N-CSRS 1 a_dynamicassetallcons.htm PUTNAM DYNAMIC ASSET ALLOCATION FUNDS a_dynamicassetallcons.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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2017
Date of reporting period: October 1, 2016 — March 31, 2017



Item 1. Report to Stockholders:

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



Putnam Dynamic
Asset Allocation
Conservative Fund

Semiannual report
3 | 31 | 17

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. Stock and bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including, in the case of bonds, perceptions about the risk of default and expectations about changes in monetary policy or interest rates), changes in government intervention, and factors related to a specific issuer or industry. These and other factors may also lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. 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. You can lose money by investing in the fund.


Message from the Trustees

May 12, 2017

Dear Fellow Shareholder:

The early months of 2017 have been generally positive for investor sentiment and financial market performance. Many market indexes have achieved new record highs with relatively low volatility, in contrast to the bouts of uncertainty and turbulence that tested global financial markets in 2016. It is worth noting, however, that the exuberance that greeted the new year calmed somewhat as investors reconsidered a number of ongoing macroeconomic and political risks. In addition, many bond investors remained cautious as the potential for inflation increased.

As always, we believe investors should continue to focus on time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and do not overreact to short-term market fluctuations. To help ensure that your portfolio is aligned with your goals, we also believe it is a good idea to speak regularly with your financial advisor. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.

We would like to take this opportunity to announce the arrival of Catharine Bond Hill and Manoj P. Singh to your fund’s Board of Trustees. Dr. Hill and Mr. Singh bring extensive professional and directorship experience to their role as Trustees, and we are pleased to welcome them.

Thank you for investing with Putnam.



About the fund

A diversified portfolio to help
investors preserve wealth

Putnam Dynamic Asset Allocation Conservative Fund is designed for investors seeking total return consistent with preservation of capital. The fund’s target mix of 70% bonds and 30% stocks has been developed to pursue this goal while moderating investment volatility.

The managers believe that spreading fund holdings across a variety of asset classes can help to smooth performance compared with the more extreme market ups and downs that can happen when investing in only one type of asset.

Active global research guides our portfolio decisions

Today, trends can spread quickly from one part of the world to affect markets everywhere. The four portfolio managers of Putnam’s Global Asset Allocation group have extensive experience analyzing how opportunities and risks are connected across borders. They follow a disciplined process to adjust the portfolio as market conditions change.


Robert J. Schoen
Chief Investment Officer,
Global Asset Allocation
Industry since 1990
At Putnam since 1997


James A. Fetch
Co-Head of Global Asset Allocation
Industry since 1994
At Putnam since 1994


Robert J. Kea, CFA
Co-Head of Global Asset Allocation
Industry since 1988
At Putnam since 1989


Jason R. Vaillancourt, CFA
Co-Head of Global Asset Allocation
Industry since 1993
At Putnam since 2000

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Diversification can help to reduce volatility over time

With today’s market volatility, investors should consider evaluating the effectiveness of a portfolio over a full market cycle. Recent history has demonstrated that a more diversified portfolio can outperform in the long run.


Note: 25/75 Ÿ 25% the S&P 500 Index, 75% the Bloomberg Barclays U.S. Aggregate Bond Index; 60/40 Ÿ 60% the S&P 500 Index, 40% the Bloomberg Barclays U.S. Aggregate Bond Index. Past performance is not indicative of future results. Other asset allocations may have had different returns during those time periods.

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Performance history as of 3/31/17


Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 10–11 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 blended benchmark administered by Putnam Management and comprises 65% the Bloomberg 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.

‡ Returns for the six-month period are not annualized, but cumulative.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/17. See above and pages 10–11 for additional fund performance information. Index descriptions can be found on page 15.

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Bob is Co-Head of Global Asset Allocation
at Putnam. He holds an M.B.A. from
Bentley University Graduate School of
Business and a B.A. from the University
of Massachusetts, Amherst. He joined
Putnam in 1989 and has been in the
investment industry since 1988.

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

How would you describe the global investment environment during the six-month reporting period ended March 31, 2017?

Early in the period uncertainty regarding the U.S. elections had caused considerable volatility in global stock markets. Averages trended downward on daily news reports and speculation about potential election outcomes. After the win by Donald Trump however, U.S. markets began to rally strongly in anticipation of stimulus policies to come from the new administration in conjunction with a Congress held by the same political party. Economic growth was expected through tax reform, infrastructure spending, and business deregulation. International stocks, by contrast, continued to tread water as investors considered negative effects on international trade made possible by Trump’s campaign rhetoric and rising populist sentiment in other countries.

Global markets eventually joined the rally during the first quarter of 2017. Strong readings in the United States for business and consumer confidence, increases in inventories, and upticks to inflation suggested the economy was on a firm footing. Continued investor

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Allocations are shown as a percentage of the fund’s net assets as of 3/31/17. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/17. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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expectations for potential tax and regulatory reform championed by the new administration also proved supportive. International developed-market stocks, initially down during the last quarter of 2016, improved during the first three months of 2017, as investors began focusing on relatively solid economic fundamentals in Europe and Japan. Emerging-market stocks also ended the six-month period with positive performance as investors warmed to riskier assets and immediate trade restrictions were not forthcoming.

In the final month of the period, however, the post-election market rally seemed to lose some of its steam amid increasing political and policy uncertainties in the United States and Europe. Health-care legislation backed by the Trump administration failed in Congress, the United Kingdom took steps to proceed with plans to exit the European Union, and campaign politics heated up in France, posing additional risks to the EU. U.S. economic growth remained stable, however, and in mid-March the Federal Reserve, having raised rates a quarter point in December, again raised its short-term interest rate to a target range of 0.75% to 1.00%.

How did Putnam Dynamic Asset Allocation Conservative Fund perform during the six-month period ended March 31, 2017?

Putnam Dynamic Asset Allocation Conservative Fund performed in line with our expectations for the period, outperforming its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, an all fixed-income index. The fund also outperformed its secondary benchmark, the Putnam Blended Conservative Benchmark, which contains both stocks and bonds in similar allocations as the fund. Although investment-grade bond prices declined during the period, our preference for less interest-rate-sensitive securities, as well as the fund’s allocations to high-yield bonds, aided fund performance. In addition, the fund’s stock holdings delivered positive performance overall, helping to offset weaker performance from bonds during the period.


What was the fund’s asset allocation strategy during the period, and how did it affect performance?

Our tactical asset allocation approach during the six-month period, in particular our preference for equities over rate-sensitive fixed income, aided performance. We favored U.S. equities, which outperformed international developed-market stocks, and our preference for smaller-cap U.S. stocks was also rewarded. Small caps outperformed large-cap stocks during the period, largely in response to expectations that the incoming U.S. president would promote a tax agenda that favors small companies.

At the stock-selection level, results were mixed during the period. We typically employ a selection strategy that uses quantitative research and analysis to assemble a sector-neutral portfolio of stocks that we believe will outperform the broad market. During the first half of the period, U.S. stock selection was rewarded, adding value above and beyond the general rally in stocks. International developed equity selection, which uses a similar process, also added value. During the second half of the period, stock selection in U.S. large-cap and in international stocks slightly underperformed our respective benchmarks. Fixed-income security selection, which focused on securitized debt, primarily mortgages, was a notable positive contributor.

How did you use derivatives during the period?

We used a variety of derivatives to help mitigate volatility and, in some cases, to seek to enhance fund performance. Positive contributors to fund

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performance included credit default swaps used to hedge market and credit risk and gain exposure to individual or baskets of securities. Positive results here were balanced by negative results from futures contracts used to manage exposure to market risk, hedge prepayment and interest-rate risk, gain exposure to interest rates, and to equitize cash. There was also negative impact from interest-rate swaps used to hedge interest-rate and prepayment risk, and gain exposure to interest rates.

How did fixed - income markets perform during the period ending March 31, 2017?

After entering the period on a rally, investment-grade bonds declined in price during October, and continued to sell off substantially throughout the last quarter of 2016 amid rising inflation expectations and in anticipation of future short-term rate hikes by the Fed. The Bloomberg Barclays U.S. Aggregate Bond Index, a proxy for investment-grade bonds, was down 2.18% for the six-month period. As interest rates increase, prices of bonds generally fall, and as mentioned, the Fed raised the federal funds rate 25 basis points in December and again in March, communicating the expectation of further increases in 2017. High-yield bonds, in contrast, outperformed investment-grade bonds during the period as measured by the JP Morgan Developed High Yield Index, which gained 5.13% as investors showed greater comfort with risk and as the yield spread of high-yield bonds above U.S. Treasuries narrowed.

What is your outlook?

Currently, the fund’s asset allocation remains relatively close to strategic weightings, which reflect our view about the markets — that they are performing based on healthy fundamentals, including solid economic growth and corporate earnings in most parts of the world and in the United States. Internationally, Japanese stocks have become attractive, in our view, as corporate earnings have been relatively strong and stock prices are competitively valued. While we continue to keep an eye on political developments in Europe, markets there have not, at least to date, overreacted to Brexit; we believe stock prices appear to be well supported overall.


This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

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In the United States, stocks are likely to continue to outperform relative to rate-sensitive bonds, we believe, and investors appear patient and realistic about expectations for promised corporate tax reform and business-friendly regulatory changes. Whether that patience continues if changes are not forthcoming is something that we will monitor closely. We have reduced our overweight to stocks slightly.

Looking forward, with one rate increase already on the books this year, we expect that the Fed may raise rates a bit more aggressively than some investors currently assume. We believe fundamentals, including energy prices, continue to suggest an evolution toward more normal, higher interest rates in the United States. Outside the United States, we expect this will eventually happen as well, as central banks move away from quantitative easing. This means that rate-sensitive bonds will continue to be under pressure, we believe, and we may find other fixed-income sectors, including high yield and mortgages, more attractive.

Thank you, Bob, for your time and insights.

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.

Of special interest

Putnam Dynamic Asset Allocation Conservative Fund had maintained a stable dividend since July 2014. During the current fiscal year, the fund reduced its monthly dividend on two occasions due to decreased levels of income in the portfolio. Effective November 2016, the fund’s monthly distribution rate per class A shares was reduced from $0.016 to $0.014. Effective February 2017, the rate was further reduced from $0.014 to $0.012. Similar decreases were made to other share classes in both instances.

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks by establishing a combination of long and short exposures to specific equity markets or sectors.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2017, the end of the first half of its current 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 P, 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 3/31/17

  Annual                 
  average    Annual    Annual    Annual     
(life of fund)  10 years  average  5 years  average 3 years  average  1 year   6 months 
Class A (2/7/94)                   
Before sales charge  5.87%  58.45%  4.71%  33.56%  5.96%  13.65%  4.36%  6.30%  2.24% 
After sales charge  5.60  49.34  4.09  25.88  4.71  7.11  2.32  0.19  –3.64 
Class B (2/18/94)                   
Before CDSC  5.59  49.88  4.13  28.63  5.16  11.11  3.58  5.57  1.98 
After CDSC  5.59  49.88  4.13  26.63  4.84  8.26  2.68  0.57  –3.02 
Class C (9/1/94)                   
Before CDSC  5.07  47.24  3.94  28.64  5.17  11.15  3.59  5.61  1.90 
After CDSC  5.07  47.24  3.94  28.64  5.17  11.15  3.59  4.61  0.90 
Class M (2/7/95)                   
Before sales charge  5.33  50.92  4.20  30.15  5.41  11.92  3.82  5.83  1.99 
After sales charge  5.17  45.64  3.83  25.60  4.66  8.00  2.60  2.13  –1.58 
Class P (8/31/16)                   
Net asset value  6.14  63.26  5.02  35.17  6.21  14.42  4.59  6.63  2.43 
Class R (1/21/03)                   
Net asset value  5.69  56.09  4.55  31.92  5.70  12.77  4.09  6.08  2.15 
Class R5 (7/2/12)                   
Net asset value  6.15  63.63  5.05  35.47  6.26  14.64  4.66  6.60  2.38 
Class R6 (7/2/12)                   
Net asset value  6.17  64.19  5.08  35.94  6.33  14.85  4.72  6.77  2.51 
Class Y (7/14/94)                   
Net asset value  6.14  63.14  5.02  35.07  6.20  14.33  4.57  6.54  2.36 

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 P, R, R5, R6, 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

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are not applicable. Performance for class P, R5, and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class P, R5, and R6 shares; had it, returns would have been higher.

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

Class B share performance reflects conversion to class A shares after eight years.

Comparative index returns For periods ended 3/31/17

  Annual                 
  average    Annual    Annual    Annual     
  (life of fund)  10 years  average  5 years  average  3 years  average  1 year  6 months 
Bloomberg Barclays                   
U.S. Aggregate Bond  5.37%  51.97%  4.27%  12.25%  2.34%  8.27%  2.68%  0.44%  –2.18% 
Index                   
Putnam Conservative                   
Blended Benchmark  —†  69.27  5.40  30.80  5.52  14.26  4.54  6.07  1.63 
Lipper Mixed-Asset                   
Target Allocation                   
Conservative Funds  5.52  47.88  3.93  24.44  4.43  9.41  3.03  6.84  2.10 
category average*                   

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

* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/17, there were 375, 367, 320, 292, 216, and 12 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.

Fund price and distribution information For the six-month period ended 3/31/17

Distributions  Class A  Class B   Class C  Class M  Class P  Class R  ClassR5  ClassR6  Class Y 
Number  6  6  6  6  6  6  6  6  6 
Income  $0.082  $0.044  $0.045  $0.054  $0.102  $0.069  $0.096  $0.100  $0.094 
Capital gains               
Long-term gains  0.056  0.056  0.056  0.056  0.056  0.056  0.056  0.056  0.056 
Short-term gains  —  —  —  —  —  —  —  —  — 
Total  $0.138  $0.100  $0.101  $0.110  $0.158  $0.125  $0.152  $0.156  $0.150 
  Before  After  Net  Net  Before  After  Net  Net  Net  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value  value  value 
9/30/16  $10.32  $10.95  $10.23  $10.19  $10.20  $10.57  $10.35  $10.60  $10.35  $10.35  $10.35 
3/31/17  10.41  11.05  10.33  10.28  10.29  10.66  10.44  10.70  10.44  10.45  10.44 

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.

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Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. 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 P  Class R  Class R5  Class R6  Class Y 
Total annual operating expenses                   
for the fiscal year ended 9/30/16  1.04%*  1.79%*  1.79%*  1.54%*  0.63%†  1.29%*  0.74%  0.67%  0.79%* 
Annualized expense ratio for the                   
six-month period ended 3/31/17  1.02%  1.77%  1.77%  1.52%  0.62%  1.27%  0.73%  0.66%  0.77% 

Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.01%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.

* Restated to reflect current fees resulting from a change to the fund’s investor servicing arrangements effective 9/1/16.

† Other expenses are based on expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class P shares.

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 10/1/16 to 3/31/17. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000 *†  $5.14  $8.91  $8.91  $7.65  $3.13  $6.40  $3.68  $3.33  $3.88 
Ending value (after expenses)   $1,022.40  $1,019.80  $1,019.00  $1,019.90  $1,024.30  $1,021.50  $1,023.80  $1,025.10   $1,023.60 

* 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 3/31/17. The expense ratio may differ for each share class.

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

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Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 3/31/17, use the following calculation method. To find the value of your investment on 10/1/16, 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 P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000 *†  $5.14  $8.90  $8.90  $7.64  $3.13  $6.39  $3.68  $3.33  $3.88 
Ending value (after expenses)  $1,019.85  $1,016.11  $1,016.11  $1,017.35  $1,021.84  $1,018.60   $1,021.29  $1,021.64  $1,021.09 

* 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 3/31/17. The expense ratio may differ for each share class.

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

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Terms and definitions

Important terms

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

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

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares 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 closed to new investments and are only available by exchange from another Putnam fund. They are not subject to an initial sales charge and may be subject to a CDSC.

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

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.

Class P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are available only to other Putnam funds and other accounts managed by Putnam Management or its affiliates.

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R5 and R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.

Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency “pass-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).

14   Dynamic Asset Allocation Conservative Fund 

 


• 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

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

BofA 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.

JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed-income securities issued in developed countries.

MSCI EAFE Index (ND)* is a free float-adjusted market capitalization index that is designed to measure the equity performance of large and mid-cap markets in developed countries, excluding the U.S. and Canada.

Putnam Conservative Blended Benchmark is a benchmark administered by Putnam Management, comprising 65% the Bloomberg 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.

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.

Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.

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.

*Net dividends (ND) indexes reflect the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

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.

Dynamic Asset Allocation Conservative Fund    15 

 


Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2016, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

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

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2017, Putnam employees had approximately $486,000,000 and the Trustees had approximately $137,000,000 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 

 


Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

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

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

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

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.

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

Dynamic Asset Allocation Conservative Fund     17 

 


The fund’s portfolio 3/31/17 (Unaudited)

COMMON STOCKS (38.3%)*  Shares  Value 
Basic materials (1.4%)     
Asahi Kasei Corp. (Japan)  40,000  $388,036 
Ashland Global Holdings, Inc.  86  10,648 
BASF SE (Germany)  14,295  1,417,021 
Bemis Co., Inc.  234  11,433 
Boliden AB (Sweden)  27,288  813,099 
Cabot Corp.  3,800  227,658 
Celanese Corp. Ser. A  1,800  161,730 
Covestro AG (Germany)  5,055  389,135 
Evonik Industries AG (Germany)  23,113  753,639 
Fletcher Building, Ltd. (New Zealand)  7,219  42,104 
Fortescue Metals Group, Ltd. (Australia)  50,144  238,671 
Fresnillo PLC (Mexico)  2,093  40,803 
Glencore PLC (United Kingdom) †  22,128  86,818 
Hitachi Chemical Co., Ltd. (Japan)  9,400  260,056 
Hitachi Metals, Ltd. (Japan)  4,200  58,928 
Johnson Matthey PLC (United Kingdom)  9,550  368,528 
Kajima Corp. (Japan)  23,000  149,987 
Kuraray Co., Ltd. (Japan)  17,400  263,821 
Mitsubishi Chemical Holdings Corp. (Japan)  52,700  407,759 
Mitsubishi Gas Chemical Co., Inc. (Japan)  10,100  209,748 
Mitsubishi Materials Corp. (Japan)  2,700  81,730 
Newmont Mining Corp.  22,900  754,784 
Packaging Corp. of America  10,300  943,686 
Reliance Steel & Aluminum Co.  5,459  436,829 
Rio Tinto PLC (United Kingdom)  7,833  314,979 
Rio Tinto, Ltd. (Australia)  1,765  81,528 
Sherwin-Williams Co. (The)  5,820  1,805,306 
Shin-Etsu Chemical Co., Ltd. (Japan)  2,600  225,226 
Sika AG (Switzerland)  21  126,002 
Skanska AB (Sweden)  34,018  801,035 
Sonoco Products Co.  210  11,113 
Steel Dynamics, Inc.  36,300  1,261,788 
Taisei Corp. (Japan)  43,000  313,240 
Timken Co. (The)  9,400  424,880 
UPM-Kymmene OYJ (Finland)  20,318  477,289 
voestalpine AG (Austria)  4,495  176,945 
Yara International ASA (Norway)  12,044  463,738 
    14,999,720 
Capital goods (2.4%)     
ABB, Ltd. (Switzerland)  461  10,783 
ACS Actividades de Construccion y Servicios SA (Spain)  15,177  516,406 
Allison Transmission Holdings, Inc.  43,300  1,561,398 
Atlas Copco AB Class A (Sweden)  5,573  196,720 
Avery Dennison Corp.  9,062  730,397 
BAE Systems PLC (United Kingdom)  7,976  64,206 
Berry Plastics Group, Inc. †  233  11,317 
BWX Technologies, Inc.  9,078  432,113 
Carlisle Cos., Inc.  5,275  561,313 

 

18   Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Capital goods cont.     
Crane Co.  2,200  $164,626 
Crown Holdings, Inc. †  33,948  1,797,547 
Cummins, Inc.  14,200  2,147,040 
Daikin Industries, Ltd. (Japan)  600  60,280 
General Dynamics Corp.  304  56,909 
GKN PLC (United Kingdom)  7,209  32,814 
HD Supply Holdings, Inc. †  16,500  678,563 
Hitachi High-Technologies Corp. (Japan)  100  4,073 
Honeywell International, Inc.  683  85,286 
Huntington Ingalls Industries, Inc.  4,100  820,984 
Jacobs Engineering Group, Inc.  11,800  652,304 
JTEKT Corp (Japan)  13,400  208,107 
L3 Technologies, Inc.  16,894  2,792,409 
MAN SE (Germany)  524  54,016 
Mitsubishi Electric Corp. (Japan)  50,100  718,672 
Northrop Grumman Corp.  10,602  2,521,580 
NSK, Ltd. (Japan)  17,600  251,677 
Oshkosh Corp.  9,100  624,169 
Parker Hannifin Corp.  9,600  1,539,072 
Quanta Services, Inc. †  25,600  950,016 
Raytheon Co.  16,247  2,477,668 
Schindler Holding AG Part. Cert. (Switzerland)  268  50,809 
Spirit AeroSystems Holdings, Inc. Class A  12,100  700,832 
Sumitomo Heavy Industries, Ltd. (Japan)  17,000  118,495 
Thales SA (France)  1,695  163,934 
Vinci SA (France)  287  22,749 
Waste Management, Inc.  16,736  1,220,389 
WESCO International, Inc. †  3,600  250,380 
    25,250,053 
Communication services (1.3%)     
ACC Claims Holdings, LLC Class A (Units) F   102,750  617 
AT&T, Inc.  899  37,353 
BCE, Inc. (Canada)  1,088  48,172 
BT Group PLC (United Kingdom)  67,814  270,356 
Cable One, Inc.  300  187,341 
Comcast Corp. Class A  1,148  43,153 
Eutelsat Communications SA (France)  2,835  63,300 
Juniper Networks, Inc.  60,053  1,671,275 
KDDI Corp. (Japan)  13,100  343,826 
Nippon Telegraph & Telephone Corp. (Japan)  23,700  1,011,609 
NTT DoCoMo, Inc. (Japan)  25,657  597,465 
Orange SA (France)  21,086  327,633 
PCCW, Ltd. (Hong Kong)  121,000  71,309 
Sky PLC (United Kingdom)  21,626  264,449 
Telstra Corp., Ltd. (Australia)  251,514  895,450 
Verizon Communications, Inc.  152,400  7,429,500 
    13,262,808 

 

Dynamic Asset Allocation Conservative Fund    19 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Conglomerates (0.2%)     
Danaher Corp.  16,600  $1,419,798 
Siemens AG (Germany)  5,629  771,044 
    2,190,842 
Consumer cyclicals (5.3%)     
Adecco Group AG (Switzerland)  1,821  129,351 
Adidas AG (Germany)  141  26,820 
Aramark  19,769  728,883 
Aristocrat Leisure, Ltd. (Australia)  27,226  373,788 
Asahi Glass Co., Ltd. (Japan)  12,000  97,224 
Automatic Data Processing, Inc.  936  95,837 
AutoZone, Inc. †  86  62,182 
Berkeley Group Holdings PLC (The) (United Kingdom)  1,113  44,721 
Booz Allen Hamilton Holding Corp.  14,200  502,538 
Bridgestone Corp. (Japan)  1,600  64,716 
Carter’s, Inc.  3,402  305,500 
CBS Corp. Class B (non-voting shares)  612  42,448 
Christian Dior SE (France)  1,900  441,463 
Cie Generale des Etablissements Michelin (France)  2,557  310,561 
Clorox Co. (The)  11,747  1,583,848 
Compass Group PLC (United Kingdom)  38,520  726,822 
Dai Nippon Printing Co., Ltd. (Japan)  30,000  323,363 
Daito Trust Construction Co., Ltd. (Japan)  300  41,215 
Discovery Communications, Inc. Class A † S   97,900  2,847,911 
Dixons Carphone PLC (United Kingdom)  12,908  51,364 
Dolby Laboratories, Inc. Class A  3,800  199,158 
Dollar General Corp.  889  61,990 
Electrolux AB Ser. B (Sweden)  10,946  304,291 
Euronet Worldwide, Inc. †  1,900  162,488 
Fiat Chrysler Automobiles NV (Italy) †  35,908  392,643 
Flight Centre Travel Group, Ltd. (Australia)  5,091  112,329 
Ford Motor Co.  12,700  147,828 
Fuji Heavy Industries, Ltd. (Japan)  8,000  293,398 
Hakuhodo DY Holdings, Inc. (Japan)  6,100  72,326 
Harvey Norman Holdings, Ltd. (Australia)  118,147  408,897 
Hasbro, Inc.  13,223  1,319,920 
Hino Motors, Ltd. (Japan)  8,700  105,263 
Home Depot, Inc. (The)  12,201  1,791,473 
Hyatt Hotels Corp. Class A †  3,895  210,252 
Industrivarden AB Class A (Sweden)  15,847  366,258 
International Game Technology PLC  5,900  139,830 
Interpublic Group of Cos., Inc. (The)  7,693  189,017 
ISS A/S (Denmark)  1,401  52,977 
John Wiley & Sons, Inc. Class A  3,215  172,967 
KAR Auction Services, Inc.  9,200  401,764 
Kimberly-Clark Corp.  21,972  2,892,174 
Kingfisher PLC (United Kingdom)  199,853  816,541 
Lagardere SCA (France)  3,817  112,427 
Lear Corp.  6,200  877,796 
Liberty SiriusXM Group Class A †  12,200  474,824 

