99,579  1.98 g,i  1.88 g  1.79 g  201 
September 30, 2008  12.53  .27  (2.76)  (2.49)  (.19)  (.19)  — f  —  9.85  (20.01)  118,179  1.84 g  1.84 g  2.32 g  124 
Class M                               
September 30, 2012  $9.98  .14  1.89  2.03  (.14)  (.14)  —  —  $11.87  20.40  $21,876  1.56  1.56  1.27  182 
September 30, 2011  10.46  .15  (.28)  (.13)  (.35)  (.35)  —  — e  9.98  (1.44)  19,151  1.56  1.56  1.41  158 
September 30, 2010  9.81  .22  .93  1.15  (.50)  (.50)  — f  —  10.46  12.08  23,600  1.60 g  1.60 g  2.20 g  138 
September 30, 2009  10.00  .17  .05 h  .22  (.41)  (.41)  — f  —  9.81  3.27  22,010  1.73 g,i  1.63 g  2.04 g  201 
September 30, 2008  12.72  .30  (2.80)  (2.50)  (.22)  (.22)  — f  —  10.00  (19.82)  27,475  1.59 g  1.59 g  2.58 g  124 
Class R                               
September 30, 2012  $9.93  .17  1.88  2.05  (.17)  (.17)  —  —  $11.81  20.70  $11,821  1.31  1.31  1.52  182 
September 30, 2011  10.41  .18  (.28)  (.10)  (.38)  (.38)  —  — e  9.93  (1.18)  10,066  1.31  1.31  1.66  158 
September 30, 2010  9.77  .25  .92  1.17  (.53)  (.53)  — f  —  10.41  12.32  9,614  1.35 g  1.35 g  2.45 g  138 
September 30, 2009  9.97  .19  .04 h  .23  (.43)  (.43)  — f  —  9.77  3.45  7,476  1.48 g,i  1.38 g  2.31 g  201 
September 30, 2008  12.69  .33  (2.79)  (2.46)  (.26)  (.26)  — f  —  9.97  (19.62)  6,667  1.34 g  1.34 g  2.83 g  124 
Class R5                               
September 30, 2012†  $11.34  .06  .55  .61  (.05)  (.05)  —  —  $11.90  5.41 *  $11  .19 *  .19 *  .47 *  182 
Class R6                               
September 30, 2012†  $11.34  .06  .56  .62  (.06)  (.06)  —  —  $11.90  5.44 *  $11  .16 *  .16 *  .49 *  182 
Class Y                               
September 30, 2012  $10.00  .23  1.89  2.12  (.22)  (.22)  —  —  $11.90  21.34  $193,491  .81  .81  2.01  182 
September 30, 2011  10.49  .24  (.29)  (.05)  (.44)  (.44)  —  — e  10.00  (.76)  171,176  .81  .81  2.16  158 
September 30, 2010  9.83  .30  .94  1.24  (.58)  (.58)  — f  —  10.49  12.98  167,625  .85 g  .85 g  2.99 g  138 
September 30, 2009  10.03  .24  .03 h  .27  (.47)  (.47)  — f  —  9.83  3.96  273,251  .98 g,i  .88 g  2.88 g  201 
September 30, 2008  12.76  .39  (2.81)  (2.42)  (.31)  (.31)  — f  —  10.03  (19.20)  231,078  .84 g  .84 g  3.33 g  124 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

104  Dynamic Asset Allocation Balanced Fund  Dynamic Asset Allocation Balanced Fund  105 

 


Financial highlights (Continued)

* Not annualized.

† For the period July 3, 2012 (commencement of operations) to September 30, 2012.

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 (Note 2).

d Portfolio turnover excludes TBA roll transactions.

e Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (the SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011 (Note 9).

f Amount represents less than $0.01 per share.

g Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to September 30, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:

  Percentage of 
  average net assets 
September 30, 2010  0.02% 
September 30, 2009  0.12 
September 30, 2008  <0.01 

 

h The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the fund.

i Includes interest accrued in connection with certain terminated derivative contracts, which amounted to 0.10% of average net assets as of September 30, 2009.

The accompanying notes are an integral part of these financial statements.

106  Dynamic Asset Allocation Balanced Fund 

 


Notes to financial statements 9/30/12

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 and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Unless otherwise noted, the “reporting period” represents the period from October 1, 2011 through September 30, 2012.

Putnam Dynamic Asset Allocation Balanced Fund (the fund) (which changed its name from Putnam Asset Allocation: Balanced Portfolio on November 30, 2011) is a diversified series of Putnam Asset Allocation Funds (the Trust) a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The fund seeks total return. Total return is composed of capital appreciation and income. The fund invests mainly in equity securities (growth or value stocks or both) of U.S. and foreign companies of any size. The fund also invests in fixed income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments). The fund may also select other investments that do not fall within these asset classes.

The fund offers class A, class B, class C, class M, class R, class R5, class R6 and class Y shares. The fund began offering class R5 and class R6 shares on July 2, 2012. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay 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 have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R5, 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.

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 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. If no sales are reported, as in the case of some securities traded over-the-counter, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.

Dynamic Asset Allocation Balanced Fund  107 

 


Market quotations are not considered to be readily available for certain debt obligations 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 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

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, is recorded on the accrual basis. Dividend income, net of 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 market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

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 market value of these securities is highly sensitive to changes in interest rates.

108  Dynamic Asset Allocation Balanced Fund 

 


Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

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 the return on a security owned and to enhance the return on securities owned.

The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Certain options contracts include premiums that do not settle until the expiration date of the contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. See Note 3 for the volume of written options contracts activity for the reporting period. The fund had an average contract amount of approximately $348,500,000 on purchased options contracts for the reporting period.

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. Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.

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 on currency.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or

Dynamic Asset Allocation Balanced Fund  109 

 


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. The fund had an average contract amount of approximately $640,500,000 on forward currency contracts for the reporting period.

Total return swap contracts The fund entered into 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 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. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the period.

Interest rate swap contracts The fund entered into 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 interest rate swap can be purchased or sold with an upfront premium. 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. Upfront payments are recorded as realized gains and losses at the closing of the contract. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $1,960,600,000 on interest rate swap contracts for the reporting period.

Credit default contracts The fund entered into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.

In a credit default contract, the protection buyer typically makes an up front payment and 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. 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. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and

110  Dynamic Asset Allocation Balanced Fund 

 


market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting 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 by having a master netting arrangement between the fund and the counterparty. 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 of the relevant credit default contract.

Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $3,084,674 at the close of the reporting period.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund had a net liability position of $1,495,786 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $8,397,161.

TBA purchase 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 has been established, the principal value has not been finalized. 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. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.

Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.

TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding,

Dynamic Asset Allocation Balanced Fund  111 

 


equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. 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 sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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 market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. 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 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 value of securities loaned amounted to $1,408,606. Certain of these securities were sold prior to the close of the reporting period and are included in Receivable for investments sold on the Statement of assets and liabilities. The fund received cash collateral of $1,484,760.

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.

Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% 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 ASC 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.

112  Dynamic Asset Allocation Balanced Fund 

 


At September 30, 2012, the fund had a capital loss carryover of $159,237,370 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Loss carryover
Short-term  Long-term  Total  Expiration 
$79,492,513  N/A  $79,492,513  September 30, 2017 
79,744,857  N/A  79,744,857  September 30, 2018 

 

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences of losses on wash sale transactions, realized gains and losses on certain futures contracts, straddle loss deferrals, income on swap contracts and interest only securities. 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. For the reporting period ended, the fund reclassified $632,936 to increase distributions in excess of net investment income, $10,979,194 to decrease paid-in-capital and $11,612,130 to decrease accumulated net realized losses.

The tax basis components of distributable earnings as of the close of the reporting period were as follows:

Unrealized appreciation  $129,909,651 
Unrealized depreciation  (28,886,375) 
Net unrealized appreciation  101,023,276 
Capital loss carryforward  (159,237,370) 
Cost for federal income tax purposes  $1,363,833,886 

 

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

0.680%  of the first $5 billion, 
0.630%  of the next $5 billion, 
0.580%  of the next $10 billion, 
0.530%  of the next $10 billion, 
0.480%  of the next $50 billion, 
0.460%  of the next $50 billion, 
0.450%  of the next $100 billion and 
0.445%  of any excess thereafter. 

 

Putnam Management has contractually agreed, through June 30, 2013, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal

 

Dynamic Asset Allocation Balanced Fund  113 

 


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. Putnam Management pays 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. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. Prior to March 1, 2012, investor servicing fees could not exceed an annual rate of 0.375% of the fund’s average net assets. During the reporting period, the class specific expenses related to investor servicing fees were as follows:

Class A  $1,676,753 
Class B  169,875 
Class C  182,966 
Class M  41,341 
Class R  21,536 
Class R5  4 
Class R6  1 
Class Y  342,486 
Total  $2,434,962 

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $3,174 under the expense offset arrangements and by $53,250 under the brokerage/service arrangements.

Each independent Trustee of the fund receives an annual Trustee fee, of which $1,001, 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.

114  Dynamic Asset Allocation Balanced Fund 

 


The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares 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 for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class A  $2,201,103 
Class B  890,733 
Class C  961,130 
Class M  162,894 
Class R  56,539 
Total  $4,272,399 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $155,803 and $1,696 from the sale of class A and class M shares, respectively, and received $73,902 and $4,185 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $119 and no monies on class A and class M redemptions, respectively.

Note 3: Purchases and sales of securities

During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments and TBA transactions aggregated $1,654,737,759 and $1,745,607,209, respectively. These figures include the cost of purchases and proceeds from sales of long-term U.S. government securities of $28,317,688 and $28,306,393, respectively.

Written option transactions during the reporting period are summarized as follows:

    Written swap  Written  Written equity  Written 
    option contract  swap option  option contract  equity option 
    amounts  premiums  amounts  premiums 
Written options outstanding           
at the beginning of the  USD  $407,839,964  $18,712,494  —  $— 
reporting period  CHF  14,050,000  $18,862  —  $— 
Options opened  USD  308,009,740  18,972,479  15,316  11,028 
  CHF  —  —  —  — 
Options exercised  USD  (106,690,258)  (2,743,887)  —  — 
  CHF  —  —  —  — 
Options expired  USD  —  —  —  — 
  CHF  —  —  —  — 
Options closed  USD  (446,677,306)  (21,259,096)  —  — 
  CHF  (14,050,000)  (18,862)  —  — 
Written options outstanding           
at the end of the  USD  $162,482,140  $13,681,990  15,316  $11,028 
reporting period  CHF  —  $—  —  $— 

 

Dynamic Asset Allocation Balanced Fund  115 

 


Note 4: Capital shares

At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:

  Year ended 9/30/12  Year ended 9/30/11 
Class A  Shares  Amount  Shares  Amount 
Shares sold  8,927,475  $99,884,741  12,656,859  $140,048,356 
Shares issued in connection with         
reinvestment of distributions  1,257,056  14,150,244  3,120,612  33,702,218 
  10,184,531  114,034,985  15,777,471  173,750,574 
Shares repurchased  (18,967,701)  (209,753,686)  (20,292,861)  (225,488,831) 
Net decrease  (8,783,170)  $(95,718,701)  (4,515,390)  $(51,738,257) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class B  Shares  Amount  Shares  Amount 
Shares sold  745,478  $8,333,663  1,114,460  $12,262,452 
Shares issued in connection with         
reinvestment of distributions  69,627  778,171  282,899  3,039,823 
  815,105  9,111,834  1,397,359  15,302,275 
Shares repurchased  (2,501,001)  (27,815,958)  (3,458,907)  (38,094,803) 
Net decrease  (1,685,896)  $(18,704,124)  (2,061,548)  $(22,792,528) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class C  Shares  Amount  Shares  Amount 
Shares sold  943,190  $10,359,394  1,847,500  $20,037,087 
Shares issued in connection with         
reinvestment of distributions  79,629  877,473  264,718  2,802,074 
  1,022,819  11,236,867  2,112,218  22,839,161 
Shares repurchased  (1,912,370)  (20,815,164)  (2,342,774)  (25,274,466) 
Net decrease  (889,551)  $(9,578,297)  (230,556)  $(2,435,305) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class M  Shares  Amount  Shares  Amount 
Shares sold  426,293  $4,652,129  207,031  $2,279,460 
Shares issued in connection with         
reinvestment of distributions  23,285  260,892  65,702  708,102 
  449,578  4,913,021  272,733  2,987,562 
Shares repurchased  (526,338)  (5,887,498)  (609,822)  (6,737,090) 
Net decrease  (76,760)  $(974,477)  (337,089)  $(3,749,528) 

 

116  Dynamic Asset Allocation Balanced Fund 

 


  Year ended 9/30/12  Year ended 9/30/11 
Class R  Shares  Amount  Shares  Amount 
Shares sold  301,013  $3,317,231  333,038  $3,629,499 
Shares issued in connection with         
reinvestment of distributions  14,371  160,644  35,151  377,200 
  315,384  3,477,875  368,189  4,006,699 
Shares repurchased  (328,610)  (3,667,736)  (277,429)  (3,037,767) 
Net increase (decrease)  (13,226)  $(189,861)  90,760  $968,932 
 
    For the period 7/3/12 
    (commencement of operations) to 9/30/12 
Class R5    Shares  Amount 
Shares sold    882  $10,000 
Shares issued in connection with reinvestment of       
distributions    4  48 
    886  10,048 
Shares repurchased    —  — 
Net increase    886  $10,048 
 
    For the period 7/3/12 
    (commencement of operations) to 9/30/12 
Class R6    Shares  Amount 
Shares sold    882  $10,000 
Shares issued in connection with         
reinvestment of distributions    4  50 
    886  10,050 
Shares repurchased    —  — 
Net increase    886  $10,050 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  3,588,665  $40,460,899  5,965,085  $65,875,452 
Shares issued in connection with         
reinvestment of distributions  308,616  3,477,340  662,614  7,161,981 
  3,897,281  43,938,239  6,627,699  73,037,433 
Shares repurchased  (4,756,731)  (52,673,947)  (5,492,896)  (59,504,179) 
Net increase (decrease)  (859,450)  $(8,735,708)  1,134,803  $13,533,254 

 

At the close of the reporting period, Putnam Investments, LLC owned the following class shares of the fund:

 

  Shares owned  Percentage of ownership  Value 
Class R5  886  100%  $10,543 
Class R6  886  100  10,545 

 

At the close of the reporting period, a shareholder of record owned 5.8% of the outstanding shares of the fund.

 

Dynamic Asset Allocation Balanced Fund  117 

 


Note 5: Summary of derivative activity

The following is a summary of the market values of derivative instruments as of the close of the reporting period:

Market values 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  Market value  liabilities location  Market value 
Credit contracts  Receivables  $993,987  Payables  $151,653 
Foreign exchange         
contracts  Receivables  2,100,800  Payables  2,502,930 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  6,251,730*  Unrealized depreciation  2,668,470* 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  13,738,704*  Unrealized depreciation  15,999,908* 
Total    $23,085,221    $21,322,961 

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in The fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $6,894,491  $6,894,491 
Foreign exchange           
contracts  —  —  (303,207)  —  $(303,207) 
Equity contracts  —  20,801,111  —  (8,185,413)  $12,615,698 
Interest rate contracts  (9,768,183)  7,697,725  —  (34,015,744)  $(36,086,202) 
Total  $(9,768,183)  $28,498,836  $(303,207)  $(35,306,666)  $(16,879,220) 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

 

Derivatives not             
accounted for as        Forward     
hedging instruments        currency     
under ASC 815  Options  Warrants†  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $4,837,153  $4,837,153 
Foreign exchange             
contracts  —  —  —  (3,514,836)  —  $(3,514,836) 
Equity contracts  948  140  7,786,317  —  11,346,574  $19,133,979 
Interest rate contracts  2,500,030  —  (2,685,575)  —  37,142,406  $36,956,861 
Total  $2,500,978  $140  $5,100,742  $(3,514,836)  $53,326,133  $57,413,157 

 

† For the reporting period, the transaction volume for warrants was minimal.

 

118  Dynamic Asset Allocation Balanced Fund 

 


Note 6: Transactions with affiliated issuers

Transactions during the reporting period with a company which is under common ownership or control, or with companies in which the fund owned at least 5% of the voting securities, were as follows:

  Market value         Market value 
  at beginning of  Purchase  Sale  Income  at end of 
Name of affiliate  reporting period  cost  proceeds  distributions  reporting period 
Putnam           
Money Market           
Liquidity Fund*  $251,766,636  $480,345,686  $435,258,122  $270,678  $296,854,200 

 

Market values are shown for those securities affiliated at the close of the reporting period.

* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: 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 a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Note 9: Regulatory matters and litigation

In late 2003 and 2004, Putnam Management settled charges brought by the SEC and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. In July 2011, the fund recorded a receivable of $120,127 related to restitution amounts in connection with a distribution plan approved by the SEC. This amount, which was received by the fund in December 2011, is reported as part of Increase in capital from settlement payments on the Statement of changes in net assets. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. In May 2011, the fund received a payment of $2,987 related to settlement of those lawsuits. This amount is reported as a part of Increase in capital from settlement payments on the Statement of changes in net assets. Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.

Note 10: New accounting pronouncements

In May 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2011–04 “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS”. ASU 2011–04 amends FASB Topic 820 “Fair Value Measurement” and seeks to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. ASU 2011–04 is effective for fiscal years and interim periods beginning after December 15, 2011. The application of ASU 2011–04 did not have a material impact on the fund’s financial statements.

Dynamic Asset Allocation Balanced Fund  119 

 


In December 2011, the FASB issued ASU No. 2011–11 “Disclosures about Offsetting Assets and Liabilities”. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASU 2011–11 and its impact, if any, on the fund’s financial statements.

120  Dynamic Asset Allocation Balanced Fund 

 


Federal tax information (Unaudited)

The fund designated 85.62% of ordinary income distributions as qualifying for the dividends received deduction for corporations.

For the reporting period ended, the fund hereby designates 100.00%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.

For the reporting period ended, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $17,742,455 of distributions paid as qualifying to be taxed as interest-related dividends, and no monies to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The Form 1099 that will be mailed to you in January 2013 will show the tax status of all distributions paid to your account in calendar 2012.

Dynamic Asset Allocation Balanced Fund  121 

 


About the Trustees

Independent Trustees


122  Dynamic Asset Allocation Balanced Fund 

 


 

* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and Putnam Retail Management. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.

The address of each Trustee is One Post Office Square, Boston, MA 02109.

As of September 30, 2012, there were 109 Putnam funds. All Trustees serve as Trustees of all Putnam funds.

Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

Dynamic Asset Allocation Balanced Fund  123 

 


Officers

In addition to Robert L. Reynolds, the other officers of the fund are shown below:

Jonathan S. Horwitz (Born 1955)  Janet C. Smith (Born 1965) 
Executive Vice President, Principal Executive  Vice President, Principal Accounting Officer, 
Officer, and Compliance Liaison  and Assistant Treasurer 
Since 2004  Since 2007 
Director of Fund Administration Services, 
Steven D. Krichmar (Born 1958)  Putnam Investments and Putnam Management 
Vice President and Principal Financial Officer 
Since 2002  Susan G. Malloy (Born 1957) 
Chief of Operations, Putnam Investments and  Vice President and Assistant Treasurer 
Putnam Management  Since 2007 
Director of Accounting & Control Services, 
Robert T. Burns (Born 1961)  Putnam Management 
Vice President and Chief Legal Officer 
Since 2011  James P. Pappas (Born 1953) 
General Counsel, Putnam Investments and  Vice President 
Putnam Management  Since 2004 
Director of Trustee Relations, 
Robert R. Leveille (Born 1969)  Putnam Investments and Putnam Management 
Vice President and Chief Compliance Officer 
Since 2007  Mark C. Trenchard (Born 1962) 
Chief Compliance Officer, Putnam Investments,  Vice President and BSA Compliance Officer 
Putnam Management, and Putnam Retail  Since 2002 
Management  Director of Operational Compliance, 
Putnam Investments and Putnam 
Michael J. Higgins (Born 1976)  Retail Management 
Vice President and Treasurer 
Since 2010  Judith Cohen (Born 1945) 
Manager of Finance, Dunkin’ Brands (2008–  Vice President, Clerk, and Associate Treasurer 
2010); Senior Financial Analyst, Old Mutual Asset  Since 1993 
Management (2007–2008); Senior Financial 
Analyst, Putnam Investments (1999–2007)  Nancy E. Florek (Born 1957) 
Vice President, Proxy Manager, Assistant Clerk, 
  and Associate Treasurer 
  Since 2000 

 

The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.

 

124  Dynamic Asset Allocation Balanced Fund 

 


Fund information

Founded 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Ravi Akhoury  Michael J. Higgins 
Putnam Investment  Barbara M. Baumann  Vice President and Treasurer 
Management, LLC  Charles B. Curtis   
One Post Office Square  Robert J. Darretta  Janet C. Smith 
Boston, MA 02109  Katinka Domotorffy  Vice President, 
  John A. Hill  Principal Accounting Officer, 
Investment Sub-Manager  Paul L. Joskow  and Assistant Treasurer 
Putnam Investments Limited  Elizabeth T. Kennan   
57–59 St James’s Street  Kenneth R. Leibler  Susan G. Malloy 
London, England SW1A 1LD  Robert E. Patterson  Vice President and 
  George Putnam, III  Assistant Treasurer 
Investment Sub-Advisor  Robert L. Reynolds   
The Putnam Advisory  W. Thomas Stephens  James P. Pappas 
Company, LLC  Vice President 
One Post Office Square  Officers 
Boston, MA 02109  Robert L. Reynolds  Mark C. Trenchard 
  President  Vice President and 
Marketing Services  BSA Compliance Officer 
Putnam Retail Management  Jonathan S. Horwitz 
One Post Office Square  Executive Vice President,  Judith Cohen 
Boston, MA 02109  Principal Executive Officer, and  Vice President, Clerk, and 
  Compliance Liaison  Associate Treasurer 
Custodian   
State Street Bank  Steven D. Krichmar  Nancy E. Florek 
and Trust Company  Vice President and  Vice President, Proxy 
  Principal Financial Officer  Manager, Assistant Clerk, and 
Legal Counsel  Associate Treasurer 
Ropes & Gray LLP  Robert T. Burns   
  Vice President and   
Independent Registered  Chief Legal Officer   
Public Accounting Firm   
PricewaterhouseCoopers LLP  Robert R. Leveille   
  Vice President and   
Trustees  Chief Compliance Officer   
Jameson A. Baxter, Chair   
Liaquat Ahamed     

 

This report is for the information of shareholders of Putnam Dynamic Asset Allocation Balanced Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.

 



Item 2. Code of Ethics:
(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.

(c) In May 2008, the Code of Ethics of Putnam Investment Management, LLC was updated in its entirety to include the amendments adopted in August 2007 as well as a several additional technical, administrative and non-substantive changes. In May of 2009, the Code of Ethics of Putnam Investment Management, LLC was amended to reflect that all employees will now be subject to a 90-day blackout restriction on holding Putnam open-end funds, except for portfolio managers and their supervisors (and each of their immediate family members), who will be subject to a one-year blackout restriction on the funds that they manage or supervise. In June 2010, the Code of Ethics of Putnam Investments was updated in its entirety to include the amendments adopted in May of 2009 and to change certain rules and limits contained in the Code of Ethics. In addition, the updated Code of Ethics included numerous technical, administrative and non-substantive changes, which were intended primarily to make the document easier to navigate and understand. In July 2011, the Code of Ethics of Putnam Investments was updated to reflect several technical, administrative and non-substantive changes resulting from changes in employee titles.

Item 3. Audit Committee Financial Expert:
The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services:
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor:


Fiscal year ended Audit Fees Audit-Related Fees Tax Fees All Other Fees
September 30, 2012 $220,012 $-- $31,591 $2,522
September 30, 2011 $221,540 $-- $19,548 $ —

For the fiscal years ended September 30 2012 and September 30, 2011, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $196,121 and $393,018 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.

Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.

Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.

All Other Fees represent fees billed for services relating to an analysis of fund profitability

Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.

The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.

The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.


Fiscal year ended Audit-Related Fees Tax Fees All Other Fees Total Non-Audit Fees
September 30, 2012 $ — $45,000 $ — $ —
September 30, 2011 $ — $112,505 $ — $ —

Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 12. Exhibits:
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

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

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Asset Allocation Funds
By (Signature and Title):
/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: November 28, 2012
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: November 28, 2012
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: November 28, 2012



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: (811-07121)
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2012
Date of reporting period: October 1, 2011 — September 30, 2012



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam Dynamic
Asset Allocation
Conservative Fund

Annual report
9 | 30 | 12

Message from the Trustees  1 
About the fund  2 
Performance snapshot  4 
Interview with your fund’s portfolio manager  5 
Your fund’s performance  11 
Your fund’s expenses  13 
Terms and definitions  15 
Other information for shareholders  16 
Trustee approval of management contract  17 
Financial statements  22 
Federal tax information  112 
About the Trustees  113 
Officers  115 

Consider these risks before investing: International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Investments in small and/or midsize companies increase the risk of greater price fluctuations. 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. Our allocation of assets among permitted asset categories may hurt performance. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk, which means the prices of the fund’s bond investments are likely to fall if interest rates rise. Bond investments also are subject to credit risk, which is the risk that the issuer of the bond may default on payment of interest or principal. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds, which may be considered speculative. Unlike bonds, funds that invest in bonds have ongoing fees and expenses. The prices of stocks and bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including both general financial market conditions and factors related to a specific issuer or industry. The use of derivatives may increase these risks by increasing investment exposure (which may be considered leverage) or, in the case of over-the-counter instruments, because of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.


Message from the Trustees

Dear Fellow Shareholder:

Coordinated action by central banks on both sides of the Atlantic helped lift both equity and fixed-income markets this year. Global markets continue to show signs of vulnerability, however, with investors growing more concerned about economic slowdowns in the United States, Europe, and emerging markets, particularly China. The outcome of the U.S. presidential election and the impending “fiscal cliff” are additional sources of potential volatility.

Putnam’s veteran investment team relies on fundamental research and experienced judgment to seek opportunities and manage risk in this environment. In the same way, it is prudent for long-term investors to rely on the expertise of a trusted financial advisor, who can help you work toward your financial goals.

We would like to take this opportunity to announce the arrival of two new Trustees, Liaquat Ahamed and Katinka Domotorffy, CFA, to your fund’s Board of Trustees. Mr. Ahamed, who in 2010 won the Pulitzer Prize for History with his book, Lords of Finance: The Bankers Who Broke the World, also serves on the Board of Aspen Insurance and the Board of the Rohatyn Group, an emerging-market fund complex that manages money for institutional investors.

Ms. Domotorffy, who until year-end 2011 was a Partner, Chief Investment Officer, and Global Head of Quantitative Investment Strategies at Goldman Sachs Asset Management, currently serves as a member of the Anne Ray Charitable Trust’s Investment Committee, Margaret A. Cargill Philanthropies, and director for Reach Out and Read of Greater New York, an organization dedicated to promoting early childhood literacy.

We would also like to extend a welcome to new shareholders of the fund and to thank all of our investors for your continued confidence in 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 pages 5 and 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

* Putnam Conservative Blended Benchmark is a benchmark administered by Putnam Management and comprises 65% the Barclays U.S. Aggregate Bond Index, 25% the Russell 3000 Index, 5% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

† The fund’s secondary benchmark, the Putnam Conservative Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

4  Dynamic Asset Allocation Conservative Fund 

 


Interview with your fund’s portfolio manager


Jeff, can you describe some of the broad trends in market performance during the fund’s fiscal year?

Three large macroeconomic risks loomed throughout the past year: investors feared a double-dip recession in the United States, a credit-market crisis in Europe, and the possibility of a hard economic landing in China. These fears generally dominated markets at the outset of the year, and as data and investor sentiment changed in subsequent months, stock market performance seesawed, while bond markets experienced more modest transitions.

Stocks steadied in the final months of calendar year 2011 on signs of relatively strong growth in the U.S. economy, and action by the European Central Bank [ECB] in November 2011 to address its combined banking and sovereign debt crisis. The climate changed later, however, when investors recognized a real slowing in the pace of economic growth in the United States and the world. Real U.S. GDP grew at a 4.1% rate in the final three months of 2011, but only half that pace in the first three months of 2012. As the prices of stocks and commodities retreated, bonds outperformed. This downward trend remained in place until the closing months of the fund’s fiscal year. Stocks rose again in August and September after central banks provided additional greater policy actions targeting stronger, more stable growth.


This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/12. See pages 4 and 11–13 for additional fund performance information. Index descriptions can be found on pages 15–16.

  Dynamic Asset Allocation Conservative Fund  5 

 


Did you change the fund’s positions when market conditions deteriorated?

We employed the fund’s flexibility to adjust weightings to some degree, while still maintaining the standard, broad diversification that is an essential part of the fund’s philosophy. For example, as the fiscal year began in October 2011, the fund had an underweight position to international equities. The sovereign debt risk in the eurozone created the possibility that a bank could become insolvent and potentially lead to a widespread deleveraging crisis as in the Lehman Brothers’ collapse in 2008. In November, the ECB helped to reduce this risk by introducing the Long-Term Refinancing Operation to provide banks with short-term funding.

By January, we had changed our defensive posture to take on more risk, and this matched the sentiment of the period. The fund benefited from the performance of stocks and high-yield securities. After big gains through March lifted market valuations, we moderated our stance again.

What were the strengths and weaknesses in fund performance for the year as a whole?

Dynamic Asset Allocation Conservative Fund’s solid absolute and relative performance can be attributed to several sources. U.S. high-yield securities contributed significantly. We favored this sector because we believed it offered an unusual combination of attractive yield spreads and solid corporate credit fundamentals. The corporate default rate has remained below its historical average in the past couple of years, and we think this may continue. We establish the high-yield exposures with direct security investments as well as with derivatives. For example, we can own credit default swaps to hedge credit risk and market risk, or gain exposures to certain securities or groups of securities.

For the year as a whole, the high-yield sector significantly outperformed government bond sectors. We favored high-yield bonds over government bonds, which offered relatively little total return performance potential, we believed, relative to their vulnerability to


Allocations are represented as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any. Holdings and allocations may vary over time.

6  Dynamic Asset Allocation Conservative Fund 
 


rising interest rates. Government bonds are attractive primarily because they tend to be less volatile than risk assets and have the potential to help stabilize fund performance.


One area of weakness involved our positioning in non-agency mortgage-backed securities, which experienced periods of poor performance when the fear of a deleveraging event in Europe was particularly high. This was the case early in the period and again during the downturn during the spring months. They have since rallied and, in our view, are poised to benefit as the Fed’s efforts to add liquidity to the mortgage-backed securities market have apparently increased the risk appetite of investors. To seek to manage risks in this and other fixed-income sectors, the fund can invest in interest-rate swaps with the goals of hedging interest-rate risk, gaining exposure to rates, or hedging prepayment risk. Futures contracts can also be used to attempt to hedge prepayment or interest-rate risks, gain interest-rate exposures, or manage exposure to market risk. We can use options to attempt to hedge duration and convexity, gain exposure to interest-rate risk, isolate or hedge prepayment risk, or enhance returns on securities owned in the portfolio.

While the stock portion of the portfolio represents only about 30% of assets, our stock selection decisions nonetheless helped performance. This was true across a variety of stocks, including large caps and small caps, and growth and value styles. The fund’s small international position had more mixed results, given the ups and downs of these markets. In addition to owning equity securities, we can use futures contracts to attempt to manage exposure to market risk or to equitize


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 9/30/12. Short-term holdings and derivatives are excluded. Holdings will vary over time.

Dynamic Asset Allocation Conservative Fund  7 

 


cash holdings, and we can use options to attempt to enhance returns on securities in the portfolio. As the U.S. dollar generally appreciated against other major currencies during the period, the fund had a variety of hedging positions implemented with forward currency contracts in an effort to reduce foreign exposure risk or to gain exposure to particular currencies.

Could you discuss the recent interventions by central banks around the world?

The Fed is trying to boost employment, and the ECB appears committed to preserving the euro. In September, the Fed launched “QE3” — a program that will increase mortgage bond purchases to $85 billion per month until economic data improve. Similarly, the ECB has deployed its balance sheet to make unlimited purchases of sovereign bonds, which will likely help protect the euro by lowering the borrowing costs of heavily indebted governments, particularly Spain and Italy.

What effects do you think these central bank policies will have on financial markets, and can they help accelerate global economic growth?

In the Fed’s previous efforts with QE1, QE2, and Operation Twist, the benefits were temporary, they influenced markets more than the economy, and the influence of each successive intervention lasted for a shorter length of time.

However, the latest measure may defy this trend, because the ECB is acting at the same time. The ECB has substantial heft, governing monetary policy for a 17-nation, $12.6 trillion economy, which is nearly as large as the $15.6 trillion U.S. economy.

I would add that, while monetary policy intervention can affect market conditions, it cannot change the fact that governments around the world must still take measures to deleverage their balance sheets. Many governments absorbed a huge amount of bad debt created during the previous credit cycle in order to mitigate the economic impact of the financial crisis. They are now

 

 

 

 

 

 

 


This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any. Holdings will vary over time.

8   Dynamic Asset Allocation Conservative Fund 

 


faced with reducing this debt burden. By its nature, deleveraging is a contractionary force. Monetary policy can delay, and to some extent help alleviate, the pain, but we believe it’s likely that economic growth will remain sluggish.

When you look across stocks, bonds, and commodities, which asset classes offer the most attractive return potential?

We are currently disposed toward increasing tactical equity risk. It appears that the recent actions by the Fed and the ECB have made investors generally more inclined to favor risk assets.

A second reason we are inclined to favor equities is that we are pessimistic about government bonds. We have observed during the Fed’s previous quantitative easing programs that yields on interest-rate-sensitive bonds rose. We believe this might happen again, as suggested by periods of rising yields that we saw during the summer months as talk of QE3 increased.

Aside from their potential volatility, however, plain-vanilla government bonds are unattractive to us because we believe they offer relatively low return potential. Yields are low and at times have fallen to negative levels in inflation-adjusted terms. In relatively safe countries, including the United States and Germany, government bond yields today reflect a great deal of investor fear rather than a rational assessment of investment opportunities, we believe.

What risks are likely to influence financial markets?

The United States faces a fiscal contraction, or “cliff,” that would occur in 2013 if currently scheduled federal budget cuts and tax increases go into effect. While we expect that the government will act to alter the slated changes, even a mild fiscal contraction

A word 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 forward currency 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 some types of derivatives, Putnam generally seeks to mitigate the level of ongoing counterparty credit risk by entering into collateral agreements with counterparties that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.

Dynamic Asset Allocation Conservative Fund  9 

 


would hurt an economy that has struggled to maintain a 2% growth rate.

Also, we have concern about inflation risk as a consequence of expansive monetary policies in the United States and other regions of the world. If inflation were to rise, we can use the fund’s variety of tools to attempt to hedge inflation risk, which include inflation-indexed bonds, Treasury futures, interest-rate swaps, and commodities.

Thank you, Jeff, 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.

Portfolio Manager Jeffrey L. Knight is Head of Global Asset Allocation at Putnam. He holds an M.B.A. from the Tuck School of Business at Dartmouth College and a B.A. from Colgate University. A CFA charter-holder, he joined Putnam in 1993 and has been in the investment industry since 1987.

In addition to Jeff, your fund’s portfolio managers are James A. Fetch; Robert J. Kea, CFA; Joshua B. Kutin, CFA; Robert J. Schoen; and Jason R. Vaillancourt, CFA.

IN THE NEWS

Global economic growth is losing steam, according to the International Monetary Fund (IMF), with the majority of the world’s advanced economies expected to contract in 2012, or expand at anemic rates of less than 2%. Several issues are challenging economic growth, including Europe’s sovereign debt troubles, the impending “fiscal cliff” in the United States, and high unemployment in various economies. Unless leaders take meaningful steps to address these issues, the current global economic expansion may slow to the weakest level since 2009’s Great Recession. These issues are weighing increasingly on the global economy. In July, the IMF predicted that global growth would be 3.5% in 2012, rising to 3.9% in 2013, but now, in its recently released World Economic Outlook, the IMF has revised its growth forecasts downwards, to growth of just 3.3% this year, and 3.6% in 2013.

10  Dynamic Asset Allocation Conservative Fund 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2012, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, class R5, class R6, and class 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 9/30/12

Class A  Class B  Class C  Class M  Class R  Class R5*  Class R6*  Class Y 
(inception dates)  (2/7/94)  (2/18/94)  (9/1/94)  (2/7/95)  (1/21/03)  (7/2/12)  (7/2/12)  (7/14/94) 
  Before  After          Before  After  Net  Net  Net  Net 
  sales  sales  Before  After  Before  After  sales  sales  asset  asset  asset  asset 
  charge  charge  CDSC  CDSC  CDSC  CDSC  charge  charge  value  value  value  value 
Annual average                         
(life of fund)  5.89%  5.55%  5.10%  5.10%  5.09%  5.09%  5.35%  5.15%  5.74%  6.50%*  6.51%*  6.16% 
10 years  79.17  68.96  66.47  66.47  66.34  66.34  70.11  64.09  78.15  84.33  84.35  84.33 
Annual average  6.01  5.38  5.23  5.23  5.22  5.22  5.46  5.08  5.94  6.31  6.31  6.31 
5 years  20.98  14.02  16.89  14.89  16.50  16.50  18.15  14.06  20.46  22.90  22.92  22.91 
Annual average  3.88  2.66  3.17  2.81  3.10  3.10  3.39  2.67  3.79  4.21  4.21  4.21 
3 years  27.99  20.70  25.22  22.22  25.05  25.05  26.05  21.63  27.47  28.93  28.95  28.93 
Annual average  8.57  6.47  7.78  6.92  7.74  7.74  8.02  6.74  8.43  8.84  8.84  8.84 
1 year  13.76  7.20  12.86  7.86  12.80  11.80  13.07  9.08  13.51  13.89  13.90  13.89 

* Performance for class R5 and R6 shares, which for periods prior to their inception is derived from the historical performance of class Y shares (as described below), is shown only since 7/14/94 (the inception date of class Y).

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Class R5 and class R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Performance for class R5 and class R6 shares prior to their inception is derived from the historical performance of class Y shares, beginning with inception of the Y share class and has not been adjusted for the lower investor servicing fees applicable to class R5 and class R6 shares; had it, returns would have been higher.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance does not reflect conversion to class A shares.

Dynamic Asset Allocation Conservative Fund  11 

 


Comparative index returns For periods ended 9/30/12

      Lipper Mixed-Asset 
  Barclays    Target Allocation 
  U.S. Aggregate  Putnam Conservative  Conservative Funds 
  Bond Index  Blended Benchmark  category average* 
Annual average (life of fund)  6.25%  —†  5.46% 
10 years  68.00  93.93%  78.39 
Annual average  5.32  6.85  5.90 
5 years  37.20  28.97  19.88 
Annual average  6.53  5.22  3.63 
3 years  19.73  27.47  24.74 
Annual average  6.19  8.43  7.62 
1 year  5.16  12.39  12.71 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/12, there were 319, 287, 256, 92, and 13 funds, respectively, in this Lipper category.

† The fund’s secondary benchmark, the Putnam Conservative Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.


Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and class C shares would have been valued at $16,647 and $16,634, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $16,409. A $10,000 investment in the fund’s class R, R5, R6, and Y shares would have been valued at $17,815, $18,433, $18,435, and $18,433, respectively.

12   Dynamic Asset Allocation Conservative Fund 

 


Fund price and distribution information For the 12-month period ended 9/30/12

Distributions  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Number  12  12  12  12  12  3  3  12 
Income  $0.156  $0.083  $0.085  $0.109  $0.132  $0.045  $0.046  $0.180 
Capital gains  —  —  —  —  —  —  —  — 
Total  $0.156  $0.083  $0.085  $0.109  $0.132  $0.045  $0.046  $0.180 
  Before   After  Net  Net  Before   After  Net  Net  Net  Net 
  sales   sales  asset  asset  sales   sales  asset  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value  value 
9/30/11  $8.83   $9.37  $8.77  $8.75  $8.76   $9.08  $9.03  —  —  $8.86 
7/2/12*  —  —  —  —  —  —  —  $9.57  $9.57  — 
9/30/12  9.88   10.48  9.81  9.78  9.79  10.15  10.11  9.90  9.90  9.90 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

* Inception date of class R5 and class R6 shares.

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. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Total annual operating expenses for                 
the fiscal year ended 9/30/11  1.08%  1.83%  1.83%  1.58%  1.33%  0.75%*  0.68%*  0.83% 
Annualized expense ratio for the                 
six-month period ended 9/30/12†  1.07%  1.82%  1.82%  1.57%  1.32%  0.78%  0.71%  0.82% 

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 because it includes an impact of 0.01% in fees and expenses of acquired funds. Expenses are shown as a percentage of average net assets.

* Expenses for class R5 and R6 shares are based on the expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class R5 and R6 shares.

† For the fund’s most recent fiscal half year or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12; may differ from expense ratios based on one-year data in the financial highlights.

Dynamic Asset Allocation Conservative Fund  13 

 


Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in the fund from April 1, 2012 (or, in the case of class R5 and R6 shares, from July 3, 2012 (commencement of operations)) to September 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.45  $9.25  $9.25  $7.98  $6.72  $1.96‡  $1.78‡  $4.18 
Ending value (after expenses)  $1,037.60  $1,032.60  $1,032.90  $1,034.20  $1,036.50  $1,039.30  $1,039.40  $1,037.70 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 9/30/12 (or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12). 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.

‡ Had expenses for class R5 and R6 shares been shown for the entire period from 4/1/12 to 9/30/12, they would have been higher.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended September 30, 2012, use the following calculation method. To find the value of your investment on April 1, 2012, call Putnam at 1-800-225-1581.


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $5.40  $9.17  $9.17  $7.92  $6.66  $3.94  $3.59  $4.14 
Ending value (after expenses)  $1,019.65  $1,015.90  $1,015.90  $1,017.15  $1,018.40  $1,021.10  $1,021.45  $1,020.90 

* 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 9/30/12 (or, in the case of class R5 and R6 shares, for the period from 7/3/12 (commencement of operations) to 9/30/12). The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

14  Dynamic Asset Allocation Conservative Fund 

 


Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.

Class R5 shares and class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to certain defined contribution plans with assets of at least $50 million.

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 yield is the annual rate of return earned from dividends or interest of an investment. Current yield 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-through” has its 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 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.

• 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

Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

Dynamic Asset Allocation Conservative Fund  15 

 


BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

Putnam Conservative Blended Benchmark is a benchmark administered by Putnam Management, comprising 65% the Barclays U.S. Aggregate Bond Index, 25% the Russell 3000 Index, 5% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

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.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

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, 2012, are available in the Individual Investors section at putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2012, Putnam employees had approximately $342,000,000 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.

16   Dynamic Asset Allocation Conservative Fund 

 


Trustee approval of management contract

General conclusions

The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”), the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”), and the sub-advisory contract among Putnam Management, PIL, and anotheraffiliate, The Putnam Advisory Company (“PAC”).

The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2012, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.

In May 2012, the Contract Committee met in executive session with the other Independent Trustees to discuss the Contract Committee’s preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 22, 2012 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management, sub-management and sub-advisory contracts, effective July 1, 2012. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not evaluated PIL or PAC as separate entities, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services, and

Dynamic Asset Allocation Conservative Fund  17 

 


• That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. In reviewing management fees, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.

Most of the open-end Putnam funds, including your fund, have relatively new management contracts, which introduced fee schedules that reflect more competitive fee levels for many funds, complex-wide breakpoints for the open-end funds, and performance fees for some funds. These new management contracts have been in effect for two years — since January or, for a few funds, February 2010. The Trustees approved the new management contracts on July 10, 2009, and fund shareholders subsequently approved the contracts by overwhelming majorities of the shares voted.

Under its management contract, your fund has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Contract Committee observed that the complex-wide breakpoints of the open-end funds had only been in place for two years, and the Trustees will continue to examine the operation of this new breakpoint structure in future years in light of further experience.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet evolving competitive standards, the Trustees and Putnam Management agreed in 2009 to implement certain expense limitations. These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. The expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 37.5 basis points (effective March 1, 2012, this expense limitation was reduced to 32 basis points) on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund

18  Dynamic Asset Allocation Conservative Fund 

 


fees and expenses). Putnam Management’s support for these expense limitations, including its agreement to reduce the expense limitation applicable to the open-end funds’ investor servicing fees and expenses as noted above, was an important factor in the Trustees’ decision approve the continuance of your fund’s management, sub-management and sub-advisory contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the 1st quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 2nd quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2011 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2011 reflected the most recent fiscal year-end data available in Lipper’s database at that time.

In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the funds at that time.

The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality

Dynamic Asset Allocation Conservative Fund  19 

 


of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund’s performance with various benchmarks and, where applicable, with the performance of competitive funds or targeted annualized return. They noted that since 2009, when Putnam Management began implementing major changes to strengthen its investment personnel and processes, there has been a steady improvement in the number of Putnam funds showing above-median three-year performance results. They also noted the disappointing investment performance of some funds for periods ended December 31, 2011 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.

In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper Mixed-Asset Target Allocation Conservative Funds) for the one-year, three-year and five-year periods ended December 31, 2011 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

One-year period  3rd 
Three-year period  1st 
Five-year period  3rd 

Over the one-year, three-year and five-year periods ended December 31, 2011, there were 438, 397 and 320 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft-dollar credits acquired through these means are used primarily to acquire research services that supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft-dollar credits continues to be allocated to the payment of fund expenses. The Trustees indicated their continued intent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the potential

20  Dynamic Asset Allocation Conservative Fund 

 


benefits associated with fund brokerage and soft-dollar allocations and trends in industry practices to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management, sub-management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services.

Dynamic Asset Allocation Conservative Fund  21 

 


Financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

22   Dynamic Asset Allocation Conservative Fund 
 


Report of Independent Registered Public Accounting Firm

To the Trustees of Putnam Asset Allocation Funds and Shareholders
of Putnam Dynamic Asset Allocation Conservative Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Putnam Dynamic Asset Allocation Conservative Fund (the “fund”) (formerly Putnam Asset Allocation Fund: Conservative Portfolio) at September 30, 2012, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments owned at September 30, 2012 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 13, 2012

Dynamic Asset Allocation Conservative Fund  23 

 


The fund’s portfolio 9/30/12

COMMON STOCKS (34.5%)*  Shares  Value 
 
Basic materials (2.2%)     
Agrium, Inc. (Canada)  201  $20,795 
Albemarle Corp.  4,600  242,328 
American Vanguard Corp.  1,040  36,192 
Andersons, Inc. (The)  126  4,745 
Archer Daniels-Midland Co.  682  18,537 
Arkema (France)  171  16,063 
Assa Abloy AB Class B (Sweden)  13,237  429,626 
BASF SE (Germany)  6,359  537,320 
Bemis Co., Inc.  6,100  191,967 
BHP Billiton PLC (United Kingdom)  9,090  283,871 
BHP Billiton, Ltd. (Australia)  14,984  513,405 
Black Earth Farming, Ltd. SDR (Jersey) †  2,463  4,593 
Buckeye Technologies, Inc.  1,781  57,099 
Cambrex Corp. †  5,659  66,380 
CF Industries Holdings, Inc.  3,036  674,721 
Chicago Bridge & Iron Co., NV (Netherlands)  6,200  236,158 
Cliffs Natural Resources, Inc.  1,782  69,730 
Cresud S.A.C.I.F. y A. ADR (Argentina)  503  4,110 
Cytec Industries, Inc.  2,800  183,456 
Domtar Corp. (Canada)  2,000  156,580 
Eagle Materials, Inc.  1,039  48,064 
Evraz PLC (United Kingdom)  89,461  357,657 
Fortune Brands Home & Security, Inc. †  10,600  286,306 
Furmanite Corp. †  5,098  28,957 
Georgia Gulf Corp.  585  21,189 
Golden Agri-Resources, Ltd. (Singapore)  25,000  13,389 
GrainCorp, Ltd. (Australia)  1,402  13,023 
Incitec Pivot, Ltd. (Australia)  4,025  12,372 
Innophos Holdings, Inc.  1,723  83,548 
Innospec, Inc. †  1,927  65,364 
Intrepid Potash, Inc. †  320  6,874 
K&S AG (Germany)  1,130  55,681 
KapStone Paper and Packaging Corp. †  2,145  48,027 
Koninklijke DSM NV (Netherlands)  4,904  245,148 
Kraton Performance Polymers, Inc. †  908  23,699 
Kronos Worldwide, Inc.  2,922  43,655 
KWS Saat AG (Germany)  26  6,936 
L.B. Foster Co. Class A  671  21,700 
Landec Corp. †  3,071  35,163 
Linde AG (Germany)  1,812  312,403 
LSB Industries, Inc. †  5,165  226,589 
LyondellBasell Industries NV Class A (Netherlands)  14,358  741,734 
Minerals Technologies, Inc.  338  23,974 
Monsanto Co.  18,921  1,722,189 
Mosaic Co. (The)  235  13,538 

 

24  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Basic materials cont.     
Nitto Denko Corp. (Japan)  11,900  $566,737 
NN, Inc. †  4,572  38,816 
Nufarm, Ltd. (Australia)  2,007  12,591 
OM Group, Inc. †  1,554  28,811 
PolyOne Corp.  5,283  87,539 
Potash Corp. of Saskatchewan, Inc. (Canada)  687  29,830 
PPG Industries, Inc.  6,600  757,944 
PT Astra Agro Lestari Tbk (Indonesia)  3,000  6,856 
Rio Tinto PLC (United Kingdom)  8,788  410,807 
Rio Tinto, Ltd. (Australia)  4,657  255,494 
Sealed Air Corp.  5,980  92,451 
SLC Agricola SA (Brazil)  508  5,450 
Sociedad Quimica y Minera de Chile SA ADR (Chile)  463  28,539 
Steel Dynamics, Inc.  12,100  135,883 
Stillwater Mining Co. †  3,004  35,417 
Syngenta AG (Switzerland)  861  321,756 
Trex Co., Inc. †  1,528  52,135 
Tronox, Ltd. Class A  1,534  34,745 
Valspar Corp.  5,000  280,500 
Vilmorin & Cie (France)  59  7,101 
Viterra, Inc. (Canada)  1,128  18,484 
voestalpine AG (Austria)  8,091  243,107 
W.R. Grace & Co. †  1,453  85,843 
Westlake Chemical Corp.  1,500  109,590 
Wilmar International, Ltd. (Singapore)  4,000  10,548 
Yara International ASA (Norway)  389  19,537 
    11,881,366 
Capital goods (1.8%)     
ABB, Ltd. (Switzerland)  15,034  282,631 
AGCO Corp. †  613  29,105 
Aisin Seiki Co., Ltd. (Japan)  7,900  224,518 
American Axle & Manufacturing Holdings, Inc. †  2,315  26,090 
Applied Industrial Technologies, Inc.  1,864  77,226 
AZZ, Inc.  1,115  42,348 
Cascade Corp.  1,353  74,063 
Chart Industries, Inc. †  1,546  114,172 
Chase Corp.  1,837  33,746 
CNH Global NV (Netherlands) †  422  16,361 
Cobham PLC (United Kingdom)  73,043  262,089 
Cummins, Inc.  8,600  793,006 
Deere & Co.  329  27,139 
Dover Corp.  9,276  551,829 
DXP Enterprises, Inc. †  1,238  59,139 
Emerson Electric Co.  30,017  1,448,921 
European Aeronautic Defense and Space Co. NV (France) S  10,928  347,417 
Fluor Corp.  9,045  509,053 
Franklin Electric Co., Inc.  1,251  75,673 

 

Dynamic Asset Allocation Conservative Fund  25 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
  
Capital goods cont.     
Fuji Electric Co., Ltd. (Japan)  85,000  $173,025 
Gardner Denver, Inc.  847  51,167 
Generac Holdings, Inc.  1,545  35,365 
Global Power Equipment Group, Inc.  1,172  21,670 
Great Lakes Dredge & Dock Corp.  14,481  111,504 
Greenbrier Companies, Inc. †  4,236  68,369 
IHI Corp. (Japan)  46,000  102,479 
JGC Corp. (Japan)  9,000  300,241 
Lindsay Corp.  217  15,617 
Lockheed Martin Corp.  11,603  1,083,488 
McDermott International, Inc. †  23,593  288,306 
NACCO Industries, Inc. Class A  341  42,765 
Raytheon Co.  16,431  939,196 
Schindler Holding AG (Switzerland)  1,618  199,177 
Singapore Technologies Engineering, Ltd. (Singapore)  28,000  80,633 
Smith & Wesson Holding Corp. †  3,109  34,230 
Standard Motor Products, Inc.  3,360  61,891 
Standex International Corp.  950  42,228 
Staples, Inc.  30,400  350,208 
Sturm Ruger & Co., Inc.  1,053  52,113 
Tetra Tech, Inc. †  861  22,610 
Textron, Inc.  15,400  403,018 
TriMas Corp. †  5,400  130,194 
Valmont Industries, Inc.  669  87,974 
Vinci SA (France)  6,385  272,882 
    9,964,876 
Communication services (1.8%)     
Allot Communications, Ltd. (Israel) †  1,563  41,451 
Aruba Networks, Inc. †  1,557  35,009 
AT&T, Inc.  32,591  1,228,681 
BroadSoft, Inc. †  741  30,396 
BT Group PLC (United Kingdom)  166,270  620,178 
CalAmp Corp. †  3,321  27,265 
Cincinnati Bell, Inc. †  11,323  64,541 
Comcast Corp. Class A  69,200  2,475,284 
Comtech Telecommunications Corp.  1,819  50,277 
Deutsche Telekom AG (Germany)  14,119  173,759 
EchoStar Corp. Class A †  8,083  231,659 
France Telecom SA (France)  17,976  217,315 
HSN, Inc.  1,700  83,385 
IAC/InterActiveCorp.  7,300  380,038 
InterDigital, Inc.  454  16,925 
InterXion Holding NV (Netherlands) †  1,636  37,170 
Kabel Deutschland Holding AG (Germany) †  2,904  207,479 
Loral Space & Communications, Inc.  913  64,914 
NeuStar, Inc. Class A †  1,901  76,097 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  6,900  327,416 

 

26  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
  
Communication services cont.     
NTELOS Holdings Corp.  3,269  $56,783 
NTT DoCoMo, Inc. (Japan)  89  144,336 
Premiere Global Services, Inc. †  2,281  21,327 
Tele2 AB Class B (Sweden)  8,348  151,763 
Telefonica SA (Spain)  16,055  214,086 
USA Mobility, Inc.  2,617  31,064 
Verizon Communications, Inc.  58,332  2,658,189 
Vodafone Group PLC (United Kingdom)  87,221  248,236 
    9,915,023 
Conglomerates (0.8%)     
AMETEK, Inc.  13,350  473,258 
Danaher Corp.  23,200  1,279,480 
General Electric Co.  62,715  1,424,258 
Marubeni Corp. (Japan)  11,000  70,141 
Siemens AG (Germany)  2,309  230,581 
Tyco International, Ltd.  20,500  1,153,330 
    4,631,048 
Consumer cyclicals (3.9%)     
Advance Auto Parts, Inc.  3,500  239,540 
Aeon Co., Ltd. (Japan)  13,800  155,821 
Alliance Data Systems Corp. †  3,500  496,825 
Beazer Homes USA, Inc. †  30,034  106,621 
Bed Bath & Beyond, Inc. †  9,800  617,400 
Belo Corp. Class A  15,958  124,951 
Big Lots, Inc. †  2,256  66,732 
Bluegreen Corp. †  4,721  29,648 
Brunswick Corp.  739  16,724 
Buckle, Inc. (The)  799  36,299 
Bunzl PLC (United Kingdom)  11,881  213,149 
Cabela’s, Inc. †  1,477  80,762 
Cash America International, Inc.  669  25,803 
CBS Corp. Class B  25,000  908,250 
Christian Dior SA (France)  1,882  253,267 
Coach, Inc.  10,682  598,406 
Compass Group PLC (United Kingdom)  11,751  129,965 
Conn’s, Inc. †  3,434  75,720 
Cooper Tire & Rubber Co.  6,143  117,823 
Corporate Executive Board Co. (The)  570  30,569 
Crocs, Inc. †  2,195  35,581 
Daihatsu Motor Co., Ltd. (Japan)  10,000  166,700 
Daimler AG (Registered Shares) (Germany)  4,363  211,620 
Deckers Outdoor Corp. †  523  19,163 
Deluxe Corp.  3,113  95,133 
Demand Media, Inc. †  1,668  18,131 
Destination Maternity Corp.  3,808  71,210 
Dillards, Inc. Class A  4,300  310,976 
Dolby Laboratories, Inc. Class A †  4,300  140,825 

 

Dynamic Asset Allocation Conservative Fund   27  

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Dun & Bradstreet Corp. (The)  3,100  $246,822 
Elders, Ltd. (Australia) †  12,016  3,101 
Expedia, Inc.  5,400  312,336 
Express, Inc. †  2,898  42,948 
Fiat Industrial SpA (Italy)  18,473  181,208 
Finish Line, Inc. (The) Class A  3,939  89,573 
Foot Locker, Inc.  17,400  617,700 
Francesca’s Holdings Corp. †  1,598  49,107 
GameStop Corp. Class A  1,678  35,238 
Gannett Co., Inc.  13,500  239,625 
General Motors Co. †  28,200  641,550 
Genesco, Inc. †  387  25,825 
Global Cash Access Holdings, Inc. †  4,465  35,943 
Goodyear Tire & Rubber Co. (The) †  5,899  71,909 
Hakuhodo DY Holdings, Inc. (Japan)  4,340  292,393 
Helen of Troy, Ltd. †  1,055  33,581 
HMS Holdings Corp. †  259  8,658 
Home Depot, Inc. (The)  29,208  1,763,287 
Indofood Agri Resources, Ltd. (Singapore)  4,000  4,432 
Isuzu Motors, Ltd. (Japan)  72,000  347,490 
KAR Auction Services, Inc. †  2,771  54,700 
La-Z-Boy, Inc. †  6,076  88,892 
LeapFrog Enterprises, Inc. †  6,260  56,465 
Lear Corp.  5,300  200,287 
Lowe’s Cos., Inc.  20,979  634,405 
Lumber Liquidators Holdings, Inc. †  408  20,677 
M.D.C. Holdings, Inc.  1,007  38,780 
Macy’s, Inc.  16,500  620,730 
Marriott International, Inc. Class A  11,400  445,740 
McGraw-Hill Cos., Inc. (The)  12,100  660,539 
MGM China Holdings, Ltd. (Hong Kong)  110,800  190,940 
Mitsubishi Motors Corp. (Japan) †  168,000  154,918 
News Corp. Class A  45,541  1,117,121 
Next PLC (United Kingdom)  7,566  422,473 
O’Reilly Automotive, Inc. †  5,400  451,548 
OPAP SA (Greece)  10,296  53,063 
PetSmart, Inc.  5,600  386,288 
Pier 1 Imports, Inc.  1,120  20,989 
Priceline.com, Inc. †  642  397,225 
Publicis Group SA (France)  5,584  313,083 
Randstad Holding NV (Netherlands)  1,522  50,725 
Rent-A-Center, Inc.  1,204  42,236 
RPX Corp. †  1,833  20,548 
Ryland Group, Inc. (The)  3,550  106,500 
Scania AB Class B (Sweden)  10,239  188,500 
Scholastic Corp.  1,392  44,238 

 

28  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Consumer cyclicals cont.     
Sinclair Broadcast Group, Inc. Class A  7,483  $83,884 
SJM Holdings, Ltd. (Hong Kong)  97,000  210,064 
Sonic Automotive, Inc. Class A  9,708  184,258 
Spectrum Brands Holdings, Inc. †  1,251  50,053 
Standard Parking Corp. †  3,255  73,010 
Suzuki Motor Corp. (Japan)  15,600  302,627 
Swire Pacific, Ltd. Class A (Hong Kong)  29,500  360,337 
TNS, Inc. †  3,438  51,398 
Towers Watson & Co. Class A  3,600  190,980 
Town Sports International Holdings, Inc. †  3,928  48,589 
True Religion Apparel, Inc.  1,562  33,317 
Trump Entertainment Resorts, Inc. †  115  460 
URS Corp.  5,000  176,550 
Vertis Holdings, Inc. † F  278  3 
Viacom, Inc. Class B  19,458  1,042,754 
VistaPrint NV †  6,700  228,805 
Volkswagen AG (Preference) (Germany)  1,818  332,078 
VOXX International Corp. †  6,275  46,937 
Wal-Mart Stores, Inc.  5,047  372,469 
Wyndham Worldwide Corp.  7,400  388,352 
Wynn Resorts, Ltd.  3,500  404,040 
    21,798,915 
Consumer staples (3.4%)     
AFC Enterprises †  6,546  161,032 
Anheuser-Busch InBev NV (Belgium)  3,057  261,501 
Associated British Foods PLC (United Kingdom)  9,465  197,246 
Avis Budget Group, Inc. †  7,446  114,519 
Barrett Business Services, Inc.  326  8,835 
Beacon Roofing Supply, Inc. †  2,067  58,910 
BRF — Brasil Foods SA ADR (Brazil)  695  12,024 
Brinker International, Inc.  6,572  231,992 
British American Tobacco (BAT) PLC (United Kingdom)  5,305  272,776 
Buffalo Wild Wings, Inc. †  583  49,986 
Bunge, Ltd.  264  17,701 
Campbell Soup Co.  11,900  414,358 
Casino Guichard-Perrachon SA (France)  3,251  288,258 
Chaoda Modern Agriculture Holdings, Ltd. (China) † F  22,000  1,419 
Cheesecake Factory, Inc. (The)  796  28,457 
Chiquita Brands International, Inc. †  191  1,459 
Church & Dwight Co., Inc.  2,700  145,773 
Coca-Cola Co. (The)  17,200  652,396 
ConAgra Foods, Inc.  23,200  640,088 
Core-Mark Holding Co., Inc.  977  47,003 
Costco Wholesale Corp.  16,600  1,662,075 
CVS Caremark Corp.  33,500  1,622,070 
Diageo PLC (United Kingdom)  7,116  200,362 
Distribuidora Internacional de Alimentacion SA (Spain)  25,389  140,386 

 

Dynamic Asset Allocation Conservative Fund  29 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Consumer staples cont.     
Domino’s Pizza, Inc.  754  $28,426 
Dr. Pepper Snapple Group, Inc.  8,009  356,641 
Geo Group, Inc. (The)  3,684  101,936 
Glanbia PLC (Ireland)  749  6,641 
Heineken Holding NV (Netherlands)  4,500  218,959 
Ingredion, Inc.  282  15,555 
IOI Corp. Bhd (Malaysia)  7,000  11,403 
Itron, Inc. †  1,976  85,264 
Japan Tobacco, Inc. (Japan)  14,700  440,567 
Kao Corp. (Japan)  9,400  277,023 
Koninklijke Ahold NV (Netherlands)  15,760  197,566 
Kroger Co. (The)  29,600  696,784 
Kuala Lumpur Kepong Bhd (Malaysia)  1,700  12,274 
Lorillard, Inc.  6,400  745,280 
Maple Leaf Foods, Inc. (Canada)  531  5,985 
McDonald’s Corp.  3,089  283,416 
Molson Coors Brewing Co. Class B  10,000  450,500 
Nestle SA (Switzerland)  12,215  770,536 
Olam International, Ltd. (Singapore)  3,000  4,981 
On Assignment, Inc. †  2,301  45,836 
OpenTable, Inc. †  813  33,821 
PepsiCo, Inc.  4,280  302,896 
Philip Morris International, Inc.  33,095  2,976,564 
Prestige Brands Holdings, Inc. †  2,508  42,536 
Procter & Gamble Co. (The)  15,617  1,083,195 
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk     
(Indonesia)  24,500  6,253 
Robert Half International, Inc.  9,300  247,659 
SABMiller PLC (United Kingdom)  3,621  159,298 
Smithfield Foods, Inc. †  336  6,602 
Spartan Stores, Inc.  1,832  28,048 
Tate & Lyle PLC (United Kingdom)  956  10,284 
Tesco PLC (United Kingdom)  13,358  71,674 
Toyota Tsusho Corp. (Japan)  15,700  335,512 
Tyson Foods, Inc. Class A  513  8,218 
Unilever PLC (United Kingdom)  4,950  180,289 
USANA Health Sciences, Inc. †  474  22,027 
Walgreen Co.  18,941  690,210 
Woolworths, Ltd. (Australia)  10,877  323,798 
Yamazaki Baking Co., Inc. (Japan)  13,000  173,802 
    18,688,885 
Energy (3.3%)     
Basic Energy Services, Inc. †  4,254  47,730 
BP PLC (United Kingdom)  38,717  273,272 
Chevron Corp.  22,232  2,591,362 
Clayton Williams Energy, Inc. †  650  33,729 
ConocoPhillips  6,769  387,051 