 

20   Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Consumer cyclicals cont.     
Lowe’s Cos., Inc.  62,786  $5,161,637 
LSC Communications, Inc.  5,900  148,444 
Madison Square Garden Co. (The) Class A †  24  4,793 
Marks & Spencer Group PLC (United Kingdom)  86,209  363,998 
Masco Corp.  26,100  887,139 
Mazda Motor Corp. (Japan)  19,100  275,014 
Michaels Cos., Inc. (The) †  17,300  387,347 
MSC Industrial Direct Co., Inc. Class A  4,400  452,144 
Namco Bandai Holdings, Inc. (Japan)  6,200  185,449 
News Corp. Class A  22,500  292,500 
News Corp. Class B  313  4,226 
NVR, Inc. †  260  547,789 
Omnicom Group, Inc.  33  2,845 
Owens Corning  11,800  724,166 
Peugeot SA (France) †  17,574  353,867 
PVH Corp.  12,986  1,343,661 
Ralph Lauren Corp.  30,200  2,464,924 
Randstad Holding NV (Netherlands)  4,267  246,265 
RELX PLC (United Kingdom)  12,854  251,879 
Renault SA (France)  4,219  366,502 
Ross Stores, Inc.  26,900  1,771,903 
RR Donnelley & Sons Co.  9,066  109,789 
RTL Group SA (Belgium)  3,576  288,023 
Scotts Miracle-Gro Co. (The) Class A  6,409  598,537 
ServiceMaster Global Holdings, Inc. †  7,763  324,105 
Square, Inc. Class A † S   83,000  1,434,240 
Suzuki Motor Corp. (Japan)  1,500  62,274 
TABCORP Holdings, Ltd. (Australia)  152,768  554,395 
Taylor Wimpey PLC (United Kingdom)  117,437  284,121 
TJX Cos., Inc. (The)  50,694  4,008,882 
Toppan Printing Co., Ltd. (Japan)  17,000  173,314 
Toro Co. (The)  5,300  331,038 
TransUnion †  14,400  552,240 
TUI AG (Germany)  7,111  98,538 
Twenty-First Century Fox, Inc.  1,838  59,533 
Vail Resorts, Inc.  24  4,606 
Valeo SA (France)  7,315  487,181 
Vantiv, Inc. Class A †  6,239  400,045 
Visteon Corp. †  5,100  499,545 
Wal-Mart Stores, Inc.  34,000  2,450,720 
Walt Disney Co. (The)  39,700  4,501,583 
William Hill PLC (United Kingdom)  128,412  467,861 
Wolters Kluwer NV (Netherlands)  9,135  379,722 
World Fuel Services Corp.  168  6,090 
WPP PLC (United Kingdom)  43,943  964,585 
Yue Yuen Industrial Holdings, Ltd. (Hong Kong)  54,500  214,241 
    56,371,086 

 

Dynamic Asset Allocation Conservative Fund   21 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Consumer staples (3.9%)     
Altria Group, Inc.  15,656  $1,118,152 
Aryzta AG (Switzerland)  7,036  225,835 
Ashtead Group PLC (United Kingdom)  21,232  439,724 
Beiersdorf AG (Germany)  1,028  97,308 
British American Tobacco PLC (United Kingdom)  15,364  1,020,227 
Bunge, Ltd.  13,500  1,070,010 
Campbell Soup Co.  20,900  1,196,316 
Church & Dwight Co., Inc.  266  13,265 
Coca-Cola Amatil, Ltd. (Australia)  118,325  978,131 
Colgate-Palmolive Co.  931  68,140 
ConAgra Foods, Inc.  31,200  1,258,608 
Constellation Brands, Inc. Class A  41  6,645 
Coty, Inc. Class A  202  3,662 
CVS Health Corp.  813  63,821 
Darden Restaurants, Inc.  13,600  1,137,912 
Dr. Pepper Snapple Group, Inc.  5,800  567,936 
Energizer Holdings, Inc.  6,900  384,675 
General Mills, Inc.  911  53,758 
Heineken Holding NV (Netherlands)  657  52,265 
Henkel AG & Co. KGaA (Preference) (Germany)  1,486  190,390 
Hershey Co. (The)  13,809  1,508,633 
Imperial Brands PLC (United Kingdom)  1,253  60,707 
Ingredion, Inc.  6,300  758,709 
ITOCHU Corp. (Japan)  32,900  466,918 
J Sainsbury PLC (United Kingdom)  129,270  428,067 
Jardine Cycle & Carriage, Ltd. (Singapore)  5,000  156,772 
Kao Corp. (Japan)  7,500  411,210 
Koninklijke Ahold Delhaize NV (Netherlands)  39,523  845,792 
Lamb Weston Holdings, Inc.  12,000  504,720 
Liberty Interactive Corp. †  3,600  160,128 
ManpowerGroup, Inc.  6,600  676,962 
Marine Harvest ASA (Norway)  24,110  367,566 
McDonald’s Corp.  35,794  4,639,260 
METRO AG (Germany)  27,802  889,182 
Nestle SA (Switzerland)  8,861  679,846 
PepsiCo, Inc.  42,864  4,794,767 
Philip Morris International, Inc.  26  2,935 
Pinnacle Foods, Inc.  10,600  613,422 
Pool Corp.  1,477  176,250 
Procter & Gamble Co. (The)  10,197  916,200 
Reckitt Benckiser Group PLC (United Kingdom)  552  50,390 
Recruit Holdings Co., Ltd. (Japan)  1,200  61,223 
Sodexo SA (France)  445  52,339 
Spectrum Brands Holdings, Inc. S   3,000  417,030 
Sysco Corp.  38,124  1,979,398 
Tate & Lyle PLC (United Kingdom)  61,489  588,968 
Tyson Foods, Inc. Class A  38,100  2,351,151 
Ulta Salon, Cosmetics & Fragrance, Inc. †  5,000  1,426,150 
Unilever PLC (United Kingdom)  753  37,167 

 

22    Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Consumer staples cont.     
US Foods Holding Corp. †  106  $2,966 
Walgreens Boots Alliance, Inc.  35,800  2,973,190 
Watsco, Inc.  4,900  701,582 
WH Group, Ltd. (Hong Kong)  475,000  409,509 
Wilmar International, Ltd. (Singapore)  73,600  185,730 
WM Morrison Supermarkets PLC (United Kingdom)  110,389  331,935 
Wolseley PLC (United Kingdom)  1,548  97,362 
Yum! Brands, Inc.  14,300  913,770 
    41,584,686 
Energy (2.2%)     
Baker Hughes, Inc.  31,100  1,860,402 
BP PLC (United Kingdom)  2,320  13,300 
California Resources Corp. †  6  90 
Cimarex Energy Co.  14,600  1,744,554 
Dril-Quip, Inc. †  78  4,255 
Exxon Mobil Corp.  52,679  4,320,205 
Halcon Resources Corp. †  2,658  20,467 
JX Holdings, Inc. (Japan)  14,500  71,204 
Koninklijke Vopak NV (Netherlands)  280  12,210 
Milagro Oil & Gas, Inc. (Units) F   42  3,402 
Nabors Industries, Ltd.  15,400  201,278 
Norsk Hydro ASA (Norway)  7,815  45,382 
OMV AG (Austria)  24,709  972,272 
ONEOK, Inc.  38,300  2,123,352 
Parsley Energy, Inc. Class A †  83,100  2,701,581 
Phillips 66  276  21,865 
QEP Resources, Inc. †  11,400  144,894 
Repsol SA (Spain)  58,724  906,812 
Rowan Cos. PLC Class A †  12,400  193,192 
Royal Dutch Shell PLC Class B (United Kingdom)  19,224  526,153 
SandRidge Energy, Inc. †  1,404  25,960 
Schlumberger, Ltd.  1,271  99,265 
Superior Energy Services, Inc. †  9,700  138,322 
TechnipFMC PLC (United Kingdom) †  657  21,353 
Tervita Corp. Class A (Canada)  59  433 
Total SA (France)  30,173  1,526,220 
Valero Energy Corp.  44,400  2,943,276 
Vestas Wind Systems A/S (Denmark)  4,427  359,945 
Williams Cos., Inc. (The)  80,600  2,384,954 
Woodside Petroleum, Ltd. (Australia)  2,546  62,400 
    23,448,998 
Financials (7.3%)     
3i Group PLC (United Kingdom)  116,598  1,094,912 
AerCap Holdings NV (Ireland) †  2,800  128,716 
Aflac, Inc.  22,981  1,664,284 
Ageas (Belgium)  717  28,026 
AGNC Investment Corp. R   33,968  675,624 
Alleghany Corp. †  9  5,532 
Allianz SE (Germany)  7,164  1,327,129 

 

Dynamic Asset Allocation Conservative Fund    23 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Financials cont.     
Allstate Corp. (The)  21,739  $1,771,511 
Ally Financial, Inc.  39,286  798,684 
American Financial Group, Inc.  2,495  238,073 
Ameriprise Financial, Inc.  12,700  1,646,936 
Annaly Capital Management, Inc. R   66,848  742,681 
Apartment Investment & Management Co. Class A R   9,900  439,065 
Apple Hospitality REIT, Inc. R   14,700  280,770 
Aspen Insurance Holdings, Ltd.  3,011  156,723 
Associated Banc-Corp.  187  4,563 
Assured Guaranty, Ltd.  10,297  382,122 
AXA SA (France)  27,929  722,669 
Banco Santander SA (Spain)  84,597  518,475 
Bank of Montreal (Canada)  978  73,049 
Bank of New York Mellon Corp. (The)  687  32,447 
Bank of Nova Scotia (The) (Canada)  1,350  78,979 
Barratt Developments PLC (United Kingdom)  24,692  169,069 
Berkshire Hathaway, Inc. Class B †  328  54,671 
BNP Paribas SA (France)  18,852  1,255,549 
Brandywine Realty Trust R   13,819  224,282 
Brixmor Property Group, Inc. R   24,200  519,332 
Broadridge Financial Solutions, Inc.  270  18,347 
Camden Property Trust R   7,000  563,220 
Canadian Imperial Bank of Commerce (Canada)  142  12,244 
Capital One Financial Corp.  453  39,257 
Chimera Investment Corp. R   16,077  324,434 
Citigroup, Inc.  117,400  7,022,868 
Colony NorthStar, Inc. Class A R   37,300  481,543 
CoreLogic, Inc. †  4,344  176,888 
Corporate Office Properties Trust R   181  5,991 
Credit Agricole SA (France)  30,832  417,723 
Daiwa Securities Group, Inc. (Japan)  20,000  121,782 
DBS Group Holdings, Ltd. (Singapore)  3,300  45,766 
DGB Financial Group, Inc. (South Korea)  23,652  229,477 
Discover Financial Services  21,842  1,493,774 
Duke Realty Corp. R   21,000  551,670 
E*Trade Financial Corp. †  47,600  1,660,764 
East West Bancorp, Inc.  7,000  361,270 
Equity Commonwealth †R   6,474  202,118 
Equity Lifestyle Properties, Inc. R   3,286  253,219 
Equity Residential Trust R   19,727  1,227,414 
Everest Re Group, Ltd.  86  20,108 
First Hawaiian, Inc.  17,200  514,624 
Forest City Realty Trust, Inc. Class A R   18,000  392,040 
Fukuoka Financial Group, Inc. (Japan)  47,000  203,485 
Gaming and Leisure Properties, Inc. R   6,000  200,520 
Goldman Sachs Group, Inc. (The)  24,300  5,582,196 
Goodman Group (Australia) R   7,015  41,482 
Hana Financial Group, Inc. (South Korea)  2,237  73,913 
Hanover Insurance Group, Inc. (The)  52  4,683 

 

24    Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Financials cont.     
Hartford Financial Services Group, Inc. (The)  27,500  $1,321,925 
HCP, Inc. R   32,900  1,029,112 
Highwoods Properties, Inc. R   8,161  400,950 
HSBC Holdings PLC (United Kingdom)  37,627  306,853 
Iida Group Holdings Co., Ltd. (Japan)  9,300  142,679 
Industrial Bank of Korea (South Korea)  34,767  379,288 
Intercontinental Exchange, Inc.  550  32,929 
Investor AB Class B (Sweden)  24,345  1,024,807 
JPMorgan Chase & Co.  102,590  9,011,506 
Kerry Properties, Ltd. (Hong Kong)  84,500  293,029 
Liberty Property Trust R   8,297  319,849 
Lincoln National Corp.  13,600  890,120 
Macerich Co. (The) R   158  10,175 
Mapfre SA (Spain)  68,656  235,474 
Marsh & McLennan Cos., Inc.  592  43,743 
Medibank Private, Ltd. (Australia)  5,373  11,576 
MFA Financial, Inc. R   21,198  171,280 
Mid-America Apartment Communities, Inc. R   1,658  168,685 
Mitsubishi UFJ Financial Group, Inc. (Japan)  154,862  973,295 
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan)  76,800  382,862 
Mizuho Financial Group, Inc. (Japan)  631,925  1,157,933 
Morgan Stanley  20,100  861,084 
Muenchener Rueckversicherungs-Gesellschaft     
AG in Muenchen (Germany)  680  133,043 
New World Development Co., Ltd. (Hong Kong)  366,000  450,230 
NN Group NV (Netherlands)  22,476  730,951 
Nomura Real Estate Holdings, Inc. (Japan)  8,500  135,444 
Onex Corp. (Canada)  257  18,446 
ORIX Corp. (Japan)  52,600  778,393 
Outfront Media, Inc. R   8,500  225,675 
Park Hotels & Resorts, Inc. R   19,100  490,297 
Partners Group Holding AG (Switzerland)  609  327,406 
Persimmon PLC (United Kingdom)  11,418  299,560 
PNC Financial Services Group, Inc. (The)  798  95,952 
Popular, Inc. (Puerto Rico)  12,732  518,574 
Prudential Financial, Inc.  21,800  2,325,624 
Public Storage R   22  4,816 
Quality Care Properties, Inc. †R   10,000  188,600 
Raymond James Financial, Inc.  2,800  213,528 
Regency Centers Corp. R   256  16,996 
Reinsurance Group of America, Inc.  3,310  420,304 
Resona Holdings, Inc. (Japan)  128,700  691,186 
Retail Properties of America, Inc. Class A R   254  3,663 
Sekisui Chemical Co., Ltd. (Japan)  19,000  319,312 
Senior Housing Properties Trust R   7,900  159,975 
Societe Generale SA (France)  16,954  860,014 
Spirit Realty Capital, Inc. R   59,100  598,683 
Starwood Property Trust, Inc. R   18,300  413,214 
Sumitomo Mitsui Financial Group, Inc. (Japan)  28,893  1,049,782 

 

Dynamic Asset Allocation Conservative Fund    25 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Financials cont.     
Sumitomo Mitsui Trust Holdings, Inc. (Japan)  7,500  $260,038 
Sun Hung Kai Properties, Ltd. (Hong Kong)  18,000  264,505 
SunTrust Banks, Inc.  23,098  1,277,319 
Swiss Life Holding AG (Switzerland)  2,870  926,056 
Swiss Re AG (Switzerland)  11,405  1,024,190 
TCF Financial Corp.  17,084  290,770 
Toronto-Dominion Bank (Canada)  1,599  80,091 
Travelers Cos., Inc. (The)  6,020  725,651 
Tryg A/S (Denmark)  860  15,600 
Two Harbors Investment Corp. R   25,562  245,140 
U.S. Bancorp  782  40,273 
UBS Group AG (Switzerland)  6,503  104,071 
Unum Group  14,500  679,905 
Validus Holdings, Ltd.  5,500  310,145 
VEREIT, Inc. R   72,300  613,827 
Voya Financial, Inc.  13,904  527,796 
Weingarten Realty Investors R   146  4,875 
Wells Fargo & Co.  1,850  102,971 
Western Alliance Bancorp †  203  9,965 
Wharf Holdings, Ltd. (The) (Hong Kong)  32,000  274,645 
Wheelock and Co., Ltd. (Hong Kong)  81,000  640,475 
Woori Bank (South Korea)  17,979  209,002 
WP Carey, Inc. R   2,600  161,772 
    76,704,597 
Health care (4.8%)     
Actelion, Ltd. (Switzerland)  558  157,487 
Alfresa Holdings Corp. (Japan)  5,700  98,763 
AmerisourceBergen Corp. S   22,592  1,999,392 
Astellas Pharma, Inc. (Japan)  32,200  424,012 
AstraZeneca PLC (United Kingdom)  6,893  424,255 
Baxter International, Inc.  27,100  1,405,406 
Bayer AG (Germany)  10,170  1,172,273 
Bruker Corp.  6,600  153,978 
C.R. Bard, Inc.  4,998  1,242,203 
Celgene Corp. †  39,300  4,890,099 
Charles River Laboratories International, Inc. †  4,876  438,596 
DaVita Inc. †  513  34,869 
Eli Lilly & Co.  34,800  2,927,028 
Fresenius SE & Co. KGaA (Germany)  1,986  159,599 
Gilead Sciences, Inc.  85,900  5,834,328 
GlaxoSmithKline PLC (United Kingdom)  72,910  1,515,936 
Hologic, Inc. †  6,300  268,065 
Intuitive Surgical, Inc. †  71  54,419 
Johnson & Johnson  70,821  8,820,756 
McKesson Corp.  19,625  2,909,603 
Medipal Holdings Corp. (Japan)  16,000  250,930 
Merck & Co., Inc.  54,554  3,466,361 
Merck KGaA (Germany)  494  56,284 
Mitsubishi Tanabe Pharma Corp. (Japan)  23,200  483,047 

 

26    Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Health care cont.     
Novartis AG (Switzerland)  9,455  $701,821 
Pfizer, Inc.  3,646  124,730 
Premier, Inc. Class A †  6,100  194,163 
Roche Holding AG (Switzerland)  4,968  1,268,721 
Sanofi (France)  16,366  1,477,401 
Smith & Nephew PLC (United Kingdom)  256  3,900 
Sonic Healthcare, Ltd. (Australia)  30,126  509,120 
Sumitomo Dainippon Pharma Co., Ltd. (Japan)  2,800  46,227 
Taro Pharmaceutical Industries, Ltd. (Israel) † S   723  84,316 
Teva Pharmaceutical Industries, Ltd. (acquired 8/1/16, cost $21,608)     
(Israel) ΔΔ   401  13,184 
Thermo Fisher Scientific, Inc.  599  92,006 
UnitedHealth Group, Inc.  38,181  6,262,066 
VWR Corp. †  143  4,033 
Waters Corp. †  39  6,096 
WellCare Health Plans, Inc. †  5,600  785,176 
    50,760,649 
Technology (6.8%)     
Adobe Systems, Inc. †  5,900  767,767 
Agilent Technologies, Inc.  22,892  1,210,300 
Alphabet, Inc. Class A †  13,948  11,825,114 
Amadeus IT Holding SA Class A (Spain)  19,107  969,432 
Amdocs, Ltd.  18,060  1,101,479 
Apple, Inc.  90,495  13,000,512 
Applied Materials, Inc.  106,824  4,155,454 
AtoS SE (France)  8,168  1,010,344 
Check Point Software Technologies, Ltd. (Israel) †  156  16,015 
Cisco Systems, Inc.  3,802  128,508 
Citrix Systems, Inc. †  17,800  1,484,342 
CommerceHub, Inc. Ser. C †  335  5,203 
Computer Sciences Corp.  20,600  1,421,606 
Dell Technologies, Inc. Class V †  12,100  775,368 
DST Systems, Inc.  1,900  232,750 
Dun & Bradstreet Corp. (The)  6,000  647,640 
eBay, Inc. †  43,419  1,457,576 
F5 Networks, Inc. †  7,200  1,026,504 
Facebook, Inc. Class A †  17,600  2,500,080 
Fiserv, Inc. †  482  55,579 
Fitbit, Inc. Class A †  1,459  8,637 
FLIR Systems, Inc.  9,600  348,288 
Fortinet, Inc. †  26,200  1,004,770 
Fujitsu, Ltd. (Japan)  5,000  30,580 
Genpact, Ltd.  377  9,335 
Hoya Corp. (Japan)  5,400  259,790 
HP, Inc.  140,600  2,513,928 
Intuit, Inc.  15,870  1,840,761 
Maxim Integrated Products, Inc.  23,900  1,074,544 
Microsoft Corp.  180,748  11,904,063 
Mixi, Inc. (Japan)  3,500  168,508 

 

Dynamic Asset Allocation Conservative Fund    27 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Technology cont.     
Motorola Solutions, Inc.  218  $18,796 
MSCI, Inc.  83  8,067 
NCR Corp. †  11,900  543,592 
NEC Corp. (Japan)  19,000  45,738 
Open Text Corp. (Canada)  864  29,366 
Otsuka Corp. (Japan)  3,800  206,162 
Paychex, Inc.  1,259  74,155 
Samsung Electronics Co., Ltd. (South Korea)  387  712,886 
SoftBank Corp. (Japan)  2,100  148,300 
Synopsys, Inc. †  10,254  739,621 
Teradyne, Inc.  21,200  659,320 
Texas Instruments, Inc.  50,572  4,074,080 
Tokyo Electron, Ltd. (Japan)  200  21,836 
VMware, Inc. Class A †  11,400  1,050,396 
Xerox Corp.  26,400  193,776 
    71,480,868 
Transportation (1.2%)     
Aena SA (Spain)  544  86,064 
ANA Holdings, Inc. (Japan)  110,000  335,741 
Central Japan Railway Co. (Japan)  5,500  896,165 
Delta Air Lines, Inc.  52,000  2,389,920 
Deutsche Lufthansa AG (Germany)  3,847  62,380 
Deutsche Post AG (Germany)  29,329  1,004,507 
easyJet PLC (United Kingdom)  3,493  44,902 
International Consolidated Airlines Group SA (Spain)  21,747  143,838 
Japan Airlines Co., Ltd. (Japan)  2,700  85,513 
Landstar System, Inc.  3,300  282,645 
Norfolk Southern Corp.  15,500  1,735,535 
Qantas Airways, Ltd. (Australia)  134,566  399,925 
Royal Mail PLC (United Kingdom)  98,376  523,835 
Southwest Airlines Co.  481  25,859 
Transurban Group (Units) (Australia)  5,454  48,627 
Union Pacific Corp.  37,000  3,919,040 
United Parcel Service, Inc. Class B  892  95,712 
Yangzijiang Shipbuilding Holdings, Ltd. (China)  597,300  482,503 
    12,562,711 
Utilities and power (1.5%)     
American Electric Power Co., Inc.  24,624  1,653,009 
American Water Works Co., Inc.  224  17,420 
AusNet Services (Units) (Australia)  22,333  28,750 
CenterPoint Energy, Inc.  27,700  763,689 
Centrica PLC (United Kingdom)  325,184  884,108 
Chubu Electric Power Co., Inc. (Japan)  20,200  270,531 
E.ON SE (Germany)  56,878  452,108 
Edison International  2,000  159,220 
Endesa SA (Spain)  21,758  511,348 
Enel SpA (Italy)  231,305  1,089,182 
Entergy Corp.  36,500  2,772,540 
Eversource Energy  225  13,226 

 

28    Dynamic Asset Allocation Conservative Fund 

 


COMMON STOCKS (38.3%)* cont.  Shares  Value 
Utilities and power cont.     
Exelon Corp.  37,000  $1,331,260 
FirstEnergy Corp.  45,600  1,450,992 
Gas Natural SDG SA (Spain)  2,902  63,589 
Great Plains Energy, Inc.  378  11,045 
HK Electric Investments & HK Electric Investments, Ltd. (units)     
(Hong Kong)  20,500  18,887 
Iberdrola SA (Spain)  19,740  141,198 
NiSource, Inc.  35,178  836,885 
PG&E Corp.  840  55,742 
PPL Corp.  10,400  388,856 
RWE AG (Germany) †  13,561  224,743 
Southern Co. (The)  866  43,109 
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) F   2,297  2,986 
Tohoku Electric Power Co., Inc. (Japan)  18,900  256,006 
Tokyo Electric Power Company Holdings, Inc. (Japan) †  15,100  59,136 
Tokyo Gas Co., Ltd. (Japan)  31,000  141,064 
UGI Corp.  35,750  1,766,050 
Vectren Corp.  3,900  228,579 
Westar Energy, Inc.  205  11,125 
    15,646,383 
Total common stocks (cost $357,819,261)    $404,263,401 
 