 

30  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Energy cont.     
CVR Energy, Inc. (Escrow) F  2,729  $— 
Deepocean Group (Shell) (acquired 6/9/11, cost $83,651) (Norway) ‡  5,759  86,385 
Delek US Holdings, Inc.  4,569  116,464 
Diamond Offshore Drilling, Inc.  3,600  236,916 
ENI SpA (Italy)  18,689  410,056 
EPL Oil & Gas, Inc. †  3,118  63,264 
Exxon Mobil Corp.  37,278  3,409,073 
Helix Energy Solutions Group, Inc. †  6,013  109,858 
Helmerich & Payne, Inc.  4,600  219,006 
HollyFrontier Corp.  8,900  367,303 
Key Energy Services, Inc. †  6,047  42,329 
Kodiak Oil & Gas Corp. †  5,069  47,446 
Marathon Oil Corp.  21,700  641,669 
Marathon Petroleum Corp.  12,350  674,187 
Mitcham Industries, Inc. †  1,448  23,067 
Murphy Oil Corp.  7,200  386,568 
National Oilwell Varco, Inc.  11,900  953,309 
Occidental Petroleum Corp.  12,145  1,045,199 
Oceaneering International, Inc.  9,800  541,450 
Peabody Energy Corp.  10,900  242,961 
Petrofac, Ltd. (Jersey)  18,388  475,028 
Phillips 66  3,384  156,916 
Repsol YPF SA (Spain)  7,232  140,761 
Rosetta Resources, Inc. †  703  33,674 
Royal Dutch Shell PLC Class A (United Kingdom)  14,445  500,276 
Royal Dutch Shell PLC Class B (United Kingdom)  13,744  488,851 
Schlumberger, Ltd.  4,200  303,786 
Stallion Oilfield Holdings, Ltd.  720  23,760 
Statoil ASA (Norway)  16,568  428,574 
Stone Energy Corp. †  2,117  53,179 
Superior Energy Services †  8,200  168,264 
Swift Energy Co. †  2,710  56,585 
Tesoro Corp.  10,842  454,280 
Total SA (France)  8,017  398,757 
Unit Corp. †  1,011  41,957 
Vaalco Energy, Inc. †  10,906  93,246 
Valero Energy Corp.  30,400  963,072 
W&T Offshore, Inc.  1,954  36,696 
Walter Energy, Inc.  2,993  97,153 
Western Refining, Inc.  3,091  80,922 
Williams Cos., Inc. (The)  12,488  436,705 
    18,382,096 
Financials (5.7%)     
3i Group PLC (United Kingdom)  28,436  102,567 
AG Mortgage Investment Trust, Inc. R  1,103  26,615 
Agree Realty Corp. R  1,981  50,496 
AIA Group, Ltd. (Hong Kong)  59,200  219,771 

 

Dynamic Asset Allocation Conservative Fund  31 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Financials cont.     
Allianz SE (Germany)  1,532  $182,417 
Allied World Assurance Co. Holdings AG  4,153  320,819 
American Equity Investment Life Holding Co.  5,674  65,989 
American Financial Group, Inc.  6,123  232,062 
Amtrust Financial Services, Inc.  1,105  28,310 
Aon PLC  17,600  920,304 
Apollo Commercial Real Estate Finance, Inc. R  2,074  35,963 
Apollo Residential Mortgage, Inc.  2,834  62,461 
Arch Capital Group, Ltd. †  9,068  377,954 
Arlington Asset Investment Corp. Class A  1,212  28,918 
ARMOUR Residential REIT, Inc. R  5,813  44,528 
Ashford Hospitality Trust, Inc. R  6,685  56,154 
Assurant, Inc.  6,900  257,370 
Australia & New Zealand Banking Group, Ltd. (Australia)  20,754  530,867 
AvalonBay Communities, Inc. R  3,800  516,762 
AXA SA (France)  20,653  308,616 
Banco Latinoamericano de Exportaciones SA Class E (Panama)  4,098  90,525 
Banco Santander Central Hispano SA (Spain) †  25,015  187,403 
Bank of America Corp.  12,761  112,680 
Barclays PLC (United Kingdom)  131,899  459,130 
Berkshire Hathaway, Inc. Class B †  7,900  696,780 
BNP Paribas SA (France)  8,421  402,485 
BofI Holding, Inc. †  3,107  80,937 
Cardinal Financial Corp.  3,509  50,179 
Cardtronics, Inc. †  1,547  46,070 
CBL & Associates Properties, Inc. R  6,808  145,283 
CBOE Holdings, Inc.  11,100  326,562 
Chimera Investment Corp. R  69,087  187,226 
CIT Group, Inc. †  5,100  200,889 
Citigroup, Inc.  6,984  228,516 
Citizens & Northern Corp.  2,227  43,671 
Citizens Republic Bancorp, Inc. †  2,064  39,938 
City National Corp.  1,300  66,963 
CNO Financial Group, Inc.  7,722  74,517 
Commonwealth Bank of Australia (Australia)  9,344  538,733 
Credit Acceptance Corp. †  226  19,325 
Credit Suisse Group (Switzerland)  5,228  111,186 
DBS Group Holdings, Ltd. (Singapore)  17,000  198,559 
Deutsche Bank AG (Germany)  7,314  289,455 
Dexus Property Group (Australia)  224,089  220,756 
Dynex Capital, Inc. R  5,168  55,556 
East West Bancorp, Inc.  2,909  61,438 
Eaton Vance Corp.  14,300  414,128 
Education Realty Trust, Inc. R  5,900  64,310 
Entertainment Properties Trust R  738  32,789 
Equity Residential Trust R  11,100  638,583 

 

32  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Financials cont.     
Everest Re Group, Ltd.  3,200  $342,272 
Fidelity National Financial, Inc. Class A  16,000  342,240 
Financial Institutions, Inc.  2,304  42,947 
First Community Bancshares Inc.  2,274  34,701 
First Industrial Realty Trust † R  3,107  40,826 
Flushing Financial Corp.  3,979  62,868 
Genworth Financial, Inc. Class A †  16,318  85,343 
Glimcher Realty Trust R  4,155  43,918 
Goldman Sachs Group, Inc. (The)  5,000  568,400 
Hachijuni Bank, Ltd. (The) (Japan)  33,000  181,913 
Hang Lung Group, Ltd. (Hong Kong)  31,000  195,812 
Hanmi Financial Corp. †  4,628  59,285 
Hartford Financial Services Group, Inc. (The)  26,400  513,216 
Heartland Financial USA, Inc.  1,548  42,214 
HFF, Inc. Class A †  7,286  108,561 
Home Bancshares, Inc.  1,054  35,931 
HSBC Holdings, PLC (United Kingdom)  75,717  702,587 
Insurance Australia Group, Ltd. (Australia)  78,664  355,332 
Invesco Mortgage Capital, Inc. R  1,797  36,174 
Investment AB Kinnevik Class B (Sweden)  14,229  295,936 
Investors Real Estate Trust R  5,016  41,482 
Jefferies Group, Inc.  21,900  299,811 
Jones Lang LaSalle, Inc.  975  74,441 
JPMorgan Chase & Co.  51,290  2,076,219 
Lexington Realty Trust R  13,775  133,067 
LTC Properties, Inc. R  2,478  78,924 
M&T Bank Corp.  4,520  430,123 
Maiden Holdings, Ltd. (Bermuda)  3,847  34,200 
MainSource Financial Group, Inc.  3,446  44,247 
MFA Financial, Inc. R  5,710  48,535 
Mission West Properties R  3,251  28,284 
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan)  53,200  247,873 
Morgan Stanley  48,100  805,194 
Nasdaq OMX Group, Inc. (The)  14,900  347,096 
National Australia Bank, Ltd. (Australia)  7,758  204,405 
National Financial Partners Corp. †  1,871  31,620 
National Health Investors, Inc. R  2,303  118,466 
Nationstar Mortgage Holdings, Inc. †  1,833  60,819 
Nelnet, Inc. Class A  2,077  49,308 
Northern Trust Corp.  14,800  686,942 
Ocwen Financial Corp. †  4,707  129,019 
One Liberty Properties, Inc. R  2,347  43,772 
ORIX Corp. (Japan)  2,220  222,607 
PartnerRe, Ltd.  2,255  167,501 
Peoples Bancorp, Inc.  2,147  49,145 
PNC Financial Services Group, Inc.  10,800  681,480 

 

Dynamic Asset Allocation Conservative Fund  33 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Financials cont.     
Popular, Inc. (Puerto Rico) †  1,820  $31,723 
Portfolio Recovery Associates, Inc. †  455  47,516 
ProAssurance Corp.  1,698  153,567 
Protective Life Corp.  1,787  46,837 
Prudential Financial, Inc.  3,600  196,236 
Prudential PLC (United Kingdom)  19,517  253,249 
PS Business Parks, Inc. R  1,550  103,571 
Public Storage R  5,100  709,767 
Rayonier, Inc. R  5,750  281,808 
Reinsurance Group of America, Inc. Class A  2,508  145,138 
RenaissanceRe Holdings, Ltd.  3,706  285,510 
Republic Bancorp, Inc. Class A  1,446  31,740 
Resona Holdings, Inc. (Japan)  32,600  133,588 
Royal Bank of Scotland Group PLC (United Kingdom) †  15,314  63,605 
Simon Property Group, Inc. R  9,400  1,427,014 
Southside Bancshares, Inc.  1,783  38,887 
Sovran Self Storage, Inc. R  1,586  91,750 
St. Joe Co. (The) † S  8,221  160,310 
Standard Chartered PLC (United Kingdom)  11,219  254,129 
Starwood Property Trust, Inc. R  1,342  31,228 
Stockland (Units) (Australia) R  60,304  208,345 
Suncorp Group, Ltd. (Australia)  24,978  239,288 
Svenska Handelsbanken AB Class A (Sweden)  7,976  299,622 
Swedbank AB Class A (Sweden)  16,004  301,044 
Swiss Life Holding AG (Switzerland)  2,805  334,878 
SWS Group, Inc. †  6,037  36,886 
Symetra Financial Corp.  3,851  47,367 
TD Ameritrade Holding Corp.  23,700  364,269 
Toronto-Dominion Bank (The) (Canada)  4,825  402,116 
UBS AG (Switzerland)  14,004  170,912 
Universal Health Realty Income Trust R  581  26,714 
Urstadt Biddle Properties, Inc. Class A R  1,847  37,365 
Validus Holdings, Ltd.  5,992  203,189 
Virginia Commerce Bancorp, Inc. †  5,651  49,446 
W.R. Berkley Corp.  8,200  307,418 
Walker & Dunlop, Inc. †  3,707  56,977 
Walter Investment Management Corp.  2,197  81,311 
Washington Banking Co.  2,672  37,862 
Wells Fargo & Co.  61,783  2,133,367 
Westpac Banking Corp. (Australia)  9,543  245,109 
Wheelock and Co., Ltd. (Hong Kong)  29,000  124,478 
World Acceptance Corp. †  492  33,185 
    31,906,892 
Health care (3.8%)     
Abbott Laboratories  2,700  185,112 
ABIOMED, Inc. †  1,717  36,040 
Aetna, Inc.  14,279  565,448 

 

34  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Health care cont.     
Affymax, Inc. †  2,641  $55,619 
Alfresa Holdings Corp. (Japan)  2,700  133,076 
Amedisys, Inc. †  559  7,720 
AmerisourceBergen Corp.  10,900  421,939 
Amgen, Inc.  3,800  320,416 
AmSurg Corp. †  1,529  43,393 
AstraZeneca PLC (United Kingdom)  6,755  322,707 
athenahealth, Inc. †  274  25,145 
Bayer AG (Germany)  930  80,019 
Bio-Reference Labs, Inc. †  999  28,551 
C.R. Bard, Inc.  3,700  387,205 
Celgene Corp. †  4,100  313,240 
Centene Corp. †  472  17,658 
Coloplast A/S Class B (Denmark)  1,044  217,489 
Community Health Systems, Inc. †  3,219  93,802 
Computer Programs & Systems, Inc.  384  21,331 
Conmed Corp.  3,085  87,923 
Cubist Pharmaceuticals, Inc. †  1,568  74,762 
Cyberonics, Inc. †  600  31,452 
Eli Lilly & Co.  33,853  1,604,971 
Endo Health Solutions, Inc. †  11,502  364,843 
Forest Laboratories, Inc. †  27,824  990,813 
Fresenius SE & Co. KGgA (Germany)  2,439  283,399 
Gilead Sciences, Inc. †  14,300  948,519 
GlaxoSmithKline PLC (United Kingdom)  26,998  622,784 
Greatbatch, Inc. †  3,875  94,279 
Haemonetics Corp. †  604  48,441 
HCA Holdings, Inc.  6,200  206,150 
Health Management Associates, Inc. Class A †  15,900  133,401 
Health Net, Inc. †  1,434  32,279 
HealthSouth Corp. †  2,936  70,640 
Hi-Tech Pharmacal Co., Inc. †  689  22,813 
Humana, Inc.  6,500  455,975 
Impax Laboratories, Inc. †  3,205  83,202 
Jazz Pharmaceuticals PLC (Ireland) †  3,438  196,000 
Johnson & Johnson  15,009  1,034,270 
Kindred Healthcare, Inc. †  4,670  53,145 
Magellan Health Services, Inc. †  608  31,379 
McKesson Corp.  9,200  791,476 
MedAssets, Inc. †  7,372  131,222 
Medicines Co. (The) †  4,101  105,847 
Merck & Co., Inc.  11,088  500,069 
Metropolitan Health Networks, Inc. †  8,132  75,953 
Molina Healthcare, Inc. †  789  19,843 
Novartis AG (Switzerland)  6,230  381,316 
Novo Nordisk A/S Class B (Denmark)  2,339  369,174 

 

Dynamic Asset Allocation Conservative Fund  35 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Health care cont.     
Obagi Medical Products, Inc. †  8,410  $104,368 
Omega Healthcare Investors, Inc. R  3,859  87,715 
Omnicare, Inc.  8,567  291,021 
Oncothyreon, Inc. †  1,054  5,418 
OraSure Technologies, Inc. †  6,503  72,313 
Orion OYJ Class B (Finland)  5,807  124,420 
Otsuka Holdings Company, Ltd. (Japan)  12,700  393,777 
PDL BioPharma, Inc.  8,558  65,811 
Pfizer, Inc.  117,969  2,931,530 
Pharmacyclics, Inc. †  263  16,964 
PharMerica Corp. †  2,927  37,056 
PSS World Medical, Inc. †  826  18,816 
Quality Systems, Inc.  543  10,073 
Roche Holding AG-Genusschein (Switzerland)  3,669  685,389 
RTI Biologics, Inc. †  6,943  28,952 
Salix Pharmaceuticals, Ltd. †  498  21,085 
Sanofi (France)  4,489  383,492 
Spectrum Pharmaceuticals, Inc. † S  7,205  84,299 
STAAR Surgical Co. †  8,306  62,793 
Steris Corp.  1,032  36,605 
Suzuken Co., Ltd. (Japan)  3,100  102,842 
Triple-S Management Corp. Class B (Puerto Rico) †  1,204  25,164 
United Therapeutics Corp. †  6,180  345,338 
UnitedHealth Group, Inc.  32,558  1,804,039 
ViroPharma, Inc. †  2,583  78,058 
Warner Chilcott PLC Class A  21,311  287,699 
WellCare Health Plans, Inc. †  1,841  104,109 
    21,331,396 
Technology (6.3%)     
Acacia Research Corp. †  642  17,597 
Actuate Corp. †  18,322  128,804 
Acxiom Corp. †  5,811  106,167 
Agilent Technologies, Inc.  15,400  592,130 
Anixter International, Inc.  660  37,924 
AOL, Inc. †  14,800  521,404 
Apple, Inc.  18,317  12,222,186 
Applied Materials, Inc.  38,000  424,270 
ASML Holding NV (Netherlands)  4,270  228,901 
Aspen Technology, Inc. †  1,508  38,982 
BMC Software, Inc. †  11,300  468,837 
Bottomline Technologies, Inc. †  1,877  46,343 
Broadcom Corp. Class A †  14,800  511,784 
Brocade Communications Systems, Inc. †  36,665  216,873 
CA, Inc.  19,972  514,579 
Cadence Design Systems, Inc. †  27,200  349,928 
Cirrus Logic, Inc. †  593  22,765 
Cisco Systems, Inc.  75,839  1,447,767 

 

36  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Technology cont.     
Coinstar, Inc. †  281  $12,639 
Commvault Systems, Inc. †  788  46,256 
Computer Sciences Corp.  7,404  238,483 
Computershare, Ltd. (Australia)  7,627  65,424 
Cornerstone OnDemand, Inc. †  926  28,391 
CSG Systems International, Inc. †  1,956  43,990 
Dell, Inc. †  40,402  398,364 
EnerSys †  2,357  83,179 
Entegris, Inc. †  11,636  94,601 
Entropic Communications, Inc. †  5,986  34,839 
Fair Isaac Corp.  3,364  148,891 
FEI Co.  1,268  67,838 
First Solar, Inc. †  1,267  28,058 
Fujitsu, Ltd. (Japan)  94,000  352,630 
Google, Inc. Class A †  3,280  2,474,760 
GSI Group, Inc. †  2,001  17,829 
IBM Corp.  7,795  1,617,073 
Infineon Technologies AG (Germany)  41,345  262,349 
Infoblox, Inc. †  1,593  37,037 
InnerWorkings, Inc. †  2,816  36,664 
Integrated Silicon Solutions, Inc. †  6,950  64,357 
Intel Corp.  24,439  554,277 
IntraLinks Holdings, Inc. †  5,703  37,298 
Ixia †  1,435  23,060 
JDA Software Group, Inc. †  1,684  53,518 
KLA-Tencor Corp.  6,400  305,312 
Konica Minolta Holdings, Inc. (Japan)  25,000  192,015 
L-3 Communications Holdings, Inc.  5,700  408,747 
Lam Research Corp. †  6,000  190,710 
LivePerson, Inc. †  2,149  38,918 
Manhattan Associates, Inc. †  896  51,314 
Mentor Graphics Corp. †  5,581  86,394 
Microsemi Corp. †  1,898  38,093 
Microsoft Corp.  114,039  3,396,081 
MTS Systems Corp.  1,029  55,103 
NEC Corp. (Japan) †  132,000  208,588 
Netscout Systems, Inc. †  1,846  47,091 
NTT Data Corp. (Japan)  34  106,118 
NVIDIA Corp. †  21,600  288,144 
Omnivision Technologies, Inc. †  3,222  44,963 
Oracle Corp.  46,986  1,479,589 
Parametric Technology Corp. †  1,777  38,739 
Perficient, Inc. †  2,954  35,655 
Pericom Semiconductor Corp. †  4,632  40,229 
Photronics, Inc. †  5,484  29,449 
Plantronics, Inc.  925  32,680 

 

Dynamic Asset Allocation Conservative Fund  37 

 


COMMON STOCKS (34.5%)* cont.  Shares  Value 
 
Technology cont.     
Polycom, Inc. †  9,800  $96,726 
Procera Networks, Inc. †  2,394  56,259 
QLIK Technologies, Inc. †  663  14,858 
QLogic Corp. †  29,450  336,319 
Qualcomm, Inc.  5,105  319,011 
RealPage, Inc. †  1,584  35,798 
RF Micro Devices, Inc. †  5,537  21,871 
Rovi Corp. †  6,010  87,205 
Rudolph Technologies, Inc. †  4,479  47,030 
SAP AG (Germany)  1,304  92,468 
Semtech Corp. †  2,037  51,231 
Silicon Graphics International Corp. †  1,585  14,424 
Silicon Image, Inc. †  5,276  24,217 
Skyworks Solutions, Inc. †  1,384  32,614 
Softbank Corp. (Japan)  5,900  238,805 
Sourcefire, Inc. †  692  33,929 
SS&C Technologies Holdings, Inc. †  2,374  59,849 
Symantec Corp. †  35,200  633,600 
Synaptics, Inc. †  212  5,092 
Synchronoss Technologies, Inc. †  839  19,213 
Tangoe, Inc. †  1,438  18,881 
Tech Data Corp. †  3,100  140,430 
Teradyne, Inc. †  14,487  206,005 
TIBCO Software, Inc. †  2,955  89,330 
Travelzoo, Inc. †  1,563  36,840 
Tyler Technologies, Inc. †  800  35,216 
Ultimate Software Group, Inc. †  562  57,380 
Ultra Clean Holdings, Inc. †  5,102  29,132 
Unisys Corp. †  730  15,199 
VASCO Data Security International, Inc. †  8,667  81,296 
Vishay Intertechnology, Inc. †  13,400  131,722 
Western Digital Corp. †  8,600  333,078 
    35,228,006 
Transportation (0.5%)     
Central Japan Railway Co. (Japan)  6,900  605,259 
ComfortDelgro Corp., Ltd. (Singapore)  82,000  114,417 
Delta Air Lines, Inc. †  46,600  426,856 
Hankyu Hanshin Holdings, Inc. (Japan)  46,000  248,273 
International Consolidated Airlines Group SA     
(Spain) †  36,633  88,296 
Neptune Orient Lines, Ltd. (Singapore) †  177,000  162,266 
Swift Transportation Co. †  7,080  61,030 
United Continental Holdings, Inc. †  13,800  269,100 
United Parcel Service, Inc. Class B  4,900  350,693 
US Airways Group, Inc. †  2,400  25,104 
Wabtec Corp.  3,100  248,899 
    2,600,193 

 

38  Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (34.5%)* cont.    Shares  Value 
 
Utilities and power (1.0%)       
AES Corp. (The) †    36,629  $401,820 
Ameren Corp.    14,100  460,647 
CenterPoint Energy, Inc.    24,200  515,460 
Chubu Electric Power, Inc. (Japan)    3,200  41,691 
CMS Energy Corp.    15,500  365,025 
DTE Energy Co.    9,500  569,430 
Enel SpA (Italy)    54,850  194,447 
Entergy Corp.    9,400  651,420 
GDF Suez (France)    11,544  258,705 
National Grid PLC (United Kingdom)    38,897  429,386 
PG&E Corp.    19,800  844,866 
Red Electrica Corporacion SA (Spain)    6,209  294,896 
TECO Energy, Inc.    14,200  251,908 
Toho Gas Co., Ltd. (Japan)    19,000  126,140 
Westar Energy, Inc.    7,831  232,267 
      5,638,108 
 
Total common stocks (cost $158,335,066)      $191,966,804 
 
CORPORATE BONDS AND NOTES (24.8%)*  Principal amount  Value 
Basic materials (1.8%)       
Agrium, Inc. sr. unsec. notes 3.15s, 2022 (Canada)    $30,000  $30,142 
Airgas, Inc. sr. unsec. unsub. notes 3 1/4s, 2015    460,000  489,924 
Allegheny Technologies, Inc. sr. unsec.       
unsub. notes 9 3/8s, 2019    95,000  122,742 
Allegheny Technologies, Inc. sr. unsec. unsub. notes       
5.95s, 2021    60,000  66,231 
ArcelorMittal sr. unsec. unsub. 10.1s, 2019 (France)    420,000  484,992 
Ardagh Glass Finance PLC sr. unsub. notes Ser. REGS,       
9 1/4s, 2016 (Ireland)  EUR  60,000  83,661 
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022    $40,000  40,900 
Atkore International, Inc. company       
guaranty sr. notes 9 7/8s, 2018    220,000  213,950 
Cabot Corp. sr. unsec. unsub. notes 2.55s, 2018    240,000  246,073 
Celanese US Holdings, LLC company guaranty sr. unsec.       
notes 6 5/8s, 2018 (Germany)    95,000  104,025 
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)    120,000  134,400 
Cemex Finance, LLC 144A company guaranty sr. bonds       
9 1/2s, 2016    100,000  103,250 
CF Industries, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/8s, 2020    280,000  351,400 
CF Industries, Inc. company guaranty sr. unsec.       
unsub. notes 6 7/8s, 2018    210,000  255,413 
Compass Minerals International, Inc. company       
guaranty sr. unsec. notes 8s, 2019    195,000  210,600 
Domtar Corp. company guaranty sr. unsec.       
unsub. notes 6 1/4s, 2042 (Canada)    270,000  275,661 
Dow Chemical Co. (The) sr. unsec. unsub. notes 8.55s, 2019    105,000  140,801 
E.I. du Pont de Nemours & Co. sr. notes 3 5/8s, 2021    315,000  350,403 

 

Dynamic Asset Allocation Conservative Fund  39 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Basic materials cont.     
Eastman Chemical Co. sr. unsec. notes 4.8s, 2042  $540,000  $585,076 
Eastman Chemical Co. sr. unsec. notes 3.6s, 2022  375,000  395,027 
Eastman Chemical Co. sr. unsec. unsub. notes 2.4s, 2017  125,000  130,551 
Ferro Corp. sr. unsec. notes 7 7/8s, 2018  150,000  144,750 
FMG Resources August 2006 Pty, Ltd. 144A company     
guaranty sr. unsec. notes 6 3/8s, 2016 (Australia)  80,000  77,800 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s,     
2019 (Australia)  70,000  67,900 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s,     
2018 (Australia)  105,000  98,700 
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec.     
notes 6 7/8s, 2022 (Australia)  60,000  55,050 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes 8 7/8s, 2018  105,000  107,888 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes 6 5/8s, 2020  35,000  35,613 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC     
company guaranty sr. notes FRN 4.935s, 2014  50,000  47,625 
Huntsman International, LLC company guaranty sr. unsec.     
sub. notes 8 5/8s, 2021  115,000  131,675 
Huntsman International, LLC company guaranty sr. unsec.     
sub. notes 8 5/8s, 2020  110,000  124,300 
IAMGOLD Corp. 144A company guaranty sr. unsec.     
notes 6 3/4s, 2020 (Canada)  145,000  142,100 
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s,     
2020 (United Kingdom)  120,000  121,500 
International Paper Co. sr. unsec. notes 9 3/8s, 2019  135,000  183,029 
International Paper Co. sr. unsec. notes 7.95s, 2018  195,000  250,977 
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019  120,000  134,700 
Louisiana-Pacific Corp. company guaranty sr. unsec     
unsub. notes 7 1/2s, 2020  50,000  55,688 
Lubrizol Corp. (The) sr. unsec. notes 8 7/8s, 2019  245,000  346,297 
LyondellBasell Industries NV sr. unsec. unsub. notes 5s,     
2019 (Netherlands)  565,000  600,313 
Momentive Performance Materials, Inc. notes 9s, 2021  80,000  58,000 
New Gold, Inc. 144A company guaranty sr. unsec.     
unsub. notes 7s, 2020 (Canada)  60,000  63,600 
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020  200,000  221,500 
Nufarm Australia Ltd. 144A company     
guaranty sr. notes 6 3/8s, 2019 (Australia)  40,000  40,000 
PH Glatfelter Co. 144A sr. notes 5 3/8s, 2020  20,000  20,400 
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec.     
notes 9s, 2019 (Australia)  277,000  378,771 
Rock-Tenn Co. 144A sr. unsec. notes 4.9s, 2022  135,000  146,242 
Rock-Tenn Co. 144A sr. unsec. notes 4.45s, 2019  135,000  142,400 
Rockwood Specialties Group, Inc. company     
guaranty sr. unsec. notes 4 5/8s, 2020  25,000  25,344 
Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029  175,000  234,650 

 

40  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Basic materials cont.       
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A       
company guaranty sr. unsec. notes 10s, 2020    $95,000  $103,550 
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company       
guaranty sr. notes 9s, 2017    80,000  82,000 
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s,       
2015 (Ireland)    160,000  161,792 
Smurfit Kappa Treasury company guaranty sr. unsec.       
unsub. debs 7 1/2s, 2025 (Ireland)    30,000  30,525 
Steel Dynamics, Inc. sr. unsec. notes company       
guaranty 7 5/8s, 2020    15,000  16,275 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.       
notes 6 3/8s, 2022    15,000  15,488 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.       
notes 6 1/8s, 2019    25,000  26,000 
Taminco Global Chemical Corp. company guaranty sr. sec.       
sub. notes Ser. REGS, 9 3/4s, 2020    10,000  10,800 
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020    125,000  135,000 
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017    105,000  113,400 
Tronox Finance, LLC 144A company guaranty sr. unsec.       
notes 6 3/8s, 2020    115,000  116,150 
Verso Paper Holdings, LLC/Verso Paper, Inc. company       
guaranty sr. notes 8 3/4s, 2019    55,000  26,400 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A company       
guaranty sr. notes 11 3/4s, 2019    10,000  7,700 
Xstrata Finance Canada, Ltd. 144A company       
guaranty sr. unsec. unsub. bonds 5.8s, 2016 (Canada)    195,000  220,317 
      9,937,431 
Capital goods (1.1%)       
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020    15,000  15,300 
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016    122,000  130,693 
American Axle & Manufacturing, Inc. company       
guaranty sr. unsec. notes 7 3/4s, 2019    245,000  268,888 
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022    75,000  77,625 
Ball Corp. company guaranty sr. unsec. notes 5s, 2022    20,000  20,950 
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018    40,000  43,900 
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021    150,000  171,000 
Berry Plastics Holding Corp. company guaranty sr. unsec.       
sub. notes 10 1/4s, 2016    40,000  41,500 
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019    190,000  226,171 
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada)    55,000  62,975 
Bombardier, Inc. 144A sr. unsec. notes 5 3/4s, 2022 (Canada)    25,000  25,625 
Briggs & Stratton Corp. company guaranty sr. unsec.       
notes 6 7/8s, 2020    200,000  218,000 
Consolidated Container Co. LLC/Consolidated Container       
Capital, Inc. 144A company guaranty sr. unsec.       
notes 10 1/8s, 2020    60,000  64,350 
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)  EUR  50,000  70,069 
Deere & Co. sr. unsec. unsub. notes 2.6s, 2022    $570,000  585,056 
Exide Technologies sr. notes 8 5/8s, 2018    70,000  60,638 
John Deere Capital Corp. notes Ser. MTN, 5 1/4s, 2012    195,000  195,027 

 

Dynamic Asset Allocation Conservative Fund  41 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Capital goods cont.     
Kratos Defense & Security Solutions, Inc. company     
guaranty sr. notes 10s, 2017  $165,000  $178,200 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)  471,000  602,083 
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015  25,000  26,250 
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016  170,000  158,100 
Polypore International, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2017  135,000  145,463 
Raytheon Co. sr. unsec. notes 4 7/8s, 2040  195,000  230,836 
Rexel SA 144A company guaranty sr. unsec.     
unsub. notes 6 1/8s, 2019 (France)  200,000  207,544 
Reynolds Group Issuer, Inc. company     
guaranty sr. notes 7 3/4s, 2016  100,000  104,250 
Reynolds Group Issuer, Inc. company     
guaranty sr. notes 7 1/8s, 2019  50,000  52,750 
Reynolds Group Issuer, Inc. company guaranty sr. unsec.     
unsub. notes 9s, 2019  120,000  122,400 
Reynolds Group Issuer, Inc. 144A company     
guaranty sr. notes 5 3/4s, 2020  55,000  55,000 
Ryerson Holding Corp. sr. disc. notes zero %, 2015  85,000  60,138 
Ryerson, Inc. company guaranty sr. notes 12s, 2015  240,000  247,800 
Staples, Inc. sr. unsec. notes 9 3/4s, 2014  245,000  271,053 
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020  165,000  180,675 
Terex Corp. sr. unsec. sub. notes 8s, 2017  145,000  150,075 
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017  175,000  186,375 
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017  127,000  141,446 
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018  125,000  138,125 
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017  437,000  530,942 
United Technologies Corp. sr. unsec. unsub. notes 4 1/2s, 2042  95,000  106,475 
United Technologies Corp. sr. unsec. unsub. notes 3.1s, 2022  105,000  111,891 
    6,285,638 
Communication services (2.5%)     
Adelphia Communications Corp. escrow bonds zero %, 2012  125,000  950 
America Movil SAB de CV company guaranty unsec.     
unsub. notes 2 3/8s, 2016 (Mexico)  205,000  213,248 
American Tower Corp. sr. unsec. notes 7s, 2017 R  317,000  377,260 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038  926,000  1,215,575 
AT&T, Inc. sr. unsec. unsub. notes 3s, 2022  85,000  89,862 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030  80,000  107,428 
Bresnan Broadband Holdings, LLC 144A company     
guaranty sr. unsec. unsub. notes 8s, 2018  75,000  80,813 
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017  255,000  296,438 
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020  60,000  66,900 
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018  75,000  83,063 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 7 7/8s, 2018  30,000  32,475 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 6 1/2s, 2021  115,000  123,338 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 5 1/4s, 2022  40,000  40,100 

 

42  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Communication services cont.     
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 7 3/8s, 2020  $65,000  $72,313 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 6 5/8s, 2022  70,000  76,475 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsub. notes 7s, 2019  60,000  65,175 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. notes 8 5/8s, 2017  185,000  197,488 
Cincinnati Bell, Inc. company guaranty sr. unsec.     
sub. notes 8 3/4s, 2018  75,000  76,313 
Cincinnati Bell, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2017  40,000  42,700 
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A     
company guaranty sr. notes 12s, 2015  145,000  143,550 
Comcast Corp. company guaranty sr. unsec.     
unsub. notes 6.95s, 2037  596,000  811,371 
Comcast Corp. company guaranty sr. unsec.     
unsub. notes 6 1/2s, 2015  13,000  14,642 
Corning, Inc. sr. unsec. unsub. notes 5 3/4s, 2040  165,000  200,380 
Cox Communications, Inc. 144A notes 5 7/8s, 2016  64,000  74,833 
Cricket Communications, Inc. company guaranty sr. unsec.     
notes 7 3/4s, 2020  200,000  195,000 
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019  80,000  86,800 
Crown Castle Towers, LLC 144A company     
guaranty sr. notes 4.883s, 2020  115,000  129,409 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021  60,000  66,150 
Deutsche Telekom International Finance BV company     
guaranty 8 3/4s, 2030 (Netherlands)  163,000  245,170 
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)  90,000  97,200 
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  95,000  110,438 
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021  165,000  179,850 
Equinix, Inc. sr. unsec. notes 7s, 2021  65,000  72,800 
France Telecom sr. unsec. unsub. notes 4 1/8s, 2021 (France)  201,000  222,333 
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021  35,000  40,513 
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020  65,000  73,450 
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017  125,000  141,875 
Hughes Satellite Systems Corp. company     
guaranty sr. notes 6 1/2s, 2019  110,000  117,700 
Hughes Satellite Systems Corp. company guaranty sr. unsec.     
notes 7 5/8s, 2021  90,000  99,675 
Intelsat Jackson Holdings SA company guaranty sr. unsec.     
notes 7 1/2s, 2021 (Bermuda)  95,000  102,838 
Intelsat Jackson Holdings SA 144A company     
guaranty sr. unsec. notes 7 1/4s, 2020 (Bermuda)  60,000  64,500 
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s,     
2022 (Bermuda)  45,000  44,775 
Intelsat Luxembourg SA company guaranty sr. unsec.     
notes 11 1/2s, 2017 (Luxembourg) ‡‡  358,749  380,274 

 

Dynamic Asset Allocation Conservative Fund  43 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Communication services cont.     
Intelsat Luxembourg SA company guaranty sr. unsec.     
notes 11 1/4s, 2017 (Luxembourg)  $310,000  $327,825 
Koninklijke (Royal) KPN NV sr. unsec. unsub. bonds 8 3/8s,     
2030 (Netherlands)  135,000  180,560 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 9 3/8s, 2019  80,000  88,800 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 8 5/8s, 2020  80,000  86,400 
Level 3 Financing, Inc. company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2019  20,000  21,250 
Level 3 Financing, Inc. 144A company guaranty sr. unsec.     
unsub. notes 7s, 2020  90,000  90,900 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec.     
notes 9 1/8s, 2019  25,000  27,625 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec.     
unsub. notes 7 1/4s, 2022  55,000  58,988 
MetroPCS Wireless, Inc. company guaranty sr. unsec.     
notes 7 7/8s, 2018  125,000  135,625 
Nextel Communications, Inc. company guaranty sr. unsec.     
notes Ser. D, 7 3/8s, 2015  3,000  3,011 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 10s, 2016  80,000  78,800 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 8 7/8s, 2019  30,000  25,200 
NII Capital Corp. company guaranty sr. unsec.     
unsub. notes 7 5/8s, 2021  135,000  108,000 
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017  205,000  222,425 
PAETEC Holding Corp. company guaranty sr. unsec.     
notes 9 7/8s, 2018  5,000  5,725 
Qwest Corp. notes 6 3/4s, 2021  415,000  495,213 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025  55,000  67,361 
SBA Telecommunications, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2019  10,000  11,175 
SBA Telecommunications, Inc. 144A company     
guaranty sr. unsec. unsub. notes 5 3/4s, 2020  30,000  31,500 
SBA Tower Trust 144A notes 2.933s, 2017  495,000  508,589 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  245,000  225,400 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017  160,000  178,000 
Sprint Nextel Corp. sr. unsec. notes 6s, 2016  190,000  195,700 
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017  85,000  96,263 
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020  65,000  67,600 
Sprint Nextel Corp. 144A company guaranty sr. unsec.     
notes 9s, 2018  215,000  257,463 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 8 1/4s, 2014  325,000  357,812 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2039  230,000  299,758 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 4 1/2s, 2042  370,000  368,993 

 

44  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Communication services cont.     
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec.     
notes 5 3/8s, 2022  $30,000  $30,563 
Verizon Communications, Inc. sr. unsec. notes 7.35s, 2039  492,000  736,644 
Verizon New Jersey, Inc. debs. 8s, 2022  165,000  221,590 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  505,000  671,527 
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s,     
2022 (Canada)  110,000  114,950 
Virgin Media Finance PLC company guaranty sr. notes Ser. 1,     
9 1/2s, 2016 (United Kingdom)  75,000  83,063 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017     
(Luxembourg)  320,000  301,600 
Windstream Corp. company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2018  70,000  75,600 
Windstream Corp. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2017  280,000  312,900 
    14,143,838 
Consumer cyclicals (3.8%)     
Academy, Ltd./Academy Finance Corp. 144A company     
guaranty sr. unsec. notes 9 1/4s, 2019  15,000  16,575 
ADT Corp./The 144A company guaranty sr. unsec.     
notes 4 7/8s, 2042  262,000  282,834 
ADT Corp./The 144A company guaranty sr. unsec.     
notes 3 1/2s, 2022  368,000  379,165 
Advance Auto Parts, Inc. company guaranty sr. unsec.     
notes 5 3/4s, 2020  345,000  399,074 
Affinion Group Holdings, Inc. company guaranty sr. unsec.     
notes 11 5/8s, 2015  15,000  10,200 
Affinion Group, Inc. company guaranty sr. unsec.     
notes 7 7/8s, 2018  265,000  216,638 
Affinion Group, Inc. company guaranty sr. unsec.     
sub. notes 11 1/2s, 2015  35,000  29,050 
AMC Entertainment, Inc. company     
guaranty sr. sub. notes 9 3/4s, 2020  155,000  174,569 
American Casino & Entertainment Properties LLC     
sr. notes 11s, 2014  114,000  118,560 
American Media, Inc. 144A notes 13 1/2s, 2018  7,394  6,839 
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016 ‡‡  85,000  87,126 
Ashtead Capital, Inc. 144A company     
guaranty sr. notes 6 1/2s, 2022  45,000  47,250 
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018  65,000  73,044 
Autonation, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2020  30,000  32,063 
Beazer Homes USA, Inc. company guaranty sr. unsec.     
notes 6 7/8s, 2015  135,000  135,675 
Beazer Homes USA, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2018  10,000  10,100 
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019  40,000  40,200 
Beazer Homes USA, Inc. sr. unsec. notes company     
guaranty 8 1/8s, 2016  35,000  36,575 

 

Dynamic Asset Allocation Conservative Fund  45 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Beazer Homes USA, Inc. 144A company     
guaranty sr. notes 6 5/8s, 2018  $30,000  $32,063 
Bon-Ton Department Stores, Inc. (The) 144A company     
guaranty sr. notes 10 5/8s, 2017  205,000  185,013 
Building Materials Corp. 144A sr. notes 7s, 2020  45,000  48,825 
Building Materials Corp. 144A sr. notes 6 7/8s, 2018  85,000  91,163 
Building Materials Corp. 144A sr. notes 6 3/4s, 2021  75,000  82,125 
Burlington Coat Factory Warehouse Corp. company     
guaranty sr. unsec. notes 10s, 2019  95,000  105,094 
Caesars Entertainment Operating Co., Inc. company     
guaranty notes 12 3/4s, 2018  5,000  3,700 
Caesars Entertainment Operating Co., Inc. company     
guaranty sr. notes 10s, 2018  130,000  85,150 
Caesars Entertainment Operating Co., Inc.     
sr. notes 11 1/4s, 2017  330,000  354,750 
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019  55,000  59,125 
CBS Corp. company guaranty sr. unsec. debs. notes 7 7/8s, 2030  160,000  217,630 
CCM Merger, Inc. 144A company guaranty sr. unsec.     
notes 9 1/8s, 2019  75,000  75,563 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management     
Corp. company guaranty sr. unsec. notes 9 1/8s, 2018  35,000  39,769 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018  145,000  137,388 
Choice Hotels International, Inc. company     
guaranty sr. unsec. unsub. notes 5 3/4s, 2022  40,000  43,600 
Choice Hotels International, Inc. company     
guaranty sr. unsec. unsub. notes 5.7s, 2020  260,000  280,800 
Chrysler Group, LLC/CG Co-Issuer, Inc. company     
guaranty notes 8 1/4s, 2021  110,000  117,150 
Cinemark USA, Inc. company guaranty sr. unsec.     
notes 8 5/8s, 2019  20,000  22,200 
Cinemark USA, Inc. company guaranty sr. unsec.     
sub. notes 7 3/8s, 2021  80,000  89,000 
CityCenter Holdings LLC/CityCenter Finance Corp. company     
guaranty 10 3/4s, 2017 ‡‡  265,603  283,531 
Clear Channel Communications, Inc. company     
guaranty sr. notes 9s, 2021  60,000  53,400 
Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014  115,000  103,500 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. notes 7 5/8s, 2020  155,000  151,513 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017  85,000  91,588 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015  90,000  93,375 
Cumulus Media Holdings, Inc. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2019  130,000  126,425 
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company     
guaranty sr. unsec. notes 6.35s, 2040  40,000  46,579 
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company     
guaranty sr. unsec. unsub. notes 5 7/8s, 2019  200,000  235,250 
DR Horton, Inc. company guaranty sr. unsec.     
unsub. notes 4 3/8s, 2022  40,000  39,750 

 

46  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Entercom Radio, LLC company guaranty sr. unsec.       
sub. notes 10 1/2s, 2019    $130,000  $141,700 
Expedia, Inc. company guaranty sr. unsec.       
unsub. notes 5.95s, 2020    350,000  386,042 
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R    305,000  327,113 
Ford Motor Co. sr. unsec. unsub. bonds 7.7s, 2097    180,000  203,850 
Ford Motor Co. sr. unsec. unsub. notes 7.4s, 2046    140,000  168,000 
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020    285,000  357,861 
Ford Motor Credit Co., LLC sr. unsec. notes 4 1/4s, 2022    955,000  978,645 
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015    220,000  238,425 
Gray Television, Inc. 144A company guaranty sr. unsec.       
notes 7 1/2s, 2020    70,000  69,650 
Great Canadian Gaming Corp. 144A company       
guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)  CAD  140,000  146,915 
Hanesbrands, Inc. company guaranty sr. unsec. notes       
6 3/8s, 2020    $150,000  162,750 
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019    105,000  114,450 
Home Depot, Inc. (The) sr. unsec. notes 5.95s, 2041    300,000  407,403 
Host Hotels & Resorts LP company guaranty sr. unsec.       
unsub. notes 4 3/4s, 2023 R    30,000  31,200 
Interactive Data Corp. company guaranty sr. unsec.       
notes 10 1/4s, 2018    230,000  257,600 
Isle of Capri Casinos, Inc. company guaranty sr. unsec.       
unsub. notes 7 3/4s, 2019    105,000  112,875 
Isle of Capri Casinos, Inc. 144A company       
guaranty sr. sub. notes 8 7/8s, 2020    70,000  73,850 
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1,       
7 1/2s, 2020  EUR  50,000  68,946 
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017    $160,000  182,000 
K Hovnanian Enterprises, Inc. 144A company       
guaranty notes 9 1/8s, 2020    30,000  30,150 
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020    65,000  66,300 
KB Home company guaranty sr. unsec. unsub. notes       
7 1/2s, 2022    10,000  10,650 
Lamar Media Corp. company guaranty sr. sub. notes       
7 7/8s, 2018    50,000  55,250 
Lamar Media Corp. company guaranty sr. sub. notes       
5 7/8s, 2022    45,000  47,925 
Lender Processing Services, Inc. company       
guaranty sr. unsec. unsub. notes 8 1/8s, 2016    60,000  62,700 
Lender Processing Services, Inc. company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2023    115,000  115,000 
Lennar Corp. 144A company guaranty sr. notes 4 3/4s, 2017    30,000  30,975 
Liberty Interactive, LLC debs. 8 1/4s, 2030    120,000  126,600 
Limited Brands, Inc. company guaranty sr. unsec.       
notes 6 5/8s, 2021    90,000  102,375 
Limited Brands, Inc. sr. notes 5 5/8s, 2022    45,000  48,319 
M/I Homes, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2018    165,000  178,406 

 

Dynamic Asset Allocation Conservative Fund  47 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.     
notes 5.9s, 2016  $110,000  $128,439 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.     
notes 5 1/8s, 2042  190,000  207,135 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.     
notes 3 7/8s, 2022  85,000  91,435 
Marriott International, Inc. sr. unsec. unsub notes 3s, 2019  350,000  358,276 
Mashantucket Western Pequot Tribe 144A bonds Ser. A,     
8 1/2s, 2015 (In default) †  175,000  15,750 
Masonite International Corp., 144A company     
guaranty sr. notes 8 1/4s, 2021 (Canada)  120,000  126,600 
MGM Resorts International company guaranty sr. notes 9s, 2020  20,000  22,325 
MGM Resorts International company guaranty sr. unsec.     
notes 6 7/8s, 2016  75,000  78,375 
MGM Resorts International company guaranty sr. unsec.     
notes 6 5/8s, 2015  90,000  96,300 
MGM Resorts International company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2022  60,000  62,550 
MGM Resorts International sr. notes 10 3/8s, 2014  20,000  22,500 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 8 5/8s, 2019  65,000  70,850 
MGM Resorts International 144A company guaranty sr. unsec.     
notes 6 3/4s, 2020  70,000  70,000 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  80,000  83,808 
Michaels Stores, Inc. sr. unsec. notes company     
guaranty 7 3/4s, 2018  10,000  10,725 
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 ‡‡  272,706  287,023 
Navistar International Corp. sr. notes 8 1/4s, 2021  234,000  222,300 
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019  80,000  81,600 
News America Holdings, Inc. company guaranty sr. unsec.     
debs. 7 3/4s, 2024  300,000  386,291 
News America Holdings, Inc. debs. 7 3/4s, 2045  363,000  486,475 
Nielsen Finance, LLC/Nielsen Finance Co. company     
guaranty sr. unsec. notes 7 3/4s, 2018 (Netherlands)  60,000  67,650 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec.     
notes 4 1/2s, 2020 (Netherlands)  50,000  49,625 
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018  110,000  121,550 
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021  80,000  85,200 
Owens Corning company guaranty sr. unsec. notes 9s, 2019  235,000  295,513 
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019  25,000  28,000 
Penske Automotive Group, Inc. 144A company     
guaranty sr. sub. notes 5 3/4s, 2022  85,000  87,125 
PETCO Animal Supplies, Inc. 144A company     
guaranty sr. notes 9 1/4s, 2018  55,000  60,500 
Pinnacle Entertainment, Inc. company guaranty sr. unsec.     
notes 8 5/8s, 2017  30,000  32,775 
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017  95,000  109,250 
Pulte Group, Inc. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2032  160,000  166,400 

 

48  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
QVC Inc. 144A sr. notes 7 3/8s, 2020  $115,000  $127,851 
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014  45,000  46,800 
Realogy Corp. company guaranty sr. unsec.     
sub. notes 12 3/8s, 2015  55,000  56,650 
Realogy Corp. company guaranty sr. unsec.     
unsub. notes 11 1/2s, 2017  170,000  182,325 
Realogy Corp. 144A company guaranty sr. notes 9s, 2020  25,000  27,125 
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020  25,000  27,563 
Regal Entertainment Group company guaranty sr. unsec.     
notes 9 1/8s, 2018  130,000  145,275 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh     
Finance Corp. 144A sr. notes 9 1/2s, 2019  80,000  85,400 
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes     
12 1/8s, 2018  125,000  145,000 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  140,000  138,950 
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019  40,000  39,700 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016  235,000  238,525 
Sabre, Inc. 144A sr. notes 8 1/2s, 2019  95,000  98,088 
Schaeffler Finance BV 144A company     
guaranty sr. notes 8 1/2s, 2019 (Germany)  215,000  239,188 
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec.     
unsub. notes 6 5/8s, 2020  85,000  91,588 
Sealy Mattress Co. 144A company guaranty sr. notes     
10 7/8s, 2016  46,000  50,255 
Sears Holdings Corp. company guaranty 6 5/8s, 2018  50,000  46,625 
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022  40,000  40,100 
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022  25,000  24,813 
Spectrum Brands Holdings, Inc. company     
guaranty sr. notes 9 1/2s, 2018  115,000  129,663 
Spectrum Brands Holdings, Inc. 144A company     
guaranty sr. notes 9 1/2s, 2018  45,000  50,738 
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020  85,000  87,763 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming     
Finance Corp. 144A notes 8 5/8s, 2016  40,000  42,900 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. notes 7 3/4s, 2020  30,000  31,950 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A sr. notes 7 3/4s, 2020  150,000  159,750 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  115,000  162,014 
Time Warner, Inc. company guaranty sr. unsec. notes 4.7s, 2021  565,000  648,487 
Time Warner, Inc. debs. 9.15s, 2023  105,000  150,406 
Toyota Motor Credit Corp. sr. unsec. unsub. notes 3.3s, 2022  460,000  495,145 
Toys R Us — Delaware, Inc. 144A company     
guaranty sr. notes 7 3/8s, 2016  50,000  50,875 
Toys R Us Property Co., LLC company guaranty sr. unsec.     
notes 10 3/4s, 2017  215,000  234,350 
Toys R Us, Inc. 144A sr. unsec. notes 10 3/8s, 2017  30,000  30,563 
Travelport, LLC company guaranty sr. unsec.     
sub. notes 11 7/8s, 2016  35,000  13,213 

 

Dynamic Asset Allocation Conservative Fund  49 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Travelport, LLC company guaranty sr. unsec.       
unsub. notes 9 7/8s, 2014    $75,000  $60,000 
Travelport, LLC 144A sr. notes 6.362s, 2016 ‡‡    26,000  19,760 
Travelport, LLC/Travelport, Inc. company       
guaranty sr. unsec. notes 9s, 2016    64,000  45,760 
TRW Automotive, Inc. company guaranty sr. unsec.       
unsub. notes Ser. REGS, 6 3/8s, 2014  EUR  55,000  74,432 
TRW Automotive, Inc. 144A company guaranty sr. unsec.       
unsub. notes 7s, 2014    $120,000  127,800 
Univision Communications, Inc. 144A company       
guaranty sr. unsec. notes 8 1/2s, 2021    185,000  187,775 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037    198,000  283,664 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 5s, 2040    120,000  145,516 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 4 7/8s, 2040    655,000  784,474 
Walt Disney Co. (The) sr. unsec. notes 2 3/4s, 2021    120,000  125,913 
Walt Disney Co. (The) sr. unsec. unsub. notes 4 3/8s, 2041    50,000  57,477 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company       
guaranty 1st mtge. notes 7 3/4s, 2020    20,000  22,250 
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018    160,000  176,800 
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec.       
notes 10 1/4s, 2016 ‡‡    80,000  82,800 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016    125,000  135,000 
      21,175,885 
Consumer staples (1.8%)       
Altria Group, Inc. company guaranty sr. unsec. notes 9.7s, 2018    63,000  90,235 
Altria Group, Inc. company guaranty sr. unsec.       
unsub. notes 2.85s, 2022    500,000  496,293 
Anheuser-Busch InBev Worldwide, Inc. company       
guaranty unsec. unsub. notes 5 3/8s, 2020    450,000  558,752 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 9 3/4s, 2020    30,000  34,275 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 9 5/8s, 2018    50,000  55,500 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 8 1/4s, 2019    25,000  27,219 
Avis Budget Car Rental, LLC company guaranty sr. unsec.       
unsub. notes 7 3/4s, 2016    65,000  66,869 
Bunge Ltd., Finance Corp. company guaranty sr. unsec.       
notes 8 1/2s, 2019    10,000  12,670 
Bunge Ltd., Finance Corp. company guaranty unsec.       
unsub. notes 4.1s, 2016    90,000  96,087 
Burger King Corp. company guaranty sr. unsec. notes       
9 7/8s, 2018    140,000  162,400 
Carrols Restaurant Group, Inc. 144A company       
guaranty sr. notes 11 1/4s, 2018    30,000  32,700 
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016 ‡‡    135,557  147,757 
Claire’s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019    75,000  69,000 
Claire’s Stores, Inc. 144A company guaranty sr. unsec.       
notes 9 5/8s, 2015    107,912  97,930 
Claire’s Stores, Inc. 144A sr. notes 9s, 2019    165,000  170,775 

 

50  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer staples cont.       
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/4s, 2016    $130,000  $148,850 
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 6s, 2022    45,000  51,188 
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 4 5/8s, 2023    25,000  25,375 
Corrections Corporation of America company       
guaranty sr. notes 7 3/4s, 2017    140,000  149,800 
Darden Restaurants, Inc. sr. unsec. unsub. notes 6.8s, 2037    205,000  251,750 
Dave & Buster’s, Inc. company guaranty sr. unsec.       
unsub. notes 11s, 2018    110,000  124,300 
Dean Foods Co. company guaranty sr. unsec.       
unsub. notes 9 3/4s, 2018    50,000  57,000 
Dean Foods Co. company guaranty sr. unsec. unsub. notes       
7s, 2016    115,000  124,200 
Del Monte Corp. company guaranty sr. unsec. notes       
7 5/8s, 2019    55,000  56,375 
Delhaize Group company guaranty sr. unsec. notes 5.7s,       
2040 (Belgium)    5,000  4,449 
Delhaize Group company guaranty sr. unsec. notes       
4 1/8s, 2019 (Belgium)    80,000  77,281 
Delhaize Group company guaranty sr. unsec.       
unsub. bonds 5 7/8s, 2014 (Belgium)    370,000  388,732 
Diageo Capital PLC company guaranty sr. unsec.       
unsub. notes 5 3/4s, 2017 (United Kingdom)    235,000  286,882 
Diageo Investment Corp. company guaranty sr. unsec.       
debs. 8s, 2022    135,000  193,600 
DineEquity, Inc. company guaranty sr. unsec. notes       
9 1/2s, 2018    145,000  163,488 
Dole Food Co. sr. notes 13 7/8s, 2014    21,000  23,625 
Dole Food Co. 144A sr. notes 8s, 2016    35,000  36,619 
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021    190,000  212,800 
General Mills, Inc. sr. unsec. notes 5.65s, 2019    200,000  243,471 
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018    75,000  81,000 
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015       
(Netherlands)  EUR  70,000  96,979 
JBS USA, LLC/JBS USA Finance, Inc. company       
guaranty sr. unsec. notes 11 5/8s, 2014    $40,000  44,900 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec.       
notes 8 1/4s, 2020    35,000  34,913 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec.       
notes 7 1/4s, 2021    140,000  130,200 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 1/2s, 2040    350,000  477,084 
Kraft Foods Group, Inc. 144A company guaranty sr. unsec.       
unsub. notes 5s, 2042    65,000  72,513 
Landry’s Acquisition Co. 144A sr. unsec. notes 9 3/8s, 2020    60,000  63,000 
Libbey Glass, Inc. 144A company guaranty sr. notes       
6 7/8s, 2020    60,000  64,500 
McDonald’s Corp. sr. unsec. bonds 6.3s, 2037    300,000  425,782 

 

Dynamic Asset Allocation Conservative Fund  51 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Consumer staples cont.     
McDonald’s Corp. sr. unsec. notes 5.7s, 2039  $270,000  $363,339 
Michael Foods, Inc. company guaranty sr. unsec.     
notes 9 3/4s, 2018  95,000  105,925 
Molson Coors Brewing Co. company guaranty sr. unsec.     
unsub. notes 5s, 2042  280,000  312,823 
PepsiCo, Inc. sr. unsec. notes 7.9s, 2018  82,000  111,169 
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022  40,000  42,500 
Prestige Brands, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2018  250,000  275,000 
Revlon Consumer Products Corp. company     
guaranty notes 9 3/4s, 2015  375,000  396,563 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017  105,000  107,888 
Rite Aid Corp. company guaranty sr. unsec.     
unsub. notes 9 1/2s, 2017  237,000  243,814 
Rite Aid Corp. company guaranty sr. unsec.     
unsub. notes 9 1/4s, 2020  115,000  117,875 
Service Corporation International sr. notes 7s, 2019  90,000  99,450 
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022  80,000  83,000 
Stewart Enterprises, Inc. company guaranty sr. unsec.     
notes 6 1/2s, 2019  80,000  86,000 
Tyson Foods, Inc. company guaranty sr. unsec.     
unsub. notes 6.85s, 2016  470,000  539,325 
UR Financing Escrow Corp. 144A company     
guaranty notes 5 3/4s, 2018  30,000  31,688 
UR Financing Escrow Corp. 144A sr. unsec. notes 7 5/8s, 2022  45,000  49,275 
UR Merger Sub Corp. company guaranty sr. unsec.     
unsub. notes 9 1/4s, 2019  165,000  186,038 
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019  120,000  123,600 
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020  30,000  32,250 
WPP Finance UK company guaranty sr. unsec. notes 8s, 2014     
(United Kingdom)  295,000  331,162 
    9,867,802 
Energy (3.0%)     
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. notes 5 7/8s, 2021  40,000  41,900 
Access Midstream Partners, LP/ACMP Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2022  35,000  37,013 
Alpha Natural Resources, Inc. company guaranty sr. unsec.     
notes 6 1/4s, 2021  35,000  29,050 
Alpha Natural Resources, Inc. company guaranty sr. unsec.     
notes 6s, 2019  70,000  59,150 
AmeriGas Finance, LLC/AmeriGas Finance Corp. company     
guaranty sr. unsec. notes 7s, 2022  75,000  80,625 
Anadarko Finance Co. company guaranty sr. unsec.     
unsub. notes Ser. B, 7 1/2s, 2031  450,000  602,528 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016  60,000  69,754 
Anadarko Petroleum Corp. sr. unsec. unsub. notes 6.95s, 2019  185,000  231,763 
Apache Corp. sr. unsec. unsub notes 3 1/4s, 2022  265,000  284,860 
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020  10,000  8,400 

 

52  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Energy cont.     
Arch Coal, Inc. company guaranty sr. unsec.     
unsub. notes 7s, 2019  $95,000  $79,800 
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.     
144A company guaranty sr. notes 6 5/8s, 2020  35,000  35,613 
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s,     
2015 (In default) †  60,000  11,400 
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020  50,000  53,500 
Aurora USA Oil & Gas, Inc. 144A sr. notes 9 7/8s, 2017  85,000  90,950 
BP Capital Markets PLC company guaranty sr. unsec.     
unsub. notes 3.2s, 2016 (United Kingdom)  570,000  611,507 
Canadian Natural Resources, Ltd. sr. unsec.     
unsub. notes 5.7s, 2017 (Canada)  520,000  618,027 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec.     
notes 8 5/8s, 2018  185,000  198,413 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2020  30,000  30,675 
Cenovus Energy, Inc. sr. unsec. unsub. notes 4.45s, 2042     
(Canada)  540,000  560,877 
Chaparral Energy, Inc. company guaranty sr. unsec.     
notes 9 7/8s, 2020  155,000  175,150 
Chaparral Energy, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2021  35,000  37,800 
Chesapeake Energy Corp. company guaranty sr. unsec.     
unsub. notes 6.775s, 2019  25,000  25,063 
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield     
Finance, Inc. 144A company guaranty sr. unsec.     
unsub. notes 6 5/8s, 2019  110,000  105,600 
Concho Resources, Inc. company guaranty sr. unsec.     
notes 6 1/2s, 2022  110,000  121,000 
Concho Resources, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2023  30,000  31,350 
Concho Resources, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2022  50,000  52,125 
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)  55,000  47,300 
CONSOL Energy, Inc. company guaranty sr. unsec.     
notes 8 1/4s, 2020  380,000  398,050 
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017  20,000  20,900 
Continental Resources, Inc. company guaranty sr. unsec.     
notes 5s, 2022  100,000  104,250 
Continental Resources, Inc. 144A company     
guaranty sr. unsec. unsub. notes 5s, 2022  85,000  88,825 
Crosstex Energy LP/Crosstex Energy Finance Corp. company     
guaranty sr. unsec. notes 8 7/8s, 2018  230,000  246,100 
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 7 1/8s, 2022  35,000  34,825 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2020  109,000  122,625 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 6 3/8s, 2021  15,000  16,275 

 

Dynamic Asset Allocation Conservative Fund  53 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Energy cont.     
EXCO Resources, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2018  $235,000  $218,550 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec.     
notes 9 1/8s, 2017  60,000  64,350 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec.     
notes 6 1/2s, 2021  55,000  53,213 
Forbes Energy Services Ltd. company guaranty sr. unsec.     
notes 9s, 2019  150,000  145,500 
FTS International Services, LLC/FTS International     
Bonds, Inc. 144A company guaranty sr. unsec.     
unsub. notes 8 1/8s, 2018  95,000  101,175 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
unsub. notes 8.146s, 2018 (Russia)  288,000  352,331 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
unsub. notes 6.51s, 2022 (Russia)  438,000  514,869 
Gazprom Via OAO White Nights Finance BV notes 10 1/2s,     
2014 (Russia)  1,200,000  1,342,368 
Goodrich Petroleum Corp. company guaranty sr. unsec.     
unsub. notes 8 7/8s, 2019  180,000  174,150 
Hercules Offshore, Inc. 144A company     
guaranty sr. notes 7 1/8s, 2017  10,000  10,400 
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017  100,000  105,375 
Hiland Partners LP / Hiland Partners Finance Corp. 144A     
company guaranty sr. notes 7 1/4s, 2020  45,000  46,800 
Kerr-McGee Corp. company guaranty sr. unsec.     
unsub. notes 7 7/8s, 2031  40,000  53,702 
Key Energy Services, Inc. company guaranty unsec.     
unsub. notes 6 3/4s, 2021  100,000  101,500 
Key Energy Services, Inc. 144A company guaranty sr. unsec.     
notes 6 3/4s, 2021  25,000  25,250 
Kodiak Oil & Gas Corp. sr. unsec. notes company     
guaranty Ser. REGS, 8 1/8s, 2019  20,000  21,200 
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019  170,000  180,200 
Laredo Petroleum, Inc. company guaranty sr. unsec.     
notes 7 3/8s, 2022  35,000  37,800 
Laredo Petroleum, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/2s, 2019  160,000  181,200 
Lone Pine Resources Canada Ltd. company guaranty sec.     
notes Ser. REGS, 10 3/8s, 2017 (Canada)  14,000  12,880 
Lone Pine Resources Canada, Ltd. 144A company     
guaranty sr. notes 10 3/8s, 2017 (Canada)  45,000  41,400 
Marathon Petroleum Corp. sr. unsec. unsub. notes 6 1/2s, 2041  125,000  153,130 
MEG Energy Corp. 144A company guaranty sr. unsec.     
notes 6 1/2s, 2021 (Canada)  50,000  53,500 
MEG Energy Corp. 144A company guaranty sr. unsec.     
notes 6 3/8s, 2023 (Canada)  35,000  37,363 
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016  130,000  92,300 
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022  90,000  100,125 
Noble Holding International, Ltd. company     
guaranty sr. unsec. notes 6.05s, 2041  285,000  331,407 