  Principal   
CORPORATE BONDS AND NOTES (24.5%)*  amount  Value 
Basic materials (1.3%)     
A Schulman, Inc. company guaranty sr. unsec. unsub. notes     
6.875%, 6/1/23  $60,000  $62,250 
Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada)  120,000  130,182 
Allegheny Technologies, Inc. sr. unsec. unsub. notes     
9.375%, 6/1/19  120,000  131,400 
Allegheny Technologies, Inc. sr. unsec. unsub. notes     
5.95%, 1/15/21  15,000  14,775 
ArcelorMittal SA sr. unsec. unsub. bonds 10.60%, 6/1/19 (France)  89,000  105,465 
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France)  35,000  38,806 
Archer-Daniels-Midland Co. sr. unsec. notes 5.45%, 3/15/18  413,000  428,372 
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub.     
notes 6.375%, 10/1/23  100,000  106,500 
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes     
9.75%, 10/15/23  110,000  131,725 
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24  130,000  132,275 
Boise Cascade Co. 144A company guaranty sr. unsec. notes     
5.625%, 9/1/24  170,000  172,550 
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes     
10.75%, 8/15/23  189,000  219,713 
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes     
5.625%, 9/1/24  80,000  81,200 
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24  115,000  115,935 
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25  145,000  145,000 
Celanese US Holdings, LLC company guaranty sr. unsec. unsub.     
notes 4.625%, 11/15/22 (Germany)  620,000  655,650 

 

Dynamic Asset Allocation Conservative Fund    29 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Basic materials cont.     
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%,     
4/1/24 (Mexico)  $200,000  $210,300 
Chemours Co. (The) company guaranty sr. unsec. unsub. notes     
7.00%, 5/15/25  115,000  123,798 
Chemours Co. (The) company guaranty sr. unsec. unsub. notes     
6.625%, 5/15/23  75,000  79,500 
Compass Minerals International, Inc. 144A company guaranty sr.     
unsec. notes 4.875%, 7/15/24  145,000  141,919 
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes     
8.00%, 10/1/21  30,000  31,425 
Cytec Industries, Inc. sr. unsec. unsub. notes 3.50%, 4/1/23  140,000  140,087 
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24  765,000  777,557 
E. I. du Pont de Nemours & Co. sr. unsec. notes 3.625%, 1/15/21  315,000  326,872 
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25  230,000  234,993 
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec.     
notes 7.00%, 2/15/21 (Canada)  99,000  101,970 
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25  120,000  122,592 
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes     
3.55%, 3/1/22 (Indonesia)  10,000  9,275 
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes     
6.75%, 2/1/22 (Indonesia)  50,000  51,250 
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub.     
notes 6.875%, 2/15/23 (Indonesia)  90,000  92,925 
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec.     
notes 9.50%, 2/1/23  185,000  209,975 
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub.     
notes 4.625%, 4/29/24  755,000  784,098 
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub.     
notes 4.00%, 4/16/25  511,000  508,532 
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub.     
notes 7.375%, 12/15/23  30,000  31,500 
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes     
7.625%, 1/15/25 (Canada)  55,000  59,675 
Huntsman International, LLC company guaranty sr. unsec. notes     
5.125%, 11/15/22  5,000  5,225 
Huntsman International, LLC company guaranty sr. unsec. unsub.     
notes 4.875%, 11/15/20  79,000  82,358 
INVISTA Finance, LLC 144A company guaranty sr. notes     
4.25%, 10/15/19  130,000  133,575 
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22  85,000  95,625 
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A     
company guaranty sr. unsec. notes 10.50%, 4/15/23  100,000  114,750 
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A     
company guaranty sr. unsec. notes 7.00%, 4/15/25  60,000  60,825 
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes     
4.875%, 9/15/24  85,000  85,425 
Lubrizol Corp. (The) sr. unsec. notes 8.875%, 2/1/19  245,000  275,796 
Mercer International, Inc. company guaranty sr. unsec. notes     
7.75%, 12/1/22 (Canada)  55,000  58,867 
Mercer International, Inc. 144A sr. unsec. notes 6.50%,     
2/1/24 (Canada)  25,000  25,063 

 

30    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Basic materials cont.     
Methanex Corp. sr. unsec. unsub. notes 5.65%, 12/1/44 (Canada)  $300,000  $286,878 
Methanex Corp. sr. unsec. unsub. notes 3.25%, 12/15/19 (Canada)  33,000  33,221 
Monsanto Company sr. unsec. sub. notes 5.50%, 8/15/25  640,000  721,522 
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes     
7.00%, 4/15/20 (Canada)  30,000  30,000 
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes     
6.25%, 11/15/22 (Canada)  55,000  55,206 
Norbord, Inc. 144A company guaranty sr. notes 6.25%,     
4/15/23 (Canada)  135,000  142,425 
Novelis Corp. 144A company guaranty sr. unsec. bonds     
5.875%, 9/30/26  125,000  127,656 
Novelis Corp. 144A company guaranty sr. unsec. notes     
6.25%, 8/15/24  75,000  78,000 
Olin Corp. sr. unsec. bonds 5.125%, 9/15/27  55,000  55,930 
Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23  225,000  240,578 
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27  10,000  11,150 
Platform Specialty Products Corp. 144A sr. unsec. notes     
10.375%, 5/1/21  15,000  16,688 
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22  25,000  26,563 
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. unsub.     
notes 9.00%, 5/1/19 (Australia)  110,000  125,490 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
6.875%, 7/15/33  50,000  54,375 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
6.50%, 12/1/20  37,000  41,440 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
5.25%, 4/1/23  40,000  41,850 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
5.125%, 12/1/24  20,000  20,775 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
4.875%, 12/1/22  20,000  20,837 
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25  15,000  15,900 
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec.     
unsub. notes 7.50%, 11/20/25 (Ireland)  90,000  105,525 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes     
6.375%, 8/15/22  147,000  153,064 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 10/1/24  60,000  62,700 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes     
5.25%, 4/15/23  4,000  4,150 
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26  35,000  35,438 
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes     
4.75%, 1/15/22 (Canada)  45,000  46,472 
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes     
3.75%, 2/1/23 (Canada)  40,000  38,850 
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes     
8.50%, 6/1/24 (Canada)  15,000  17,306 
TMS International Corp. 144A company guaranty sr. unsec. sub.     
notes 7.625%, 10/15/21  140,000  141,225 
Tronox Finance, LLC company guaranty sr. unsec. notes     
6.375%, 8/15/20  45,000  45,169 

 

Dynamic Asset Allocation Conservative Fund     31 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Basic materials cont.     
Tronox Finance, LLC 144A company guaranty sr. unsec. notes     
7.50%, 3/15/22  $55,000  $56,925 
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes     
6.375%, 6/1/24  100,000  103,500 
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes     
6.375%, 6/1/24  50,000  51,750 
Univar USA, Inc. 144A company guaranty sr. unsec. notes     
6.75%, 7/15/23  230,000  238,625 
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25  85,000  88,400 
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes     
6.00%, 2/1/23  77,000  74,690 
Westlake Chemical Corp. 144A company guaranty sr. unsec.     
unsub. bonds 3.60%, 8/15/26  1,070,000  1,047,901 
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes     
8.20%, 1/15/30  575,000  778,306 
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes     
7.95%, 2/15/31  175,000  236,837 
WestRock RKT Co. company guaranty sr. unsec. unsub. notes     
4.45%, 3/1/19  135,000  140,916 
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R   260,000  341,880 
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes     
5.625%, 10/1/24  145,000  152,794 
Zekelman Industries, Inc. 144A company guaranty sr. notes     
9.875%, 6/15/23  80,000  89,400 
    13,845,857 
Capital goods (0.8%)     
Advanced Disposal Services, Inc. 144A sr. unsec. notes     
5.625%, 11/15/24  195,000  196,950 
American Axle & Manufacturing, Inc. company guaranty sr. unsec.     
notes 7.75%, 11/15/19  72,000  79,200 
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub.     
notes 5.00%, 3/15/22  75,000  75,375 
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A     
company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland)  200,000  213,750 
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%,     
6/15/23 (Canada)  40,000  41,600 
Belden, Inc. 144A company guaranty sr. unsec. sub. notes     
5.50%, 9/1/22  80,000  81,600 
Belden, Inc. 144A company guaranty sr. unsec. sub. notes     
5.25%, 7/15/24  25,000  24,938 
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22  25,000  26,438 
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22  24,000  24,930 
Berry Plastics Corp. company guaranty unsub. notes     
5.125%, 7/15/23  85,000  87,125 
Boeing Capital Corp. sr. unsec. unsub. notes 4.70%, 10/27/19  190,000  204,577 
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada)  155,000  170,113 
Briggs & Stratton Corp. company guaranty sr. unsec. notes     
6.875%, 12/15/20  140,000  153,300 
Covidien International Finance SA company guaranty sr. unsec.     
unsub. notes 6.00%, 10/15/17 (Luxembourg)  525,000  537,710 

 

32     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Capital goods cont.     
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds     
7.375%, 12/15/26  $35,000  $40,163 
Deere & Co. sr. unsec. unsub. notes 2.60%, 6/8/22  570,000  570,715 
Gates Global, LLC/Gates Global Co. 144A company guaranty sr.     
unsec. notes 6.00%, 7/15/22  155,000  157,906 
General Dynamics Corp. company guaranty sr. unsec. unsub.     
notes 3.60%, 11/15/42  260,000  246,791 
General Dynamics Corp. company guaranty sr. unsec. unsub.     
notes 2.25%, 11/15/22  160,000  157,599 
Honeywell International, Inc. sr. unsec. unsub. notes     
5.375%, 3/1/41  255,000  309,270 
Honeywell International, Inc. sr. unsec. unsub. notes 4.25%, 3/1/21  150,000  161,396 
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64  405,000  412,773 
Johnson Controls International PLC sr. unsec. unsub. bonds     
4.50%, 2/15/47  575,000  583,603 
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22  345,000  355,781 
L3 Technologies, Inc. company guaranty sr. unsec. bonds     
3.85%, 12/15/26  150,000  152,087 
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France)  326,000  421,921 
MasTec, Inc. company guaranty sr. unsec. unsub. notes     
4.875%, 3/15/23  205,000  202,438 
Medtronic, Inc. company guaranty sr. unsec. sub. notes     
4.375%, 3/15/35  178,000  186,600 
Medtronic, Inc. company guaranty sr. unsec. sub. notes     
3.50%, 3/15/25  190,000  194,417 
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22  110,000  112,750 
Oshkosh Corp. company guaranty sr. unsec. sub. notes     
5.375%, 3/1/25  165,000  170,363 
Oshkosh Corp. company guaranty sr. unsec. sub. notes     
5.375%, 3/1/22  50,000  51,938 
Raytheon Co. sr. unsec. notes 4.875%, 10/15/40  195,000  220,990 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds     
Group Issuer Lu 144A company guaranty sr. FRN 4.523%, 7/15/21  345,000  352,980 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds     
Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes     
7.00%, 7/15/24  95,000  101,709 
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47  740,000  739,014 
Tenneco, Inc. company guaranty sr. unsec. unsub. notes     
5.375%, 12/15/24  284,000  291,631 
Tenneco, Inc. company guaranty sr. unsec. unsub. notes     
5.00%, 7/15/26  40,000  39,175 
TI Group Automotive Systems, LLC 144A sr. unsec. notes     
8.75%, 7/15/23  125,000  132,604 
TransDigm, Inc. company guaranty sr. unsec. sub. notes     
6.375%, 6/15/26  65,000  65,038 
TransDigm, Inc. company guaranty sr. unsec. unsub. notes     
6.50%, 7/15/24  58,000  58,798 
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes     
6.50%, 5/15/25  40,000  40,350 

 

Dynamic Asset Allocation Conservative Fund   33 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Capital goods cont.     
Welbilt, Inc. sr. unsec. notes 9.50%, 2/15/24  $185,000  $213,213 
ZF North America Capital, Inc. 144A company guaranty sr. unsec.     
unsub. notes 4.50%, 4/29/22  175,000  182,219 
    8,843,838 
Communication services (1.9%)     
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R   1,115,000  1,043,643 
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25 R   735,000  743,667 
AT&T, Inc. sr. unsec. unsub. notes 5.80%, 2/15/19  360,000  384,423 
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46  567,000  529,060 
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25  568,000  548,646 
AT&T, Inc. sr. unsec. unsub. notes 1.70%, 6/1/17  525,000  525,147 
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20  30,000  33,225 
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty     
sr. unsec. notes 5.25%, 9/30/22  53,000  54,723 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company     
guaranty sr. unsec. bonds 5.50%, 5/1/26  50,000  51,750 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company     
guaranty sr. unsec. notes 5.875%, 4/1/24  130,000  137,150 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.     
notes 5.75%, 2/15/26  20,000  21,000 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.     
unsub. notes 5.125%, 5/1/23  65,000  66,950 
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23  50,000  52,125 
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20  13,000  13,629 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. unsec. unsub. notes 5.125%, 12/15/21  113,000  114,554 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. unsec. unsub. notes 5.125%, 12/15/21  95,000  96,425 
Charter Communications Operating, LLC/Charter     
Communications Operating Capital Corp. company guaranty sr.     
sub. bonds 6.484%, 10/23/45  1,118,000  1,287,194 
Charter Communications Operating, LLC/Charter     
Communications Operating Capital Corp. company guaranty sr.     
sub. notes 4.908%, 7/23/25  337,000  356,097 
Charter Communications Operating, LLC/Charter     
Communications Operating Capital Corp. 144A company guaranty     
sr. bonds 5.375%, 5/1/47 ##   296,000  297,350 
Comcast Corp. company guaranty sr. unsec. unsub. bonds     
2.35%, 1/15/27  495,000  453,556 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.95%, 8/15/37  539,000  723,119 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.50%, 11/15/35  82,000  104,748 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.45%, 3/15/37  300,000  382,093 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
3.375%, 2/15/25  835,000  845,615 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
3.15%, 3/1/26  250,000  245,973 
CommScope Technologies Finance, LLC 144A sr. unsec. notes     
6.00%, 6/15/25  45,000  47,138 

 

34    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Communication services cont.     
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23 R   $190,000  $207,335 
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22 R   54,000  58,096 
Crown Castle International Corp. sr. unsec. unsub. bonds     
3.70%, 6/15/26 R   455,000  447,502 
Crown Castle Towers, LLC 144A company guaranty sr. notes     
6.113%, 1/15/20  410,000  443,777 
Crown Castle Towers, LLC 144A company guaranty sr. notes     
4.883%, 8/15/20  115,000  122,403 
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24  202,000  201,243 
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21  146,000  158,045 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23  305,000  353,800 
Deutsche Telekom International Finance BV company guaranty sr.     
unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands)  163,000  237,597 
DISH DBS Corp. company guaranty sr. unsec. unsub. notes     
5.875%, 11/15/24  75,000  78,769 
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25  55,000  53,488 
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22  135,000  136,688 
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20  25,000  26,375 
Frontier Communications Corp. sr. unsec. unsub. notes     
7.625%, 4/15/24  14,000  11,970 
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes     
7.50%, 4/1/21 (Bermuda)  37,000  33,254 
Intelsat Jackson Holdings SA 144A company guaranty sr. notes     
8.00%, 2/15/24 (Bermuda)  4,000  4,240 
Intelsat Luxembourg SA company guaranty sr. unsec. bonds     
7.75%, 6/1/21 (Luxembourg)  59,000  35,400 
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds     
8.125%, 6/1/23 (Luxembourg)  184,000  111,205 
Koninklijke KPN NV sr. unsec. unsub. bonds 8.375%,     
10/1/30 (Netherlands)  135,000  180,943 
NBCUniversal Media, LLC company guaranty sr. unsec. unsub.     
notes 4.375%, 4/1/21  970,000  1,041,775 
Orange SA sr. unsec. unsub. notes 4.125%, 9/14/21 (France)  201,000  211,962 
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%,     
1/15/23 (Canada)  19,000  19,808 
Rogers Communications, Inc. company guaranty sr. unsec. unsub.     
notes 4.50%, 3/15/43 (Canada)  410,000  410,200 
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes     
6.875%, 11/15/28  92,000  97,175 
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20  27,000  29,025 
Sprint Communications, Inc. 144A company guaranty sr. unsec.     
notes 9.00%, 11/15/18  104,000  113,230 
Sprint Corp. company guaranty sr. unsec. sub. notes     
7.875%, 9/15/23  195,000  215,963 
Sprint Corp. company guaranty sr. unsec. sub. notes     
7.25%, 9/15/21  214,000  231,013 
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/     
Sprint Spectrum Co. III, LL 144A company guaranty sr. notes     
3.36%, 9/20/21  590,000  588,525 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.625%, 4/1/23  197,000  209,805 

 

Dynamic Asset Allocation Conservative Fund   35 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Communication services cont.     
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.375%, 3/1/25  $335,000  $360,963 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.25%, 4/1/21  60,000  61,875 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.00%, 3/1/23  20,000  21,356 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
5.375%, 4/15/27  60,000  61,950 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
4.00%, 4/15/22  30,000  30,488 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes     
6.836%, 4/28/23  2,000  2,140 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes     
6.633%, 4/28/21  20,000  20,675 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes     
6.125%, 1/15/22  93,000  97,883 
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28  365,000  476,867 
Telecom Italia SpA 144A sr. unsec. notes 5.303%, 5/30/24 (Italy)  300,000  303,375 
Verizon Communications, Inc. sr. unsec. unsub. notes     
4.522%, 9/15/48  932,000  844,363 
Verizon Communications, Inc. sr. unsec. unsub. notes     
4.40%, 11/1/34  775,000  733,376 
Verizon Communications, Inc. 144A sr. unsec. unsub. notes     
2.946%, 3/15/22  406,000  404,384 
Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%,     
4/15/27 (Canada)  495,000  499,950 
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%,     
7/15/22 (Canada)  129,000  134,483 
Vodafone Group PLC sr. unsec. unsub. notes 1.25%, 9/26/17     
(United Kingdom)  909,000  908,217 
West Corp. 144A company guaranty sr. unsec. sub. notes     
5.375%, 7/15/22  110,000  108,075 
WideOpenWest Finance, LLC/WideOpenWest Capital Corp.     
company guaranty sr. unsec. sub. notes 10.25%, 7/15/19  93,000  96,836 
Windstream Services, LLC company guaranty sr. unsec. notes     
6.375%, 8/1/23  119,000  105,613 
    20,502,480 
Conglomerates (0.5%)     
General Electric Co. jr. unsec. sub. FRB Ser. D, 5.00%,     
perpetual maturity  231,000  243,705 
General Electric Co. sr. unsec. bonds 4.50%, 3/11/44  1,890,000  2,033,260 
Siemens Financieringsmaatschappij NV 144A company guaranty     
sr. unsec. notes 2.20%, 3/16/20 (Netherlands)  2,945,000  2,958,026 
    5,234,991 
Consumer cyclicals (3.3%)     
21st Century Fox America, Inc. company guaranty sr. unsec. notes     
7.75%, 1/20/24  300,000  368,715 
21st Century Fox America, Inc. company guaranty sr. unsec. unsub.     
notes 7.75%, 12/1/45  1,048,000  1,449,078 
Amazon.com, Inc. sr. unsec. notes 1.20%, 11/29/17  517,000  516,858 

 

36     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.     
sub. notes 5.875%, 2/15/22  $23,000  $24,006 
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.     
sub. notes 5.75%, 6/15/25  40,000  41,000 
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds     
5.875%, 11/15/26  35,000  35,350 
American Builders & Contractors Supply Co., Inc. 144A sr. unsec.     
notes 5.75%, 12/15/23  80,000  83,000 
American Tire Distributors, Inc. 144A sr. unsec. sub. notes     
10.25%, 3/1/22  120,000  122,100 
Autonation, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 2/1/20  675,000  724,963 
Bon-Ton Department Stores, Inc. (The) company guaranty notes     
8.00%, 6/15/21  52,000  20,800 
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes     
6.875%, 5/15/23  40,000  43,100 
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes     
6.375%, 4/1/26  30,000  32,100 
Brookfield Residential Properties, Inc. 144A company guaranty sr.     
unsec. notes 6.50%, 12/15/20 (Canada)  88,000  90,970 
Brookfield Residential Properties, Inc./Brookfield Residential     
US Corp. 144A company guaranty sr. unsec. notes 6.125%,     
7/1/22 (Canada)  125,000  129,400 
Caesars Growth Properties Holdings, LLC/Caesars Growth     
Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22  155,000  166,625 
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes     
6.25%, 12/15/21  105,000  114,713 
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes     
5.875%, 11/15/24  25,000  26,250 
CBS Corp. company guaranty sr. unsec. unsub. bonds     
2.90%, 1/15/27  434,000  403,564 
CBS Radio, Inc. 144A company guaranty sr. unsec. notes     
7.25%, 11/1/24  30,000  31,500 
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22  40,000  40,800 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management     
Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21  40,000  41,000 
Cinemark USA, Inc. company guaranty sr. unsec. notes     
5.125%, 12/15/22  40,000  40,800 
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes     
4.875%, 6/1/23  17,000  17,179 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.     
unsec. sub. notes 7.625%, 3/15/20  59,000  59,443 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.     
unsec. unsub. notes 6.50%, 11/15/22  190,000  197,600 
Daimler Finance North America, LLC 144A company guaranty sr.     
unsec. unsub. notes 2.375%, 8/1/18  972,000  978,998 
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23  150,000  156,750 
Diamond Resorts International, Inc. 144A sr. unsec. notes     
10.75%, 9/1/24  60,000  62,400 
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23  445,000  444,914 

 

Dynamic Asset Allocation Conservative Fund    37 

 


    Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.    amount  Value 
Consumer cyclicals cont.       
Eagle II Acquisition Co., LLC 144A sr. unsec. unsub. notes       
6.00%, 4/1/25    $30,000  $30,900 
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26    1,390,000  1,321,217 
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes       
7.00%, 8/1/23    70,000  75,075 
Expedia, Inc. company guaranty sr. unsec. unsub. notes       
5.95%, 8/15/20    350,000  383,191 
Expedia, Inc. company guaranty sr. unsec. unsub. notes       
5.00%, 2/15/26    595,000  636,038 
Ford Motor Co. sr. unsec. unsub. bonds 7.70%, 5/15/97    95,000  113,710 
Ford Motor Co. sr. unsec. unsub. notes 9.98%, 2/15/47    245,000  374,244 
Ford Motor Co. sr. unsec. unsub. notes 7.45%, 7/16/31    575,000  725,258 
Ford Motor Co. sr. unsec. unsub. notes 7.40%, 11/1/46    140,000  180,473 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 8.125%, 1/15/20    865,000  994,120 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes Ser. GMTN,       
4.389%, 1/8/26    780,000  796,660 
Gartner, Inc. 144A company guaranty sr. unsec. notes       
5.125%, 4/1/25    60,000  61,125 
General Motors Co. sr. unsec. notes 6.25%, 10/2/43    15,000  16,520 
General Motors Co. sr. unsec. notes 5.20%, 4/1/45    485,000  475,403 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
notes 4.00%, 10/6/26    695,000  684,938 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
notes 3.25%, 5/15/18    80,000  81,099 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
notes 3.00%, 9/25/17    163,000  163,956 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
unsub. notes 4.30%, 7/13/25    200,000  203,113 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
unsub. notes 4.00%, 1/15/25    95,000  95,476 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
unsub. notes 3.45%, 4/10/22    957,000  964,321 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
unsub. notes 3.45%, 1/14/22    750,000  756,209 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
sub. notes 4.875%, 11/1/20    57,000  59,662 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
unsub. notes 5.375%, 4/15/26    40,000  41,300 
Gray Television, Inc. 144A company guaranty sr. unsec. notes       
5.875%, 7/15/26    110,000  111,925 
Great Canadian Gaming Corp. 144A company guaranty sr. unsec.       
notes 6.625%, 7/25/22 (Canada)  CAD  70,000  54,414 
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%,       
1/15/40 (Mexico)    $360,000  392,066 
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes       
4.625%, 5/15/24    60,000  59,175 
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.       
144A sr. unsec. bonds 4.875%, 4/1/27    1,000,000  1,010,000 
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds       
9.15%, 2/1/23    105,000  134,712 
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.95%, 4/1/41    300,000  383,823 

 