 

54  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Energy cont.     
Northern Oil and Gas, Inc. company guaranty sr. unsec.     
notes 8s, 2020  $110,000  $113,300 
Oasis Petroleum, Inc. company guaranty sr. unsec.     
notes 6 7/8s, 2023  60,000  63,525 
Offshore Group Investment, Ltd. company     
guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)  245,000  270,725 
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018  255,000  277,950 
Peabody Energy Corp. company guaranty sr. unsec.     
notes 7 3/8s, 2016  160,000  181,200 
Peabody Energy Corp. company guaranty sr. unsec.     
unsub. notes 6 1/2s, 2020  20,000  20,450 
Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018  80,000  80,000 
PetroBakken Energy, Ltd. sr. unsec. notes Ser. REGS,     
8 5/8s, 2020 (Canada)  30,000  31,200 
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020     
(Canada)  170,000  176,800 
Petrohawk Energy Corp. company guaranty sr. unsec.     
notes 7 1/4s, 2018  335,000  380,588 
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014     
(Venezuela)  1,465,000  1,323,950 
Plains Exploration & Production Co. company     
guaranty sr. unsec. notes 6 3/4s, 2022  165,000  167,475 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  190,000  191,900 
Range Resources Corp. company     
guaranty sr. sub. notes 6 3/4s, 2020  85,000  93,500 
Range Resources Corp. company guaranty sr. unsec.     
sub. notes 5s, 2022  40,000  42,200 
Rosetta Resources, Inc. company guaranty sr. unsec.     
notes 9 1/2s, 2018  145,000  160,225 
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016  165,000  178,200 
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020  225,000  231,750 
SandRidge Energy, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2021  50,000  51,500 
SandRidge Energy, Inc. 144A company guaranty sr. unsec.     
unsub. notes 8s, 2018  90,000  94,500 
Shell International Finance BV company guaranty sr. unsec.     
notes 3.1s, 2015 (Netherlands)  585,000  625,375 
SM Energy Co. sr. unsec. notes 6 5/8s, 2019  50,000  52,750 
SM Energy Co. sr. unsec. notes 6 1/2s, 2021  45,000  47,700 
SM Energy Co. 144A sr. notes 6 1/2s, 2023  20,000  21,050 
Spectra Energy Capital, LLC sr. notes 8s, 2019  215,000  281,785 
Statoil ASA company guaranty sr. unsec. notes 5.1s, 2040 (Norway)  170,000  210,959 
Suburban Propane Partners LP/Suburban Energy Finance Corp.     
144A sr. unsec. notes 7 3/8s, 2021  77,000  82,198 
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada)  20,000  21,600 
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021  60,000  62,100 
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021  60,000  61,950 
Weatherford Bermuda company guaranty sr. unsec.     
notes 9 7/8s, 2039  270,000  390,820 

 

Dynamic Asset Allocation Conservative Fund  55 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Energy cont.     
Weatherford International, Inc. company guaranty sr. unsec.     
unsub. notes 6.8s, 2037  $90,000  $98,513 
Weatherford International, Inc. company guaranty sr. unsec.     
unsub. notes 6.35s, 2017  100,000  116,427 
Whiting Petroleum Corp. company guaranty 7s, 2014  85,000  90,525 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  9,000  11,512 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  30,000  39,334 
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022  35,000  37,625 
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017  135,000  145,800 
    16,444,042 
Financials (5.6%)     
Abbey National Treasury Service bank guaranty sr. unsec.     
unsub. notes FRN 2.028s, 2014 (United Kingdom)  255,000  253,085 
ABN Amro Bank NV 144A sr. unsec. notes 4 1/4s, 2017     
(Netherlands)  560,000  600,701 
ACE Cash Express, Inc. 144A sr. notes 11s, 2019  65,000  61,100 
Aflac, Inc. sr. unsec. notes 8 1/2s, 2019  315,000  421,910 
Aflac, Inc. sr. unsec. notes 6.9s, 2039  135,000  174,933 
Air Lease Corp. 144A sr. notes 5 5/8s, 2017  90,000  92,025 
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017  80,000  86,527 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 8.3s, 2015  115,000  127,363 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 8s, 2020  50,000  58,500 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2020  50,000  57,375 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2017  35,000  36,488 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes FRN 2.618s, 2014  114,000  112,576 
Ally Financial, Inc. unsec. sub. notes 8s, 2018  60,000  67,500 
American Express Co. sr. unsec. notes 8 1/8s, 2019  625,000  845,523 
American International Group, Inc. jr. sub. bonds FRB     
8.175s, 2068  321,000  392,824 
American International Group, Inc. sr. unsec. Ser. MTN,     
5.85s, 2018  639,000  741,648 
American International Group, Inc. sr. unsec.     
unsub. notes 4 1/4s, 2014  355,000  374,944 
Associates Corp. of North America sr. unsec. notes 6.95s, 2018  235,000  282,568 
AXA SA 144A jr. unsec. sub. notes FRN 6.463s, 2049 (France)  310,000  284,425 
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017  315,000  362,425 
Bank of America Corp. sr. unsec. unsub notes 5 7/8s, 2042  185,000  215,041 
Bank of America Corp. sr. unsec. unsub. notes 6 1/2s, 2016  615,000  711,254 
Bank of America NA sub. notes Ser. BKNT, 5.3s, 2017  750,000  832,833 
Bank of Montreal sr. unsec. unsub. bonds 2 1/8s, 2013 (Canada)  200,000  202,673 
Bank of New York Mellon Corp. (The) sr. unsec.     
unsub. notes 1.969s, 2017  445,000  459,210 
Bank of New York Mellon Corp. (The) 144A sr. unsec.     
notes Ser. MTN, 2 1/2s, 2016  65,000  68,094 

 

56  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Financials cont.     
Barclays Bank PLC jr. unsec. sub. notes FRN 6.278s, 2049     
(United Kingdom)  $325,000  $300,625 
Barclays Bank PLC 144A sub. notes 10.179s, 2021     
(United Kingdom)  205,000  266,322 
Barclays Bank PLC 144A unsec. sub. notes 6.05s, 2017     
(United Kingdom)  420,000  451,949 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s, 2018  46,000  57,401 
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 5.7s, 2014  155,000  169,738 
BNP Paribas SA sr. unsec. notes Ser. MTN, 2 3/8s, 2017     
(France)  190,000  190,141 
BNP Paribas SA 144A jr. unsec. sub. notes FRN 5.186s, 2049     
(France)  261,000  240,120 
Camden Property Trust sr. unsec. notes 4 7/8s, 2023 R  140,000  160,729 
Capital One Capital III company guaranty jr. unsec.     
sub. notes 7.686s, 2036  255,000  258,825 
Capital One Capital IV company guaranty jr. unsec.     
sub. notes FRN 6.745s, 2037  200,000  201,000 
CB Richard Ellis Services, Inc. company guaranty sr. unsec.     
notes 6 5/8s, 2020  95,000  103,788 
CB Richard Ellis Services, Inc. company guaranty sr. unsec.     
sub. notes 11 5/8s, 2017  35,000  39,200 
CIT Group, Inc. sr. unsec. notes 5s, 2022  90,000  93,636 
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020  75,000  81,188 
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018  95,000  101,888 
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017  60,000  64,050 
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019  90,000  97,425 
Citigroup, Inc. sub. notes 5s, 2014  180,000  189,850 
Citigroup, Inc. unsec. sub. notes 6 5/8s, 2032  1,151,000  1,318,149 
Citigroup, Inc. unsec. sub. notes 6 1/8s, 2036  105,000  114,014 
CNO Financial Group, Inc. 144A company     
guaranty sr. notes 9s, 2018  115,000  134,263 
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019  205,000  199,875 
Duke Realty LP sr. unsec. notes 6 1/2s, 2018 R  339,000  393,641 
E*Trade Financial Corp. sr. notes 6 3/4s, 2016  150,000  157,875 
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017  10,000  11,363 
GATX Financial Corp. notes 5.8s, 2016  130,000  139,233 
GE Capital Trust I unsec. sub. bonds FRB 6 3/8s, 2067  1,450,000  1,531,563 
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032  525,000  672,538 
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019  1,105,000  1,367,548 
Hartford Financial Services Group, Inc. (The) sr. unsec.     
unsub. notes 5 1/8s, 2022  160,000  178,897 
HCP, Inc. sr. unsec. unsub. notes 3.15s, 2022 R  335,000  325,390 
Health Care REIT, Inc. sr. unsec. notes 4 1/8s, 2019 R  320,000  341,159 
Highwood Realty LP sr. unsec. bonds 5.85s, 2017 R  290,000  318,328 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  400,000  393,500 
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021  310,000  359,513 
HSBC Holdings PLC sr. unsec. notes 4 7/8s, 2022     
(United Kingdom)  365,000  417,300 

 

Dynamic Asset Allocation Conservative Fund  57 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Financials cont.     
Hub International Ltd. 144A company     
guaranty sr. notes 8 1/8s, 2018  $35,000  $35,700 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.     
company guaranty sr. unsec. notes 8s, 2018  195,000  209,138 
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019  40,000  43,100 
International Lease Finance Corp. sr. unsec.     
unsub. notes 5 7/8s, 2022  110,000  113,575 
International Lease Finance Corp. sr. unsec.     
unsub. notes 4 7/8s, 2015  250,000  258,750 
iStar Financial, Inc. sr. unsec. unsub. notes 9s, 2017 R  80,000  85,800 
JPMorgan Chase & Co. sr. notes 6s, 2018  336,000  400,601 
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097  135,000  139,723 
Macquarie Bank Ltd. 144A sr. unsec. notes 3.45s, 2015     
(Australia)  160,000  162,339 
Merrill Lynch & Co., Inc. sr. unsec. notes Ser. MTN,     
6 7/8s, 2018  236,000  282,755 
MetLife Capital Trust IV 144A jr. sub. debs. 7 7/8s, 2037  385,000  454,300 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. notes 6 7/8s, 2021 R  45,000  49,050 
MPT Operating Partnership LP/MPT Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R  60,000  64,500 
National Money Mart Co. company guaranty sr. unsec.     
unsub. notes 10 3/8s, 2016 (Canada)  50,000  55,875 
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A     
company guaranty sr. unsec. notes 9 5/8s, 2019  25,000  27,313 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  425,000  449,761 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 7/8s, 2022  65,000  69,550 
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.     
144A sr. notes 5 5/8s, 2020  45,000  47,700 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020  25,000  24,875 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017  55,000  54,588 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  1,129,000  1,177,821 
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016  135,000  154,913 
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019  70,000  74,988 
Primerica, Inc. sr. unsec. unsub. notes 4 3/4s, 2022  267,000  285,814 
Progressive Corp. (The) jr. unsec. sub. notes FRN 6.7s, 2037  190,000  205,200 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/4s, 2017  20,000  21,500 
Provident Funding Associates LP/PFG Finance Corp. 144A     
sr. notes 10 1/8s, 2019  110,000  113,300 
Prudential Covered Trust 2012-1 144A company guaranty mtge.     
notes 2.997s, 2015  255,000  264,925 
Prudential Financial, Inc. jr. unsec. sub. notes FRN     
8 7/8s, 2038  245,000  296,450 
Rayonier, Inc. company guaranty sr. unsec.     
unsub. notes 3 3/4s, 2022 R  105,000  108,677 
Residential Capital LLC company guaranty jr. notes 9 5/8s,     
2015 (In default) †  185,000  185,463 

 

58  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
Financials cont.       
Royal Bank of Scotland PLC (The) bank guaranty sr. unsec.       
unsub. notes 3.95s, 2015 (United Kingdom)    $365,000  $386,975 
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A       
notes 7 1/8s, 2014 (Russia)    100,000  105,810 
Santander Holdings USA, Inc. sr. unsec.       
unsub. notes 4 5/8s, 2016    93,000  97,428 
Santander Issuances S.A. Unipersonal 144A bank       
guaranty unsec. sub. notes 5.911s, 2016 (Spain)    300,000  295,500 
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s,       
2017 (Luxembourg)    300,000  315,000 
Simon Property Group LP sr. unsec. unsub. notes 3 3/8s, 2022 R    155,000  162,739 
Simon Property Group LP sr. unsec. unsub. notes 5 1/4s, 2016 R    7,000  8,019 
SLM Corp. sr. notes Ser. MTN, 8s, 2020    155,000  179,025 
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018    110,000  128,834 
Vornado Realty LP sr. unsec. unsub. notes 4 1/4s, 2015 R    180,000  190,221 
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia)    600,000  637,740 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec.       
notes 6 7/8s, 2018 (Russia)    1,887,000  2,030,978 
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017    500,000  602,961 
Wachovia Corp. sr. unsec. notes 5 3/4s, 2017    60,000  71,915 
Westpac Banking Corp. sr. unsec. bonds 3s, 2015 (Australia)    155,000  164,196 
Westpac Banking Corp. sr. unsec. notes 4 7/8s, 2019 (Australia)    80,000  91,283 
Westpac Capital Trust III 144A unsec. sub. notes FRN       
5.819s, perpetual maturity    230,000  228,684 
Willis Group North America, Inc. company guaranty 6.2s, 2017    40,000  45,584 
ZFS Finance USA Trust V 144A bonds FRB 6 1/2s, 2037    426,000  440,910 
      31,467,415 
Health care (1.2%)       
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016    126,000  148,443 
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037    318,000  421,318 
Amgen, Inc. sr. unsec. notes 3.45s, 2020    500,000  527,651 
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037       
(United Kingdom)    99,000  135,449 
Aviv Healthcare Properties LP company guaranty sr. unsec.       
notes 7 3/4s, 2019    80,000  84,800 
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020    120,000  124,350 
Capella Healthcare, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2017    115,000  122,619 
CDRT Holding Corp. 144A sr. notes 9 1/4s, 2017 ‡‡    115,000  110,975 
CHS/Community Health Systems, Inc. company       
guaranty sr. notes 5 1/8s, 2018    85,000  88,188 
CHS/Community Health Systems, Inc. company       
guaranty sr. unsec. unsub. notes 8s, 2019    115,000  126,213 
CHS/Community Health Systems, Inc. company       
guaranty sr. unsec. unsub. notes 7 1/8s, 2020    60,000  63,900 
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021    350,000  388,732 
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017       
(Luxembourg)  EUR  100,000  138,632 

 

Dynamic Asset Allocation Conservative Fund  59 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Health care cont.     
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s,     
2018 (Luxembourg)  $130,000  $141,050 
Emergency Medical Services Corp. company     
guaranty sr. unsec. notes 8 1/8s, 2019  95,000  100,700 
Endo Health Solutions, Inc. company guaranty sr. unsec.     
notes 7s, 2019  130,000  140,075 
Fresenius Medical Care US Finance II, Inc. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2019  85,000  90,525 
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018  110,000  121,550 
HCA, Inc. sr. notes 6 1/2s, 2020  320,000  355,200 
HCA, Inc. sr. unsec. notes 7 1/2s, 2022  30,000  33,900 
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017  175,000  182,875 
Hologic, Inc. 144A company guaranty sr. unsec.     
notes 6 1/4s, 2020  25,000  26,500 
IASIS Healthcare, LLC/IASIS Capital Corp. company     
guaranty sr. unsec. notes 8 3/8s, 2019  155,000  148,025 
Jaguar Holding Co. II/ Jaguar Merger Sub, Inc. 144A     
sr. unsec. notes 9 1/2s, 2019  110,000  123,475 
Kinetics Concept/KCI USA company     
guaranty sr. notes Ser. REGS, 12 1/2s, 2019  25,000  23,500 
Kinetics Concept/KCI USA 144A company     
guaranty notes 10 1/2s, 2018  190,000  200,925 
Kinetics Concept/KCI USA 144A company guaranty sr. unsec.     
notes 12 1/2s, 2019  105,000  98,700 
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018  85,000  93,925 
Omega Healthcare Investors, Inc. company     
guaranty sr. unsec. notes 6 3/4s, 2022 R  65,000  71,825 
Quest Diagnostics, Inc. company guaranty sr. unsec.     
notes 6.95s, 2037  60,000  78,496 
Sky Growth Acquisition Corp. 144A company     
guaranty sr. unsec. notes 7 3/8s, 2020  30,000  30,150 
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017  35,000  36,050 
Surgical Care Affiliates, Inc. 144A sr. unsec.     
notes 8 7/8s, 2015  38,449  38,641 
Teleflex, Inc. company guaranty sr. unsec.     
sub. notes 6 7/8s, 2019  80,000  86,000 
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018  34,000  39,270 
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018  125,000  137,500 
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019  115,000  129,950 
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical     
Finance III LLC company guaranty sr. unsec.     
unsub. notes 3s, 2015 (Curacao)  410,000  435,691 
United Surgical Partners International, Inc. sr. unsec.     
notes Ser. REGS, 9s, 2020  20,000  21,700 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4 5/8s, 2041  380,000  410,105 
USPI Finance Corp. 144A sr. unsec. notes 9s, 2020  75,000  81,375 
Valeant Pharmaceuticals International 144A company     
guaranty sr. notes 7s, 2020  35,000  36,838 
Valeant Pharmaceuticals International 144A company     
guaranty sr. unsec. notes 6 7/8s, 2018  25,000  26,313 

 

60  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Health care cont.     
Valeant Pharmaceuticals International 144A     
sr. notes 6 3/4s, 2017  $35,000  $37,275 
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016  5,000  3,500 
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada)  15,000  15,300 
Watson Pharmaceuticals, Inc. sr. unsec. notes 4 5/8s, 2042  165,000  169,388 
Watson Pharmaceuticals, Inc. sr. unsec. notes 3 1/4s, 2022  135,000  136,648 
Watson Pharmaceuticals, Inc. sr. unsec. notes 1 7/8s, 2017  30,000  30,324 
WellPoint, Inc. notes 7s, 2019  260,000  324,691 
    6,739,225 
Technology (1.3%)     
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020  120,000  121,800 
Advanced Micro Devices, Inc. 144A sr. unsec. notes 7 1/2s, 2022  15,000  14,475 
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015  75,000  66,563 
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019  125,000  116,250 
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 ‡‡  235,000  233,825 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  10,000  9,850 
Cisco Systems, Inc. company guaranty sr. unsec.     
unsub. notes 3.15s, 2017  595,000  652,358 
Dell, Inc. sr. unsec. notes 5 7/8s, 2019  365,000  431,966 
Epicor Software Corp. company guaranty sr. unsec.     
notes 8 5/8s, 2019  115,000  121,325 
Fidelity National Information Services, Inc. company     
guaranty sr. unsec. notes 7 7/8s, 2020  60,000  67,050 
Fidelity National Information Services, Inc. company     
guaranty sr. unsec. notes 7 5/8s, 2017  20,000  21,900 
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021  140,000  145,075 
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015  130,330  133,425 
First Data Corp. 144A company guaranty notes 8 1/4s, 2021  170,000  169,575 
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019  95,000  97,969 
Freescale Semiconductor, Inc. company guaranty sr. unsec.     
notes 10 3/4s, 2020  77,000  83,353 
Freescale Semiconductor, Inc. 144A company     
guaranty sr. notes 9 1/4s, 2018  245,000  266,438 
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014  125,000  133,259 
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018  183,000  208,512 
Honeywell International, Inc. sr. unsec.     
unsub. notes 5 3/8s, 2041  255,000  333,829 
Honeywell International, Inc. sr. unsec.     
unsub. notes 4 1/4s, 2021  150,000  176,426 
IBM Corp. sr. unsec. unsub. notes 1 7/8s, 2022  675,000  657,045 
Infor (US), Inc. sr. unsec. notes Ser. REGS, 9 3/8s, 2019  10,000  11,100 
Infor (US), Inc. 144A sr. notes 11 1/2s, 2018  50,000  57,000 
Infor (US), Inc. 144A sr. notes 9 3/8s, 2019  55,000  61,050 
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019  45,000  50,625 
Iron Mountain, Inc. company guaranty sr. unsec.     
sub. notes 8s, 2020  25,000  26,563 
Jazz Technologies, Inc. company guaranty sr. unsec.     
notes 8s, 2015  119,000  89,250 
Microsoft Corp. sr. unsec. unsub. notes 4.2s, 2019  475,000  555,774 

 

Dynamic Asset Allocation Conservative Fund  61 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Technology cont.     
Nortel Networks, Ltd. company guaranty sr. unsec.     
notes 10 3/4s, 2016 (Canada) (In default) †  $5,000  $5,550 
NXP BV/NXP Funding, LLC 144A company     
guaranty sr. notes 9 3/4s, 2018 (Netherlands)  195,000  224,250 
Oracle Corp. sr. unsec. unsub. notes 5 3/8s, 2040  310,000  395,453 
Pitney Bowes, Inc. sr. unsec. unsub. notes Ser. MTN,     
5 1/4s, 2037  420,000  433,609 
Seagate HDD Cayman company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2018 (Cayman Islands)  75,000  82,875 
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020  165,000  179,025 
Syniverse Holdings, Inc. company guaranty sr. unsec.     
notes 9 1/8s, 2019  110,000  118,250 
Xerox Corp. sr. unsec. notes 6 3/4s, 2039  230,000  287,621 
Xerox Corp. sr. unsec. unsub. notes 5 5/8s, 2019  164,000  186,931 
    7,027,194 
Transportation (0.5%)     
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018     
(Luxembourg)  185,000  194,250 
Air Medical Group Holdings, Inc. company     
guaranty sr. notes 9 1/4s, 2018  230,000  252,425 
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.4s, 2041  65,000  78,378 
Burlington Northern Santa Fe, LLC sr. unsec.     
unsub. notes 5 3/4s, 2040  300,000  374,758 
CSX Corp. sr. unsec. unsub. notes 4 3/4s, 2042  470,000  510,784 
Delta Air Lines, Inc. sr. notes Ser. A, 7 3/4s, 2019  139,619  159,515 
FedEx Corp. company guaranty sr. unsec.     
unsub. notes 2 5/8s, 2022  75,000  74,792 
Northwest Airlines Corp. pass-through certificates     
Ser. 00-1, 7.15s, 2019  371,764  383,475 
Ryder System, Inc. sr. unsec. unsub. notes 2 1/2s, 2018  335,000  339,601 
Swift Services Holdings, Inc. company     
guaranty sr. notes 10s, 2018  200,000  216,500 
Union Pacific Corp. 144A pass-through certificates 5.214s, 2014  100,000  107,171 
United AirLines, Inc. pass-through certificates Ser. 07-A,     
6.636s, 2022  102,342  106,947 
Western Express, Inc. 144A sr. notes 12 1/2s, 2015  70,000  46,900 
    2,845,496 
Utilities and power (2.2%)     
AES Corp. (The) sr. unsec. unsub. notes 7 3/8s, 2021  200,000  228,000 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017  150,000  173,250 
Appalachian Power Co. sr. notes Ser. L, 5.8s, 2035  120,000  145,804 
Appalachian Power Co. sr. unsec. unsub. notes 4.6s, 2021  245,000  284,002 
Arizona Public Services Co. sr. unsec. notes 4 1/2s, 2042  60,000  65,351 
Atmos Energy Corp. sr. unsec. sub. notes 8 1/2s, 2019  55,000  73,624 
Beaver Valley Funding Corp. sr. bonds 9s, 2017  308,000  316,415 
Boardwalk Pipelines LP company guaranty sr. unsec.     
notes 5 7/8s, 2016  288,000  325,082 
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020  75,000  82,500 
Calpine Corp. 144A sr. notes 7 1/4s, 2017  175,000  186,813 
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)  25,000  29,278 

 

62  Dynamic Asset Allocation Conservative Fund 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Utilities and power cont.     
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  $208,000  $272,844 
Consolidated Edison Co. of New York sr. unsec.     
unsub. notes 4.2s, 2042  205,000  225,398 
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016  145,000  159,138 
Dominion Resources, Inc. jr. sub. notes FRN Ser. 06-B,     
2.662s, 2066  853,000  775,693 
Duke Energy Corp. sr. unsec. unsub. notes 2.15s, 2016  435,000  450,502 
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s,     
2019 (In default) †  200,000  113,000 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  40,000  20,800 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  20,000  11,000 
Edison Mission Energy sr. unsec. notes 7.2s, 2019  135,000  69,525 
Edison Mission Energy sr. unsec. notes 7s, 2017  5,000  2,588 
El Paso Corp. sr. unsec. notes 7s, 2017  210,000  240,976 
El Paso, LLC sr. notes Ser. GMTN, 7 3/4s, 2032  35,000  40,762 
Electricite de France SA (EDF) 144A notes 6.95s, 2039 (France)  70,000  92,911 
Electricite de France SA (EDF) 144A notes 6 1/2s, 2019 (France)  245,000  299,704 
Energy Future Holdings Corp. company     
guaranty sr. notes 10s, 2020  75,000  82,688 
Energy Future Intermediate Holding Co., LLC/EFIH     
Finance, Inc. sr. notes 10s, 2020  107,000  120,375 
Energy Transfer Equity LP company guaranty sr. unsec.     
notes 7 1/2s, 2020  140,000  158,900 
Energy Transfer Partners LP sr. unsec. unsub. notes 6 1/2s, 2042  140,000  161,995 
Energy Transfer Partners LP sr. unsec. unsub. notes 5.2s, 2022  120,000  133,613 
Enterprise Products Operating, LLC company     
guaranty sr. unsec. unsub. notes 4.85s, 2042  375,000  386,038 
EP Energy, LLC/EP Energy Finance, Inc. 144A     
sr. notes 6 7/8s, 2019  40,000  42,800 
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec.     
notes 9 3/8s, 2020  185,000  201,650 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A     
company guaranty sr. unsec. notes 7 3/4s, 2022  30,000  30,600 
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020  170,000  188,700 
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016  65,000  72,313 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  285,000  327,615 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018  225,000  266,903 
Kansas Gas and Electric Co. bonds 5.647s, 2021  62,078  67,921 
Kinder Morgan Energy Partners LP sr. unsec. notes 6.85s, 2020  300,000  376,788 
MidAmerican Funding, LLC sr. sec. bonds 6.927s, 2029  430,000  573,166 
Nevada Power Co. mtge. sec. notes 7 1/8s, 2019  310,000  404,879 
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019  40,000  45,600 
NiSource Finance Corp. company guaranty sr. unsec.     
notes 6 1/8s, 2022  130,000  159,652 
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021  265,000  288,188 
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020  125,000  144,445 
Pacific Gas & Electric Co. 1st mtge. 6.05s, 2034  153,000  201,087 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  985,000  1,116,573 

 

Dynamic Asset Allocation Conservative Fund  63 

 


CORPORATE BONDS AND NOTES (24.8%)* cont.  Principal amount  Value 
 
Utilities and power cont.     
PPL Capital Funding, Inc. company guaranty sr. unsec.     
unsub. notes 4.2s, 2022  $465,000  $492,461 
PSEG Power, LLC company guaranty sr. unsec. notes 5.32s, 2016  90,000  102,350 
Public Service Electric & Gas Co. sr. notes Ser. MTN,     
5 1/2s, 2040  215,000  282,044 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s, 2067  337,000  360,590 
Regency Energy Partners company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2023  70,000  70,525 
Teco Finance, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2015  5,000  5,653 
Texas Competitive/Texas Competitive Electric     
Holdings Co., LLC company guaranty notes 15s, 2021  135,000  49,950 
Texas Competitive/Texas Competitive Electric     
Holdings Co., LLC company guaranty sr. unsec.     
notes 10 1/2s, 2016 ‡‡  374,689  88,052 
Texas Competitive/Texas Competitive Electric Holdings Co.,     
LLC 144A company guaranty sr. notes 11 1/2s, 2020  110,000  86,075 
Trans-Canada Pipelines, Ltd. jr. unsec. sub. notes FRN     
6.35s, 2067 (Canada)  155,000  165,746 
Union Electric Co. sr. notes 6.4s, 2017  265,000  325,576 
West Penn Power Co. 144A 1st mtge. 5.95s, 2017  45,000  53,250 
    12,319,721 
Total corporate bonds and notes (cost $124,950,443)    $138,253,687 
 
U.S. GOVERNMENT AND AGENCY     
MORTGAGE OBLIGATIONS (20.0%)*  Principal amount  Value 
U.S. Government Guaranteed Mortgage Obligations (2.1%)     
Government National Mortgage Association Pass-Through     
Certificates 3s, TBA, October 1, 2042  $11,000,000  $11,783,750 
    11,783,750 
U.S. Government Agency Mortgage Obligations (17.9%)     
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates 3s, TBA, October 1, 2042  1,000,000  1,054,219 
Federal National Mortgage Association     
Pass-Through Certificates     
7s, March 1, 2018  134,498  148,861 
5s, TBA, October 1, 2042  39,000,000  42,546,563 
4s, TBA, October 1, 2042  29,000,000  31,249,765 
3 1/2s, TBA, October 1, 2027  19,000,000  20,217,188 
3s, TBA, November 1, 2042  2,000,000  2,105,781 
3s, TBA, October 1, 2042  2,000,000  2,111,094 
    99,433,471 
 
Total U.S. government and agency mortgage obligations (cost $110,632,926)  $111,217,221 
 
MORTGAGE-BACKED SECURITIES (5.7%)*  Principal amount  Value 
Adjustable Rate Mortgage Trust FRB Ser. 06-2, 5.37s, 2036  $1,291,000  $999,725 
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO,     
2.781s, 2047  1,386,864  166,424 
American Home Mortgage Investment Trust Ser. 07-1,     
Class GIOP, IO, 2.078s, 2047  602,401  84,336 

 

64  Dynamic Asset Allocation Conservative Fund 

 


MORTGAGE-BACKED SECURITIES (5.7%)* cont.  Principal amount  Value 
 
Banc of America Commercial Mortgage, Inc. Ser. 06-5,     
Class A2, 5.317s, 2047  $1,774,251  $1,776,470 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 04-4, Class XC, IO, 1.038s, 2042  4,587,701  49,864 
Ser. 04-5, Class XC, IO, 0.877s, 2041  6,213,226  81,039 
Ser. 07-5, Class XW, IO, 0.555s, 2051  16,632,109  216,750 
Ser. 05-1, Class XW, IO, 0.073s, 2042  15,587,505  5,393 
Banc of America Funding Corp. FRB Ser. 06-A, Class 3A1,     
2.942s, 2036  899,556  602,702 
Barclays Capital, LLC Trust FRB Ser. 07-AA1, Class 2A1,     
0.397s, 2037  798,487  542,971 
Barclays Capital, LLC Trust 144A     
Ser. 09-RR7, Class 1A7, IO, 1.769s, 2046  3,384,847  143,856 
Ser. 09-RR7, Class 2A7, IO, 1.589s, 2047  8,133,124  338,338 
Ser. 09-RR7, Class 2A1, IO, 3/4s, 2047  7,449,259  189,956 
Ser. 09-RR7, Class 1A1, IO, 3/4s, 2046  7,445,265  189,854 
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-10,     
Class A3, 2.648s, 2035  370,292  342,521 
Bear Stearns Commercial Mortgage Securities, Inc.     
FRB Ser. 07-PW17, Class AJ, 6.089s, 2050  377,000  301,600 
Ser. 04-PR3I, Class X1, IO, 1.155s, 2041  3,495,280  44,390 
Bear Stearns Commercial Mortgage Securities, Inc. 144A     
Ser. 06-PW14, Class X1, IO, 0.215s, 2038  9,146,086  160,057 
Bear Stearns Mortgage Funding Trust     
Ser. 06-AR2, Class 1X, IO, 0.7s, 2046  1,294,233  33,909 
Ser. 07-AR5, Class 1X2, IO, 1/2s, 2047  817,177  17,406 
Ser. 06-AR5, Class 1X, IO, 1/2s, 2046  1,714,606  32,578 
Ser. 06-AR3, Class 1X, IO, 0.4s, 2036  916,019  12,916 
Chase Mortgage Finance Corp. FRB Ser. 05-A2, Class 1A5,     
2.782s, 2036  294,882  246,964 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5,     
Class XC, IO, 0.157s, 2049  67,972,885  948,222 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-AR3,     
Class 1A2A, 5.584s, 2036  378,458  344,396 
Commercial Mortgage Pass-Through Certificates 144A     
Ser. 06-C8, Class XS, IO, 0.213s, 2046  34,745,226  413,887 
Countrywide Home Loans     
Ser. 06-9, Class A2, 6s, 2036  240,355  207,907 
Ser. 06-6, Class 06-6, 6s, 2036  1,466,614  1,308,586 
Ser. 07-3, Class A30, 5 3/4s, 2037  405,168  352,353 
Credit Suisse Mortgage Capital Certificates Ser. 06-C5,     
Class AX, IO, 0.21s, 2039  14,238,789  195,071 
CS First Boston Mortgage Securities Corp. Ser. 05-C5,     
Class AJ, 5.1s, 2038  91,000  95,700 
CS First Boston Mortgage Securities Corp. 144A Ser. 03-C3,     
Class AX, IO, 1.904s, 2038  9,063,612  38,004 
Federal Home Loan Mortgage Corp.     
IFB Ser. 3408, Class EK, 24.905s, 2037  292,508  471,909 
IFB Ser. 2979, Class AS, 23.464s, 2034  48,365  64,860 
IFB Ser. 3072, Class SB, 22.841s, 2035  444,674  706,964 
IFB Ser. 3249, Class PS, 21.547s, 2036  436,678  669,822 

 

Dynamic Asset Allocation Conservative Fund  65 

 


MORTGAGE-BACKED SECURITIES (5.7%)* cont.  Principal amount  Value 
 
Federal Home Loan Mortgage Corp.     
IFB Ser. 3065, Class DC, 19.198s, 2035  $307,504  $478,959 
IFB Ser. 2990, Class LB, 16.381s, 2034  349,637  490,607 
IFB Ser. 3708, Class SQ, IO, 6.329s, 2040  1,369,350  182,069 
IFB Ser. 3934, Class SA, IO, 6.179s, 2041  2,714,023  429,657 
IFB Ser. 4105, Class LS, IO, 5.9s, 2041  488,000  102,382 
Ser. 3747, Class HI, IO, 4 1/2s, 2037  128,098  10,201 
Ser. 3751, Class MI, IO, 4s, 2034  2,306,696  39,260 
Ser. 3391, PO, zero %, 2037  34,337  31,336 
Ser. 3300, PO, zero %, 2037  261,440  244,630 
Ser. 3206, Class EO, PO, zero %, 2036  22,872  21,468 
FRB Ser. 3326, Class WF, zero %, 2035  30,769  27,692 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 38.601s, 2036  133,104  244,813 
IFB Ser. 06-8, Class HP, 23.773s, 2036  278,722  472,771 
IFB Ser. 05-45, Class DA, 23.626s, 2035  489,642  819,304 
IFB Ser. 05-75, Class GS, 19.601s, 2035  198,795  293,835 
IFB Ser. 05-106, Class JC, 19.453s, 2035  101,690  162,386 
IFB Ser. 05-83, Class QP, 16.831s, 2034  65,188  91,901 
IFB Ser. 12-113, Class CS, IO, 5.9s, 2041  717,000  143,357 
Ser. 07-64, Class LO, PO, zero %, 2037  163,555  153,138 
Ser. 07-14, Class KO, PO, zero %, 2037  99,117  92,531 
Ser. 06-125, Class OX, PO, zero %, 2037  14,543  14,030 
Ser. 06-84, Class OT, PO, zero %, 2036  15,917  15,134 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO,     
1.068s, 2020  534,384  11,356 
First Union National Bank-Bank of America Commercial     
Mortgage Trust 144A Ser. 01-C1, Class 3, IO, 1.832s, 2033  271,808  35 
GE Capital Commercial Mortgage Corp. 144A Ser. 05-C3,     
Class XC, IO, 0.275s, 2045  162,503,995  665,808 
GMAC Commercial Mortgage Securities, Inc. Ser. 05-C1,     
Class X1, IO, 0.763s, 2043  11,110,854  149,419 
Government National Mortgage Association     
Ser. 10-107, Class NI, IO, 4 1/2s, 2039  2,027,028  228,426 
Ser. 10-85, Class MI, IO, 4 1/2s, 2036  3,044,789  196,298 
Ser. 06-36, Class OD, PO, zero %, 2036  10,356  9,679 
Ser. 99-31, Class MP, PO, zero %, 2029  11,708  11,080 
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X,     
IO, 1s, 2036  917,122  34,667 
Greenwich Capital Commercial Funding Corp. 144A     
Ser. 05-GG3, Class XC, IO, 1.043s, 2042  17,301,143  287,078 
GS Mortgage Securities Corp. II 144A     
Ser. 98-C1, Class F, 6s, 2030  151,135  155,703 
Ser. 06-GG6, Class XC, IO, 0.148s, 2038  18,494,393  33,678 
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39,     
Class A1, 0.397s, 2037  3,185,025  2,022,435 
JPMorgan Chase Commercial Mortgage Securities Corp.     
Ser. 07-LDPX, Class A3S, 5.317s, 2049  857,000  876,531 
Ser. 06-LDP8, Class X, IO, 0.73s, 2045  11,589,613  197,626 

 

66  Dynamic Asset Allocation Conservative Fund 

 


MORTGAGE-BACKED SECURITIES (5.7%)* cont.  Principal amount  Value 
 
JPMorgan Chase Commercial Mortgage     
Securities Corp. 144A     
Ser. 05-CB12, Class X1, IO, 0.486s, 2037  $7,604,841  $67,029 
Ser. 06-LDP6, Class X1, IO, 0.091s, 2043  15,054,878  52,587 
JPMorgan Mortgage Trust FRB Ser. 06-A2, Class 1A3,     
2.889s, 2036  680,085  543,643 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  136,004  138,724 
Ser. 99-C1, Class G, 6.41s, 2031  145,590  145,590 
Ser. 98-C4, Class H, 5.6s, 2035  215,000  234,276 
LB-UBS Commercial Mortgage Trust Ser. 06-C7, Class A2,     
5.3s, 2038  211,879  211,879 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C2, Class XCL, IO, 0.502s, 2040  23,595,672  173,829 
Ser. 06-C7, Class XCL, IO, 0.331s, 2038  14,383,102  202,126 
Ser. 05-C7, Class XCL, IO, 0.153s, 2040  24,111,595  145,586 
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X,     
IO, PO, 0.8s, 2047  952,177  28,565 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,     
Class JS, IO, 2.408s, 2028  4,485  6 
Merrill Lynch Mortgage Trust     
FRB Ser. 07-C1, Class A3, 6.042s, 2050  199,000  213,879 
Ser. 03-KEY1, Class B, 5.334s, 2035  1,863,000  1,898,211 
Merrill Lynch Mortgage Trust 144A     
Ser. 04-KEY2, Class XC, IO, 1.034s, 2039  7,855,355  96,150 
Ser. 05-MCP1, Class XC, IO, 0.252s, 2043  10,687,037  125,412 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 06-C4, Class X, IO, 6.391s, 2045  1,994,125  150,955 
Ser. 05-C3, Class X, IO, 6.146s, 2044  526,134  38,303 
Ser. 07-C5, Class X, IO, 5.231s, 2049  441,339  32,747 
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030  428,000  449,935 
Structured Asset Mortgage Investments, Inc.     
Ser. 06-AR6, Class 2X, IO, 1s, 2046  1,776,404  65,549 
Ser. 07-AR1, Class 1X, IO, 0.6s, 2037  609,585  13,106 
Ser. 06-AR8, Class X, IO, 0.4s, 2036  2,706,124  36,262 
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4,     
Class AJ, 5.585s, 2039  211,000  226,857 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 06-C26, Class AJ, 6.199s, 2045  281,000  261,611 
Ser. 07-C30, Class A3, 5.246s, 2043  213,809  216,300 
Wachovia Bank Commercial Mortgage Trust 144A     
Ser. 05-C18, Class XC, IO, 0.506s, 2042  19,351,834  135,463 
Ser. 06-C26, Class XC, IO, 0.092s, 2045  7,244,791  16,373 
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A,     
Class G, 5.72s, 2036  44,000  38,280 
WAMU Mortgage Pass-Through Certificates     
FRB Ser. 06-AR1, Class 2A1B, 1.218s, 2046  218,881  186,049 
FRB Ser. 06-AR15, Class 1A, 0.988s, 2046  246,239  187,142 
FRB Ser. 07-OA6, Class 1A, 0.958s, 2047  516,221  387,165 
FRB Ser. 05-AR9, Class A1C3, 0.697s, 2045  376,914  309,069 
FRB Ser. 05-AR15, Class A1A2, 0.497s, 2045  292,878  241,624 

 

Dynamic Asset Allocation Conservative Fund  67 

 


MORTGAGE-BACKED SECURITIES (5.7%)* cont.  Principal amount  Value 
 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 07-8, Class 2A8, 6s, 2037  $173,131  $172,265 
Ser. 05-9, Class 2A9, 5 1/4s, 2035  175,000  181,316 
FRB Ser. 06-AR2, Class 2A1, 2.617s, 2036  409,360  391,450 
FRB Ser. 06-AR10, Class 5A3, 2.614s, 2036  374,489  319,488 
FRB Ser. 06-AR13, Class A4, 2.613s, 2036  1,590,689  1,320,272 
Total mortgage-backed securities (cost $27,362,137)    $31,494,053 
 
FOREIGN GOVERNMENT AND AGENCY     
 
BONDS AND NOTES (1.4%)*  Principal amount  Value 
 
Argentina (Republic of) sr. unsec. bonds 7s, 2017  $155,000  $131,750 
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013  965,000  960,175 
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015  3,015,000  2,751,188 
Indonesia (Republic of) 144A notes 5 1/4s, 2042  520,000  592,150 
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021  310,000  354,950 
South Africa (Republic of) sr. unsec. unsub. notes 4.665s, 2024  460,000  516,350 
Ukraine (Government of ) Financing of Infrastructural     
Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017  200,000  184,000 
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013  2,300,000  2,314,950 
Total foreign government and agency bonds and notes (cost $7,789,118)  $7,805,513 

 

PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)*  strike price  amount  Value 
 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 3.49%       
versus the three month USD-LIBOR-BBA       
maturing September 2026. E  Sep-16/3.49  $1,636,440  $154,901 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 3.49% versus       
the three month USD-LIBOR-BBA       
maturing September 2026. E  Sep-16/3.49  1,636,440  66,374 
Option on an interest rate swap with       
Credit Suisse International for the right       
to receive a fixed rate of 4.28% versus       
the three month USD-LIBOR-BBA       
maturing August 2026. E  Aug-16/4.28  2,499,000  369,602 
Option on an interest rate swap with       
JPMorgan Chase Bank NA for the right       
to receive a fixed rate of 4.17% versus       
the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,420,000  232,865 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 4.17%       
versus the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,420,000  232,865 

 

68  Dynamic Asset Allocation Conservative Fund 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with Credit       
Suisse International for the right to pay       
a fixed rate of 4.28% versus the three       
month USD-LIBOR-BBA maturing       
August 2026. E  Aug-16/4.28  $2,499,000  $60,471 
Option on an interest rate swap with       
JPMorgan Chase Bank NA for the right       
to pay a fixed rate of 4.17% versus the       
three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,420,000  27,014 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 4.17% versus       
the three month USD-LIBOR-BBA       
maturing August 2021. E  Aug-16/4.17  2,420,000  27,014 
Option on an interest rate swap with       
Credit Suisse International for the right       
to receive a fixed rate of 4.67% versus       
the three month USD-LIBOR-BBA       
maturing July 2026. E  Jul-16/4.67  8,548,000  1,509,577 
Option on an interest rate swap with       
Credit Suisse International for the right       
to pay a fixed rate of 4.67% versus the       
three month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.67  8,548,000  164,224 
Option on an interest rate swap       
with Citibank, N.A. for the right       
to receive a fixed rate of 4.74% versus       
the three month USD-LIBOR-BBA       
maturing July 2026. E  Jul-16/4.74  4,712,517  855,897 
Option on an interest rate swap       
with Citibank, N.A. for the right to pay       
a fixed rate of 4.74% versus the three       
month USD-LIBOR-BBA maturing       
July 2026. E  Jul-16/4.74  4,712,517  85,928 
Option on an interest rate swap with       
JPMorgan Chase Bank NA for the right       
to pay a fixed rate of 5.11% versus the       
three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/5.11  19,739,000  128,363 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 4.72%       
versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.72  2,169,000  264,928 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 4.72% versus       
the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.72  2,169,000  16,604 

 

Dynamic Asset Allocation Conservative Fund  69 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with       
Deutsche Bank AG for the right       
to receive a fixed rate of 4.765% versus       
the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.765  $2,169,000  $269,297 
Option on an interest rate swap with       
Deutsche Bank AG for the right to pay       
a fixed rate of 4.765% versus the       
three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.765  2,169,000  16,250 
Option on an interest rate swap with       
JPMorgan Chase Bank NA for the right       
to receive a fixed rate of 4.705% versus       
the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  2,045,000  249,118 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 4.705%       
versus the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  2,045,000  249,115 
Option on an interest rate swap with       
JPMorgan Chase Bank NA for the right       
to pay a fixed rate of 4.705% versus the       
three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  2,045,000  15,579 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 4.705% versus       
the three month USD-LIBOR-BBA       
maturing May 2021. E  May-16/4.705  2,045,000  15,579 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 1.8625%       
versus the three month USD-LIBOR-BBA       
maturing January 2023.  Jan-13/1.8625  349,000  6,544 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 1.855%       
versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.855  349,000  6,265 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 2.325%       
versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/2.325  226,000  12,170 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 2.325% versus       
the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/2.325  226,000  348 

 

70  Dynamic Asset Allocation Conservative Fund 

 


PURCHASED OPTIONS  Expiration date/  Contract   
OUTSTANDING (0.9%)* cont.  strike price  amount  Value 
 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 2.8825%       
versus the three month USD-LIBOR-BBA       
maturing December 2042.  Dec-12/2.8825  $575,000  $38,358 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 2.8825%       
versus the three month USD-LIBOR-BBA       
maturing December 2042.  Dec-12/2.8825  575,000  7,303 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 1.845%       
versus the three month USD-LIBOR-BBA       
maturing December 2022.  Dec-12/1.845  349,000  5,814 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 1.835%       
versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.835  349,000  5,322 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 2.305%       
versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  226,000  12,019 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 2.305% versus       
the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/2.305  226,000  102 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 1.82%       
versus the three month USD-LIBOR-BBA       
maturing November 2022.  Nov-12/1.82  349,000  4,788 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to receive a fixed rate of 2.28%       
versus the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.28  226,000  11,971 
Option on an interest rate swap with       
Goldman Sachs International for the       
right to pay a fixed rate of 2.28% versus       
the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.28  226,000  2 
Option on an interest rate swap with       
Credit Suisse International for the right       
to receive a fixed rate of 2.193% versus       
the three month USD-LIBOR-BBA       
maturing October 2022.  Oct-12/2.193  908,000  41,078 
Total purchased options outstanding (cost $5,281,986)      $5,163,649 

 

Dynamic Asset Allocation Conservative Fund  71 

 


COMMODITY LINKED NOTES (0.9%)*  Principal amount  Value 
 
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A,     
1-month LIBOR less 0.16%, 2013 (Indexed to the DB Custom     
Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P     
GSCI Light Energy Index TR multiplied by 3) (United Kingdom)  $1,747,000  $2,372,426 
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013     
(Indexed to the UBS Custom Commodity Index: 75% S&P GSCI     
Gold Index TR and 25% S&P GSCI Light Energy Index TR     
multiplied by 3) (Jersey)  1,747,000  2,373,209 
Total commodity linked notes (cost $3,494,000)    $4,745,635 
 
INVESTMENT COMPANIES (0.7%)*  Shares  Value 
 
iShares Russell 2000 Value Index Fund  568  $41,998 
SPDR S&P 500 ETF Trust  25,157  3,620,847 
Total investment companies (cost $2,169,356)    $3,662,845 
 
SENIOR LOANS (0.4%)* c  Principal amount  Value 
 
Ardent Health Services bank term loan FRN Ser. B,     
6 1/2s, 2015  $100,128  $100,128 
Burlington Coat Factory Warehouse Corp. bank term loan FRN     
Ser. B1, 5 1/2s, 2017  31,430  31,761 
Caesars Entertainment Operating Co., Inc. bank term loan     
FRN Ser. B6, 5.467s, 2018  285,189  258,707 
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017  85,000  85,213 
Clear Channel Communications, Inc. bank term loan FRN     
Ser. A, 3.632s, 2014  44,292  41,590 
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016  59,671  59,708 
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018  62,319  62,138 
Emergency Medical Services Corp. bank term loan FRN Ser. B,     
5 1/4s, 2018  76,205  76,428 
Frac Tech International, LLC bank term loan FRN Ser. B,     
6 1/4s, 2016  70,248  67,373 
Goodman Global, Inc. bank term loan FRN 9s, 2017  73,182  73,731 
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016  123,948  124,037 
Intelsat SA bank term loan FRN 3.221s, 2014 (Luxembourg)  460,000  455,745 
Landry’s, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017  119,700  121,196 
Motor City bank term loan FRN 6s, 2017  136,662  137,516 
National Bedding Company, LLC bank term loan FRN Ser. B,     
4s, 2013  38,434  38,362 
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018  120,000  120,505 
Springleaf Financial bank term loan FRN Ser. B, 5 1/2s, 2017  175,000  171,194 
Texas Competitive Electric Holdings Co., LLC bank term loan     
FRN 4.757s, 2017  106,302  72,966 
Thomson Learning bank term loan FRN Ser. B, 2.49s, 2014  38,259  36,272 
Univision Communications, Inc. bank term loan FRN     
4.482s, 2017  64,131  63,436 
West Corp. bank term loan FRN Ser. B5, 5 1/2s, 2016  55,362  55,708 
Total senior loans (cost $2,245,117)    $2,253,714 

 

72  Dynamic Asset Allocation Conservative Fund 

 


PREFERRED STOCKS (0.1%)*  Shares  Value 
 
Ally Financial, Inc. 144A 7.00% cum. pfd.  349  $326,479 
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.  7,800  195,858 
M/I Homes, Inc. $2.438 pfd. †  2,450  50,005 
Total preferred stocks (cost $445,332)    $572,342 
 
CONVERTIBLE PREFERRED STOCKS (0.1%)*  Shares  Value 
 
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. R  5,720  $116,316 
General Motors Co. Ser. B, $2.375 cv. pfd.  4,439  166,601 
Lucent Technologies Capital Trust I 7.75% cv. pfd.  87  50,243 
United Technologies Corp. $3.75 cv. pfd. †  1,100  61,710 
Total convertible preferred stocks (cost $466,866)    $394,870 
 
CONVERTIBLE BONDS AND NOTES (0.1%)*  Principal amount  Value 
 
Altra Holdings, Inc. cv. company guaranty sr. unsec.     
notes 2 3/4s, 2031  $70,000  $68,950 
Exide Technologies cv. sr. sub. notes FRN zero %, 2013  86,000  79,120 
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016  24,000  33,240 
Meritor, Inc. cv. company guaranty sr. unsec.     
notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026 ††  144,000  128,790 
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014  35,000  31,041 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014  27,000  28,232 
Total convertible bonds and notes (cost $344,916)    $369,373 
 
MUNICIPAL BONDS AND NOTES (-%)*  Principal amount  Value 
IL State G.O. Bonds     
4.421s, 1/1/15  $135,000  $143,145 
4.071s, 1/1/14  35,000  36,237 
Total municipal bonds and notes (cost $170,000)    $179,382 
 
ASSET-BACKED SECURITIES (-%)*  Principal amount  Value 
GE Business Loan Trust 144A Ser. 04-2, Class D, 2.971s, 2032  $82,193  $47,672 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038  339,578  33,958 
Total asset-backed securities (cost $144,909)    $81,630 
   

 

WARRANTS (—%)* †  Expiration  Strike     
  date  price  Warrants  Value 
 
Charter Communications, Inc. Class A  11/30/14  $46.86  12  $351 
Tower Semiconductor, Ltd. 144A (Israel) F  6/30/15  0.01  34,898  6,980 
Total warrants (cost $7,016)        $7,331 
   

 

SHORT-TERM INVESTMENTS (30.8%)*  Principal amount/shares  Value 
 
Straight-A Funding, LLC discounted commercial paper with an     
effective yield of 0.178%, October 10, 2012  $10,750,000  $10,749,516 
U.S. Treasury Bills with an effective yield of 0.182%,     
May 2, 2013 # ##  15,000,000  14,986,695 
U.S. Treasury Bills with an effective yield of 0.170%,     
May 30, 2013 # ##  5,000,000  4,994,985 

 

Dynamic Asset Allocation Conservative Fund  73 

 


SHORT-TERM INVESTMENTS (30.8%)* cont.  Principal amount/shares  Value 
 
Putnam Cash Collateral Pool, LLC 0.21% d  548,075  $548,075 
Putnam Money Market Liquidity Fund 0.14% L  137,610,237  137,610,237 
SSgA Prime Money Market Fund 0.14% P  2,459,171  2,459,171 
Total short-term investments (cost $171,345,068)    $171,348,679 
 
TOTAL INVESTMENTS     
 
Total investments (cost $615,184,256)    $669,516,728 

 

Key to holding’s currency abbreviations 
 
CAD  Canadian Dollar 
EUR  Euro 
GBP  British Pound 
KRW  South Korean Won 
 
Key to holding’s abbreviations 
 
ADR  American Depository Receipts: represents ownership of foreign securities on deposit with a 
  custodian bank 
BKNT  Bank Note 
ETF  Exchange Traded Fund 
FRB  Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period 
FRN  Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period 
GMTN  Global Medium Term Notes 
G.O. Bonds  General Obligation Bonds 
IFB  Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to 
  changes in the market interest rates. As interest rates rise, inverse floaters produce less current 
  income. The rate shown is the current interest rate at the close of the reporting period. 
IO  Interest Only 
MTN  Medium Term Notes 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
PO  Principal Only 
SDR  Swedish Depository Receipts: represents ownership of foreign securities on deposit with a 
  custodian bank 
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 October 1, 2011 through September 30, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $556,858,864.

† Non-income-producing security.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

‡ Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $86,385 and less than 0.1% of net assets.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.

74  Dynamic Asset Allocation Conservative Fund 

 


## 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.

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

d See Note 1 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.

E Extended settlement date on premium.

F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs.

L Affiliated company (Note 6). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).

R Real Estate Investment Trust.

S Security on loan, in part or in entirety, at the close of the reporting period (Note 1).

At the close of the reporting period, the fund maintained liquid assets totaling $272,416,803 to cover certain derivatives contracts.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under 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’s.

The dates shown on debt obligations are the original maturity dates.

FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710)     
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.           
  British Pound  Sell  10/17/12  $2,643,631  $2,597,106  $(46,525) 
  Canadian Dollar  Sell  10/17/12  90,500  84,703  (5,797) 
  Swedish Krona  Sell  10/17/12  2,993,284  2,922,955  (70,329) 
  Swiss Franc  Buy  10/17/12  38,820  38,168  652 
Barclays Bank PLC           
  Australian Dollar  Buy  10/17/12  825,705  808,887  16,818 
  Brazilian Real  Buy  10/17/12  250,099  247,703  2,396 
  Brazilian Real  Sell  10/17/12  250,099  249,509  (590) 
  British Pound  Buy  10/17/12  834,652  835,892  (1,240) 
  British Pound  Sell  10/17/12  834,652  838,457  3,805 
  Canadian Dollar  Sell  10/17/12  416,705  421,803  5,098 
  Chilean Peso  Sell  10/17/12  2,303  7,126  4,823 
  Czech Koruna  Buy  10/17/12  510,401  519,082  (8,681) 
  Czech Koruna  Sell  10/17/12  510,401  507,056  (3,345) 
  Euro  Sell  10/17/12  348,043  312,262  (35,781) 
  Hungarian Forint  Buy  10/17/12  621  628  (7) 

 

Dynamic Asset Allocation Conservative Fund  75 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710) cont.   
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Barclays Bank PLC cont.           
  Hungarian Forint  Sell  10/17/12  $621  $605  $(16) 
  Indian Rupee  Buy  10/17/12  141,498  139,893  1,605 
  Indian Rupee  Sell  10/17/12  141,498  132,960  (8,538) 
  Japanese Yen  Buy  10/17/12  176,027  174,690  1,337 
  Malaysian Ringgit  Buy  10/17/12  92,126  91,645  481 
  Malaysian Ringgit  Sell  10/17/12  92,126  90,344  (1,782) 
  Mexican Peso  Buy  10/17/12  41,200  47,698  (6,498) 
  New Zealand Dollar  Sell  10/17/12  126,186  120,998  (5,188) 
  Norwegian Krone  Sell  10/17/12  567,004  556,429  (10,575) 
  Polish Zloty  Buy  10/17/12  90,852  110,720  (19,868) 
  Singapore Dollar  Buy  10/17/12  157,347  157,698  (351) 
  Singapore Dollar  Sell  10/17/12  157,347  154,844  (2,503) 
  South African Rand  Sell  10/17/12  2,578  2,144  (434) 
  South Korean Won  Buy  10/17/12  125,456  122,589  2,867 
  South Korean Won  Sell  10/17/12  125,456  124,588  (868) 
  Swedish Krona  Sell  10/17/12  72,249  57,438  (14,811) 
  Taiwan Dollar  Sell  10/17/12  46,692  39,239  (7,453) 
  Thai Baht  Buy  10/17/12  124,425  122,472  1,953 
  Turkish Lira  Buy  10/17/12  807,689  799,974  7,715 
Citibank, N.A.             
  Australian Dollar  Buy  10/17/12  825,705  818,918  6,787 
  Brazilian Real  Sell  10/17/12  2,428,418  2,410,201  (18,217) 
  British Pound  Buy  10/17/12  183,110  187,111  (4,001) 
  Canadian Dollar  Buy  10/17/12  454,125  455,832  (1,707) 
  Canadian Dollar  Sell  10/17/12  454,125  457,320  3,195 
  Czech Koruna  Buy  10/17/12  363,129  369,440  (6,311) 
  Czech Koruna  Sell  10/17/12  363,129  366,055  2,926 
  Danish Krone  Buy  10/17/12  751,762  737,924  13,838 
  Euro  Sell  10/17/12  830,521  831,569  1,048 
  Mexican Peso  Buy  10/17/12  84,401  84,834  (433) 
  Mexican Peso  Sell  10/17/12  84,401  82,787  (1,614) 
  Singapore Dollar  Buy  10/17/12  249,343  249,790  (447) 
  Singapore Dollar  Sell  10/17/12  249,343  247,035  (2,308) 
  South Korean Won  Buy  10/17/12  250,911  246,644  4,267 
  South Korean Won  Sell  10/17/12  250,911  249,098  (1,813) 
  Swiss Franc  Buy  10/17/12  1,185,544  1,166,859  18,685 
  Taiwan Dollar  Sell  10/17/12  249,036  244,515  (4,521) 
  Turkish Lira  Buy  10/17/12  391,797  388,789  3,008 
Credit Suisse AG           
  Australian Dollar  Buy  10/17/12  519,563  503,391  16,172 
  Brazilian Real  Buy  10/17/12  250,099  247,988  2,111 
  Brazilian Real  Sell  10/17/12  250,099  249,693  (406) 
  British Pound  Sell  10/17/12  393,025  390,882  (2,143) 
  Canadian Dollar  Sell  10/17/12  368,201  364,217  (3,984) 

 

76  Dynamic Asset Allocation Conservative Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710) cont.   
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Credit Suisse AG cont.           
  Chilean Peso  Sell  10/17/12  $136,212  $136,066  $(146) 
  Czech Koruna  Buy  10/17/12  291,650  295,376  (3,726) 
  Czech Koruna  Sell  10/17/12  291,650  294,222  2,572 
  Euro  Buy  10/17/12  1,278,427  1,265,539  12,888 
  Hungarian Forint  Buy  10/17/12  125,253  123,496  1,757 
  Hungarian Forint  Sell  10/17/12  125,253  122,185  (3,068) 
  Japanese Yen  Buy  10/17/12  1,817,185  1,810,050  7,135 
  Malaysian Ringgit  Buy  10/17/12  93,956  92,080  1,876 
  Malaysian Ringgit  Sell  10/17/12  93,956  93,329  (627) 
  Mexican Peso  Buy  10/17/12  266,770  268,948  (2,178) 
  New Zealand Dollar  Sell  10/17/12  126,186  121,006  (5,180) 
  Norwegian Krone  Sell  10/17/12  173,585  179,674  6,089 
  Philippines Peso  Buy  10/17/12  240,393  238,798  1,595 
  Polish Zloty  Buy  10/17/12  218,502  227,812  (9,310) 
  Singapore Dollar  Sell  10/17/12  132,168  125,666  (6,502) 
  South African Rand  Sell  10/17/12  158,366  160,008  1,642 
  South Korean Won  Buy  10/17/12  274,300  265,318  8,982 
  Swedish Krona  Buy  10/17/12  173,882  176,161  (2,279) 
  Swiss Franc  Buy  10/17/12  32,438  31,921  517 
  Taiwan Dollar  Sell  10/17/12  141,224  138,776  (2,448) 
  Turkish Lira  Buy  10/17/12  497,116  490,500  6,616 
Deutsche Bank AG           
  Australian Dollar  Buy  10/17/12  633,524  612,614  20,910 
  Brazilian Real  Buy  10/17/12  309,472  306,335  3,137 
  Brazilian Real  Sell  10/17/12  309,472  308,871  (601) 
  British Pound  Buy  10/17/12  830,938  831,403  (465) 
  British Pound  Sell  10/17/12  830,938  834,713  3,775 
  Czech Koruna  Buy  10/17/12  123,267  126,911  (3,644) 
  Czech Koruna  Sell  10/17/12  123,267  123,003  (264) 
  Euro  Sell  10/17/12  83,926  74,019  (9,907) 
  Japanese Yen  Buy  10/17/12  419,219  420,249  (1,030) 
  Japanese Yen  Sell  10/17/12  419,219  418,010  (1,209) 
  Mexican Peso  Buy  10/17/12  26,857  26,156  701 
  Norwegian Krone  Buy  10/17/12  416,779  410,940  5,839 
  Norwegian Krone  Sell  10/17/12  416,779  418,247  1,468 
  Polish Zloty  Buy  10/17/12  230,715  245,352  (14,637) 
  Singapore Dollar  Buy  10/17/12  217,972  218,458  (486) 
  Singapore Dollar  Sell  10/17/12  217,972  214,428  (3,544) 
  South Korean Won  Buy  10/17/12  125,456  122,612  2,844 
  South Korean Won  Sell  10/17/12  125,456  124,521  (935) 
  Swedish Krona  Buy  10/17/12  413,060  415,107  (2,047) 
  Swedish Krona  Sell  10/17/12  413,060  404,085  (8,975) 
  Swiss Franc  Sell  10/17/12  19,038  18,730  (308) 
  Turkish Lira  Buy  10/17/12  187,487  184,671  2,816 

 

Dynamic Asset Allocation Conservative Fund  77 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710) cont.  
 