38     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22  $475,000  $478,876 
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21 R   147,000  163,274 
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22 R   658,000  713,441 
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25  100,000  99,000 
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26  675,000  722,418 
Hyatt Hotels Corp. sr. unsec. unsub. notes 3.375%, 7/15/23  80,000  80,704 
iHeartCommunications, Inc. company guaranty sr. notes     
9.00%, 12/15/19  54,000  46,197 
IHS Markit Ltd. 144A company guaranty notes 4.75%, 2/15/25     
(United Kingdom)  180,000  184,950 
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes     
5.875%, 3/15/21  47,000  48,476 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company     
guaranty notes 10.25%, 11/15/22  200,000  214,438 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company     
guaranty sr. notes 6.75%, 11/15/21  180,000  186,300 
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24  35,000  36,006 
JC Penney Corp., Inc. company guaranty sr. unsec. bonds     
8.125%, 10/1/19  25,000  27,000 
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes     
5.65%, 6/1/20  135,000  133,650 
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%,     
10/15/19 ‡‡  45,000  43,538 
Lamar Media Corp. company guaranty sr. unsec. sub. notes     
5.875%, 2/1/22  27,000  27,899 
Lamar Media Corp. company guaranty sr. unsec. sub. notes     
5.375%, 1/15/24  40,000  41,300 
Lear Corp. company guaranty sr. unsec. unsub. notes     
5.375%, 3/15/24  155,000  163,557 
Lennar Corp. company guaranty sr. unsec. unsub. notes     
4.75%, 11/15/22  60,000  61,800 
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes     
5.875%, 11/1/24  110,000  113,988 
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec.     
notes 4.875%, 11/1/24  50,000  50,000 
Masonite International Corp. 144A company guaranty sr. unsec.     
notes 5.625%, 3/15/23  130,000  132,664 
Mattamy Group Corp. 144A sr. unsec. notes 6.875%,     
12/15/23 (Canada)  25,000  25,938 
Mattamy Group Corp. 144A sr. unsec. notes 6.50%,     
11/15/20 (Canada)  80,000  81,600 
MGM Resorts International company guaranty sr. unsec. notes     
6.75%, 10/1/20  50,000  55,000 
MGM Resorts International company guaranty sr. unsec. notes     
5.25%, 3/31/20  15,000  15,788 
MGM Resorts International company guaranty sr. unsec. unsub.     
notes 8.625%, 2/1/19  65,000  71,338 
MGM Resorts International company guaranty sr. unsec. unsub.     
notes 6.625%, 12/15/21  45,000  49,838 
Navistar International Corp. company guaranty sr. unsec. notes     
8.25%, 11/1/21  194,000  194,000 

 

Dynamic Asset Allocation Conservative Fund    39 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
Neiman Marcus Group, LLC (The) company guaranty sr. notes     
7.125%, 6/1/28  $40,000  $30,650 
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub.     
notes 8.75%, 10/15/21 ‡‡  60,000  33,750 
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec.     
notes 5.625%, 8/1/24  100,000  101,500 
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr.     
unsec. notes 5.00%, 2/1/25 (Luxembourg)  60,000  59,775 
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr.     
unsec. sub. notes 5.50%, 10/1/21 (Luxembourg)  25,000  25,875 
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty     
sr. unsec. sub. notes 5.00%, 4/15/22  75,000  76,688 
O’Reilly Automotive, Inc. company guaranty sr. unsec. notes     
3.85%, 6/15/23  90,000  93,422 
O’Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes     
3.55%, 3/15/26  310,000  308,914 
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes     
3.60%, 4/15/26  885,000  884,550 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.875%, 3/15/25  40,000  41,900 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.625%, 2/15/24  52,000  53,690 
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27  75,000  74,438 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.75%, 10/1/22  53,000  54,855 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.50%, 5/15/26  55,000  53,900 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.375%, 12/1/24  45,000  45,113 
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25  570,000  573,560 
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes     
7.875%, 6/15/32  105,000  117,863 
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 3/1/26  205,000  212,175 
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24  120,000  120,719 
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23  256,000  265,280 
Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec.     
notes 5.375%, 1/15/25 (Canada)  20,000  20,450 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.     
144A sr. notes 6.125%, 8/15/21  130,000  131,950 
S&P Global, Inc. company guaranty sr. unsec. unsub. notes     
4.40%, 2/15/26  355,000  376,765 
S&P Global, Inc. 144A company guaranty sr. unsec. bonds     
2.95%, 1/22/27  550,000  518,877 
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23  55,000  56,238 
Scientific Games International, Inc. company guaranty sr. unsec.     
notes 10.00%, 12/1/22  320,000  341,200 
Scientific Games International, Inc. company guaranty sr. unsec.     
sub. notes 6.25%, 9/1/20  15,000  14,213 
Scientific Games International, Inc. 144A company guaranty sr.     
notes 7.00%, 1/1/22  110,000  117,425 

 

40    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
Sinclair Television Group, Inc. 144A company guaranty sr. unsec.     
sub. notes 5.625%, 8/1/24  $210,000  $212,625 
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes     
6.00%, 7/15/24  58,000  62,205 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.     
bonds 5.50%, 4/15/27  140,000  139,650 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.     
unsub. notes 4.875%, 7/31/24  175,000  173,250 
Spectrum Brands, Inc. company guaranty sr. unsec. notes     
5.75%, 7/15/25  35,000  37,013 
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes     
6.625%, 11/15/22  3,000  3,154 
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes     
6.125%, 12/15/24  30,000  31,725 
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24  120,000  121,574 
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.00%, 2/15/27  810,000  793,800 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming     
Finance Corp. 144A sr. notes 6.375%, 6/1/21  48,000  48,360 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. notes 5.25%, 4/15/21  20,000  20,600 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24  38,000  39,283 
Tempur Sealy International, Inc. company guaranty sr. unsec.     
unsub. bonds 5.50%, 6/15/26  30,000  29,580 
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds     
3.80%, 2/15/27  875,000  865,458 
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds     
2.95%, 7/15/26  463,000  431,133 
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes     
6.50%, 4/1/23  15,000  14,981 
Toyota Motor Credit Corp. sr. unsec. unsub. bonds Ser. GMTN,     
1.55%, 7/13/18  525,000  525,554 
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN,     
2.00%, 10/24/18  486,000  488,402 
Tribune Media Co. company guaranty sr. unsec. notes     
5.875%, 7/15/22  50,000  52,125 
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes     
4.50%, 3/1/21  14,000  14,613 
Univision Communications, Inc. 144A company guaranty sr. sub.     
notes 5.125%, 2/15/25  125,000  122,969 
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25  70,000  73,820 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6.50%, 8/15/37  198,000  265,416 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 5.00%, 10/25/40  120,000  136,461 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 4.875%, 7/8/40  655,000  736,745 
Walt Disney Co. (The) sr. unsec. notes 2.75%, 8/16/21  120,000  122,386 
Walt Disney Co. (The) sr. unsec. unsub. notes 4.375%, 8/16/41  50,000  52,773 
WMG Acquisition Corp. 144A company guaranty sr. notes     
5.00%, 8/1/23  80,000  80,800 
Wolverine World Wide, Inc. 144A company guaranty sr. unsec.     
bonds 5.00%, 9/1/26  70,000  65,800 

 

Dynamic Asset Allocation Conservative Fund    41 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27  $300,000  $302,226 
Wyndham Worldwide Corp. sr. unsec. unsub. notes 5.625%, 3/1/21  330,000  361,335 
    33,338,628 
Consumer staples (2.0%)     
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty     
notes 6.00%, 4/1/22 (Canada)  110,000  114,125 
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr.     
notes 4.625%, 1/15/22 (Canada)  215,000  219,569 
Altria Group, Inc. company guaranty sr. unsec. unsub. notes     
4.00%, 1/31/24  128,000  134,497 
Altria Group, Inc. company guaranty sr. unsec. unsub. notes     
2.85%, 8/9/22  1,045,000  1,047,120 
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec.     
unsub. bonds 4.90%, 2/1/46  2,257,000  2,439,194 
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec.     
unsub. bonds 3.65%, 2/1/26  1,648,000  1,666,458 
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec.     
unsub. notes 2.65%, 2/1/21  780,000  785,866 
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec.     
unsub. notes 1.25%, 1/17/18  191,000  190,830 
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr.     
unsec. unsub. notes 8.20%, 1/15/39  530,000  805,512 
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr.     
unsec. unsub. notes 2.50%, 7/15/22  500,000  494,165 
Ashtead Capital, Inc. 144A company guaranty notes     
5.625%, 10/1/24  200,000  210,000 
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A     
company guaranty sub. notes 9.25%, 3/15/24  190,000  194,513 
Bunge, Ltd. Finance Corp. company guaranty sr. unsec. notes     
8.50%, 6/15/19  10,000  11,338 
Cargill, Inc. 144A sr. unsec. notes 4.10%, 11/1/42  315,000  311,751 
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes     
8.00%, 2/15/22  85,000  88,506 
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21  155,000  163,324 
Coca-Cola Co. (The) sr. unsec. unsub. bonds 2.25%, 9/1/26  340,000  318,967 
Constellation Brands, Inc. company guaranty sr. unsec. unsub.     
bonds 3.70%, 12/6/26  265,000  264,731 
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22  482,000  523,142 
CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18  525,000  528,414 
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28  48,161  53,935 
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36  246,077  253,884 
Dean Foods Co. 144A company guaranty sr. unsec. notes     
6.50%, 3/15/23  50,000  52,250 
Diageo Capital PLC company guaranty sr. unsec. unsub. notes     
1.50%, 5/11/17 (United Kingdom)  770,000  770,031 
Diageo Investment Corp. company guaranty sr. unsec. notes     
8.00%, 9/15/22  135,000  168,470 
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds     
4.50%, 2/15/45  385,000  368,107 
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes     
7.00%, 10/15/37  300,000  379,167 

 

42     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Consumer staples cont.     
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes     
5.625%, 3/15/42  $363,000  $400,217 
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes     
3.85%, 11/15/24  139,000  141,692 
Fresh Market, Inc. (The) 144A company guaranty sr. notes     
9.75%, 5/1/23  80,000  64,600 
High Ridge Brands Co. 144A company guaranty sr. unsec. notes     
8.875%, 3/15/25  100,000  102,000 
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%,     
2/1/20 (Brazil)  17,000  17,425 
Kellogg Co. sr. unsec. unsub. notes 3.25%, 4/1/26  850,000  830,875 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC     
144A company guaranty sr. unsec. notes 5.25%, 6/1/26  80,000  81,400 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC     
144A company guaranty sr. unsec. notes 5.00%, 6/1/24  80,000  81,700 
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A,     
6.875%, 1/26/39  375,000  467,811 
Kraft Heinz Co. (The) company guaranty sr. unsec. unsub. notes     
6.50%, 2/9/40  350,000  419,601 
Kroger Co. (The) company guaranty sr. unsec. unsub. notes     
6.90%, 4/15/38  655,000  853,641 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.     
unsub. notes 4.875%, 11/1/26  832,000  848,640 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.     
unsub. notes 4.625%, 11/1/24  25,000  25,500 
Landry’s, Inc. 144A sr. unsec. notes 6.75%, 10/15/24  65,000  67,438 
McDonald’s Corp. sr. unsec. unsub. notes 6.30%, 10/15/37  300,000  373,913 
McDonald’s Corp. sr. unsec. unsub. notes 5.70%, 2/1/39  270,000  312,614 
Molson Coors Brewing Co. 144A company guaranty sr. unsec.     
unsub. notes 1.90%, 3/15/19  970,000  969,477 
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26  1,125,000  1,170,836 
PepsiCo, Inc. sr. unsec. unsub. bonds 3.45%, 10/6/46  405,000  366,433 
PepsiCo, Inc. sr. unsec. unsub. notes 1.25%, 8/13/17  521,000  521,048 
Pilgrim’s Pride Corp. 144A company guaranty sr. unsec. notes     
5.75%, 3/15/25  30,000  30,225 
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes     
5.375%, 12/15/21  32,000  32,560 
Revlon Consumer Products Corp. company guaranty sr. unsec.     
notes 6.25%, 8/1/24  45,000  44,888 
Revlon Consumer Products Corp. company guaranty sr. unsec.     
sub. notes 5.75%, 2/15/21  67,000  66,916 
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes     
6.125%, 4/1/23  120,000  118,950 
Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26  55,000  53,777 
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes     
3.30%, 11/18/21  400,000  410,377 
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes     
5.375%, 10/1/22  65,000  70,606 
    21,503,026 

 

Dynamic Asset Allocation Conservative Fund    43 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Energy (2.5%)     
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A     
company guaranty sr. unsec. notes 7.875%, 12/15/24  $200,000  $208,500 
Anadarko Petroleum Corp. sr. unsec. notes 6.45%, 9/15/36  125,000  147,536 
Anadarko Petroleum Corp. sr. unsec. unsub. bonds 6.95%, 6/15/19  185,000  203,443 
Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55%, 3/15/26  110,000  122,061 
Antero Resources Corp. company guaranty sr. unsec. notes     
5.625%, 6/1/23  25,000  25,563 
Antero Resources Corp. company guaranty sr. unsec. sub. notes     
5.125%, 12/1/22  77,000  78,011 
Antero Resources Finance Corp. company guaranty sr. unsec. sub.     
notes 5.375%, 11/1/21  43,000  44,165 
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40  45,000  46,333 
Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22  192,000  192,985 
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr.     
unsec. notes 10.00%, 4/1/22  60,000  62,100 
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes     
5.625%, 6/1/24 (Canada)  23,000  20,240 
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes     
5.125%, 6/1/21 (Canada)  8,000  7,210 
BP Capital Markets PLC company guaranty sr. unsec. bonds     
3.119%, 5/4/26 (United Kingdom)  445,000  435,477 
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes     
2.315%, 2/13/20 (United Kingdom)  325,000  327,405 
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes     
1.846%, 5/5/17 (United Kingdom)  525,000  525,265 
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub.     
notes 7.50%, 12/1/20  60,000  53,850 
California Resources Corp. company guaranty sr. unsec. sub. notes     
5.00%, 1/15/20  65,000  53,544 
California Resources Corp. 144A company guaranty notes     
8.00%, 12/15/22  200,000  162,500 
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.70%,     
5/15/17 (Canada)  1,045,000  1,049,819 
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)  959,000  1,095,658 
Cenovus Energy, Inc. sr. unsec. bonds 4.45%, 9/15/42 (Canada)  40,000  35,422 
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr.     
notes 5.875%, 3/31/25  230,000  239,775 
Chesapeake Energy Corp. company guaranty sr. unsec. notes     
5.75%, 3/15/23  20,000  18,200 
Chesapeake Energy Corp. 144A company guaranty notes     
8.00%, 12/15/22  160,000  167,600 
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes     
8.00%, 1/15/25  45,000  45,000 
Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19  820,000  817,301 
Chevron Corp. sr. unsec. unsub. notes 1.104%, 12/5/17  517,000  516,139 
Concho Resources, Inc. company guaranty sr. unsec. notes     
5.50%, 4/1/23  194,000  200,790 
Concho Resources, Inc. company guaranty sr. unsec. notes     
4.375%, 1/15/25  640,000  644,000 
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 10/1/22  24,000  24,810 

 

44     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Energy cont.     
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes     
1.05%, 12/15/17  $525,000  $523,024 
Continental Resources, Inc. company guaranty sr. unsec. bonds     
4.90%, 6/1/44  80,000  68,800 
Continental Resources, Inc. company guaranty sr. unsec. notes     
3.80%, 6/1/24  50,000  46,500 
Continental Resources, Inc. company guaranty sr. unsec. sub.     
notes 5.00%, 9/15/22  155,000  156,550 
Continental Resources, Inc. company guaranty sr. unsec. unsub.     
notes 4.50%, 4/15/23  65,000  63,253 
DCP Midstream Operating LP company guaranty sr. unsec. notes     
3.875%, 3/15/23  161,000  154,560 
DCP Midstream Operating LP company guaranty sr. unsec. notes     
2.70%, 4/1/19  180,000  178,200 
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes     
6.375%, 8/15/21  80,000  65,600 
Denbury Resources, Inc. 144A company guaranty notes     
9.00%, 5/15/21  114,000  120,270 
Devon Energy Corp. sr. unsec. unsub. notes 3.25%, 5/15/22  129,000  127,792 
Devon Financing Company, LLC company guaranty sr. unsec.     
unsub. bonds 7.875%, 9/30/31  105,000  135,615 
Diamondback Energy, Inc. 144A company guaranty sr. unsec.     
notes 5.375%, 5/31/25  160,000  164,000 
Diamondback Energy, Inc. 144A company guaranty sr. unsec.     
notes 4.75%, 11/1/24  45,000  45,266 
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec.     
notes 8.125%, 9/15/23  130,000  138,125 
EP Energy, LLC/Everest Acquisition Finance, Inc. company     
guaranty sr. unsec. sub. notes 9.375%, 5/1/20  237,000  223,373 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty notes 8.00%, 2/15/25  110,000  102,300 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty sr. notes 8.00%, 11/29/24  60,000  63,000 
EQT Midstream Partners LP company guaranty sr. unsec. sub.     
notes 4.00%, 8/1/24  50,000  49,819 
Halcon Resources Corp. 144A company guaranty notes     
12.00%, 2/15/22  25,000  29,188 
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31  195,000  229,748 
Holly Energy Partners LP/Holly Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 6.00%, 8/1/24  120,000  126,000 
Kerr-McGee Corp. company guaranty sr. unsec. unsub. notes     
7.875%, 9/15/31  40,000  51,267 
Laredo Petroleum, Inc. company guaranty sr. unsec. notes     
7.375%, 5/1/22  180,000  186,750 
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes     
5.625%, 1/15/22  45,000  44,888 
Lukoil International Finance BV 144A company guaranty sr. unsec.     
notes 4.563%, 4/24/23 (Russia)  200,000  205,250 
Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41  125,000  138,348 
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%,     
3/31/24 (Canada)  60,000  53,700 

 

Dynamic Asset Allocation Conservative Fund    45 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Energy cont.     
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6.375%, 1/30/23 (Canada)  $35,000  $31,281 
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada)  35,000  35,000 
Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20  515,000  555,244 
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27  320,000  318,613 
Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24  110,000  116,600 
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes     
4.625%, 9/15/21  315,000  317,756 
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22  90,000  95,513 
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26  35,000  36,554 
Noble Holding International, Ltd. company guaranty sr. unsec.     
unsub. notes 6.05%, 3/1/41  285,000  202,706 
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes     
6.875%, 1/15/23  25,000  25,375 
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes     
6.875%, 3/15/22  70,000  71,750 
Occidental Petroleum Corp. sr. unsec. unsub. bonds     
4.40%, 4/15/46  870,000  882,299 
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty     
sr. unsec. notes 5.25%, 8/15/25  45,000  45,450 
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty     
sr. unsec. sub. notes 5.375%, 1/15/25  35,000  35,438 
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%,     
5/20/23 (Indonesia)  200,000  206,073 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
bonds 7.25%, 3/17/44 (Brazil)  1,129,000  1,114,888 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 8.375%, 5/23/21 (Brazil)  513,000  579,434 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.25%, 3/17/24 (Brazil)  1,744,000  1,789,780 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.125%, 1/17/22 (Brazil)  108,000  113,400 
Petroleos de Venezuela SA 144A company guaranty sr. unsec.     
notes 6.00%, 11/15/26 (Venezuela)  270,000  94,527 
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds     
5.625%, 1/23/46 (Mexico)  270,000  241,407 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
6.375%, 1/23/45 (Mexico)  150,000  146,283 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
5.50%, 1/21/21 (Mexico)  900,000  953,283 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
4.875%, 1/18/24 (Mexico)  150,000  151,350 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
4.50%, 1/23/26 (Mexico)  1,005,000  963,293 
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95%, 5/1/17  525,000  525,593 
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%,     
11/15/24 (Canada)  5,000  4,738 
Precision Drilling Corp. 144A company guaranty sr. unsec. notes     
7.75%, 12/15/23 (Canada)  95,000  99,988 
Range Resources Corp. 144A company guaranty sr. unsec. sub.     
notes 5.75%, 6/1/21  145,000  148,625 

 

46    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Energy cont.     
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 11/15/23  $30,000  $29,400 
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 7/15/22  60,000  59,288 
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24  120,000  130,776 
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27  795,000  831,043 
Sabine Pass Liquefaction, LLC 144A sr. bonds 4.20%, 3/15/28  355,000  350,674 
Sabine Pass Liquefaction, LLC 144A sr. notes 5.875%, 6/30/26  140,000  154,362 
SemGroup Corp. 144A company guaranty sr. unsec. notes     
6.375%, 3/15/25  75,000  73,688 
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%,     
5/1/23 (Canada)  35,000  36,488 
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%,     
5/15/20 (Canada)  62,000  64,790 
Seventy Seven Energy, Inc. escrow sr. unsec. notes     
6.50%, 7/15/22 F   15,000  2 
Seventy Seven Operating, LLC escrow company guaranty sr.     
unsec. unsub. notes 6.625%, 11/15/19 F   54,000  5 
Shell International Finance BV company guaranty sr. unsec. unsub.     
notes 2.125%, 5/11/20 (Netherlands)  140,000  140,113 
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21  93,000  95,325 
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24  50,000  47,250 
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26  60,000  60,488 
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23  25,000  25,438 
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22  135,000  136,013 
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26  565,000  537,834 
Statoil ASA company guaranty sr. unsec. notes 5.10%,     
8/17/40 (Norway)  170,000  193,046 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27  65,000  67,275 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25  30,000  30,900 
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company     
guaranty sr. unsec. notes 5.25%, 1/15/25  35,000  36,575 
Total Capital International SA company guaranty sr. unsec. unsub.     
notes 1.55%, 6/28/17 (France)  517,000  517,009 
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%,     
3/15/77 (Canada)  410,000  405,131 
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec.     
notes 6.75%, 7/15/22 (In default) †  25,000  7,250 
Valero Energy Partners LP sr. unsec. unsub. notes     
4.375%, 12/15/26  126,000  127,154 
Weatherford International Ltd. company guaranty sr. unsec.     
unsub. notes 8.25%, 6/15/23  25,000  27,188 
Weatherford International Ltd. 144A company guaranty sr. unsec.     
sub. notes 9.875%, 2/15/24  40,000  46,300 
Whiting Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 5.75%, 3/15/21  24,000  23,850 
Whiting Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 5.00%, 3/15/19  80,000  79,800 
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32  40,000  50,500 

 

Dynamic Asset Allocation Conservative Fund    47 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Energy cont.     
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.875%, 9/1/21  $15,000  $17,288 
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31  4,000  4,700 
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24  385,000  395,546 
Williams Partners LP sr. unsec. sub. notes 3.60%, 3/15/22  330,000  334,745 
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes     
4.875%, 3/15/24  368,000  378,545 
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23  30,000  33,375 
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20  115,000  121,900 
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22  142,000  144,485 
    26,779,668 
Financials (8.3%)     
ABN Amro Bank NV 144A sr. unsec. notes 2.45%,     
6/4/20 (Netherlands)  605,000  606,560 
Air Lease Corp. sr. unsec. notes 3.75%, 2/1/22  85,000  87,547 
Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21  1,060,000  1,080,560 
Alliance Data Systems Corp. 144A company guaranty sr. unsec.     
notes 5.375%, 8/1/22  50,000  50,375 
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes     
8.25%, 8/1/23  45,000  47,222 
Ally Financial, Inc. company guaranty sr. unsec. notes     
8.00%, 11/1/31  130,000  154,375 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes     
8.00%, 3/15/20  24,000  26,940 
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25  460,000  470,925 
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18  30,000  32,400 
American Express Co. jr. unsec. sub. FRN Ser. C, 4.90%,     
perpetual maturity  150,000  149,813 
American Express Co. sr. unsec. bonds 8.125%, 5/20/19  515,000  579,765 
American Express Co. sr. unsec. notes 7.00%, 3/19/18  396,000  415,832 
American Express Co. sr. unsec. notes 6.15%, 8/28/17  694,000  706,534 
American International Group, Inc. jr. unsec. sub. FRB     
8.175%, 5/15/58  231,000  300,300 
ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr.     
unsec. notes 2.875%, 1/25/22 (United Kingdom)  1,400,000  1,400,419 
Australia & New Zealand Banking Group, Ltd./United     
Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity     
(United Kingdom)  200,000  219,853 
AXA SA 144A jr. unsec. sub. FRN 6.463%, perpetual     
maturity (France)  310,000  310,967 
AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual     
maturity (France)  255,000  277,471 
Banco del Estado de Chile 144A sr. unsec. notes 2.00%,     
11/9/17 (Chile)  390,000  390,002 
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%,     
perpetual maturity  303,000  320,801 
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%,     
perpetual maturity  25,000  27,281 
Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN,     
3.248%, 10/21/27  2,355,000  2,241,578 
Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18  827,000  829,114 

 

48    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Financials cont.     
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN,     
2.151%, 11/9/20  $290,000  $287,383 
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN,     
1.70%, 8/25/17  340,000  340,527 
Bank of America Corp. unsec. sub. FRN 1.891%, 9/15/26  100,000  90,811 
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37  870,000  1,017,589 
Bank of New York Mellon Corp. (The) sr. unsec. unsub. notes     
1.969%, 6/20/17  445,000  445,585 
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%,     
10/21/20 (Canada)  780,000  782,257 
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.05%,     
10/30/18 (Canada)  509,000  512,081 
Bank of Nova Scotia (The) sr. unsec. unsub. notes 1.375%,     
12/18/17 (Canada)  525,000  524,788 
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21     
(United Kingdom)  554,000  694,708 
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 7.25%, 2/1/18  46,000  48,076 
Berkshire Hathaway Finance Corp. company guaranty sr. unsec.     
notes 4.30%, 5/15/43  151,000  154,931 
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21  235,000  244,097 
BNP Paribas SA sr. unsec. notes Ser. MTN, 2.375%, 9/14/17 (France)  190,000  190,542 
BPCE SA 144A unsec. sub. notes 5.70%, 10/22/23 (France)  265,000  281,043 
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France)  200,000  205,432 
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R   140,000  150,865 
Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19  285,000  313,563 
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22  405,000  440,762 
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25  130,000  130,518 
CBRE Services, Inc. company guaranty sr. unsec. notes     
5.25%, 3/15/25  132,000  140,088 
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes     
5.00%, 3/15/23  43,000  44,726 
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes     
4.875%, 3/1/26  228,000  237,247 
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19  24,000  24,570 
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23  72,000  75,150 
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22  170,000  177,968 
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19  44,000  46,255 
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity  416,000  433,164 
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity  65,000  67,113 
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20  885,000  890,731 
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28  2,690,000  2,701,989 
Citigroup, Inc. unsec. sub. notes 5.50%, 9/13/25  340,000  371,709 
Citizens Bank NA/Providence RI sr. unsec. notes 2.25%, 3/2/20  990,000  988,578 
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25  205,000  210,254 
Commerzbank AG 144A unsec. sub. notes 8.125%,     
9/19/23 (Germany)  625,000  731,950 
Commonwealth Bank of Australia 144A sr. unsec. notes 2.25%,     
3/10/20 (Australia)  1,135,000  1,135,768 
Commonwealth Bank of Australia/New York, NY sr. unsec. bonds     
Ser. GMTN, 1.625%, 3/12/18  325,000  325,173 