          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty   Currency  type  date  Value  face value  (depreciation) 
Goldman Sachs International           
Australian Dollar  Buy  10/17/12  $21,653  $21,318  $335 
Canadian Dollar  Buy  10/17/12  1,399,489  1,403,148  (3,659) 
Canadian Dollar  Sell  10/17/12  1,399,489  1,393,961  (5,528) 
Czech Koruna  Buy  10/17/12  11,451  11,624  (173) 
Czech Koruna  Sell  10/17/12  11,451  11,398  (53) 
Euro  Sell  10/17/12  1,870,793  1,798,760  (72,033) 
Norwegian Krone  Buy  10/17/12  454  455  (1) 
Norwegian Krone  Sell  10/17/12  454  447  (7) 
Singapore Dollar  Buy  10/17/12  249,343  249,776  (433) 
Singapore Dollar  Sell  10/17/12  249,343  247,620  (1,723) 
HSBC Bank USA, National Association         
Australian Dollar  Buy  10/17/12  2,006,261  1,983,761  22,500 
British Pound  Sell  10/17/12  3,052,617  3,013,956  (38,661) 
Canadian Dollar  Buy  10/17/12  454,023  455,823  (1,800) 
Canadian Dollar  Sell  10/17/12  454,023  457,205  3,182 
Czech Koruna  Buy  10/17/12  822,223  835,456  (13,233) 
Czech Koruna  Sell  10/17/12  822,223  818,526  (3,697) 
Euro  Sell  10/17/12  1,536,631  1,491,410  (45,221) 
Indian Rupee  Buy  10/17/12  196,000  192,375  3,625 
Indian Rupee  Sell  10/17/12  196,000  187,625  (8,375) 
Japanese Yen  Buy  10/17/12  678,436  674,858  3,578 
Norwegian Krone  Buy  10/17/12  6,472  6,495  (23) 
Norwegian Krone  Sell  10/17/12  6,472  6,391  (81) 
Russian Ruble  Buy  10/17/12  250,390  255,819  (5,429) 
Singapore Dollar  Buy  10/17/12  249,343  249,765  (422) 
Singapore Dollar  Sell  10/17/12  249,343  245,863  (3,480) 
South Korean Won  Buy  10/17/12  250,911  248,078  2,833 
South Korean Won  Sell  10/17/12  250,911  248,943  (1,968) 
Turkish Lira  Buy  10/17/12  70,231  69,142  1,089 
JPMorgan Chase Bank, N.A.           
Australian Dollar  Buy  10/17/12  388,714  372,639  16,075 
Brazilian Real  Buy  10/17/12  250,049  247,918  2,131 
Brazilian Real  Sell  10/17/12  250,049  249,582  (467) 
British Pound  Sell  10/17/12  775,714  763,126  (12,588) 
Canadian Dollar  Buy  10/17/12  864,627  865,812  (1,185) 
Canadian Dollar  Sell  10/17/12  864,627  872,081  7,454 
Chilean Peso  Buy  10/17/12  119,102  115,651  3,451 
Czech Koruna  Buy  10/17/12  367,045  373,557  (6,512) 
Czech Koruna  Sell  10/17/12  367,045  368,731  1,686 
Euro  Buy  10/17/12  933,083  928,867  4,216 
Hong Kong Dollar  Buy  10/17/12  267,629  267,536  93 
Hungarian Forint  Buy  10/17/12  125,254  122,553  2,701 
Hungarian Forint  Sell  10/17/12  125,254  122,200  (3,054) 
Japanese Yen  Buy  10/17/12  1,947,645  1,938,647  8,998 

 

78  Dynamic Asset Allocation Conservative Fund 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710) cont.   
 
          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty   Currency  type  date  Value  face value  (depreciation) 
JPMorgan Chase Bank, N.A. cont.           
Mexican Peso  Buy  10/17/12  $95,339  $90,745  $4,594 
New Zealand Dollar  Sell  10/17/12  250,384  250,008  (376) 
Norwegian Krone  Sell  10/17/12  151,830  149,140  (2,690) 
Polish Zloty  Buy  10/17/12  110,606  117,823  (7,217) 
Russian Ruble  Buy  10/17/12  250,386  255,992  (5,606) 
Singapore Dollar  Sell  10/17/12  59,565  56,348  (3,217) 
South African Rand  Sell  10/17/12  67,217  66,086  (1,131) 
South Korean Won  Buy  10/17/12  125,456  122,659  2,797 
South Korean Won  Sell  10/17/12  125,456  124,521  (935) 
Swedish Krona  Buy  10/17/12  429,799  420,031  9,768 
Swedish Krona  Sell  10/17/12  429,799  431,918  2,119 
Swiss Franc  Buy  10/17/12  213  209  4 
Swiss Franc  Sell  10/17/12  213  214  1 
Taiwan Dollar  Sell  10/17/12  247,573  242,348  (5,225) 
Turkish Lira  Buy  10/17/12  173,441  170,847  2,594 
Royal Bank of Scotland PLC (The)           
Brazilian Real  Buy  10/17/12  28,259  28,008  251 
Brazilian Real  Sell  10/17/12  28,259  28,247  (12) 
British Pound  Buy  10/17/12  627,806  618,647  9,159 
British Pound  Sell  10/17/12  627,806  618,934  (8,872) 
Euro  Buy  10/17/12  2,143,521  2,097,984  45,537 
Japanese Yen  Buy  10/17/12  13,011  12,942  69 
Singapore Dollar  Buy  10/17/12  249,506  249,945  (439) 
Singapore Dollar  Sell  10/17/12  249,506  247,852  (1,654) 
Swiss Franc  Buy  10/17/12  4,999  4,916  83 
Swiss Franc  Sell  10/17/12  4,999  5,020  21 
Taiwan Dollar  Sell  10/17/12  1,375  1,350  (25) 
State Street Bank and Trust Co.           
Australian Dollar  Buy  10/17/12  829,228  818,313  10,915 
Brazilian Real  Buy  10/17/12  338,766  335,986  2,780 
Brazilian Real  Sell  10/17/12  338,766  338,227  (539) 
British Pound  Sell  10/17/12  413,531  405,666  (7,865) 
Canadian Dollar  Sell  10/17/12  32,031  43,956  11,925 
Chilean Peso  Sell  10/17/12  375  369  (6) 
Czech Koruna  Buy  10/17/12  242,613  249,704  (7,091) 
Czech Koruna  Sell  10/17/12  242,613  243,829  1,216 
Euro  Sell  10/17/12  1,339,733  1,296,653  (43,080) 
Hungarian Forint  Buy  10/17/12  163,503  159,480  4,023 
Hungarian Forint  Sell  10/17/12  163,503  160,904  (2,599) 
Japanese Yen  Sell  10/17/12  2,110,713  2,101,937  (8,776) 
Mexican Peso  Buy  10/17/12  219,535  219,128  407 
New Zealand Dollar  Sell  10/17/12  126,269  121,093  (5,176) 
Norwegian Krone  Buy  10/17/12  1,710  1,716  (6) 
Norwegian Krone  Sell  10/17/12  1,710  1,687  (23) 
Polish Zloty  Buy  10/17/12  260,376  261,932  (1,556) 

 

Dynamic Asset Allocation Conservative Fund  79 

 


FORWARD CURRENCY CONTRACTS at 9/30/12 (aggregate face value $112,426,710) cont.   
 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
State Street Bank and Trust Co. cont.           
  Polish Zloty  Sell  10/17/12  $260,376  $250,559  $(9,817) 
  Singapore Dollar  Sell  10/17/12  319,827  314,760  (5,067) 
  South African Rand  Buy  10/17/12  46,618  43,572  3,046 
  South Korean Won  Buy  10/17/12  78,666  72,966  5,700 
  Swedish Krona  Buy  10/17/12  220,568  220,172  396 
  Swiss Franc  Buy  10/17/12  319  314  5 
  Swiss Franc  Sell  10/17/12  319  320  1 
  Taiwan Dollar  Sell  10/17/12  417,971  409,944  (8,027) 
  Thai Baht  Buy  10/17/12  121,784  119,939  1,845 
  Turkish Lira  Buy  10/17/12  249,058  246,087  2,971 
  Turkish Lira  Sell  10/17/12  249,058  249,448  390 
UBS AG             
  British Pound  Buy  10/17/12  8,201,036  8,058,631  142,405 
  Canadian Dollar  Buy  10/17/12  1,277,569  1,276,255  1,314 
  Canadian Dollar  Sell  10/17/12  1,277,569  1,275,413  (2,156) 
  Czech Koruna  Buy  10/17/12  363,134  369,454  (6,320) 
  Czech Koruna  Sell  10/17/12  363,134  365,713  2,579 
  Euro  Sell  10/17/12  2,691,803  2,628,764  (63,039) 
  Hungarian Forint  Buy  10/17/12  121,279  118,681  2,598 
  Hungarian Forint  Sell  10/17/12  121,279  123,561  2,282 
  Indian Rupee  Buy  10/17/12  196,003  192,299  3,704 
  Indian Rupee  Sell  10/17/12  196,003  187,935  (8,068) 
  Japanese Yen  Buy  10/17/12  1,733,204  1,725,215  7,989 
  Mexican Peso  Buy  10/17/12  13,971  21,749  (7,778) 
  New Zealand Dollar  Sell  10/17/12  239,951  240,008  57 
  Norwegian Krone  Buy  10/17/12  3,655,754  3,609,728  46,026 
  Philippines Peso  Buy  10/17/12  122,707  121,933  774 
  Russian Ruble  Buy  10/17/12  250,390  255,827  (5,437) 
  Singapore Dollar  Sell  10/17/12  278,841  274,326  (4,515) 
  South African Rand  Sell  10/17/12  4,028  6,771  2,743 
  Swedish Krona  Buy  10/17/12  2,883,921  2,820,065  63,856 
  Taiwan Dollar  Sell  10/17/12  118,029  109,424  (8,605) 
  Thai Baht  Buy  10/17/12  121,784  119,926  1,858 
  Turkish Lira  Buy  10/17/12  256,053  252,506  3,547 
WestPac Banking Corp.           
  Australian Dollar  Buy  10/17/12  792,657  782,092  10,565 
  British Pound  Sell  10/17/12  415,953  418,116  2,163 
  Canadian Dollar  Buy  10/17/12  1,273,705  1,280,540  (6,835) 
  Canadian Dollar  Sell  10/17/12  1,273,705  1,275,053  1,348 
  Euro  Buy  10/17/12  3,647,860  3,574,410  73,450 
  Japanese Yen  Sell  10/17/12  3,074,358  3,062,208  (12,150) 
  Mexican Peso  Buy  10/17/12  251,511  251,896  (385) 
  Norwegian Krone  Sell  10/17/12  15,126  7,956  (7,170) 
  Swedish Krona  Buy  10/17/12  12,310  12,027  283 
  Swedish Krona  Sell  10/17/12  12,310  12,372  62 
Total            $(90,979) 

 

80  Dynamic Asset Allocation Conservative Fund 

 


FUTURES CONTRACTS OUTSTANDING at 9/30/12       
 
        Unrealized 
Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury         
Bond 3 yr (Short)  21  $2,407,348  Dec-12  $(13,029) 
Australian Government Treasury         
Bond 10 yr (Long)  1  131,625  Dec-12  2,246 
FTSE 100 Index (Short)  60  5,535,209  Dec-12  112,220 
Japanese Government Bond         
10 yr Mini (Short)  8  1,478,626  Dec-12  (6,089) 
MSCI EAFE Index Mini (Short)  339  25,394,490  Dec-12  824,283 
NASDAQ 100 Index E-Mini (Short)  88  4,913,920  Dec-12  17,542 
Russell 2000 Index Mini (Short)  80  6,675,200  Dec-12  53,538 
S&P 500 Index (Long)  7  2,509,850  Dec-12  (2,486) 
S&P 500 Index E-Mini (Short)  420  30,118,200  Dec-12  (34,440) 
S&P Mid Cap 400 Index         
E-Mini (Long)  85  8,385,250  Dec-12  (123,686) 
S&P Mid Cap 400 Index         
E-Mini (Short)  18  1,775,700  Dec-12  31,644 
SPI 200 Index (Long)  24  2,728,515  Dec-12  (8,825) 
U.S. Treasury Bond 30 yr (Long)  153  22,854,375  Dec-12  (100,400) 
U.S. Treasury Bond Ultra 30 yr (Long)  41  6,773,969  Dec-12  (75,031) 
U.S. Treasury Bond 30 yr (Short)  2  298,750  Dec-12  1,332 
U.S. Treasury Note 2 yr (Long)  199  43,885,719  Dec-12  21,903 
U.S. Treasury Note 2 yr (Short)  40  8,821,250  Dec-12  (4,451) 
U.S. Treasury Note 5 yr (Long)  318  39,633,235  Dec-12  145,740 
U.S. Treasury Note 5 yr (Short)  37  4,611,414  Dec-12  (17,992) 
U.S. Treasury Note 10 yr (Long)  124  16,552,063  Dec-12  77,686 
U.S. Treasury Note 10 yr (Short)  55  7,341,641  Dec-12  (26,230) 
Total        $875,475 
   

 

WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $5,744,561)     
 
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  $604,000  Oct-12/1.75  $4,560 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.35%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  526,281  Aug-16/4.35  80,262 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to receive a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  2,241,541  Aug-16/4.28  54,241 
Option on an interest rate swap with Bank of America,       
N.A. for the obligation to pay a fixed rate of 4.28%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  2,241,541  Aug-16/4.28  329,356 

 

Dynamic Asset Allocation Conservative Fund   81 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $5,744,561) cont.     
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.68%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  $1,091,416  Aug-16/4.68  $20,876 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 4.68%       
versus the three month USD-LIBOR-BBA maturing       
August 2026. E  1,091,416  Aug-16/4.68  201,219 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.67%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,896,164  Jul-16/4.67  36,429 
Option on an interest rate swap with Barclay’s Bank, PLC       
for the obligation to pay a fixed rate of 4.67% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  1,896,164  Jul-16/4.67  348,219 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 4.80%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  758,466  Jul-16/4.80  13,459 
Option on an interest rate swap with Barclay’s Bank, PLC       
for the obligation to pay a fixed rate of 4.80% versus the       
three month USD-LIBOR-BBA maturing July 2026. E  758,466  Jul-16/4.80  147,216 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to receive a fixed rate       
of 4.79% versus the three month USD-LIBOR-BBA       
maturing July 2026. E  1,780,510  Jul-16/4.79  31,695 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to pay a fixed rate of 4.79%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,780,510  Jul-16/4.79  329,720 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to receive a fixed rate       
of 4.74% versus the three month USD-LIBOR-BBA       
maturing July 2026. E  1,890,634  Jul-16/4.74  34,474 
Option on an interest rate swap with JPMorgan Chase       
Bank NA for the obligation to pay a fixed rate of 4.74%       
versus the three month USD-LIBOR-BBA maturing       
July 2026. E  1,890,634  Jul-16/4.74  343,381 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to receive a fixed rate of 5.86% versus the       
three month USD-LIBOR-BBA maturing June 2026. E  1,206,318  Jun-16/5.86  11,725 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.86% versus the       
three month USD-LIBOR-BBA maturing June 2026. E  1,206,318  Jun-16/4.86  231,185 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to receive a fixed rate of 4.61% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  2,236,010  Jun-16/4.61  18,961 

 

82  Dynamic Asset Allocation Conservative Fund 

 


WRITTEN OPTIONS OUTSTANDING at 9/30/12 (premiums $5,744,561) cont.     
 
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.61% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  $2,236,010  Jun-16/4.61  $259,657 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing June 2026. E  5,083,787  Jun-16/4.77  87,040 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate       
of 4.77% versus the three month USD-LIBOR-BBA       
maturing June 2026. E  5,083,787  Jun-16/4.77  944,207 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.155% versus the three       
month USD-LIBOR-BBA maturing June 2021. E  4,601,490  Jun-16/5.155  29,979 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to receive a fixed rate of 4.64% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  5,700,000  Jun-16/4.64  46,865 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to receive a fixed rate of 5.655%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  10,600,000  Jun-16/5.655  56,233 
Option on an interest rate swap with Deutsche Bank AG       
for the obligation to pay a fixed rate of 4.64% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  5,700,000  Jun-16/4.64  672,104 
Option on an interest rate swap with Barclay’s Bank,       
PLC for the obligation to pay a fixed rate of 3.655%       
versus the three month USD-LIBOR-BBA maturing       
June 2021. E  10,600,000  Jun-16/3.655  844,767 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate       
of 1.75% versus the three month USD-LIBOR-BBA       
maturing October 2022.  604,000  Oct-12/1.75  2,784 
Option on an interest rate swap with Citibank, N.A. for       
the obligation to pay a fixed rate of 4.155% versus the       
three month USD-LIBOR-BBA maturing June 2021. E  4,601,490  Jun-16/4.155  449,625 
Total      $5,630,239 
 
E Extended settlement date on premium.       
 

 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/12 (proceeds receivable $2,082,188)   
 
  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3s,       
October 1, 2042  $2,000,000  10/11/12  $2,111,094 
Total      $2,111,094 

 

Dynamic Asset Allocation Conservative Fund  83 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12     
  Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Bank of America N.A.           
$176,000  $—  5/14/14  3 month USD-     
      LIBOR-BBA  0.58%  $923 
10,724,000  —  5/14/14  0.577%  3 month USD-   
        LIBOR-BBA  (55,584) 
1,844,000  —  5/14/22  2.0215%  3 month USD-   
        LIBOR-BBA  (75,900) 
164,000  4,353  6/20/22  2.183%  3 month USD-   
        LIBOR-BBA  (4,483) 
Barclay’s Bank, PLC           
7,092,000 E  5,639  12/19/14  0.45%  3 month USD-   
        LIBOR-BBA  (4,006) 
522,000 E  (32,365)  12/19/42  2.40%  3 month USD-   
        LIBOR-BBA  (6,249) 
15,906,000 E  171,853  12/19/22  3 month USD-     
      LIBOR-BBA  1.75%  145,926 
1,474,000 E  (1,483)  12/19/22  1.75%  3 month USD-   
        LIBOR-BBA  920 
3,086,000 E  (639)  12/19/17  3 month USD-     
      LIBOR-BBA  0.90%  9,082 
12,500,000  —  9/13/14  3 month USD-     
      LIBOR-BBA  0.389%  4,564 
21,000,000  —  9/13/17  3 month USD-     
      LIBOR-BBA  0.8075%  51,542 
1,400,000  —  9/13/22  3 month USD-     
      LIBOR-BBA  1.7823%  12,112 
2,400,000  —  9/13/42  3 month USD-     
      LIBOR-BBA  2.633%  15,617 
Citibank, N.A.           
141,000 E  —  10/7/21  3 month USD-     
      LIBOR-BBA  3.0625%  4,354 
1,717,000 E  408  12/19/14  0.45%  3 month USD-   
        LIBOR-BBA  (1,927) 
2,530,000 E  (2,915)  12/19/17  0.90%  3 month USD-   
        LIBOR-BBA  (10,884) 
2,249,000 E  17,543  12/19/22  3 month USD-     
      LIBOR-BBA  1.75%  13,877 
306,000 E  12,977  12/19/42  3 month USD-     
      LIBOR-BBA  2.40%  (2,332) 
Credit Suisse International         
24,648,000 E  (25,666)  12/19/14  3 month USD-     
      LIBOR-BBA  0.45%  7,855 
822,000 E  1,710  12/19/17  3 month USD-     
      LIBOR-BBA  0.90%  4,299 
262,000 E  24,292  12/19/42  3 month USD-     
      LIBOR-BBA  2.40%  11,184 
1,867,000 E  1,539  12/19/14  0.45%  3 month USD-   
        LIBOR-BBA  (999) 

 

84  Dynamic Asset Allocation Conservative Fund 

 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Upfront    Payments  Payments  Unrealized 
Swap counterparty /  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Credit Suisse International cont.         
  $11,800,000 E  $5,592  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  $(31,577) 
  249,000 E  (17,433)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (4,974) 
  1,601,000 E  28,563  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  25,954 
  9,855,000 E  (124,495)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (108,430) 
Deutsche Bank AG           
  71,000 E  —  10/7/21  3 month USD-     
        LIBOR-BBA  3.0475%  2,143 
  1,912,000 E  (593)  12/19/17  3 month USD-     
        LIBOR-BBA  0.90%  5,430 
  3,410,000 E  (32,082)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (26,523) 
KRW   1,337,000,000  —  4/24/17  3.54%  3 month KRW-   
          CD-KSDA-   
          BLOOMBERG  (39,993) 
Goldman Sachs International         
  $48,154,000 E  33,166  12/19/14  0.45%  3 month USD-   
          LIBOR-BBA  (32,323) 
  1,288,000 E  (2,462)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (6,520) 
  783,000 E  12,318  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  11,042 
  978,000 E  (69,591)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (20,662) 
JPMorgan Chase Bank NA         
  898,000 E  (1,638)  12/19/17  0.90%  3 month USD-   
          LIBOR-BBA  (4,466) 
  6,690,000 E  (151,293)  12/19/22  1.75%  3 month USD-   
          LIBOR-BBA  (140,392) 
  349,000 E  6,275  12/19/22  3 month USD-     
        LIBOR-BBA  1.75%  5,706 
  517,000 E  (52,282)  12/19/42  2.40%  3 month USD-   
          LIBOR-BBA  (26,416) 
CAD  2,311,000  —  5/2/15  3 month CAD-     
        BA-CDOR  1.6575%  19,894 
Total            $(252,216) 
 
E Extended effective date.      

 

Dynamic Asset Allocation Conservative Fund  85 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12     
 
    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Barclay’s Bank, PLC           
  $11,534  $—  1/12/38  6.50% (1 month  Synthetic TRS  $(54) 
        USD-LIBOR)  Index 6.50%   
          30 year Fannie Mae   
          pools   
  63,125  —  1/12/38  (6.50%) 1 month  Synthetic MBX  (149) 
        USD-LIBOR  Index 6.50%   
          30 year Fannie Mae   
          pools   
  614,408  —  1/12/41  4.00% (1 month  Synthetic TRS  (16,763) 
        USD-LIBOR)  Index 4.00%   
          30 year Fannie Mae   
          pools   
  11,588  —  1/12/40  5.00% (1 month  Synthetic MBX  42 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
  891,846  —  1/12/40  4.50% (1 month  Synthetic MBX  (1,481) 
        USD-LIBOR)  Index 4.50%   
          30 year Fannie Mae   
          pools   
  2,178,845  —  1/12/41  5.00% (1 month  Synthetic MBX  7,840 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
  100,113  —  1/12/41  5.00% (1 month  Synthetic MBX  360 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
  18,963  —  1/12/40  5.00% (1 month  Synthetic MBX  68 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
  62,155  —  1/12/40  5.00% (1 month  Synthetic MBX  224 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
  44,773  —  1/12/40  5.00% (1 month  Synthetic MBX  161 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
Citibank, N.A.           
  1,057,442  —  1/12/41  5.00% (1 month  Synthetic MBX  3,805 
        USD-LIBOR)  Index 5.00%   
          30 year Fannie Mae   
          pools   
baskets  108  —  2/13/13  (3 month USD-  A basket  344,934 
        LIBOR-BBA plus  (CGPUTQL2)   
        0.10%)  of common stocks   

 

86  Dynamic Asset Allocation Conservative Fund 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Citibank, N.A. cont.           
baskets  45  $—  2/13/13  3 month USD-  A basket  $143,499 
        LIBOR-BBA  (CGPUTQL2)   
        plus 0.10%  of common stocks   
units  2,393  —  2/13/13  3 month USD-  Russell 1000  (277,046) 
        LIBOR-BBA  Total Return Index   
        minus 0.15%     
units  1,282  —  2/13/13  3 month USD-  Russell 1000  (148,415) 
        LIBOR-BBA  Total Return Index   
        minus 0.15%     
Goldman Sachs International         
  $53,478  —  1/12/38  6.50% (1 month  Synthetic TRS  (252) 
        USD-LIBOR)  Index 6.50%   
          30 year Fannie Mae   
          pools   
  1,680,396  —  1/12/41  4.00% (1 month  Synthetic TRS  (45,846) 
        USD-LIBOR)  Index 4.00%   
          30 year Fannie Mae   
          pools   
  4,404  —  1/12/38  6.50% (1 month  Synthetic TRS  (21) 
        USD-LIBOR)  Index 6.50%   
          30 year Fannie Mae   
          pools   
  460,264  —  1/12/41  4.00% (1 month  Synthetic TRS  (12,557) 
        USD-LIBOR)  Index 4.00%   
          30 year Fannie Mae   
          pools   
  57,672  —  1/12/38  (6.50%) 1 month  Synthetic MBX  (136) 
        USD-LIBOR  Index 6.50%   
          30 year Fannie Mae   
          pools   
  69,416  —  1/12/38  (6.50%) 1 month  Synthetic MBX  (164) 
        USD-LIBOR  Index 6.50%   
          30 year Fannie Mae   
          pools   
  1,393,093  —  1/12/41  4.00% (1 month  Synthetic TRS  (38,008) 
        USD-LIBOR)  Index 4.00%   
          30 year Fannie Mae   
          pools   
  1,278,219  —  1/12/38  (6.50%) 1 month  Synthetic MBX  (3,012) 
        USD-LIBOR  Index 6.50%   
          30 year Fannie Mae   
          pools   
  1,094,000  —  4/3/17  2.3225%  USA Non Revised  8,008 
          Consumer Price   
          Index-Urban (CPI-U) 
  1,094,000  —  4/4/17  2.35%  USA Non Revised  9,627 
          Consumer Price   
          Index-Urban (CPI-U) 

 

Dynamic Asset Allocation Conservative Fund  87 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/12 cont.     
 
    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
  $1,094,000  $—  4/5/17  2.355%  USA Non Revised  $9,934 
          Consumer Price   
          Index-Urban (CPI-U) 
  1,094,000  —  4/5/22  2.66%  USA Non Revised  10,720 
          Consumer Price   
          Index-Urban (CPI-U) 
GBP  682,000  —  3/30/17  (3.0925%)  GBP Non-revised  (31,695) 
          UK Retail Price   
          Index   
GBP  682,000  —  4/2/17  (3.085%)  GBP Non-revised  (34,790) 
          UK Retail Price   
          Index   
GBP  1,364,000  —  9/20/17  2.6625%  GBP Non-revised  6,824 
          UK Retail Price   
          Index   
GBP  682,000  —  9/21/17  2.66%  GBP Non-revised  3,263 
          UK Retail Price   
          Index   
GBP  682,000  —  4/3/17  (3.09%)  GBP Non-revised  (35,087) 
          UK Retail Price   
          Index   
GBP  682,000  —  4/3/22  (3.21%)  GBP Non-revised  (69,183) 
          UK Retail Price   
          Index   
JPMorgan Chase Bank NA         
shares  $269,208  —  10/22/12  (3 month USD-  iShares MSCI  1,004,542 
        LIBOR-BBA plus  Emerging Markets   
        0.04%)  Index   
Total            $839,192 
   

 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12       
    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty /    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Barclay’s Bank, PLC             
DJ CDX NA HY Series             
18 Index  B+/P  $102,979  $3,883,770  6/20/17  500 bp  $129,535 
DJ CDX NA IG Series             
18 Index  BBB+/P  8,586  2,110,000  6/20/17  100 bp  18,536 
DJ CDX NA IG Series             
18 Index  BBB+/P  (1,499)  685,000  6/20/17  100 bp  1,731 
Citibank, N.A.             
DJ CDX NA IG Series             
18 Index  BBB+/P  41,311  3,950,000  6/20/17  100 bp  59,938 
DJ CDX NA IG Series             
18 Index  BBB+/P  (5,691)  1,440,000  6/20/17  100 bp  1,100 

 

88  Dynamic Asset Allocation Conservative Fund 

 


CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/12 cont.       
 
    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty /    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Credit Suisse International           
DJ CDX NA HY Series             
18 Index  B+/P  $588,175  $16,636,950  6/20/17  500 bp  $701,935 
DJ CDX NA IG Series             
18 Index  BBB+/P  43,906  5,145,000  6/20/17  100 bp  68,167 
DJ CDX NA IG Series             
18 Index  BBB+/P  3,041  2,900,000  6/20/17  100 bp  16,716 
Deutsche Bank AG             
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B1  —  EUR 440,000  9/20/13  715 bp  38,794 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR 690,000  9/20/13  477 bp  38,578 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  BB–  —  EUR 690,000  9/20/13  535 bp  43,799 
JPMorgan Chase Bank NA             
DJ CDX NA HY Series             
18 Index  B+/P  189,788  $7,157,700  6/20/17  500 bp  238,730 
DJ CDX NA IG Series             
18 Index  BBB+/P  52,864  4,325,000  6/20/17  100 bp  73,260 
Total            $1,430,819 

* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2012. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”

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:

Dynamic Asset Allocation Conservative Fund  89 

 


    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $7,225,345  $4,656,021  $— 
Capital goods  7,719,784  2,245,092  — 
Communication services  7,610,455  2,304,568  — 
Conglomerates  4,330,326  300,722  — 
Consumer cyclicals  17,260,498  4,538,414  3 
Consumer staples  14,126,077  4,561,389  1,419 
Energy  15,156,376  3,225,720  — 
Financials  23,120,235  8,786,657  — 
Health care  17,231,512  4,099,884  — 
Technology  33,480,708  1,747,298  — 
Transportation  1,381,682  1,218,511  — 
Utilities and power  4,292,843  1,345,265  — 
Total common stocks  152,935,841  39,029,541  1,422 
Asset-backed securities  —  81,630  — 
Commodity linked notes  —  4,745,635  — 
Convertible bonds and notes  —  369,373  — 
Convertible preferred stocks  61,710  333,160  — 
Corporate bonds and notes  —  138,253,687  — 
Foreign government and agency bonds and notes  —  7,805,513  — 
Investment companies  3,662,845  —  — 
Mortgage-backed securities  —  31,494,053  — 
Municipal bonds and notes  —  179,382  — 
Preferred stocks  50,005  522,337  — 
Purchased options outstanding  —  5,163,649  — 
Senior loans  —  2,253,714  — 
U.S. Government and agency mortgage obligations  —  111,217,221  — 
Warrants  —  351  6,980 
Short-term investments  140,069,408  31,279,271  — 
Totals by level  $296,779,809  $372,728,517  $8,402 
       
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—  $(90,979)  $— 
Futures contracts  875,475  —  — 
Written options  —  (5,630,239)  — 
TBA sale commitments  —  (2,111,094)  — 
Interest rate swap contracts  —  (63,507)  — 
Total return swap contracts  —  839,192  — 
Credit default contracts  —  407,359  — 
Totals by level  $875,475  $(6,649,268)  $— 

At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.

The accompanying notes are an integral part of these financial statements.

90  Dynamic Asset Allocation Conservative Fund 

 


Statement of assets and liabilities 9/30/12

ASSETS   
Investment in securities, at value, including $513,511 of securities on loan (Note 1):   
Unaffiliated issuers (identified cost $477,025,944)  $531,358,416 
Affiliated issuers (identified cost $138,158,312) (Notes 1 and 6)  138,158,312 
Cash  388,444 
Foreign currency (cost $2,647,177) (Note 1)  2,387,679 
Dividends, interest and other receivables  3,576,697 
Receivable for shares of the fund sold  2,618,689 
Receivable for investments sold  6,387,375 
Receivable for sales of delayed delivery securities (Note 1)  7,441,812 
Unrealized appreciation on swap contracts (Note 1)  3,337,094 
Receivable for variation margin (Note 1)  744,591 
Unrealized appreciation on forward currency contracts (Note 1)  790,913 
Premium paid on swap contracts (Note 1)  522,127 
Total assets  697,712,149 
 
LIABILITIES   
Payable for investments purchased  7,970,978 
Payable for purchases of delayed delivery securities (Note 1)  115,981,914 
Payable for shares of the fund repurchased  1,417,971 
Payable for compensation of Manager (Note 2)  242,622 
Payable for investor servicing fees (Note 2)  152,782 
Payable for custodian fees (Note 2)  70,541 
Payable for Trustee compensation and expenses (Note 2)  161,646 
Payable for administrative services (Note 2)  2,424 
Payable for distribution fees (Note 2)  303,645 
Unrealized depreciation on forward currency contracts (Note 1)  881,892 
Written options outstanding, at value (premiums $5,744,561) (Notes 1 and 3)  5,630,239 
Premium received on swap contracts (Note 1)  1,356,878 
Unrealized depreciation on swap contracts (Note 1)  1,319,299 
TBA sale commitments, at value (proceeds receivable $2,082,188) (Note 1)  2,111,094 
Collateral on securities loaned, at value (Note 1)  548,075 
Collateral on certain derivative contracts, at value (Note 1)  2,459,171 
Other accrued expenses  242,114 
Total liabilities  140,853,285 
 
Net assets  $556,858,864 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $526,017,802 
Distributions in excess of net investment income (Note 1)  (2,412,363) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (23,691,692) 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  56,945,117 
Total — Representing net assets applicable to capital shares outstanding  $556,858,864 

(Continued on next page)

Dynamic Asset Allocation Conservative Fund  91 

 


Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($376,279,139 divided by 38,095,764 shares)  $9.88 
Offering price per class A share (100/94.25 of $9.88)*  $10.48 
Net asset value and offering price per class B share ($25,915,650 divided by 2,641,158 shares)**  $9.81 
Net asset value and offering price per class C share ($48,885,132 divided by 4,997,530 shares)**  $9.78 
Net asset value and redemption price per class M share ($8,011,320 divided by 818,425 shares)  $9.79 
Offering price per class M share (100/96.50 of $9.79)*  $10.15 
Net asset value, offering price and redemption price per class R share   
($3,932,635 divided by 389,169 shares)  $10.11 
Net asset value, offering price and redemption price per class R5 share   
($10,395 divided by 1,050 shares)†  $9.90 
Net asset value, offering price and redemption price per class R6 share   
($10,396 divided by 1,050 shares)†  $9.90 
Net asset value, offering price and redemption price per class Y share   
($93,814,197 divided by 9,473,932 shares)  $9.90 

* 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.

† Net asset value may not recalculate due to rounding of fractional shares.

The accompanying notes are an integral part of these financial statements.

92  Dynamic Asset Allocation Conservative Fund 

 


Statement of operations Year ended 9/30/12

INVESTMENT INCOME   
Interest (net of foreign tax of $5,680) (including interest income of $119,282 from investments   
in affiliated issuers) (Note 6)  $12,996,060 
Dividends (net of foreign tax of $118,914)  4,516,646 
Securities lending (Note 1)  13,054 
Total investment income  17,525,760 
 
EXPENSES   
Compensation of Manager (Note 2)  2,864,391 
Investor servicing fees (Note 2)  906,554 
Custodian fees (Note 2)  151,750 
Trustee compensation and expenses (Note 2)  45,912 
Administrative services (Note 2)  16,391 
Distribution fees (Note 2)  1,720,135 
Other  398,659 
Total expenses  6,103,792 
 
Expense reduction (Note 2)  (14,376) 
Net expenses  6,089,416 
 
Net investment income  11,436,344 
 
Net realized gain on investments (Notes 1 and 3)  21,142,996 
Net realized gain on swap contracts (Note 1)  269,451 
Net realized loss on futures contracts (Note 1)  (5,834,692) 
Net realized loss on foreign currency transactions (Note 1)  (372,619) 
Net realized loss on written options (Notes 1 and 3)  (2,214,513) 
Net unrealized depreciation of assets and liabilities in foreign currencies during the year  (1,065,480) 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options,   
and TBA sale commitments during the year  44,653,373 
Net gain on investments  56,578,516 
 
Net increase in net assets resulting from operations  $68,014,860 

 

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Conservative Fund  93 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Year ended 9/30/12  Year ended 9/30/11 
Operations:     
Net investment income  $11,436,344  $19,604,908 
Net realized gain on investments     
and foreign currency transactions  12,990,623  31,152,933 
Net unrealized appreciation (depreciation) of investments     
and assets and liabilities in foreign currencies  43,587,893  (4,916,698) 
Net increase in net assets resulting from operations  68,014,860  45,841,143 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (6,053,012)  (13,844,909) 
Class B  (230,076)  (899,015) 
Class C  (422,960)  (1,296,737) 
Class M  (94,498)  (266,043) 
Class R  (51,031)  (120,858) 
Class R5  (47)  — 
Class R6  (48)  — 
Class Y  (1,607,570)  (20,547,834) 
Increase in capital from settlement payments (Note 9)  —  1,970 
Decrease from capital share transactions (Note 4)  (16,683,470)  (554,700,741) 
Total increase (decrease) in net assets  42,872,148  (545,833,024) 
 
NET ASSETS     
Beginning of year  513,986,716  1,059,819,740 
End of year (including distributions in excess of net investment     
income of $2,412,363 and $2,704,433, respectively)  $556,858,864  $513,986,716 

 

The accompanying notes are an integral part of these financial statements.

94  Dynamic Asset Allocation Conservative Fund 

 

 

 

 


 

This page left blank intentionally. 
 
 
 
 
 
 
 

 

Dynamic Asset Allocation Conservative Fund   95 

 


Financial highlights (For a common share outstanding throughout the period)

INVESTMENT OPERATIONS:        LESS DISTRIBUTIONS:          RATIOS AND SUPPLEMENTAL DATA:     
                          Ratio     
                          of expenses     
                          to average  Ratio   
  Net asset    Net realized                  Ratio  net assets  of net investment   
  value,    and unrealized  Total from  From      Non-recurring    Total return  Net assets,  of expenses  excluding  income (loss)   
  beginning  Net investment  gain (loss)  investment   net investment  Total  Redemption  reimburse-  Net asset value,  at net asset  end of period  to average  interest expense  to average  Portfolio 
Period ended  of period  income (loss) a  on investments  operations  income  distributions  fees  ments  end of period  value (%) b  (in thousands)  net assets (%) c  (%) c  net assets (%)  turnover (%) g 
Class A                               
September 30, 2012  $8.83  .21  1.00  1.21  (.16)  (.16)  —  —  $9.88  13.76  $376,279  1.07  1.07  2.21  278 
September 30, 2011  9.08  .20  (.12) j  .08  (.33)  (.33)  —  — e,f  8.83  .84  352,757  1.07  1.07  2.12  288 
September 30, 2010  8.60  .28  .69  .97  (.49)  (.49)  — e  —  9.08  11.57  376,055  1.05 d  1.05 d  3.21 d  196 
September 30, 2009  8.35  .22  .35  .57  (.32)  (.32)  — e  — e,h  8.60  7.52  359,937  1.28 d,i  1.17 d  3.00 d  292 
September 30, 2008  9.84  .38  (1.54)  (1.16)  (.33)  (.33)  — e  —  8.35  (12.09)  403,932  1.15 d  1.15 d  4.06 d  170 
Class B                               
September 30, 2012  $8.77  .14  .98  1.12  (.08)  (.08)  —  —  $9.81  12.86  $25,916  1.82  1.82  1.46  278 
September 30, 2011  9.02  .13  (.11) j  .02  (.27)  (.27)  —  — e,f  8.77  .09  26,068  1.82  1.82  1.36  288 
September 30, 2010  8.54  .22  .68  .90  (.42)  (.42)  — e  —  9.02  10.85  32,603  1.80 d  1.80 d  2.49 d  196 
September 30, 2009  8.27  .17  .36  .53  (.26)  (.26)  — e  — e,h  8.54  7.02  37,157  2.03 d,i  1.92 d  2.24 d  292 
September 30, 2008  9.75  .31  (1.53)  (1.22)  (.26)  (.26)  — e  —  8.27  (12.77)  48,764  1.90 d  1.90 d  3.31 d  170 
Class C                               
September 30, 2012  $8.75  .14  .98  1.12  (.09)  (.09)  —  —  $9.78  12.80  $48,885  1.82  1.82  1.46  278 
September 30, 2011  8.99  .13  (.10) j  .03  (.27)  (.27)  —  — e,f  8.75  .22  43,703  1.82  1.82  1.38  288 
September 30, 2010  8.53  .21  .67  .88  (.42)  (.42)  — e  —  8.99  10.62  43,589  1.80 d  1.80 d  2.45 d  196 
September 30, 2009  8.28  .17  .34  .51  (.26)  (.26)  — e  — e,h  8.53  6.79  40,389  2.03 d,i  1.92 d  2.25 d  292 
September 30, 2008  9.76  .31  (1.53)  (1.22)  (.26)  (.26)  — e  —  8.28  (12.76)  47,692  1.90 d  1.90 d  3.31 d  170 
Class M                               
September 30, 2012  $8.76  .16  .98  1.14  (.11)  (.11)  —  —  $9.79  13.07  $8,011  1.57  1.57  1.71  278 
September 30, 2011  9.00  .15  (.10) j  .05  (.29)  (.29)  —  — e,f  8.76  .43  7,505  1.57  1.57  1.62  288 
September 30, 2010  8.53  .24  .67  .91  (.44)  (.44)  — e  —  9.00  11.00  8,767  1.55 d  1.55 d  2.73 d  196 
September 30, 2009  8.27  .19  .35  .54  (.28)  (.28)  — e  — e,h  8.53  7.18  8,859  1.78 d,i  1.67 d  2.55 d  292 
September 30, 2008  9.75  .33  (1.53)  (1.20)  (.28)  (.28)  — e  —  8.27  (12.54)  10,452  1.65 d  1.65 d  3.55 d  170 
Class R                               
September 30, 2012  $9.03  .19  1.02  1.21  (.13)  (.13)  —  —  $10.11  13.51  $3,933  1.32  1.32  1.95  278 
September 30, 2011  9.27  .18  (.11) j  .07  (.31)  (.31)  —  — e,f  9.03  .68  3,582  1.32  1.32  1.88  288 
September 30, 2010  8.75  .26  .72  .98  (.46)  (.46)  — e  —  9.27  11.55  3,377  1.30 d  1.30 d  2.94 d  196 
September 30, 2009  8.45  .21  .39  .60  (.30)  (.30)  — e  — e,h  8.75  7.74  2,594  1.53 d,i  1.42 d  2.71 d  292 
September 30, 2008  9.95  .34  (1.53)  (1.19)  (.31)  (.31)  — e  —  8.45  (12.28)  3,127  1.40 d  1.40 d  3.66 d  170 
Class R5                               
September 30, 2012†  $9.57  .05  .33  .38  (.05)  (.05)  —  —  9.90  3.93*  $10  .19*  .19*  .55*  278 
Class R6                               
September 30, 2012†  $9.57  .06  .32  .38  (.05)  (.05)  —  —  9.90  3.94*  $10  .17*  .17*  .57*  278 
Class Y                               
September 30, 2012  $8.86  .23  .99  1.22  (.18)  (.18)  —  —  $9.90  13.89  $93,814  .82  .82  2.46  278 
September 30, 2011  9.10  .21  (.09) j  .12  (.36)  (.36)  —  — e,f  8.86  1.21  80,371  .82  .82  2.26  288 
September 30, 2010  8.62  .31  .68  .99  (.51)  (.51)  — e  —  9.10  11.85  595,429  .80 d  .80 d  3.45 d  196 
September 30, 2009  8.34  .25  .37  .62  (.34)  (.34)  — e  — e,h  8.62  8.17  539,433  1.03 d,i  .92 d  3.29 d  292 
September 30, 2008  9.83  .40  (1.54)  (1.14)  (.35)  (.35)  — e  —  8.34  (11.88)  470,161  .90 d  .90 d  4.30 d  170 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

96  Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund  97 

 


Financial highlights (Continued)

* Not annualized.

† For the period July 3, 2012 (commencement of operations) to September 30, 2012.

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 brokerage/service arrangements (Note 2).

d Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to September 30, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:

  Percentage of 
  average net assets 
September 30, 2010  0.02% 
September 30, 2009  0.05 
September 30, 2008  0.01 

e Amount represents less than $0.01 per share.

f Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011 (Note 9).

g Portfolio turnover excludes TBA roll transactions.

h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Bear, Stearns & Co., Inc. which amounted to less than $0.01 per share outstanding as of May 31, 2009.

i Includes interest accrued in connection with certain terminated derivative contracts, which amounted to 0.11% of average net assets as of September 30, 2009.

j The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for the period due to the timing of sales and repurchases of fund shares in relation to fluctuating market values of the investments of the fund.

The accompanying notes are an integral part of these financial statements.

98  Dynamic Asset Allocation Conservative Fund 

 


Notes to financial statements 9/30/12

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 and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Unless otherwise noted, the “reporting period” represents the period from October 1, 2011 through September 30, 2012.

Putnam Dynamic Asset Allocation Conservative Fund (the fund) (which changed its name from Putnam Asset Allocation: Conservative Portfolio on November 30, 2011) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The investment objective of the fund is to seek total return consistent with preservation of capital. Total return is composed of capital appreciation and income. The fund invests mainly in fixed-income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments). The fund also invests, to a lesser extent, in equity securities (growth or value stocks or both) of U.S. and foreign companies of any size.

The fund offers class A, class B, class C, class M, class R, class R5, class R6 and class Y shares. The fund began offering Class R5 and R6 shares on July 2, 2012. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay 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 have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R5, 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.

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 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. If no sales are reported, as in the case of some securities traded over-the-counter, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.

Dynamic Asset Allocation Conservative Fund   99 

 


Market quotations are not considered to be readily available for certain debt obligations 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 considers 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 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

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, 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 market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

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 market 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 market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the

100  Dynamic Asset Allocation Conservative Fund 

 


fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

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 the return on a security owned and to enhance the return on securities owned.

The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Certain options contracts include premiums that do not settle until the expiration date of the contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. See Note 3 for the volume of written options contracts activity for the reporting period. The fund had an average contract amount of approximately $171,600,000 on purchased options contracts for the reporting period.

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. The fund had an average of approximately 2,500 futures contracts outstanding for the reporting period.

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 on currency.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market 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

Dynamic Asset Allocation Conservative Fund  101 

 


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. The fund had an average contract amount of approximately $231,200,000 on forward currency contracts for the reporting period.

Total return swap contracts The fund entered into 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 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. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.

Interest rate swap contracts The fund entered into 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 interest rate swap can be purchased or sold with an upfront premium. 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. Upfront payments are recorded as realized gains and losses at the closing of the contract. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $749,100,000 on interest rate swap contracts for the reporting period.

Credit default contracts The fund entered into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.

In a credit default contract, the protection buyer typically makes an up front payment and 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. 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. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

102  Dynamic Asset Allocation Conservative Fund 

 


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 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 by having a master netting arrangement between the fund and the counterparty. 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 of the relevant credit default contract.

Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $41,000,000 on credit default swap contracts for the reporting period.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $817,746 at the close of the reporting period.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund had a net liability position of $579,611 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $3,258,137.

TBA purchase 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 has been established, the principal value has not been finalized. 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. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.

Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.

TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Dynamic Asset Allocation Conservative Fund  103 

 


Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. 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 sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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 market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. 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 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 value of securities loaned amounted to $518,929. Certain of these securities were sold prior to the close of the reporting period and are included in Receivable for investments sold on the Statement of assets and liabilities. The fund received cash collateral of $548,075.

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.

Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% 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 ASC 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.

104  Dynamic Asset Allocation Conservative Fund 

 


At September 30, 2012, the fund had a capital loss carryover of $16,542,592 available to the extent allowed by the Code to offset future net capital gain, if any. The amount of the carryover and the expiration date is:

Loss carryover
Short-term  Long-term  Total  Expiration 
$16,542,592  N/A  $16,542,592  September 30, 2018 

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences of losses on wash sale transactions, realized and unrealized gains and losses on certain futures contracts, straddle loss deferrals, income on swap contracts and interest only securities. 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. For the reporting period ended, the fund reclassified $2,685,032 to decrease undistributed net investment income, $1,070,153 to decrease paid-in-capital and $3,755,185 to decrease accumulated net realized loss.

The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:

Unrealized appreciation  $58,809,560 
Unrealized depreciation  (9,279,048) 
Net unrealized appreciation  49,530,512 
Capital loss carryforward  (16,542,592) 
Cost for federal income tax purposes  $619,986,216 

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

 
0.680%  of the first $5 billion, 
0.630%  of the next $5 billion, 
0.580%  of the next $10 billion, 
0.530%  of the next $10 billion, 
0.480%  of the next $50 billion, 
0.460%  of the next $50 billion, 
0.450%  of the next $100 billion and 
0.445%  of any excess thereafter. 

Putnam Management has contractually agreed, through June 30, 2013, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal

Dynamic Asset Allocation Conservative Fund   105 

 


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. Putnam Management pays 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. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. Prior to March 1, 2012, investor servicing fees could not exceed an annual rate of 0.375% of the fund’s average net assets. During the reporting period, the class specific expenses related to investor servicing fees were as follows:

Class A  $620,361 
Class B  44,048 
Class C  78,765 
Class M  13,732 
Class R  6,317 
Class R5  3 
Class R6  1 
Class Y  143,327 
Total  $906,554 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $1,440 under the expense offset arrangements and by $12,936 under the brokerage/service arrangements.

Each independent Trustee of the fund receives an annual Trustee fee, of which $422 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.

106  Dynamic Asset Allocation Conservative Fund 

 


The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares 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 for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class A  $915,510 
Class B  259,998 
Class C  465,212 
Class M  60,777 
Class R  18,638 
Total  $1,720,135 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $67,498 and $839 from the sale of class A and class M shares, respectively, and received $20,108 and $2,449 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $38 and no monies on class A and class M redemptions, respectively.

Note 3: Purchases and sales of securities

During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments and TBA transactions aggregated $1,025,630,689 and $1,046,822,417, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.

Written option transactions during the reporting period are summarized as follows:

  Written swap option  Written swap option 
  contract amounts  premiums 
Written options outstanding at the     
beginning of the reporting period  $164,013,939  $7,192,518 
Options opened  148,058,915  7,316,183 
Options exercised  (55,884,149)  (1,178,402) 
Options expired  —  — 
Options closed  (176,281,752)  (7,585,738) 
Written options outstanding at the     
end of the reporting period  $79,906,953  $5,744,561 

 

Note 4: Capital shares

At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized.

Transactions in capital shares were as follows:

  Year ended 9/30/12  Year ended 9/30/11 
Class A  Shares  Amount  Shares  Amount 
Shares sold  6,291,757  $59,199,377  8,808,060  $81,562,405 
Shares issued in connection with         
reinvestment of distributions  611,192  5,752,855  1,427,497  13,099,023 
  6,902,949  64,952,232  10,235,557  94,661,428 
Shares repurchased  (8,745,180)  (82,165,765)  (11,712,697)  (109,123,547) 
Net decrease  (1,842,231)  $(17,213,533)  (1,477,140)  $(14,462,119) 

 

Dynamic Asset Allocation Conservative Fund  107 

 


  Year ended 9/30/12  Year ended 9/30/11 
Class B  Shares  Amount  Shares  Amount 
Shares sold  554,362  $5,191,014  602,003  $5,548,500 
Shares issued in connection with         
reinvestment of distributions  22,483  209,937  86,644  787,948 
  576,845  5,400,951  688,647  6,336,448 
Shares repurchased  (906,623)  (8,480,242)  (1,333,728)  (12,324,217) 
Net decrease  (329,778)  $(3,079,291)  (645,081)  $(5,987,769) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class C  Shares  Amount  Shares  Amount 
Shares sold  877,591  $8,185,202  1,212,659  $11,159,143 
Shares issued in connection with         
reinvestment of distributions  40,866  380,636  125,046  1,135,118 
  918,457  8,565,838  1,337,705  12,294,261 
Shares repurchased  (916,272)  (8,506,021)  (1,188,329)  (10,934,814) 
Net increase  2,185  $59,817  149,376  $1,359,447 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class M  Shares  Amount  Shares  Amount 
Shares sold  175,185  $1,605,020  142,112  $1,307,312 
Shares issued in connection with         
reinvestment of distributions  9,819  91,600  28,145  255,809 
  185,004  1,696,620  170,257  1,563,121 
Shares repurchased  (223,809)  (2,086,439)  (286,972)  (2,643,266) 
Net decrease  (38,805)  $(389,819)  (116,715)  $(1,080,145) 
 
  Year ended 9/30/12  Year ended 9/30/11 
Class R  Shares  Amount  Shares  Amount 
Shares sold  204,872  $1,964,014  178,518  $1,695,811 
Shares issued in connection with         
reinvestment of distributions  5,070  48,786  12,669  118,710 
  209,942  2,012,800  191,187  1,814,521 
Shares repurchased  (217,315)  (2,093,473)  (159,070)  (1,507,997) 
Net increase(decrease)  (7,373)  $(80,673)  32,117  $306,524 

 

  For the period 7/3/12 
  (commencement of operations) to 9/30/12 
Class R5  Shares  Amount 
Shares sold  1,045  $10,000 
Shares issued in connection with     
reinvestment of distributions  5  47 
  1,050  10,047 
Shares repurchased  —  — 
Net increase  1,050  $10,047 

 

108  Dynamic Asset Allocation Conservative Fund 

 


  For the period 7/3/12 
  (commencement of operations) to 9/30/12 
Class R6  Shares  Amount 
Shares sold  1,045  $10,000 
Shares issued in connection with     
reinvestment of distributions  5  48 
  1,050  10,048 
Shares repurchased  —  — 
Net increase  1,050  $10,048 

 

  Year ended 9/30/12  Year ended 9/30/11 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  2,330,438  $22,174,494  9,547,229  $88,891,972 
Shares issued in connection with         
reinvestment of distributions  169,492  1,599,717  2,232,378  20,533,982 
  2,499,930  23,774,211  11,779,607  109,425,954 
Shares repurchased  (2,101,430)  (19,774,277)  (68,148,089)  (644,262,633) 
Net increase (decrease)  398,500  $3,999,934  (56,368,482)  $(534,836,679) 

At the close of the reporting period, a shareholder of record owned 7.3% of the outstanding shares on the fund.

At the close of the reporting period, Putnam Investments, LLC owned the following class shares of the fund:

      Value at the end of the 
  Shares owned  Percentage of ownership  reporting period 
Class R5  1,050  100%  $10,395 
Class R6  1,050  100%  10,396 

Note 5: Summary of derivative activity

The following is a summary of the market values of derivative instruments as of the close of the reporting period:

Market values 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  Market value  liabilities location  Market value 
Credit contracts  Receivables  $407,359  Payables  $— 
Foreign exchange         
contracts  Receivables  790,913  Payables  881,892 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  2,539,533*  Unrealized depreciation  594,898* 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  5,784,733*  Unrealized depreciation  6,537,467* 
Total    $9,522,538    $8,014,257 

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

Dynamic Asset Allocation Conservative Fund   109 

 


The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $2,219,422  $2,219,422 
Foreign exchange           
contracts  —  —  (435,684)  —  (435,684) 
Equity contracts  —  (10,856,592)  —  (3,121,179)  (13,977,771) 
Interest rate contracts  (5,225,694)  5,021,900  —  1,171,208  967,414 
Total  $(5,225,694)  $(5,834,692)  $(435,684)  $269,451  $(11,226,619) 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

Derivatives not             
accounted for as        Forward     
hedging instruments        currency     
under ASC 815  Options  Warrants†  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $2,401,831  $2,401,831 
Foreign exchange             
contracts  —  —  —  (779,335)  —  (779,335) 
Equity contracts  —  (1,183)  (1,605,585)  —  3,975,290  2,368,522 
Interest rate contracts  (488,104)  —  (1,947,649)  —  2,851,080  415,327 
Total  $(488,104)  $(1,183)  $(3,553,234)  $(779,335)  $9,228,201  $4,406,345 

† For the reporting period, the transaction volume for warrants was minimal.

Note 6: Transactions with affiliated issuer

Transactions during the reporting period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:

  Market         
  value at the        Market 
  beginning        value at the 
  of the        end of the 
  reporting  Purchase  Sale  Investment  reporting 
Affiliate  period  cost  proceeds  income  period 
Putnam Money           
Market Liquidity           
Fund*  $103,765,219  $241,524,665  $207,679,647  $119,282  $137,610,237 

* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: 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

110  Dynamic Asset Allocation Conservative Fund 

 


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 a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Note 9: Regulatory matters and litigation

In late 2003 and 2004, Putnam Management settled charges brought by the SEC and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. In July 2011, the fund recorded a receivable of $1,926 related to restitution amounts in connection with a distribution plan approved by the SEC. This amount, which was received by the fund in December 2011, is reported as part of Increase in capital from settlement payments on the Statement of changes in net assets. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. In May 2011, the fund received a payment of $44 related to settlement of those lawsuits. This amount is reported as a part of Increase in capital from settlement payments on the Statement of changes in net assets. Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.

Note 10: New accounting pronouncements

In May 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2011–04 “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS”. ASU 2011–04 amends FASB Topic 820 “Fair Value Measurement” and seeks to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. ASU 2011–04 is effective for fiscal years and interim periods beginning after December 15, 2011. The application of ASU 2011–04 did not have a material impact on the fund’s financial statements.

In December 2011, the FASB issued ASU No. 2011–11 “Disclosures about Offsetting Assets and Liabilities”. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASU 2011–11 and its impact, if any, on the fund’s financial statements.

Dynamic Asset Allocation Conservative Fund   111 

 


Federal tax information (Unaudited)

The fund designated 35.26% of ordinary income distributions as qualifying for the dividends received deduction for corporations.

For the reporting period ended, the fund hereby designates 56.62%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.

For the reporting period ended, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $8,437,883 of distributions paid as qualifying to be taxed as interest-related dividends, and no monies to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The Form 1099 that will be mailed to you in January 2013 will show the tax status of all distributions paid to your account in calendar 2012.

112  Dynamic Asset Allocation Conservative Fund 

 


About the Trustees

Independent Trustees


Dynamic Asset Allocation Conservative Fund   113 

 



* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and Putnam Retail Management. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.

The address of each Trustee is One Post Office Square, Boston, MA 02109.

As of September 30, 2012, there were 109 Putnam funds. All Trustees serve as Trustees of all Putnam funds.

Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

114  Dynamic Asset Allocation Conservative Fund 

 


Officers

In addition to Robert L. Reynolds, the other officers of the fund are shown below:

Jonathan S. Horwitz (Born 1955)  Janet C. Smith (Born 1965) 
Executive Vice President, Principal Executive  Vice President, Principal Accounting Officer, 
Officer, and Compliance Liaison  and Assistant Treasurer 
Since 2004  Since 2007 
  Director of Fund Administration Services, 
Steven D. Krichmar (Born 1958)  Putnam Investments and Putnam Management 
Vice President and Principal Financial Officer 
Since 2002  Susan G. Malloy (Born 1957) 
Chief of Operations, Putnam Investments and  Vice President and Assistant Treasurer 
Putnam Management  Since 2007 
  Director of Accounting & Control Services, 
Robert T. Burns (Born 1961)  Putnam Management 
Vice President and Chief Legal Officer 
Since 2011  James P. Pappas (Born 1953) 
General Counsel, Putnam Investments and  Vice President 
Putnam Management  Since 2004 
  Director of Trustee Relations, 
Robert R. Leveille (Born 1969)  Putnam Investments and Putnam Management 
Vice President and Chief Compliance Officer 
Since 2007  Mark C. Trenchard (Born 1962) 
Chief Compliance Officer, Putnam Investments,  Vice President and BSA Compliance Officer 
Putnam Management, and Putnam Retail  Since 2002 
Management  Director of Operational Compliance, 
  Putnam Investments and Putnam 
Michael J. Higgins (Born 1976)  Retail Management 
Vice President and Treasurer 
Since 2010  Judith Cohen (Born 1945) 
Manager of Finance, Dunkin’ Brands (2008–  Vice President, Clerk, and Associate Treasurer 
2010); Senior Financial Analyst, Old Mutual Asset  Since 1993 
Management (2007–2008); Senior Financial   
Analyst, Putnam Investments (1999–2007)  Nancy E. Florek (Born 1957) 
Vice President, Proxy Manager, Assistant Clerk, 
  and Associate Treasurer 
  Since 2000 

The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.

Dynamic Asset Allocation Conservative Fund 115 

 


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.

116  Dynamic Asset Allocation Conservative Fund 

 


Fund information

Founded 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Robert R. Leveille 
Putnam Investment  Jameson A. Baxter, Chair  Vice President and 
Management, LLC  Liaquat Ahamed  Chief Compliance Officer 
One Post Office Square  Ravi Akhoury   
Boston, MA 02109  Barbara M. Baumann  Michael J. Higgins 
  Charles B. Curtis  Vice President and Treasurer 
Investment Sub-Manager  Robert J. Darretta    
Putnam Investments Limited   Katinka Domotorffy  Janet C. Smith 
57–59 St James’s Street  John A. Hill  Vice President,  
London, England SW1A 1LD  Paul L. Joskow  Principal Accounting Officer, 
  Elizabeth T. Kennan  and Assistant Treasurer  
Investment Sub-Advisor  Kenneth R. Leibler  
The Putnam Advisory   Robert E. Patterson  Susan G. Malloy  
Company, LLC   George Putnam, III   Vice President and 
One Post Office Square  Robert L. Reynolds  Assistant Treasurer  
Boston, MA 02109  W. Thomas Stephens 
James P. Pappas 
Marketing Services  Officers  Vice President 
Putnam Retail Management  Robert L. Reynolds   
One Post Office Square   President  Mark C. Trenchard 
Boston, MA 02109    Vice President and 
Jonathan S. Horwitz  BSA Compliance Officer  
Custodian  Executive Vice President, 
State Street Bank  Principal Executive Officer, and  Judith Cohen 
and Trust Company   Compliance Liaison   Vice President, Clerk, and 
Associate Treasurer  
Legal Counsel  Steven D. Krichmar 
Ropes & Gray LLP  Vice President and  Nancy E. Florek 
  Principal Financial Officer  Vice President, Proxy 
Independent Registered    Manager, Assistant Clerk, and  
Public Accounting Firm  Robert T. Burns  Associate Treasurer 
PricewaterhouseCoopers LLP   Vice President and 
Chief Legal Officer 
 
 
   
   

 

This report is for the information of shareholders of Putnam Dynamic Asset Allocation Conservative Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam. com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.



Item 2. Code of Ethics:
(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.

(c) In May 2008, the Code of Ethics of Putnam Investment Management, LLC was updated in its entirety to include the amendments adopted in August 2007 as well as a several additional technical, administrative and non-substantive changes. In May of 2009, the Code of Ethics of Putnam Investment Management, LLC was amended to reflect that all employees will now be subject to a 90-day blackout restriction on holding Putnam open-end funds, except for portfolio managers and their supervisors (and each of their immediate family members), who will be subject to a one-year blackout restriction on the funds that they manage or supervise. In June 2010, the Code of Ethics of Putnam Investments was updated in its entirety to include the amendments adopted in May of 2009 and to change certain rules and limits contained in the Code of Ethics. In addition, the updated Code of Ethics included numerous technical, administrative and non-substantive changes, which were intended primarily to make the document easier to navigate and understand. In July 2011, the Code of Ethics of Putnam Investments was updated to reflect several technical, administrative and non-substantive changes resulting from changes in employee titles.

Item 3. Audit Committee Financial Expert:
The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services:
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor:


Fiscal year ended Audit Fees Audit-Related Fees Tax Fees All Other Fees
September 30, 2012 $181,777 $-- $29,883 $1,071
September 30, 2011 $205,868 $-- $19,485 $ —

For the fiscal years ended September 30 2012 and September 30, 2011, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $192,963 and $377,220 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.

Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.

Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.

All Other Fees represent fees billed for services relating to an analysis of fund profitability

Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.

The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.

The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.


Fiscal year ended Audit-Related Fees Tax Fees All Other Fees Total Non-Audit Fees
September 30, 2012 $ — $45,000 $ — $ —
September 30, 2011 $ — $112,505 $ — $ —

Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 12. Exhibits:
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

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

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Asset Allocation Funds
By (Signature and Title):
/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: November 28, 2012
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: November 28, 2012
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: November 28, 2012