 

Dynamic Asset Allocation Conservative Fund 49 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Financials cont.     
Credit Acceptance Corp. company guaranty sr. unsec. notes     
7.375%, 3/15/23  $30,000  $30,150 
Credit Acceptance Corp. company guaranty sr. unsec. notes     
6.125%, 2/15/21  162,000  161,595 
Credit Agricole SA 144A unsec. sub. notes 4.375%, 3/17/25 (France)  200,000  198,808 
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual     
maturity (Switzerland)  225,000  228,375 
Credit Suisse Group AG 144A sr. unsec. bonds 4.282%,     
1/9/28 (Switzerland)  870,000  866,216 
DDR Corp. sr. unsec. unsub. notes 7.875%, 9/1/20 R   125,000  144,584 
DFC Finance Corp. 144A company guaranty sr. notes     
10.50%, 6/15/20  65,000  39,975 
Duke Realty LP company guaranty sr. unsec. unsub. notes     
4.375%, 6/15/22 R   207,000  220,031 
EPR Properties company guaranty sr. unsec. sub. notes     
5.25%, 7/15/23 R   280,000  293,720 
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes     
5.25%, 5/1/25 R   90,000  90,731 
Fairfax US, Inc. 144A company guaranty sr. unsec. notes     
4.875%, 8/13/24  190,000  192,375 
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity  93,000  92,070 
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23  345,000  367,279 
GE Capital International Funding Co. Unlimited Co. company     
guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland)  1,529,000  1,614,554 
Goldman Sachs Group, Inc. (The) sr. unsec. notes 7.50%, 2/15/19  1,105,000  1,213,497 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes     
3.85%, 1/26/27  2,035,000  2,044,925 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes     
2.60%, 12/27/20  1,870,000  1,870,290 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes     
2.55%, 10/23/19  615,000  620,588 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes     
Ser. GLOB, 2.375%, 1/22/18  319,000  320,749 
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub.     
notes 5.125%, 4/15/22  160,000  176,918 
HCP, Inc. sr. unsec. notes 4.25%, 11/15/23 R   335,000  346,184 
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes     
3.875%, 5/1/25 R   225,000  222,832 
Hospitality Properties Trust sr. unsec. unsub. notes     
4.50%, 3/15/25 R   35,000  35,132 
HSBC Bank USA NA/New York NY unsec. sub. notes Ser. BKNT,     
5.625%, 8/15/35 (United Kingdom)  250,000  291,492 
HSBC Capital Funding LP 144A company guaranty jr. unsec. sub.     
FRB 10.176%, perpetual maturity (Jersey)  125,000  191,000 
HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21  1,045,000  1,181,276 
HSBC USA, Inc. sr. unsec. unsub. notes 3.50%, 6/23/24  155,000  157,917 
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub.     
notes 8.125%, 7/15/19 ‡‡  10,000  10,000 
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21  77,000  80,273 
Huntington National Bank (The) sr. unsec. notes 2.375%, 3/10/20  540,000  541,895 

 

50    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Financials cont.     
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company     
guaranty sr. unsec. notes 6.00%, 8/1/20  $30,000  $31,050 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company     
guaranty sr. unsec. notes 5.875%, 2/1/22  57,000  57,855 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr.     
unsec. notes 6.75%, 2/1/24  65,000  67,031 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr.     
unsec. notes 6.25%, 2/1/22  65,000  65,975 
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands)  1,365,000  1,512,255 
Intelsat Connect Finance SA 144A company guaranty sr. unsec.     
sub. notes 12.50%, 4/1/22 (Luxembourg)  4,000  3,570 
International Lease Finance Corp. sr. unsec. unsub. notes     
6.25%, 5/15/19  20,000  21,500 
International Lease Finance Corp. sr. unsec. unsub. notes     
5.875%, 8/15/22  44,000  49,005 
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R   40,000  40,600 
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19 R   5,000  5,031 
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%,     
perpetual maturity  319,000  330,564 
JPMorgan Chase & Co. jr. unsec. sub. FRN 7.90%,     
perpetual maturity  136,000  140,930 
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21  1,335,000  1,321,137 
JPMorgan Chase & Co. sr. unsec. unsub. notes 2.00%, 8/15/17  523,000  524,168 
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27  2,650,000  2,570,956 
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26  515,000  524,736 
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18  618,000  621,686 
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec.     
unsub. bonds 5.125%, 6/1/44  250,000  249,164 
KKR Group Finance Co., LLC 144A company guaranty sr. unsec.     
unsub. notes 6.375%, 9/29/20  525,000  590,359 
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub.     
bonds 7.80%, 3/15/37  390,000  448,500 
Liberty Mutual Insurance Co. 144A unsec. sub. notes     
7.697%, 10/15/97  135,000  174,062 
Lloyds Banking Group PLC unsec. sub. bonds 5.30%, 12/1/45     
(United Kingdom)  639,000  677,413 
Lloyds Banking Group PLC unsec. sub. notes 4.50%, 11/4/24     
(United Kingdom)  425,000  436,135 
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%,     
perpetual maturity (United Kingdom)  110,000  119,625 
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes     
5.75%, 9/15/25  110,000  111,100 
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%,     
7/29/20 (Australia)  410,000  415,091 
Macquarie Group Ltd. 144A sr. unsec. notes 7.625%,     
8/13/19 (Australia)  830,000  924,575 
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37  385,000  473,550 
MetLife, Inc. sr. unsec. unsub. notes 7.717%, 2/15/19  1,405,000  1,551,325 
MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21  210,000  227,511 
MGM Growth Properties Operating Partnership LP/MGP Finance     
Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R   40,000  42,200 

 

Dynamic Asset Allocation Conservative Fund   51 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Financials cont.     
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23 R   $370,000  $390,488 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%,     
3/1/26 (Japan)  425,000  436,362 
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27  2,470,000  2,451,959 
National Australia Bank, Ltd. 144A sr. unsec. FRN 1.796%,     
12/9/19 (Australia)  1,200,000  1,208,318 
National Australia Bank, Ltd., NY sr. unsec. notes 2.80%,     
1/10/22 (Australia)  430,000  432,680 
National Australia Bank, Ltd./New York sr. unsec. notes 2.30%,     
7/25/18 (Australia)  525,000  528,904 
Nationstar Mortgage, LLC/Nationstar Capital Corp. company     
guaranty sr. unsec. unsub. notes 6.50%, 7/1/21  125,000  126,563 
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.     
144A sr. unsec. notes 5.875%, 3/15/22  14,000  14,411 
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.     
144A sr. unsec. notes 4.875%, 4/15/45  290,000  262,450 
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes     
7.00%, 10/15/33  1,129,000  1,413,763 
OneMain Financial Holdings, LLC 144A company guaranty sr.     
unsec. sub. notes 6.75%, 12/15/19  55,000  57,475 
OneMain Financial Holdings, LLC 144A company guaranty sr.     
unsec. unsub. notes 7.25%, 12/15/21  45,000  46,913 
Peachtree Corners Funding Trust 144A company guaranty sr.     
unsec. unsub. bonds 3.976%, 2/15/25  745,000  748,040 
Primerica, Inc. sr. unsec. notes 4.75%, 7/15/22  267,000  285,968 
Progressive Corp. (The) jr. unsec. sub. FRN 6.70%, 6/15/37  275,000  271,563 
Provident Funding Associates LP/PFG Finance Corp. 144A     
company guaranty sr. unsec. notes 6.75%, 6/15/21  107,000  109,140 
Prudential Financial, Inc. jr. unsec. sub. FRN 8.875%, 6/15/38  320,000  344,400 
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43  141,000  151,046 
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44  157,000  160,925 
Realty Income Corp. sr. unsec. notes 4.65%, 8/1/23 R   120,000  129,324 
Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%,     
3/2/20 (Canada)  1,145,000  1,145,049 
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%,     
7/27/18 (Canada)  525,000  528,656 
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%,     
1/27/26 (Canada)  440,000  465,531 
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%,     
perpetual maturity (United Kingdom)  205,000  202,181 
Royal Bank of Scotland Group PLC unsec. sub. notes 4.70%, 7/3/18     
(United Kingdom)  505,000  517,362 
Santander Issuances SAU company guaranty unsec. sub. notes     
5.179%, 11/19/25 (Spain)  400,000  414,414 
Santander UK Group Holdings PLC 144A unsec. sub. notes 4.75%,     
9/15/25 (United Kingdom)  430,000  429,556 
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23     
(United Kingdom)  525,000  548,084 
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20 R   50,000  50,455 
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18 R   50,000  50,318 
Simon Property Group LP sr. unsec. unsub. notes 3.375%, 3/15/22 R   155,000  159,166 

 

52    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Financials cont.     
Simon Property Group LP sr. unsec. unsub. notes 2.20%, 2/1/19 R   $555,000  $558,349 
Simon Property Group LP 144A sr. unsec. unsub. notes     
1.50%, 2/1/18 R   476,000  475,613 
Skandinaviska Enskilda Banken AB sr. unsec. notes 2.30%,     
3/11/20 (Sweden)  3,865,000  3,872,139 
Springleaf Finance Corp. company guaranty sr. unsec. unsub.     
notes 8.25%, 12/15/20  205,000  223,963 
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19  40,000  40,350 
Svenska Handelsbanken AB company guaranty sr. unsec. notes     
2.875%, 4/4/17 (Sweden)  272,000  272,011 
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec.     
notes 4.25%, 12/6/42  435,000  429,561 
TIERS Trust/United States 144A sr. bonds stepped-coupon zero %     
(8.125%, 9/15/17), 3/15/46 ††  480,000  514,800 
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty     
sr. notes 8.50%, 9/15/18  17,000  15,640 
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%,     
9/15/31 (Canada)  59,000  57,776 
Travelers Property Casualty Corp. company guaranty sr. unsec.     
unsub. bonds 7.75%, 4/15/26  190,000  251,742 
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty     
sr. unsec. unsub. notes 5.875%, 6/15/24  90,000  92,700 
UBS Group AG jr. unsec. sub. FRN 6.875%, perpetual     
maturity (Switzerland)  589,000  605,737 
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec.     
notes 4.125%, 4/15/26 (Jersey)  433,000  439,209 
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec.     
notes 3.00%, 4/15/21 (Jersey)  1,760,000  1,762,130 
VEREIT Operating Partnership LP company guaranty sr. unsec.     
notes 4.60%, 2/6/24 R   240,000  247,200 
VEREIT Operating Partnership LP company guaranty sr. unsec.     
unsub. bonds 4.875%, 6/1/26 R   140,000  145,950 
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub.     
notes 6.902%, 7/9/20 (Russia)  100,000  109,625 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%,     
5/29/18 (Russia)  1,887,000  1,978,950 
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%,     
10/17/22 (Russia)  938,000  1,018,903 
Wachovia Corp. sr. unsec. notes 5.75%, 6/15/17  60,000  60,524 
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%,     
perpetual maturity  285,000  306,375 
Wells Fargo & Co. sr. unsec. notes 2.10%, 5/8/17  517,000  517,374 
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.00%, 11/15/17  500,000  513,510 
Westpac Banking Corp. sr. unsec. unsub. notes 4.875%,     
11/19/19 (Australia)  80,000  85,511 
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%,     
3/6/20 (Australia)  2,135,000  2,136,270 
Westpac Banking Corp. sr. unsec. unsub. notes 2.00%,     
8/19/21 (Australia)  790,000  770,591 
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24 R   170,000  176,117 
ZFS Finance USA Trust V 144A jr. unsec. sub. FRB 6.50%, 5/9/37  426,000  426,000 
    86,544,799 

 

Dynamic Asset Allocation Conservative Fund    53 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Health care (1.1%)     
AbbVie, Inc. sr. unsec. notes 2.90%, 11/6/22  $525,000  $522,085 
AbbVie, Inc. sr. unsec. notes 2.50%, 5/14/20  590,000  594,023 
Actavis Funding SCS company guaranty sr. unsec. notes 4.75%,     
3/15/45 (Luxembourg)  458,000  459,961 
Actavis Funding SCS company guaranty sr. unsec. notes 3.45%,     
3/15/22 (Luxembourg)  228,000  232,806 
Actavis Funding SCS company guaranty sr. unsec. notes 2.35%,     
3/12/18 (Luxembourg)  385,000  386,679 
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec.     
notes 7.875%, 9/1/23  65,000  61,588 
Amgen, Inc. sr. unsec. notes 3.45%, 10/1/20  500,000  520,632 
Amgen, Inc. sr. unsec. unsub. notes 2.125%, 5/15/17  525,000  525,585 
AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37     
(United Kingdom)  99,000  129,252 
AstraZeneca PLC sr. unsec. unsub. notes 5.90%, 9/15/17     
(United Kingdom)  525,000  535,219 
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22  705,000  727,131 
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24  90,000  96,638 
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25  30,000  30,169 
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22  65,000  66,788 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. notes 6.875%, 2/1/22  255,000  219,300 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. unsub. notes 8.00%, 11/15/19  15,000  14,719 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. unsub. notes 7.125%, 7/15/20  35,000  32,069 
Cigna Corp. sr. unsec. unsub. notes 4.50%, 3/15/21  350,000  372,161 
Concordia International Corp. 144A company guaranty sr. unsec.     
notes 7.00%, 4/15/23 (Canada)  60,000  11,700 
Concordia International Corp. 144A sr. notes 9.00%,     
4/1/22 (Canada)  20,000  14,300 
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%,     
2/1/22 (Netherlands)  134,000  141,454 
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr.     
unsec. unsub. notes 5.375%, 1/15/23  40,000  34,400 
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company     
guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland)  240,000  210,000 
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes     
6.25%, 10/15/22  45,000  46,350 
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26  200,000  210,500 
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20  160,000  174,800 
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24  170,000  178,288 
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19  90,000  92,138 
HCA, Inc. company guaranty sr. unsec. unsub. notes     
7.50%, 2/15/22  14,000  16,048 
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC     
144A company guaranty sr. unsec. notes 6.375%, 8/1/23  60,000  62,550 
Johnson & Johnson sr. unsec. notes 5.15%, 7/15/18  329,000  344,531 
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub.     
notes 12.50%, 11/1/21  55,000  60,913 

 

54    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Health care cont.     
Mallinckrodt International Finance SA/Mallinckrodt CB,     
LLC 144A company guaranty sr. unsec. unsub. notes 5.50%,     
4/15/25 (Luxembourg)  $40,000  $36,800 
Merck & Co., Inc. sr. unsec. unsub. notes 1.30%, 5/18/18  453,000  452,878 
Molina Healthcare, Inc. company guaranty sr. unsec. notes     
5.375%, 11/15/22  50,000  51,844 
Omega Healthcare Investors, Inc. company guaranty sr. unsec.     
notes 4.50%, 4/1/27 R   680,000  666,400 
Omega Healthcare Investors, Inc. company guaranty sr. unsec.     
unsub. notes 4.95%, 4/1/24 R   205,000  211,009 
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics     
SA 144A sr. unsec. notes 6.625%, 5/15/22  73,000  67,890 
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22  54,000  55,755 
Service Corp. International/US sr. unsec. unsub. notes     
5.375%, 5/15/24  284,000  295,459 
Shire Acquisitions Investments Ireland DAC company guaranty sr.     
unsec. unsub. notes 3.20%, 9/23/26 (Ireland)  105,000  99,399 
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes     
6.50%, 5/15/23  40,000  40,900 
Tenet Healthcare Corp. company guaranty sr. FRN 4.631%, 6/15/20  60,000  60,300 
Tenet Healthcare Corp. company guaranty sr. notes     
6.25%, 11/1/18  63,000  66,071 
Tenet Healthcare Corp. company guaranty sr. sub. notes     
6.00%, 10/1/20  60,000  63,450 
Teva Pharmaceutical Finance Netherlands III BV company     
guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands)  465,000  428,504 
UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18  235,000  244,057 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.625%, 11/15/41  345,000  366,480 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42  540,000  525,099 
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23  535,000  533,770 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 6.125%, 4/15/25  55,000  42,350 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.875%, 5/15/23  118,000  91,598 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.625%, 12/1/21  4,000  3,220 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.50%, 3/1/23  25,000  19,250 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.375%, 3/15/20  135,000  120,825 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsub. notes 7.00%, 3/15/24  115,000  118,019 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsub. notes 6.50%, 3/15/22  40,000  41,150 
    11,827,254 
Technology (1.5%)     
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47  1,420,000  1,442,775 
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24  275,000  284,717 
Apple, Inc. sr. unsec. notes 2.10%, 5/6/19  1,970,000  1,990,472 
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45  350,000  358,578 
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43  453,000  433,145 

 

Dynamic Asset Allocation Conservative Fund    55 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Technology cont.     
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19     
(In default) †  $97,000  $76,630 
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company     
guaranty sr. unsec. unsub. notes 3.875%, 1/15/27  845,000  849,455 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A     
company guaranty sr. unsec. notes 7.125%, 6/15/24  737,000  814,738 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds     
8.35%, 7/15/46  144,000  185,975 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes     
5.45%, 6/15/23  774,000  835,156 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec.     
notes 5.875%, 6/15/21  20,000  21,027 
eBay, Inc. sr. unsec. unsub. notes 1.35%, 7/15/17  525,000  524,766 
Fidelity National Information Services, Inc. sr. unsec. unsub. notes     
5.00%, 10/15/25  270,000  293,658 
First Data Corp. 144A company guaranty sr. unsec. unsub. notes     
7.00%, 12/1/23  140,000  150,150 
First Data Corp. 144A notes 5.75%, 1/15/24  80,000  82,520 
First Data Corp. 144A sr. notes 5.375%, 8/15/23  60,000  62,475 
IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22  675,000  653,484 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec.     
notes 8.625%, 11/15/24  125,000  131,713 
Infor Software Parent LLC/Infor Software Parent, Inc. 144A     
company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡  220,000  224,950 
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22  150,000  154,140 
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20  22,000  22,873 
Intel Corp. sr. unsec. unsub. notes 1.35%, 12/15/17  525,000  525,339 
Iron Mountain, Inc. company guaranty sr. unsec. notes     
6.00%, 8/15/23 R   77,000  81,043 
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes     
6.00%, 10/1/20 R   30,000  31,425 
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18  50,000  52,844 
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes     
5.875%, 2/15/22  85,000  88,825 
Microsoft Corp. sr. unsec. unsub. bonds 3.30%, 2/6/27  1,050,000  1,066,114 
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26  750,000  709,628 
Microsoft Corp. sr. unsec. unsub. notes 4.20%, 6/1/19  475,000  503,019 
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21  1,385,000  1,349,583 
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40  310,000  359,800 
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26  990,000  942,686 
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22  200,000  198,992 
Plantronics, Inc. 144A company guaranty sr. unsec. notes     
5.50%, 5/31/23  70,000  70,613 
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22  100,000  108,125 
    15,681,433 
Transportation (0.2%)     
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23  165,000  159,225 
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.40%, 6/1/41  65,000  76,044 
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes     
5.75%, 5/1/40  300,000  364,953 

 

56    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Transportation cont.     
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44  $370,000  $355,107 
Delta Air Lines, Inc. sr. notes Ser. A, 7.75%, 12/17/19  65,171  71,852 
FedEx Corp. company guaranty sr. unsec. unsub. notes     
2.625%, 8/1/22  75,000  74,727 
Penske Truck Leasing Co. Lp/PTL Finance Corp. 144A sr. unsec.     
bonds 3.40%, 11/15/26  210,000  201,872 
United AirLines, Inc. Pass-Through Trust pass-through certificates     
Ser. 07-1, Class A, 6.636%, 7/2/22  72,806  78,448 
United Airlines, Inc. Pass-Through Trust pass-through certificates     
Ser. 14-2, Class A, 3.75%, 9/3/26  237,585  240,851 
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr.     
unsec. notes 6.375%, 4/1/23  193,000  195,895 
    1,818,974 
Utilities and power (1.1%)     
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20  60,000  68,850 
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25  440,000  446,600 
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23  20,000  19,850 
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21  100,000  113,000 
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds     
5.00%, 9/1/44  55,000  59,533 
Appalachian Power Co. sr. unsec. unsub. notes 4.60%, 3/30/21  245,000  262,345 
Arizona Public Services Co. sr. unsec. notes 4.50%, 4/1/42  60,000  63,577 
Beaver Valley II Funding Corp. sr. bonds 9.00%, 6/1/17  6,000  6,000 
Boardwalk Pipelines LP company guaranty sr. unsec. unsub.     
bonds 5.95%, 6/1/26  50,000  55,370 
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB     
4.45%, 7/15/27  175,000  176,806 
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25  100,000  99,375 
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22  13,000  13,601 
Calpine Corp. 144A company guaranty sr. sub. notes     
5.875%, 1/15/24  10,000  10,563 
Colorado Interstate Gas Co., LLC company guaranty sr. unsec.     
notes 6.85%, 6/15/37  25,000  26,333 
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36  208,000  256,160 
Consolidated Edison Co. of New York, Inc. sr. unsec. notes     
7.125%, 12/1/18  402,000  437,048 
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes     
4.20%, 3/15/42  205,000  207,964 
Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A,     
2.00%, 3/15/20  465,000  463,879 
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22  50,000  49,500 
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19  30,000  30,825 
Dynegy, Inc. company guaranty sr. unsec. unsub. notes     
7.625%, 11/1/24  20,000  19,100 
EDP Finance BV 144A sr. unsec. unsub. notes 5.25%,     
1/14/21 (Netherlands)  200,000  213,388 
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub.     
notes 8.375%, 6/15/32  50,000  62,970 
Electricite de France (EDF) 144A sr. unsec. notes 6.50%,     
1/26/19 (France)  245,000  263,838 

 

Dynamic Asset Allocation Conservative Fund    57 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Utilities and power cont.     
Emera US Finance LP company guaranty sr. unsec. notes     
3.55%, 6/15/26  $235,000  $231,011 
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)  640,000  653,328 
Energy Transfer Equity LP company guaranty sr. notes     
7.50%, 10/15/20  34,000  37,910 
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24  225,000  239,063 
Energy Transfer Partners LP sr. unsec. unsub. bonds     
6.125%, 12/15/45  120,000  128,387 
Energy Transfer Partners LP sr. unsec. unsub. bonds     
4.20%, 4/15/27  685,000  676,770 
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42  140,000  151,325 
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22  120,000  128,597 
FirstEnergy Corp. sr. unsec. unsub. notes 4.25%, 3/15/23  196,000  202,537 
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20  42,000  27,405 
Great Plains Energy, Inc. sr. unsec. unsub. bonds 4.85%, 4/1/47  455,000  466,452 
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A     
company guaranty sr. unsec. sub. notes 5.50%, 5/15/22  13,000  13,520 
ITC Holdings Corp. 144A sr. unsec. notes 6.05%, 1/31/18  225,000  232,964 
Kinder Morgan Energy Partners LP company guaranty sr. unsec.     
notes 5.40%, 9/1/44  115,000  113,714 
Kinder Morgan Energy Partners LP company guaranty sr. unsec.     
notes 3.50%, 3/1/21  505,000  513,141 
Kinder Morgan Energy Partners LP company guaranty sr. unsec.     
unsub. notes 3.45%, 2/15/23  210,000  207,257 
Kinder Morgan, Inc./DE company guaranty sr. unsec. notes     
Ser. GMTN, 7.75%, 1/15/32  17,000  21,205 
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29  430,000  564,456 
Nevada Power Co. mtge. notes 7.125%, 3/15/19  310,000  341,831 
NiSource Finance Corp. company guaranty sr. unsec. notes     
6.125%, 3/1/22  130,000  148,904 
NRG Energy, Inc. company guaranty sr. unsec. notes     
7.25%, 5/15/26  75,000  77,063 
NRG Energy, Inc. company guaranty sr. unsec. sub. notes     
7.875%, 5/15/21  25,000  25,688 
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds     
6.625%, 1/15/27  115,000  114,713 
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%,     
10/15/22 (Canada)  350,000  344,399 
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42  110,000  130,892 
Oncor Electric Delivery Co., LLC sr. notes 4.10%, 6/1/22  135,000  143,840 
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45  560,000  531,335 
Pacific Gas & Electric Co. sr. unsec. bonds 6.05%, 3/1/34  153,000  191,543 
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub.     
notes 4.20%, 6/15/22  465,000  490,299 
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub.     
notes 3.40%, 6/1/23  15,000  15,148 
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40  215,000  257,784 
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67  467,000  420,884 
Regency Energy Partners LP/Regency Energy Finance Corp.     
company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22  53,000  58,252 

 

58    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (24.5%)* cont.  amount  Value 
Utilities and power cont.     
Regency Energy Partners LP/Regency Energy Finance Corp.     
company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23  $24,000  $24,627 
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22  60,000  60,150 
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc.     
escrow company guaranty sr. notes 11.50%, 10/1/20  54,000  405 
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21  337,000  351,631 
Union Electric Co. sr. notes 6.40%, 6/15/17  265,000  267,454 
    12,032,359 
Total corporate bonds and notes (cost $252,285,090)    $257,953,307 
 
U.S. GOVERNMENT AND AGENCY  Principal   
MORTGAGE OBLIGATIONS (22.2%)*  amount  Value 
U.S. Government Guaranteed Mortgage Obligations (5.7%)     
Government National Mortgage Association Pass-Through Certificates     
4.00%, with due dates from 3/15/46 to 3/20/46  $979,621  $1,063,004 
3.50%, with due dates from 7/20/45 to 11/20/46  45,617,007  47,365,028 
3.50%, TBA, 4/1/47  11,000,000  11,406,484 
    59,834,516 
U.S. Government Agency Mortgage Obligations (16.5%)     
Federal Home Loan Mortgage Corporation Pass-Through Certificates     
4.00%, with due dates from 9/1/45 to 11/1/45  22,789,345  23,918,185 
Federal National Mortgage Association Pass-Through Certificates     
7.00%, 3/1/18  11,009  11,213 
6.00%, TBA, 4/1/47  21,000,000  23,743,407 
4.50%, TBA, 4/1/47  1,000,000  1,072,422 
4.00%, 12/1/44  8,607,218  9,042,286 
4.00%, TBA, 4/1/47  1,000,000  1,048,984 
3.50%, 07/01/38 i   122,259  128,679 
3.50%, with due dates from 9/1/45 to 1/1/47  54,415,983  55,710,438 
3.50%, TBA, 5/1/47  4,000,000  4,083,594 
3.50%, TBA, 4/1/47  4,000,000  4,091,875 
3.00%, with due dates from 12/1/31 to 6/1/46  31,844,602  32,386,723 
3.00%, TBA, 4/1/47  14,000,000  13,881,875 
3.00%, TBA, 4/1/32  4,000,000  4,101,562 
2.50%, TBA, 4/1/47  1,000,000  953,438 
    174,174,681 
Total U.S. government and agency mortgage obligations (cost $233,940,618)  $234,009,197 
 
  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)*  amount  Value 
Agency collateralized mortgage obligations (0.5%)     
Federal Home Loan Mortgage Corporation     
IFB Ser. 3408, Class EK, 22.122%, 4/15/37  $101,173  $154,636 
IFB Ser. 2979, Class AS, 20.929%, 3/15/34  330  331 
IFB Ser. 3249, Class PS, 19.265%, 12/15/36  132,400  184,501 
IFB Ser. 3065, Class DC, 17.123%, 3/15/35  186,789  268,554 
IFB Ser. 2990, Class LB, 14.614%, 6/15/34  138,179  165,546 
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class M2,     
3.582%, 12/25/27  532,837  545,827 

 

Dynamic Asset Allocation Conservative Fund     59 

 


  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 15-HQ1, Class M2,     
3.182%, 3/25/25  $246,591  $250,073 
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M1,     
2.182%, 11/25/28  174,517  175,079 
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M1,     
2.082%, 12/25/28  178,602  179,194 
Ser. 3391, PO, zero %, 4/15/37  8,629  7,302 
Ser. 3300, PO, zero %, 2/15/37  51,237  44,088 
Ser. 3206, Class EO, PO, zero %, 8/15/36  5,241  4,593 
Ser. 3326, Class WF, zero %, 10/15/35  3,560  2,680 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 34.01%, 7/25/36  33,306  60,263 
IFB Ser. 06-8, Class HP, 20.967%, 3/25/36  121,260  190,852 
IFB Ser. 05-75, Class GS, 17.305%, 8/25/35  55,124  71,454 
IFB Ser. 05-106, Class JC, 17.08%, 12/25/35  52,056  75,542 
IFB Ser. 05-83, Class QP, 14.842%, 11/25/34  24,734  30,517 
Ser. 13-1, Class MI, IO, 3.00%, 1/25/43  1,253,494  117,879 
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1,     
2.332%, 1/25/29  214,821  215,980 
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1,     
2.182%, 7/25/24  59,883  59,990 
Ser. 07-64, Class LO, PO, zero %, 7/25/37  25,096  22,966 
Ser. 07-14, Class KO, PO, zero %, 3/25/37  26,838  22,292 
Ser. 06-125, Class OX, PO, zero %, 1/25/37  2,293  1,921 
Ser. 06-84, Class OT, PO, zero %, 9/25/36  3,196  2,674 
Government National Mortgage Association     
IFB Ser. 13-99, Class AS, IO, 5.072%, 6/20/43  1,470,844  300,388 
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40  392,032  83,328 
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40  82,755  16,573 
Ser. 14-116, Class IL, IO, 4.00%, 8/20/44  4,121,204  689,065 
Ser. 13-14, IO, 3.50%, 12/20/42  1,051,457  151,147 
Ser. 12-141, Class WI, IO, 3.50%, 11/20/41  1,682,577  208,555 
Ser. 15-124, Class NI, IO, 3.50%, 6/20/39  1,872,530  198,649 
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38  1,380,124  177,843 
Ser. 15-H25, Class BI, IO, 2.205%, 10/20/65  3,558,820  387,200 
Ser. 16-H16, Class EI, IO, 2.175%, 6/20/66  3,508,833  446,324 
Ser. 15-H26, Class EI, IO, 1.709%, 10/20/65  2,099,482  196,092 
Ser. 06-36, Class OD, PO, zero %, 7/16/36  2,880  2,415 
    5,712,313 
Commercial mortgage-backed securities (3.0%)     
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5,     
Class XW, IO, 0.339%, 2/10/51  9,930,728  12,539 
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A     
FRB Ser. 04-5, Class XC, IO, 0.423%, 11/10/41  254,464  2,675 
FRB Ser. 04-4, Class XC, IO, 0.018%, 7/10/42  108,788  23 
FRB Ser. 05-1, Class XW, IO, zero %, 11/10/42  1,812,013  181 
Bear Stearns Commercial Mortgage Securities Trust     
Ser. 05-T18, Class D, 5.134%, 2/13/42  2,734  2,753 
FRB Ser. 04-PR3I, Class X1, IO, 0.201%, 2/11/41  90,422  443 

 

60     Dynamic Asset Allocation Conservative Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
Bear Stearns Commercial Mortgage Securities Trust 144A     
FRB Ser. 06-PW11, Class B, 5.693%, 3/11/39  $201,061  $192,136 
FRB Ser. 06-PW11, Class C, 5.693%, 3/11/39  191,000  96,426 
FRB Ser. 06-PW14, Class X1, IO, 0.556%, 12/11/38  872,466  9,911 
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E,     
5.755%, 12/15/47  411,000  408,916 
Citigroup Commercial Mortgage Trust     
FRB Ser. 13-GC17, Class C, 5.104%, 11/10/46  408,000  428,731 
Ser. 14-GC21, Class AS, 4.026%, 5/10/47  280,000  290,634 
FRB Ser. 14-GC19, Class XA, IO, 1.23%, 3/10/47  3,771,382  219,909 
Citigroup Commercial Mortgage Trust 144A FRB Ser. 06-C5,     
Class XC, IO, 0.431%, 10/15/49  9,190,138  22,056 
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3,     
Class AJ, 5.88%, 5/15/46  574,000  579,130 
COMM Mortgage Pass-Through Certificates     
FRB Ser. 12-CR3, Class XA, IO, 2.072%, 10/15/45  2,486,376  183,026 
FRB Ser. 14-CR14, Class XA, IO, 0.83%, 2/10/47  17,177,916  601,227 
COMM Mortgage Trust     
FRB Ser. 14-CR18, Class C, 4.737%, 7/15/47  567,000  585,314 
Ser. 13-CR11, Class AM, 4.715%, 8/10/50  233,000  252,120 
FRB Ser. 14-UBS6, Class C, 4.464%, 12/10/47  935,000  886,540 
Ser. 13-CR13, Class AM, 4.449%, 12/10/23  275,000  294,498 
FRB Ser. 12-CR1, Class XA, IO, 1.91%, 5/15/45  3,550,615  275,139 
FRB Ser. 14-LC15, Class XA, IO, 1.355%, 4/10/47  14,400,860  828,539 
FRB Ser. 13-LC13, Class XA, IO, 1.346%, 8/10/46  4,006,300  184,490 
FRB Ser. 14-CR18, Class XA, IO, 1.246%, 7/15/47  2,876,802  159,605 
FRB Ser. 14-CR17, Class XA, IO, 1.155%, 5/10/47  4,922,408  260,888 
FRB Ser. 14-UBS6, Class XA, IO, 1.047%, 12/10/47  4,935,172  263,538 
COMM Mortgage Trust 144A     
FRB Ser. 12-CR2, Class E, 4.855%, 8/15/45  250,000  232,488 
Ser. 13-LC13, Class AM, 4.557%, 8/10/46  580,000  624,196 
FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45  337,000  296,021 
Ser. 13-LC13, Class E, 3.719%, 8/10/46  274,000  188,375 
FRB Ser. 06-C8, Class XS, IO, 0.659%, 12/10/46  4,811,217  48 
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB     
Ser. 03-C3, Class AX, IO, 2.002%, 5/15/38  211,028  1 
CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C,     
4.30%, 4/15/50  314,000  316,674 
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.365%, 12/15/49  851,000  849,170 
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636%, 12/18/49  8,569  8,569 
DBUBS Mortgage Trust 144A     
FRB Ser. 11-LC2A, Class D, 5.727%, 7/10/44  110,000  114,552 
FRB Ser. 11-LC3A, Class D, 5.346%, 8/10/44  1,142,000  1,177,288 
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class E,     
5.087%, 8/10/42  119,001  119,414 
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 05-C3,     
Class XC, IO, 0.072%, 7/10/45  1,857,265  19 
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB     
Ser. 05-C1, Class X1, IO, 0.44%, 5/10/43  1,353,673  2,526 

 

Dynamic Asset Allocation Conservative Fund    61 

 


  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
GS Mortgage Securities Corp. II FRB Ser. 13-GC10, Class XA, IO,     
1.59%, 2/10/46  $5,383,615  $370,447 
GS Mortgage Securities Trust FRB Ser. 13-GC12, Class C,     
4.179%, 6/10/46  904,000  878,326 
GS Mortgage Securities Trust 144A     
FRB Ser. 12-GC6, Class D, 5.653%, 1/10/45  503,000  490,626 
FRB Ser. 11-GC3, Class D, 5.633%, 3/10/44  568,000  576,340 
FRB Ser. 12-GC6, Class E, 5.00%, 1/10/45  478,000  381,826 
FRB Ser. 13-GC12, Class D, 4.464%, 6/10/46  586,000  514,684 
FRB Ser. 06-GG6, Class XC, IO, zero %, 4/10/38  89,421  1 
JP Morgan Chase Commercial Mortgage Securities Trust 144A FRB     
Ser. 12-C8, Class C, 4.629%, 10/15/45  414,000  423,989 
JPMBB Commercial Mortgage Securities Trust     
FRB Ser. 14-C19, Class C, 4.667%, 4/15/47  337,000  341,214 
FRB Ser. 13-C14, Class C, 4.564%, 8/15/46  873,000  893,887 
FRB Ser. 14-C26, Class C, 4.426%, 1/15/48  288,000  279,723 
FRB Ser. 14-C19, Class XA, IO, 1.186%, 4/15/47  7,252,460  248,759 
FRB Ser. 14-C25, Class XA, IO, 0.994%, 11/15/47  4,226,992  219,804 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
FRB Ser. 12-LC9, Class D, 4.413%, 12/15/47  119,000  119,345 
FRB Ser. 12-LC9, Class E, 4.413%, 12/15/47  585,000  535,802 
JPMorgan Chase Commercial Mortgage Securities Trust     
FRB Ser. 07-CB20, Class AJ, 6.178%, 2/12/51  43,500  44,548 
FRB Ser. 06-LDP7, Class B, 5.939%, 4/17/45  251,000  45,657 
FRB Ser. 05-LDP5, Class F, 5.699%, 12/15/44  784,566  780,813 
Ser. 06-LDP8, Class B, 5.52%, 5/15/45  90,740  91,799 
FRB Ser. 13-LC11, Class XA, IO, 1.427%, 4/15/46  3,788,668  216,181 
FRB Ser. 06-LDP8, Class X, IO, 0.423%, 5/15/45  1,143,530  11 
JPMorgan Chase Commercial Mortgage Securities Trust 144A     
FRB Ser. 07-CB20, Class B, 6.278%, 2/12/51  267,000  250,793 
FRB Ser. 07-CB20, Class C, 6.278%, 2/12/51  192,000  168,960 
FRB Ser. 12-C6, Class E, 5.153%, 5/15/45  553,000  517,719 
FRB Ser. 05-CB12, Class X1, IO, 0.389%, 9/12/37  673,520  1,773 
FRB Ser. 06-LDP6, Class X1, IO, 0.022%, 4/15/43  420,688  4 
LB Commercial Mortgage Trust 144A     
Ser. 99-C1, Class G, 6.41%, 6/15/31  26,118  26,786 
Ser. 98-C4, Class H, 5.60%, 10/15/35  3,199  3,197 
LB-UBS Commercial Mortgage Trust Ser. 06-C1, Class AJ,     
5.276%, 2/15/41  337,646  337,713 
LB-UBS Commercial Mortgage Trust 144A     
FRB Ser. 05-C7, Class XCL, IO, 0.341%, 11/15/40  980,035  6,664 
FRB Ser. 05-C2, Class XCL, IO, 0.195%, 4/15/40  311,302  17 
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B,     
3.229%, 4/20/48  508,000  440,517 
Merrill Lynch Mortgage Trust 144A     
FRB Ser. 04-KEY2, Class XC, IO, 0.356%, 8/12/39  518,098  2,236 
FRB Ser. 05-MCP1, Class XC, IO, 0.005%, 6/12/43  413,461  1 

 

62    Dynamic Asset Allocation Conservative Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
Mezz Cap Commercial Mortgage Trust 144A     
FRB Ser. 05-C3, Class X, IO, 5.911%, 5/15/44  $19,199  $209 
FRB Ser. 07-C5, Class X, IO, 4.546%, 12/15/49  472,215  2,833 
FRB Ser. 06-C4, Class X, IO, 2.984%, 7/15/45  192,924  2,701 
Morgan Stanley Bank of America Merrill Lynch Trust     
Ser. 12-C6, Class AS, 3.476%, 11/15/45  645,000  661,319 
FRB Ser. 14-C17, Class XA, IO, 1.25%, 8/15/47  4,607,562  249,960 
Morgan Stanley Capital I Trust     
FRB Ser. 07-T27, Class AJ, 5.791%, 6/11/42  153,000  158,233 
Ser. 07-HQ11, Class C, 5.558%, 2/12/44  225,000  99,286 
Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44  219,941  217,895 
Morgan Stanley Capital I Trust 144A     
FRB Ser. 08-T29, Class B, 6.301%, 1/11/43  422,000  426,220 
FRB Ser. 11-C3, Class D, 5.156%, 7/15/49  622,000  638,607 
FRB Ser. 11-C3, Class E, 5.156%, 7/15/49  113,000  111,349 
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E,     
8.00%, 12/28/38  363,809  27,286 
UBS-Barclays Commercial Mortgage Trust 144A     
FRB Ser. 12-C2, Class D, 4.885%, 5/10/63  319,000  313,768 
FRB Ser. 12-C4, Class XA, IO, 1.748%, 12/10/45  1,988,311  139,872 
FRB Ser. 12-C2, Class XA, IO, 1.622%, 5/10/63  13,852,134  770,772 
Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21,     
Class D, 5.294%, 10/15/44  371,000  368,328 
Wachovia Bank Commercial Mortgage Trust 144A     
FRB Ser. 06-C26, Class XC, IO, 0.056%, 6/15/45  2,498,644  500 
FRB Ser. 05-C18, Class XC, IO, zero %, 4/15/42  237,592  24 
Wells Fargo Commercial Mortgage Trust     
FRB Ser. 13-LC12, Class AS, 4.296%, 7/15/46  218,000  230,991 
FRB Ser. 13-LC12, Class C, 4.296%, 7/15/46  409,000  416,280 
Ser. 12-LC5, Class AS, 3.539%, 10/15/45  215,000  221,558 
FRB Ser. 14-LC16, Class XA, IO, 1.396%, 8/15/50  3,784,446  228,202 
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12,     
Class D, 4.296%, 7/15/46  507,000  460,284 
WF-RBS Commercial Mortgage Trust     
Ser. 14-C19, Class C, 4.646%, 3/15/47  200,000  203,360 
Ser. 13-C18, Class AS, 4.387%, 12/15/46  258,000  274,775 
Ser. 13-UBS1, Class AS, 4.306%, 3/15/46  195,000  206,649 
Ser. 12-C8, Class AS, 3.66%, 8/15/45  229,000  238,599 
Ser. 13-C12, Class AS, 3.56%, 3/15/48  275,000  281,875 
Ser. 13-C11, Class AS, 3.311%, 3/15/45  228,000  230,494 
WF-RBS Commercial Mortgage Trust 144A     
FRB Ser. 11-C5, Class C, 5.673%, 11/15/44  241,000  264,159 
FRB Ser. 11-C5, Class E, 5.673%, 11/15/44  911,000  922,205 
FRB Ser. 11-C3, Class D, 5.641%, 3/15/44  682,000  695,708 
FRB Ser. 11-C2, Class D, 5.603%, 2/15/44  669,000  692,081 
Ser. 11-C4, Class E, 5.265%, 6/15/44  482,000  482,386 
FRB Ser. 12-C9, Class D, 4.80%, 11/15/45  291,000  271,125 
FRB Ser. 13-C15, Class D, 4.48%, 8/15/46  153,000  135,013 

 

Dynamic Asset Allocation Conservative Fund    63 

 


  Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
WF-RBS Commercial Mortgage Trust 144A     
Ser. 14-C19, Class D, 4.234%, 3/15/47  $86,000  $72,076 
FRB Ser. 12-C10, Class XA, IO, 1.677%, 12/15/45  2,372,635  159,512 
FRB Ser. 13-C12, Class XA, IO, 1.376%, 3/15/48  866,827  46,246 
FRB Ser. 12-C9, Class XB, IO, 0.705%, 11/15/45  6,676,000  233,653 
    31,337,283 
Residential mortgage-backed securities (non-agency) (1.0%)     
BCAP, LLC Trust 144A FRB Ser. 14-RR1, Class 2A2, 2.854%, 1/26/36  350,000  304,241 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A,     
3.14%, 5/25/35  795,294  811,200 
Countrywide Alternative Loan Trust     
FRB Ser. 06-OA10, Class 1A1, 1.598%, 8/25/46  281,335  248,223 
FRB Ser. 06-OA7, Class 1A2, 1.578%, 6/25/46  850,683  747,878 
FRB Ser. 05-27, Class 1A1, 1.519%, 8/25/35  176,544  139,470 
FRB Ser. 05-59, Class 1A1, 1.306%, 11/20/35  658,550  582,552 
FRB Ser. 06-OA10, Class 4A1, 1.172%, 8/25/46  1,027,342  873,241 
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3,     
6.132%, 11/25/28  280,000  310,660 
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2,     
5.232%, 11/25/23  560,000  604,576 
Federal National Mortgage Association     
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2,     
6.882%, 10/25/28  931,750  1,060,296 
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2,     
6.682%, 4/25/28  959,570  1,084,787 
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2,     
6.532%, 4/25/28  275,000  306,386 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2,     
5.982%, 7/25/25  20,000  21,823 
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2,     
5.232%, 4/25/29  50,000  52,855 
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2,     
1.782%, 2/25/34  455,593  440,610 
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2,     
2.978%, 2/25/35  256,338  257,941 
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1,     
1.807%, 8/25/34  444,245  435,361 
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1,     
0.598%, 8/26/47  100,000  77,500 
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1,     
Class 2A1, 1.162%, 1/25/37  265,528  224,579 
WaMu Mortgage Pass-Through Certificates Trust     
FRB Ser. 04-AR3, Class A2, 2.846%, 6/25/34  505,267  510,376 
FRB Ser. 05-AR9, Class A1C3, 1.942%, 7/25/45  429,152  404,433 
FRB Ser. 05-AR19, Class A1C3, 1.482%, 12/25/45  74,143  67,559 
FRB Ser. 05-AR13, Class A1C3, 1.472%, 10/25/45  198,895  185,625 
FRB Ser. 05-AR11, Class A1B3, 1.382%, 8/25/45  483,712  455,850 

 

64     Dynamic Asset Allocation Conservative Fund 

 


    Principal   
MORTGAGE-BACKED SECURITIES (4.5%)* cont.    amount  Value 
Residential mortgage-backed securities (non-agency) cont.       
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 05-AR4,       
Class 1A3, 3.231%, 4/25/35    $238,303  $239,722 
      10,447,744 
Total mortgage-backed securities (cost $47,401,918)      $47,497,340 
 
FOREIGN GOVERNMENT AND AGENCY    Principal   
BONDS AND NOTES (0.8%)*    amount  Value 
Argentina (Republic of) sr. unsec. bonds Ser. REGS, 7.625%,       
4/22/46 (Argentina)    $185,000  $187,035 
Argentina (Republic of) 144A sr. unsec. bonds 7.125%,       
7/6/36 (Argentina)    389,000  377,018 
Argentina (Republic of) 144A sr. unsec. unsub. bonds 6.625%,       
7/6/28 (Argentina)    210,000  205,800 
Argentina (Republic of) 144A sr. unsec. unsub. notes 6.875%,       
1/26/27 (Argentina)    307,000  311,336 
Brazil (Federal Republic of) unsec. notes 10.00%, 1/1/21       
(Brazil) (units)  BRL  4,564  1,502,520 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%,       
3/16/24 (Argentina)    $337,000  373,593 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%,       
1/26/21 (Argentina)    685,000  784,325 
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%,       
6/10/21 (Argentina)    150,000  155,459 
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%,       
1/26/24 (Croatia)    200,000  221,250 
Indonesia (Republic of) 144A sr. unsec. notes 5.25%,       
1/17/42 (Indonesia)    320,000  342,255 
Indonesia (Republic of) 144A sr. unsec. notes 4.75%,       
1/8/26 (Indonesia)    200,000  213,250 
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%,       
1/8/46 (Indonesia)    200,000  235,000 
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%,       
4/15/23 (Indonesia)    200,000  199,750 
Peru (Republic of) sr. unsec. unsub. bonds 4.125%, 8/25/27 (Peru)    385,000  414,680 
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%,       
4/4/42 (Russia)    2,000,000  2,197,500 
Sri Lanka (Republic of) 144A sr. unsec. unsub. bonds 6.85%,       
11/3/25 (Sri Lanka)    200,000  206,865 
Total foreign government and agency bonds and notes (cost $8,638,054)    $7,927,636 
 
    Principal   
ASSET-BACKED SECURITIES (0.2%)*    amount  Value 
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A,       
1.882%, 2/25/49    $1,871,000  $1,871,000 
Total asset-backed securities (cost $1,871,000)      $1,871,000 
 
    Principal   
SENIOR LOANS (0.1%)*c    amount  Value 
Avaya, Inc. bank term loan FRN Ser. B7, 6.282%, 5/29/20       
(In default) †    $137,098  $108,958 
Caesars Entertainment Operating Co., Inc. bank term loan FRN       
Ser. B6, 11.75%, 3/1/18 (In default) †    325,486  375,392 

 

Dynamic Asset Allocation Conservative Fund    65 

 


          Principal   
SENIOR LOANS (0.1%)*c cont.          amount  Value 
Caesars Growth Properties Holdings, LLC bank term loan FRN         
6.25%, 5/8/21          $264,957  $266,116 
CPG International, Inc. bank term loan FRN Ser. B, 4.897%, 9/30/20      43,351  43,513 
Gates Global, LLC/Gates Global Co. bank term loan FRN           
4.397%, 7/6/21          67,510  67,575 
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19      158,670  138,440 
Neiman Marcus Group, Ltd., Inc. bank term loan FRN           
4.25%, 10/25/20          82,036  65,782 
Revlon Consumer Products Corp. bank term loan FRN Ser. B,         
4.482%, 9/7/23          119,400  119,383 
Total senior loans (cost $1,173,284)            $1,185,159 
 
          Principal   
CONVERTIBLE BONDS AND NOTES (—%)*          amount  Value 
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes         
8.00%, 12/31/18          $59,000  $137,101 
Total convertible bonds and notes (cost $55,738)          $137,101 
 
CONVERTIBLE PREFERRED STOCKS (—%)*          Shares  Value 
EPR Properties Ser. C, $1.438 cv. pfd. R           3,415  $98,822 
Total convertible preferred stocks (cost $62,389)          $98,822 
 
    Expiration       
PURCHASED OPTIONS    date/strike    Contract   
OUTSTANDING (—%)*    price      amount  Value 
EUR/JPY (Call)    Jun-17/JPY 127.50 EUR    2,956,500 $3,980 
USD/MXN (Put)    Apr-17/MXN 19.00  $3,145,300  56,125 
Total purchased options outstanding (cost $61,297)          $60,105 
 
PREFERRED STOCKS (—%)*          Shares  Value 
GMAC Capital Trust I Ser. 2, $1.706 cum. ARP          2,035  $51,750 
Total preferred stocks (cost $50,875)            $51,750 
 
  Expiration  Strike     
WARRANTS (—%)* †  date    price   Warrants  Value 
Halcon Resources Corp.  9/9/20    $14.04  722  $1,271 
Total warrants (cost $—)            $1,271 
 
      Principal amount/   
SHORT-TERM INVESTMENTS (16.0%)*          shares  Value 
Putnam Cash Collateral Pool, LLC 1.03% d       Shares     6,232,075  $6,232,075 
Putnam Short Term Investment Fund 0.87% L       Shares   150,142,178  150,142,178 
U.S. Treasury Bills 0.764%, 7/13/17 #Δ §           $1,756,000  1,752,184 
U.S. Treasury Bills 0.735%, 4/20/17 #           18,000  17,994 
U.S. Treasury Bills 0.500%, 4/13/17 #           5,000  4,999 
U.S. Treasury Bills 0.496%, 4/6/17 # Δ§           10,503,000  10,502,459 
Total short-term investments (cost $168,651,756)          $168,651,889 
 
TOTAL INVESTMENTS             
Total investments (cost $1,072,011,280)            $1,123,707,978 

 

66     Dynamic Asset Allocation Conservative Fund 

 


Key to holding’s currency abbreviations

BRL  Brazilian Real 
CAD  Canadian Dollar 
EUR  Euro 

 

Key to holding’s abbreviations

ARP  Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the 
  reporting period 
BKNT  Bank Note 
bp  Basis Points 
DAC  Designated Activity Company 
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 or yield at the close of the reporting period 
GMTN  Global Medium Term Notes 
IFB  Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the 
  market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is 
  the current interest rate at the close of the reporting period. 
IO  Interest Only 
MTN  Medium Term Notes 
OJSC  Open Joint Stock Company 
PO  Principal Only 
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, 2016 through March 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.

* Percentages indicated are based on net assets of $1,054,589,811.

† This security is non-income-producing.

†† 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.

ΔΔ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $13,184, 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.

Δ 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.

§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.

## Forward commitment, in part or in entirety (Note 1).

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

d Affiliated company. See Notes 1 and 5 to the financial statements regarding securities lending. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

Dynamic Asset Allocation Conservative Fund    67 

 

F This security is valued by Putnam Management 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 (Note 1).

i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).

L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

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 $414,792,565 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.

Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

See Note 1 to the financial statements regarding TBA commitments.

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

FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $110,387,112) (Unaudited) 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America N. A.           
  Australian Dollar  Buy  4/19/17  $745,919  $708,230  $37,689 
  Brazilian Real  Buy  4/3/17  799,368  770,474  28,894 
  Brazilian Real  Sell  4/3/17  799,368  807,258  7,890 
  Brazilian Real  Buy  7/3/17  1,552,867  1,560,663  (7,796) 
  British Pound  Buy  6/21/17  34,519  33,998  521 
  Canadian Dollar  Buy  4/19/17  770,119  762,605  7,514 
  Canadian Dollar  Sell  4/19/17  770,119  770,532  413 
  Chilean Peso  Buy  7/19/17  1,579,933  1,575,985  3,948 
  Euro  Buy  6/21/17  1,572,268  1,558,550  13,718 
  Hong Kong Dollar  Buy  5/17/17  259,601  260,019  (418) 
  Indian Rupee  Buy  5/17/17  804,376  773,210  31,166 
  Japanese Yen  Sell  5/17/17  671,212  654,157  (17,055) 
  Mexican Peso  Buy  7/19/17  783,269  777,796  5,473 
  New Zealand Dollar  Sell  4/19/17  170,207  158,304  (11,903) 
  Norwegian Krone  Sell  6/21/17  381,148  387,111  5,963 
  Singapore Dollar  Sell  5/17/17  799,576  780,742  (18,834) 
  Swedish Krona  Buy  6/21/17  787,790  781,244  6,546 
Barclays Bank PLC             
  Australian Dollar  Buy  4/19/17  1,128,809  1,150,723  (21,914) 
  British Pound  Buy  6/21/17  219,918  207,278  12,640 
  Canadian Dollar  Buy  4/19/17  373,138  369,432  3,706 
  Canadian Dollar  Sell  4/19/17  373,138  373,344  206 
  Euro  Buy  6/21/17  396,601  400,169  (3,568) 
  Japanese Yen  Sell  5/17/17  791,613  768,013  (23,600) 
  New Zealand Dollar  Sell  4/19/17  795,255  783,210  (12,045) 

 

68    Dynamic Asset Allocation Conservative Fund 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $110,387,112) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Barclays Bank PLC cont.           
  Swedish Krona  Buy  6/21/17  $787,263  $780,490  $6,773 
  Swiss Franc  Buy  6/21/17  484,237  479,692  4,545 
Citibank, N.A.             
  Australian Dollar  Buy  4/19/17  292,226  238,270  53,956 
  Brazilian Real  Buy  4/3/17  782,725  774,830  7,895 
  Brazilian Real  Sell  4/3/17  782,725  791,090  8,365 
  Brazilian Real  Buy  7/3/17  766,950  775,689  (8,739) 
  British Pound  Sell  6/21/17  1,627,168  1,600,671  (26,497) 
  Canadian Dollar  Buy  4/19/17  1,182,971  1,194,093  (11,122) 
  Canadian Dollar  Sell  4/19/17  1,182,971  1,169,498  (13,473) 
  Danish Krone  Sell  6/21/17  317,692  313,876  (3,816) 
  Euro  Sell  6/21/17  418,551  415,071  (3,480) 
  Indonesian Rupiah  Buy  5/17/17  771,914  766,612  5,302 
  Japanese Yen  Buy  5/17/17  41,028  40,317  711 
  New Zealand Dollar  Sell  4/19/17  1,527,795  1,540,899  13,104 
  Norwegian Krone  Sell  6/21/17  765,688  782,387  16,699 
  South African Rand  Buy  4/19/17  794,022  778,159  15,863 
  South African Rand  Sell  4/19/17  768,975  779,127  10,152 
  South African Rand  Sell  7/19/17  742,347  747,803  5,456 
  Swedish Krona  Buy  6/21/17  1,593,155  1,564,005  29,150 
Credit Suisse International           
  Australian Dollar  Buy  4/19/17  1,058,463  1,040,404  18,059 
  Canadian Dollar  Buy  4/19/17  9,477  9,482  (5) 
  Canadian Dollar  Sell  4/19/17  9,477  9,382  (95) 
  Euro  Sell  6/21/17  445,319  443,971  (1,348) 
  Hong Kong Dollar  Sell  5/17/17  110,049  110,194  145 
  New Zealand Dollar  Sell  4/19/17  706,964  733,555  26,591 
  Norwegian Krone  Sell  6/21/17  777,017  785,352  8,335 
  Swedish Krona  Buy  6/21/17  782,805  776,074  6,731 
  Swiss Franc  Buy  6/21/17  315,436  312,466  2,970 
Goldman Sachs International           
  Australian Dollar  Buy  4/19/17  3,139,566  3,119,027  20,539 
  Australian Dollar  Sell  4/19/17  3,139,566  3,089,294  (50,272) 
  British Pound  Sell  6/21/17  1,236,412  1,216,642  (19,770) 
  Canadian Dollar  Buy  4/19/17  20,759  10,635  10,124 
  Euro  Sell  6/21/17  26,768  26,545  (223) 
  Indian Rupee  Buy  5/17/17  1,592,288  1,552,822  39,466 
  Japanese Yen  Sell  5/17/17  686,089  683,605  (2,484) 
  New Zealand Dollar  Sell  4/19/17  2,212,896  2,218,461  5,565 
  South African Rand  Sell  7/19/17  732,627  756,432  23,805 
  South Korean Won  Sell  5/17/17  47,002  21,058  (25,944) 
  Swedish Krona  Buy  6/21/17  2,351,607  2,337,777  13,830 

 

Dynamic Asset Allocation Conservative Fund    69 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $110,387,112) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
HSBC Bank USA, National Association           
  Australian Dollar  Buy  4/19/17  $790,219  $793,375  $(3,156) 
  Australian Dollar  Sell  4/19/17  790,219  775,590  (14,629) 
  Canadian Dollar  Buy  4/19/17  1,160,031  1,152,748  7,283 
  Canadian Dollar  Sell  4/19/17  1,160,031  1,160,245  214 
  Euro  Sell  6/21/17  392,103  388,819  (3,284) 
  Hong Kong Dollar  Buy  5/17/17  188,270  188,594  (324) 
JPMorgan Chase Bank N.A.           
  Australian Dollar  Buy  4/19/17  3,680,646  3,598,071  82,575 
  Brazilian Real  Buy  4/3/17  797,387  760,835  36,552 
  Brazilian Real  Sell  4/3/17  797,387  784,291  (13,096) 
  Brazilian Real  Buy  7/3/17  1,127  1,139  (12) 
  British Pound  Sell  6/21/17  794,316  781,735  (12,581) 
  Canadian Dollar  Buy  4/19/17  2,138,268  2,117,117  21,151 
  Canadian Dollar  Sell  4/19/17  2,121,721  2,123,371  1,650 
  Czech Koruna  Buy  7/19/17  790,420  796,015  (5,595) 
  Czech Koruna  Sell  7/19/17  790,420  784,477  (5,943) 
  Euro  Sell  6/21/17  1,733,950  1,719,131  (14,819) 
  Euro  Buy  7/19/17  784,502  782,286  2,216 
  Euro  Sell  7/19/17  784,502  789,585  5,083 
  Hong Kong Dollar  Sell  5/17/17  2,319  2,191  (128) 
  Indonesian Rupiah  Buy  5/17/17  1,095  3,780  (2,685) 
  Japanese Yen  Buy  5/17/17  139,496  147,880  (8,384) 
  New Zealand Dollar  Sell  4/19/17  2,149,761  2,153,517  3,756 
  Singapore Dollar  Buy  5/17/17  173,202  172,125  1,077 
  South Korean Won  Buy  5/17/17  43,701  93,736  (50,035) 
  Swedish Krona  Buy  6/21/17  1,063,391  1,076,335  (12,944) 
Royal Bank of Scotland PLC (The)           
  Australian Dollar  Buy  4/19/17  1,060,143  1,006,092  54,051 
  British Pound  Buy  6/21/17  567,871  549,789  18,082 
  Canadian Dollar  Buy  4/19/17  768,841  773,521  (4,680) 
  Czech Koruna  Buy  7/19/17  790,416  795,684  (5,268) 
  Czech Koruna  Sell  7/19/17  790,416  785,258  (5,158) 
  Euro  Sell  6/21/17  59,212  58,709  (503) 
  Euro  Buy  7/19/17  784,716  782,477  2,239 
  Euro  Sell  7/19/17  784,716  788,149  3,433 
  Japanese Yen  Sell  5/17/17  792,815  787,693  (5,122) 
  New Zealand Dollar  Buy  4/19/17  1,149,263  1,164,505  (15,242) 
  New Zealand Dollar  Sell  4/19/17  1,149,263  1,142,879  (6,384) 
  Swedish Krona  Buy  6/21/17  1,195,284  1,189,391  5,893 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  4/19/17  1,663,309  1,634,411  28,898 
  British Pound  Sell  6/21/17  764,316  752,045  (12,271) 
  Canadian Dollar  Buy  4/19/17  787,494  779,776  7,718 
  Canadian Dollar  Sell  4/19/17  787,494  783,523  (3,971) 

 

70    Dynamic Asset Allocation Conservative Fund 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $110,387,112) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
State Street Bank and Trust Co. cont.           
  Euro  Sell  6/21/17  $2,302,189  $2,295,482  $(6,707) 
  Japanese Yen  Buy  5/17/17  700,854  704,073  (3,219) 
  New Zealand Dollar  Sell  4/19/17  1,145,759  1,137,627  (8,132) 
  Singapore Dollar  Sell  5/17/17  799,504  782,387  (17,117) 
  Swedish Krona  Buy  6/21/17  1,609,029  1,595,536  13,493 
UBS AG             
  Australian Dollar  Buy  4/19/17  631,656  583,785  47,871 
  Canadian Dollar  Buy  4/19/17  1,976,106  1,984,165  (8,059) 
  Canadian Dollar  Sell  4/19/17  1,976,106  1,959,137  (16,969) 
  Euro  Sell  6/21/17  2,817,213  2,791,773  (25,440) 
  Japanese Yen  Buy  5/17/17  390,753  394,737  (3,984) 
  New Zealand Dollar  Sell  4/19/17  2,315,132  2,306,005  (9,127) 
  Swedish Krona  Buy  6/21/17  2,317,240  2,298,687  18,553 
WestPac Banking Corp.           
  Australian Dollar  Buy  4/19/17  326,216  345,325  (19,109) 
  Canadian Dollar  Buy  4/19/17  392,919  393,166  (247) 
  Canadian Dollar  Sell  4/19/17  392,919  391,550  (1,369) 
  Euro  Sell  6/21/17  768,788  762,258  (6,530) 
  New Zealand Dollar  Sell  4/19/17  766,525  781,725  15,200 
Total            $280,782 

 

FUTURES CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)     
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
MSCI EAFE Index Mini (Short)  280  $24,948,000  Jun-17  $(394,267) 
Russell 2000 Index Mini (Long)  313  21,665,860  Jun-17  275,250 
Russell 2000 Index Mini (Short)  116  8,029,520  Jun-17  (101,842) 
S&P 500 Index E-Mini (Long)  23  2,713,080  Jun-17  (6,942) 
S&P 500 Index E-Mini (Short)  687  81,038,520  Jun-17  193,879 
S&P Mid Cap 400 Index E-Mini (Long)  2  343,640  Jun-17  1,811 
S&P Mid Cap 400 Index E-Mini (Short)  64  10,996,480  Jun-17  (52,240) 
Tokyo Price Index (Long)  77  10,461,017  Jun-17  (194,316) 
U.S. Treasury Bond 30 yr (Long)  102  15,386,063  Jun-17  (80,140) 
U.S. Treasury Bond Ultra 30 yr (Long)  181  29,073,125  Jun-17  (209,516) 
U.S. Treasury Bond Ultra 30 yr (Short)  3  481,875  Jun-17  3,439 
U.S. Treasury Note 2 yr (Long)  425  91,992,579  Jun-17  (34,846) 
U.S. Treasury Note 2 yr (Short)  43  9,307,484  Jun-17  6,368 
U.S. Treasury Note 5 yr (Long)  841  99,008,039  Jun-17  (105,056) 
U.S. Treasury Note 5 yr (Short)  38  4,473,609  Jun-17  7,120 
U.S. Treasury Note 10 yr (Long)  288  35,874,000  Jun-17  (103,979) 
U.S. Treasury Note 10 yr (Short)  314  39,112,625  Jun-17  99,000 
U.S. Treasury Note Ultra 10 yr (Short)  27  3,615,047  Jun-17  7,149 
Total        $(689,128) 

 

Dynamic Asset Allocation Conservative Fund     71 

 


WRITTEN OPTIONS OUTSTANDING at 3/31/17 (premiums $31,469) (Unaudited)   
  Expiration  Contract   
  date/strike price  amount  Value 
EUR/JPY (Put)  Jun-17/JPY 115.30  EUR 2,956,500  $31,531 
USD/MXN (Put)  Apr-17/MXN 18.25  $3,145,300  7,319 
Total      $38,850 

 

TBA SALE COMMITMENTS OUTSTANDING at 3/31/17 (proceeds receivable $28,782,656) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3.50%, 4/1/47  $4,000,000  4/12/17  $4,091,875 
Federal National Mortgage Association, 3.00%, 5/1/47  12,000,000  5/11/17  11,877,188 
Federal National Mortgage Association, 3.00%, 4/1/47  12,000,000  4/12/17  11,898,750 
Government National Mortgage Association, 4.00%, 4/1/47  1,000,000  4/20/17  1,056,328 
Total      $28,924,141 

 

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) 
  Upfront    Payments  Payments  Unrealized 
  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
$77,298,000 E  $22,415  6/21/19  3 month USD-  1.75%  $54,571 
      LIBOR-BBA     
70,206,900 E  8,400  6/21/19  1.75%  3 month USD-  (20,806) 
        LIBOR-BBA   
12,075,600 E  (9,042)  6/21/22  3 month USD-  2.20%  37,256 
      LIBOR-BBA     
26,401,700 E  18,311  6/21/22  2.20%  3 month USD-  (82,913) 
        LIBOR-BBA   
27,083,800 E  (19,650)  6/21/27  3 month USD-  2.50%  151,005 
      LIBOR-BBA     
29,033,200 E  26,690  6/21/27  2.50%  3 month USD-  (156,248) 
        LIBOR-BBA   
9,718,600 E  69,163  6/21/47  3 month USD-  2.70%  132,412 
      LIBOR-BBA     
2,734,800 E  (2,801)  6/21/47  2.70%  3 month USD-  (20,600) 
        LIBOR-BBA   
Total  $113,486        $94,677 
 
E Extended effective date.           

 

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
  Upfront    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) 
Barclays Bank PLC           
$35,719  $—  1/12/42  4.00% (1 month  Synthetic TRS Index  $(275) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
379,380  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (2,801) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   

 

72    Dynamic Asset Allocation Conservative Fund 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
  Upfront    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) 
Barclays Bank PLC cont.           
$111,807  $—  1/12/41  4.00% (1 month  Synthetic TRS Index  $(825) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
2,399  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (8) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
129,009  —  1/12/40  4.50% (1 month  Synthetic MBX Index  1,126 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
22,090  —  1/12/39  (6.00%) 1 month  Synthetic MBX Index  (89) 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
98,368  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  736 
      USD-LIBOR  5.00% 30 year Fannie   
        Mae pools   
56,999  —  1/12/43  3.50% (1 month  Synthetic TRS Index  (507) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
27,731  —  1/12/40  5.00% (1 month  Synthetic MBX Index  119 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
796,419  —  1/12/41  5.00% (1 month  Synthetic MBX Index  7,021 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
246,262  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,244) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
Citibank, N.A.           
256,524  —  1/12/41  5.00% (1 month  Synthetic MBX Index  2,262 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
baskets  237  —  12/1/17  (3 month USD-  A basket (CGPUTQL2)  (597,736) 
      LIBOR-BBA plus  of common stocks   
      0.37%)     
units   5,141  —  11/27/17  3 month USD-  Russell 1000 Total  5,513 
      LIBOR-BBA plus  Return Index   
      0.09%     
Credit Suisse International         
$151,958  —  1/12/45  3.50% (1 month  Synthetic TRS Index  (1,754) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
Goldman Sachs International         
46,549  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (91) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
7,502  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (24) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   

 

Dynamic Asset Allocation Conservative Fund    73 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
  Upfront    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.         
$88,815  $—  1/12/42  4.00% (1 month  Synthetic TRS Index  $(684) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
88,815  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (684) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
405,035  —  1/12/40  4.00% (1 month  Synthetic TRS Index  (1,848) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,995  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (61) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
14,437  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (73) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
265,846  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,342) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
JPMorgan Securities LLC         
491,187  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  3,627 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
213,348  —  1/12/42  (4.00%) 1 month  Synthetic TRS Index  1,642 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
Total  $—        $(588,000) 

 

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)     
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt *  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Bank of America N.A.             
CMBX NA BBB– Index  BBB–/P  $957  $14,000  5/11/63  300 bp  $(825) 
CMBX NA BBB– Index  BBB–/P  1,868  31,000  5/11/63  300 bp  (2,079) 
CMBX NA BBB– Index  BBB–/P  3,828  62,000  5/11/63  300 bp  (4,066) 
Credit Suisse International             
CMBX NA BBB– Index  —  (7,814)  116,000  1/17/47  (300 bp)  2,709 
CMBX NA BB Index  —  (18,665)  133,000  1/17/47  (500 bp)  4,640 
CMBX NA A Index  A/P  25,099  477,000  5/11/63  200 bp  576 
CMBX NA BB Index  —  (13,997)  793,000  5/11/63  (500 bp)  147,083 
CMBX NA BB Index  —  (46,658)  285,000  1/17/47  (500 bp)  3,281 
CMBX NA BB Index  —  (41,726)  220,000  1/17/47  (500 bp)  (3,176) 
CMBX NA BBB– Index  BBB–/P  629  8,000  5/11/63  300 bp  (389) 
CMBX NA BBB– Index  BBB–/P  7,072  58,000  5/11/63  300 bp  (336) 
CMBX NA BBB– Index  BBB–/P  7,698  63,000  5/11/63  300 bp  (323) 
CMBX NA BBB– Index  BBB–/P  13,342  101,000  5/11/63  300 bp  483 

 

74 Dynamic Asset Allocation Conservative Fund 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.     
    Upfront      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.           
CMBX NA BBB– Index  BBB–/P  $9,650  $116,000  5/11/63  300 bp  $(5,119) 
CMBX NA BBB– Index  BBB–/P  12,217  144,000  5/11/63  300 bp  (6,117) 
CMBX NA BBB– Index  BBB–/P  28,601  197,000  5/11/63  300 bp  3,520 
CMBX NA BBB– Index  BBB–/P  24,716  203,000  5/11/63  300 bp  (1,129) 
CMBX NA BBB– Index  BBB–/P  25,943  530,000  5/11/63  300 bp  (41,535) 
CMBX NA BBB– Index  BBB–/P  60,153  761,000  1/17/47  300 bp  (8,883) 
CMBX NA BBB– Index  BBB–/P  106,364  1,439,000  1/17/47  300 bp  (24,178) 
Goldman Sachs International           
CMBX NA BB Index  —  (37,135)  363,000  5/11/63  (500 bp)  36,601 
CMBX NA BB Index  —  (3,481)  23,000  1/17/47  (500 bp)  550 
CMBX NA A Index  A/P  20,305  399,000  5/11/63  200 bp  (208) 
CMBX NA A Index  A/P  28,986  481,000  5/11/63  200 bp  4,258 
CMBX NA A Index  A/P  34,586  686,000  1/17/47  200 bp  4,326 
CMBX NA BB Index  —  (18,117)  124,000  5/11/63  (500 bp)  7,071 
CMBX NA BB Index  —  (64,416)  381,000  1/17/47  (500 bp)  2,346 
CMBX NA BB Index  —  (50,559)  249,000  1/17/47  (500 bp)  (6,928) 
CMBX NA BBB– Index  BBB–/P  317  4,000  5/11/63  300 bp  (193) 
CMBX NA BBB– Index  BBB–/P  545  8,000  5/11/63  300 bp  (474) 
CMBX NA BBB– Index  BBB–/P  2,226  46,000  5/11/63  300 bp  (3,631) 
CMBX NA BBB– Index  BBB–/P  3,077  59,000  5/11/63  300 bp  (4,434) 
CMBX NA BBB– Index  BBB–/P  5,992  71,000  5/11/63  300 bp  (3,048) 
CMBX NA BBB– Index  BBB–/P  8,861  105,000  5/11/63  300 bp  (4,508) 
CMBX NA BBB– Index  BBB–/P  9,758  113,000  5/11/63  300 bp  (4,629) 
CMBX NA BBB– Index  BBB–/P  23,742  195,000  5/11/63  300 bp  (1,085) 
CMBX NA BBB– Index  BBB–/P  55,992  597,000  5/11/63  300 bp  (20,016) 
CMBX NA BBB– Index  BBB–/P  57,205  761,000  5/11/63  300 bp  (39,683) 
CMBX NA BBB– Index  —  (20,551)  305,000  1/17/47  (300 bp)  7,118 
CMBX NA BBB– Index  —  (7,866)  114,000  1/17/47  (300 bp)  2,476 
CMBX NA BBB– Index  —  (7,673)  113,000  1/17/47  (300 bp)  2,578 
CMBX NA BBB– Index  —  (2,804)  27,000  1/17/47  (300 bp)  (354) 
CMBX NA BBB– Index  BBB–/P  5,300  62,000  1/17/47  300 bp  (325) 
CMBX NA BBB– Index  BBB–/P  5,925  85,000  1/17/47  300 bp  (1,786) 
CMBX NA BBB– Index  BBB–/P  28,026  329,000  1/17/47  300 bp  (1,820) 
CMBX NA BBB– Index  BBB–/P  33,315  423,000  1/17/47  300 bp  (5,058) 
CMBX NA BBB– Index  BBB–/P  49,611  571,000  1/17/47  300 bp  (2,189) 
JPMorgan Securities LLC             
CMBX NA A Index  A/P  26,127  444,000  5/11/63  200 bp  3,301 
CMBX NA A Index  A/P  35,837  741,000  5/11/63  200 bp  (2,423) 
CMBX NA A Index  A/P  111,366  1,848,000  5/11/63  200 bp  16,358 
CMBX NA A Index  A/P  13,244  302,000  1/17/47  200 bp  (78) 
CMBX NA BB Index  —  (17,547)  122,000  5/11/63  (500 bp)  7,235 
CMBX NA BB Index  —  (10,826)  77,000  5/11/63  (500 bp)  4,815 
CMBX NA BB Index  —  (9,838)  74,000  5/11/63  (500 bp)  5,193 

 

Dynamic Asset Allocation Conservative Fund    75 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.     
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional     nation  (paid) by fund appreciation/ 
Referenced debt *  Rating***  (paid)**  amount   date  per annum  (depreciation) 
JPMorgan Securities LLC cont.           
CMBX NA BB Index  —  $(24,823)  $145,000  1/17/47  (500 bp)  $585 
CMBX NA BBB– Index  BBB–/P  276  4,000  5/11/63  300 bp  (233) 
CMBX NA BBB– Index  BBB–/P  900  11,000  5/11/63  300 bp  (500) 
CMBX NA BBB– Index  BBB–/P  3,942  27,000  5/11/63  300 bp  504 
CMBX NA BBB– Index  BBB–/P  1,912  31,000  5/11/63  300 bp  (2,035) 
CMBX NA BBB– Index  BBB–/P  6,367  56,000  5/11/63  300 bp  (762) 
CMBX NA BBB– Index  BBB–/P  3,969  62,000  5/11/63  300 bp  (3,925) 
CMBX NA BBB– Index  BBB–/P  3,304  62,000  5/11/63  300 bp  (4,590) 
CMBX NA BBB– Index  BBB–/P  3,158  62,000  5/11/63  300 bp  (4,736) 
CMBX NA BBB– Index  BBB–/P  12,682  88,000  5/11/63  300 bp  1,478 
CMBX NA BBB– Index  BBB–/P  7,676  90,000  5/11/63  300 bp  (3,782) 
CMBX NA BBB– Index  BBB–/P  14,414  99,000  5/11/63  300 bp  1,809 
CMBX NA BBB– Index  BBB–/P  6,362  144,000  5/11/63  300 bp  (11,972) 
CMBX NA BBB– Index  BBB–/P  18,138  342,000  5/11/63  300 bp  (25,404) 
CMBX NA BBB– Index  BBB–/P  42,268  539,000  5/11/63  300 bp  (26,356) 
CMBX NA BBB– Index  BBB–/P  147,251  1,745,000  5/11/63  300 bp  (74,914) 
CMBX NA BBB– Index  —  (1,668)  31,000  1/17/47  (300 bp)  1,145 
CMBX NA BBB– Index  BBB–/P  316  6,000  1/17/47  300 bp  (228) 
CMBX NA BBB– Index  BBB–/P  1,575  16,000  1/17/47  300 bp  123 
CMBX NA BBB– Index  BBB–/P  1,881  34,000  1/17/47  300 bp  (1,203) 
CMBX NA BBB– Index  BBB–/P  1,830  70,000  1/17/47  300 bp  (4,520) 
Total    $760,537        $(94,023) 

 

* 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 March 31, 2017. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

76 Dynamic Asset Allocation Conservative Fund 

 


CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt *  Rating***  (paid)**  amount  date  per annum  (depreciation) 
NA HY Series 27 Index  B+/P  $322,210  $4,803,480  12/20/21  500 bp  $(62,628) 
NA HY Series 28 Index  B+/P  (1,744,544)  26,281,000  6/20/22  500 bp  154,587 
NA IG Series 28 Index  BBB+/P  (1,396,130)  87,850,000  6/20/22  100 bp  64,034 
Total    $(2,818,464)        $155,993 

* 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 March 31, 2017. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

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  $14,999,720  $—­  $—­ 
Capital goods  25,250,053  —­  —­ 
Communication services  13,262,191  —­  617 
Conglomerates  2,190,842  —­  —­ 
Consumer cyclicals  56,371,086  —­  —­ 
Consumer staples  41,584,686  —­  —­ 
Energy  23,445,163  433  3,402 
Financials  76,704,597  —­  —­ 
Health care  50,760,649  —­  —­ 
Technology  71,480,868  —­  —­ 
Transportation  12,562,711  —­  —­ 
Utilities and power  15,643,397  2,986  —­ 
Total common stocks  404,255,963  3,419  4,019 

 

Dynamic Asset Allocation Conservative Fund     77 

 


    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Asset-backed securities  $—­  $1,871,000  $—­ 
Convertible bonds and notes  —­  137,101  —­ 
Convertible preferred stocks  —­  98,822  —­ 
Corporate bonds and notes  —­  257,438,500  514,807 
Foreign government and agency bonds and notes  —­  7,927,636  —­ 
Mortgage-backed securities  —­  47,497,340  —­ 
Preferred stocks  51,750  —­  —­ 
Purchased options outstanding  —­  60,105  —­ 
Senior loans  —­  1,185,159  —­ 
U.S. government and agency mortgage obligations  —­  234,009,197  —­ 
Warrants  1,271  —­  —­ 
Short-term investments  150,142,178  18,509,711  —­ 
Totals by level  $554,451,162  $568,737,990  $518,826 
 
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—­  $280,782  $—­ 
Futures contracts  (689,128)  —­  —­ 
Written options outstanding  —­  (38,850)  —­ 
TBA sale commitments  —­  (28,924,141)  —­ 
Interest rate swap contracts  —­  (18,809)  —­ 
Total return swap contracts  —­  (588,000)  —­ 
Credit default contracts  —­  2,119,897  —­ 
Totals by level  $(689,128)  $(27,169,121)  $—­ 

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in Note 1), did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.

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

78     Dynamic Asset Allocation Conservative Fund 

 


Statement of assets and liabilities 3/31/17 (Unaudited)

ASSETS   
Investment in securities, at value, including $6,095,494 of securities on loan (Note 1):   
Unaffiliated issuers (identified cost $915,637,027)  $967,333,725 
Affiliated issuers (identified cost $156,374,253) (Notes 1 and 5)  156,374,253 
Cash  228,680 
Foreign currency (cost $40,796) (Note 1)  40,843 
Dividends, interest and other receivables  5,087,710 
Receivable for shares of the fund sold  3,504,601 
Receivable for investments sold  1,536,247 
Receivable for sales of delayed delivery securities (Note 1)  22,906,288 
Receivable for variation margin (Note 1)  2,657,852 
Unrealized appreciation on forward currency contracts (Note 1)  897,406 
Unrealized appreciation on OTC swap contracts (Note 1)  294,208 
Premium paid on OTC swap contracts (Note 1)  406,164 
Prepaid assets  76,392 
Total assets  1,161,344,369 
 
LIABILITIES   
Payable for investments purchased  4,676,530 
Payable for purchases of delayed delivery securities (Note 1)  58,616,007 
Payable for shares of the fund repurchased  1,921,243 
Payable for compensation of Manager (Note 2)  466,874 
Payable for custodian fees (Note 2)  134,558 
Payable for investor servicing fees (Note 2)  234,513 
Payable for Trustee compensation and expenses (Note 2)  221,938 
Payable for administrative services (Note 2)  3,868 
Payable for distribution fees (Note 2)  446,273 
Payable for variation margin (Note 1)  1,776,413 
Unrealized depreciation on OTC swap contracts (Note 1)  976,231 
Premium received on OTC swap contracts (Note 1)  1,166,701 
Unrealized depreciation on forward currency contracts (Note 1)  616,624 
Written options outstanding, at value (premiums $31,469) (Notes 1 and 3)  38,850 
TBA sale commitments, at value (proceeds receivable $28,782,656) (Note 1)  28,924,141 
Collateral on securities loaned, at value (Note 1)  6,232,075 
Collateral on certain derivative contracts, at value (Note 1)  128,679 
Other accrued expenses  173,040 
Total liabilities  106,754,558 
 
Net assets  $1,054,589,811 

 

(Continued on next page)

Dynamic Asset Allocation Conservative Fund     79 

 


Statement of assets and liabilities cont.

REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $995,327,470 
Undistributed net investment income (Note 1)  2,968,067 
Accumulated net realized gain on investments and foreign currency transactions (Note 1)  5,587,483 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  50,706,791 
Total — Representing net assets applicable to capital shares outstanding  $1,054,589,811 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($480,412,894 divided by 46,153,975 shares)  $10.41 
Offering price per class A share (100/94.25 of $10.41)*  $11.05 
Net asset value and offering price per class B share ($20,260,354 divided by 1,962,256 shares)**  $10.33 
Net asset value and offering price per class C share ($129,281,403 divided by 12,579,389 shares)**  $10.28 
Net asset value and redemption price per class M share ($10,455,419 divided by 1,015,887 shares)  $10.29 
Offering price per class M share (100/96.50 of $10.29)*  $10.66 
Net asset value, offering price and redemption price per class P share   
($85,407,650 divided by 8,177,389 shares)  $10.44 
Net asset value, offering price and redemption price per class R share   
($11,964,026 divided by 1,118,499 shares)  $10.70 
Net asset value, offering price and redemption price per class R5 share   
($648,122 divided by 62,070 shares)  $10.44 
Net asset value, offering price and redemption price per class R6 share   
($100,487,447 divided by 9,617,801 shares)  $10.45 
Net asset value, offering price and redemption price per class Y share   
($215,672,496 divided by 20,651,118 shares)  $10.44 

 

*  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.

80     Dynamic Asset Allocation Conservative Fund 

 


Statement of operations Six months ended 3/31/17 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $579,226 from investments in affiliated issuers) (Note 5)  $8,286,175 
Dividends (net of foreign tax of $74,897)  3,883,894 
Securities lending (net of expenses) (Notes 1 and 5)  18,625 
Total investment income  12,188,694 
 
EXPENSES   
Compensation of Manager (Note 2)  2,695,554 
Investor servicing fees (Note 2)  727,271 
Custodian fees (Note 2)  81,483 
Trustee compensation and expenses (Note 2)  27,205 
Distribution fees (Note 2)  1,440,113 
Administrative services (Note 2)  18,345 
Other  283,505 
Total expenses  5,273,476 
Expense reduction (Note 2)  (1,179) 
Net expenses  5,272,297 
 
Net investment income  6,916,397 
 
Net realized gain on investments (Notes 1 and 3)  16,632,152 
Net realized gain on swap contracts (Note 1)  1,730,183 
Net realized loss on futures contracts (Note 1)  (9,340,273) 
Net realized gain on foreign currency transactions (Note 1)  901,155 
Net realized loss on written options (Notes 1 and 3)  (134,828) 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (265,365) 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options,   
when-issued securities and TBA sale commitments during the period  6,753,351 
Net gain on investments  16,276,375 
Net increase in net assets resulting from operations  $23,192,772 

 

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

Dynamic Asset Allocation Conservative Fund    81 

 


Statement of changes in net assets

INCREASE IN NET ASSETS  Six months ended 3/31/17*  Year ended 9/30/16 
Operations     
Net investment income  $6,916,397  $12,057,778 
Net realized gain on investments     
and foreign currency transactions  9,788,389  8,399,687 
Net unrealized appreciation of investments and assets     
and liabilities in foreign currencies  6,487,986  33,502,433 
Net increase in net assets resulting from operations  23,192,772  53,959,898 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (3,966,637)  (9,319,722) 
Class B  (88,766)  (233,800) 
Class C  (569,935)  (1,227,444) 
Class M  (77,456)  (193,756) 
Class P  (764,724)  (107,030) 
Class R  (75,325)  (123,470) 
Class R5  (6,448)  (16,303) 
Class R6  (853,725)  (992,479) 
Class Y  (1,724,710)  (3,750,069) 
Net realized short-term gain on investments     
Class A  —  (6,331,721) 
Class B  —  (268,687) 
Class C  —  (1,162,805) 
Class M  —  (159,567) 
Class R  —  (74,442) 
Class R5  —  (3,230) 
Class R6  —  (310,347) 
Class Y  —  (1,982,280) 
From net realized long-term gain on investments     
Class A  (2,688,295)  (19,899,694) 
Class B  (114,269)  (844,445) 
Class C  (704,891)  (3,654,530) 
Class M  (94,080)  (501,495) 
Class P  (412,004)  — 
Class R  (61,311)  (233,962) 
Class R5  (3,296)  (10,152) 
Class R6  (502,358)  (975,377) 
Class Y  (951,385)  (6,230,021) 
Increase from capital share transactions (Note 4)  25,875,354  294,061,204 
Total increase in net assets  35,408,511  289,414,274 
 
NET ASSETS     
Beginning of period  1,019,181,300  729,767,026 
End of period (including undistributed net investment     
income of $2,968,067 and $4,179,396, respectively)  $1,054,589,811  $1,019,181,300 

* Unaudited.

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

82    Dynamic Asset Allocation Conservative Fund 

 

 

 

 

 

 

 


 

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Dynamic Asset Allocation Conservative Fund    83 

 


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

  INVESTMENT OPERATIONS   LESS DISTRIBUTIONS       RATIOS AND SUPPLEMENTAL DATA   
 
                        Ratio of net   
  Net asset    Net realized    From            Ratio  investment   
  value,    and unrealized  Total from  net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss) a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%) b  (in thousands)  net assets (%) c  net assets (%)  (%) 
Class A­                           
March 31, 2017**   $10.32­  .07­  .16­  .23­  (.08)  (.06)  (.14)  $10.41­  2.24*  $480,413­  .51*  .67*  248­d*  
September 30, 2016­  10.46­  .15­  .48­  .63­  (.19)  (.58)  (.77)  10.32­  6.37­  519,767­  1.04­g  1.44­g  614­d 
September 30, 2015­  11.14­  .15­  .03­  .18­  (.19)  (.67)  (.86)  10.46­  1.58­  463,857­  1.02­  1.41­  559­d 
September 30, 2014­  10.35­  .20­  .77­  .97­  (.18)  —­  (.18)  11.14­  9.45­  431,523­  1.03­  1.83­  583­d 
September 30, 2013­  9.88­  .20­  .43­  .63­  (.16)  —­  (.16)  10.35­  6.46­  384,651­  1.05­  1.99­  305­e 
September 30, 2012­  8.83­  .21­  1.00­  1.21­  (.16)  —­  (.16)  9.88­  13.76­  376,279­  1.07­  2.21­  278­e 
Class B­                           
March 31, 2017**   $10.23­  .03­  .17­  .20­  (.04)  (.06)  (.10)  $10.33­  1.98*  $20,260­  .88 *  .29 *  248­d*  
September 30, 2016­  10.39­  .07­  .47­  .54­  (.12)  (.58)  (.70)  10.23­  5.43­  21,084­  1.79­g  .68­g  614­d 
September 30, 2015­  11.06­  .07­  .04­  .11­  (.11)  (.67)  (.78)  10.39­  .94­  20,513­  1.77­  .65­  559­d 
September 30, 2014­  10.28­  .12­  .76­  .88­  (.10)  —­  (.10)  11.06­  8.58­  23,367­  1.78­  1.08­  583­d 
September 30, 2013­  9.81­  .12­  .44­  .56­  (.09)  —­  (.09)  10.28­  5.72­  25,472­  1.80­  1.24­  305­e 
September 30, 2012­  8.77­  .14­  .98­  1.12­  (.08)  —­  (.08)  9.81­  12.86­  25,916­  1.82­  1.46­  278­e 
Class C­                           
March 31, 2017**   $10.19­  .03­  .17­  .20­  (.05)  (.06)  (.11)  $10.28­  1.90 *  $129,281­  .88 *  .30 *  248­d*  
September 30, 2016­  10.35­  .07­  .47­  .54­  (.12)  (.58)  (.70)  10.19­  5.47­  129,657­  1.79­g  .68­g  614­d 
September 30, 2015­  11.02­  .07­  .04­  .11­  (.11)  (.67)  (.78)  10.35­  .97­  79,407­  1.77­  .66­  559­d 
September 30, 2014­  10.25­  .12­  .75­  .87­  (.10)  —­  (.10)  11.02­  8.55­  60,957­  1.78­  1.08­  583­d 
September 30, 2013­  9.78­  .12­  .44­  .56­  (.09)  —­  (.09)  10.25­  5.74­  51,129­  1.80­  1.24­  305­e 
September 30, 2012­  8.75­  .14­  .98­  1.12­  (.09)  —­  (.09)  9.78­  12.80­  48,885­  1.82­  1.46­  278­e 
Class M­                           
March 31, 2017**   $10.20­  .04­  .16­  .20­  (.05)  (.06)  (.11)  $10.29­  1.99 *  $10,455­  .76*  .39*  248­d*  
September 30, 2016­  10.35­  .09­  .48­  .57­  (.14)  (.58)  (.72)  10.20­  5.83­  16,801­  1.54­g  .93­g  614­d 
September 30, 2015­  11.03­  .10­  .03­  .13­  (.14)  (.67)  (.81)  10.35­  1.10­  10,541­  1.52­  .91­  559­d 
September 30, 2014­  10.26­  .14­  .76­  .90­  (.13)  —­  (.13)  11.03­  8.82­  10,057­  1.53­  1.33­  583­d 
September 30, 2013­  9.79­  .15­  .43­  .58­  (.11)  —­  (.11)  10.26­  5.98­  9,333­  1.55­  1.49­  305­e 
September 30, 2012­  8.76­  .16­  .98­  1.14­  (.11)  —­  (.11)  9.79­  13.07­  8,011­  1.57­  1.71­  278­e 
Class P­                           
March 31, 2017**   $10.35­  .09­  .16­  .25­  (.10)  (.06)  (.16)  $10.44­  2.43*  $85,408­  .31*  .89 *  248­d*  
September 30, 2016 #­  10.35­  .01  .01­  .02  (.02)  —  (.02)  10.35  .18*  71,630  .05*  .14*  614­d  
Class R­                           
March 31, 2017**   $10.60­  .06­  .17­  .23­  (.07)  (.06)  (.13)  $10.70­  2.15*  $11,964­  .63*  .55*  248­d*  
September 30, 2016­  10.73­  .12­  .50­  .62­  (.17)  (.58)  (.75)  10.60­  6.05­  11,033­  1.29­g  1.16­g  614­d 
September 30, 2015­  11.40­  .13­  .03­  .16­  (.16)  (.67)  (.83)  10.73­  1.38­  5,256­  1.27­  1.16­  559­d 
September 30, 2014­  10.60­  .18­  .78­  .96­  (.16)  —­  (.16)  11.40­  9.07­  5,786­  1.28­  1.58­  583­d 
September 30, 2013­  10.11­  .18­  .45­  .63­  (.14)  —­  (.14)  10.60­  6.26­  4,461­  1.30­  1.74­  305­e 
September 30, 2012­  9.03­  .19­  1.02­  1.21­  (.13)  —­  (.13)  10.11­  13.51­  3,933­  1.32­  1.95­  278­e 

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

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

84    Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund    85 

 


Financial highlights cont.

  INVESTMENT OPERATIONS      LESS DISTRIBUTIONS          RATIOS AND SUPPLEMENTAL DATA   
 
                        Ratio of net   
  Net asset    Net realized    From            Ratio  investment   
  value,    and unrealized  Total from  net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss) a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%) b  (in thousands)  net assets (%) c  net assets (%)  (%) 
Class R5­                           
March 31, 2017**   $10.35­  .08­  .17­  .25­  (.10)  (.06)  (.16)  $10.44­  2.38*  $648­  .36*  .81*  248­d*  
September 30, 2016­  10.49­  .18­  .48­  .66­  (.22)  (.58)  (.80)  10.35­  6.68­  828­  .73­g  1.74­g  614­d 
September 30, 2015­  11.16­  .19­  .04­  .23­  (.23)  (.67)  (.90)  10.49­  1.98­  237­  .73­  1.71­  559­d 
September 30, 2014­  10.38­  .24­f  .76­  1.00­  (.22)  —­  (.22)  11.16­  9.68­  316­  .74­  2.20­i  583­d 
September 30, 2013­  9.90­  .24­  .44­  .68­  (.20)  —­  (.20)  10.38­  6.87­  11­  .74­  2.30­  305­e 
September 30, 2012†  9.57­  .05­  .33­  .38­  (.05)  —­  (.05)  9.90­  3.93*  10­  .19*  .55*  278­e 
Class R6­                           
March 31, 2017**   $10.35­  .09­  .17­  .26­  (.10)  (.06)  (.16)  $10.45­  2.51*  $100,487­  .33*  .88 *  248­d*  
September 30, 2016­  10.50­  .18­  .48­  .66­  (.23)  (.58)  (.81)  10.35­  6.64­  71,314­  .66­g  1.78­g  614­d 
September 30, 2015­  11.17­  .20­  .03­  .23­  (.23)  (.67)  (.90)  10.50­  2.04­  16,011­  .66­  1.80­  559­d 
September 30, 2014­  10.38­  .24­  .77­  1.01­  (.22)  —­  (.22)  11.17­  9.80­  3,256­  .67­  2.21­  583­d 
September 30, 2013­  9.90­  .23­  .45­  .68­  (.20)  —­  (.20)  10.38­  6.94­  2,981­  .67­  2.20­  305­e 
September 30, 2012†  9.57­  .06­  .32­  .38­  (.05)  —­  (.05)  9.90­  3.94*  10­  .17*  .57*  278­e 
Class Y­                           
March 31, 2017**   $10.35­  .08­  .16­  .24­  (.09)  (.06)  (.15)  $10.44­  2.36*  $215,672­  .38*  .81*  248­d*  
September 30, 2016­  10.50­  .17­  .48­  .65­  (.22)  (.58)  (.80)  10.35­  6.51­  177,068­  .79­g  1.68­g  614­d 
September 30, 2015­  11.17­  .18­  .04­  .22­  (.22)  (.67)  (.89)  10.50­  1.92­  133,945­  .77­  1.66­  559­d 
September 30, 2014­  10.38­  .23­  .77­  1.00­  (.21)  —­  (.21)  11.17­  9.69­  77,419­  .78­  2.07­  583­d 
September 30, 2013­  9.90­  .23­  .44­  .67­  (.19)  —­  (.19)  10.38­  6.80­  66,787­  .80­  2.27­  305­e 
September 30, 2012­  8.86­  .23­  .99­  1.22­  (.18)  —­  (.18)  9.90­  13.89­  93,814­  .82­  2.46­  278­e 

 

* Not annualized.

** Unaudited.

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

# For the period August 31, 2016 (commencement of operations) to September 30, 2016.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and/or brokerage service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

d Portfolio turnover includes TBA purchase and sale commitments.

e Portfolio turnover excludes TBA purchase and sale commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:

  Portfolio turnover % 
September 30, 2013  640% 
September 30, 2012  720 

f The net investment income ratio and per share amount shown for the period ending September 30, 2014 may not correspond with the expected class specific differences for the period due to the timing of subscriptions into the class.

g Reflects a voluntary waiver of certain fund expenses in effect during the period. As a result of such waiver, the expenses of each class reflect a reduction of less than 0.01% as a percentage of average net assets.

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

86    Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund    87

 


Notes to financial statements 3/31/17 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2016 through March 31, 2017.

Putnam Dynamic Asset Allocation Conservative Fund (the fund) 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 goal of the fund is to seek total return consistent with preservation of capital. Total return is composed of capital appreciation and income. 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 the fund to try to optimize the fund’s performance consistent with its goal. 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). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell fixed-income 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. 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. Putnam Management may also select other investments that do not fall within these asset classes. Putnam Management typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes.

The fund offers class A, class B, class C, class M, class P, class R, class R5, class R6 and class Y shares. The fund registered class T shares in February 2017, however, as of the date of this report, class T shares had not commenced operations and are not available for purchase. Effective April 1, 2017, purchases of class B shares will be closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class P, class R, class R5, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and 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 P, 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 P, 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. Class P shares are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the fund’s Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

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Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.

Investments (including when-issued securities sold, if any) for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price (ask price for when-issued securities sold, if any) and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.

Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

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

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multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

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.

Securities purchased or sold on a when-issued, forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on 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 against changes in values of securities it owns, owned or expects to own.

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

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originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.

Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.

An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.

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The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.

To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC 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 OTC 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.

OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

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

In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty

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risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.

The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.

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

With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs

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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 $1,265,102 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,270,350 and may include amounts related to unsettled agreements.

Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending, net of expenses, is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund received cash collateral of $6,232,075 and the value of securities loaned amounted to $6,095,494.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the higher of (1) the Federal Funds rate and (2) the overnight LIBOR 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 0.04% of the committed line of credit plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

The aggregate identified cost on a tax basis is $1,076,799,677, resulting in gross unrealized appreciation and depreciation of $59,359,752 and $12,451,451, respectively, or net unrealized appreciation of $46,908,301.

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.

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Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

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

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:

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

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.262% of the fund’s average net assets.

Putnam Management has contractually agreed, through January 30, 2018, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.

The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

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

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

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.

Dynamic Asset Allocation Conservative Fund    95 

 


Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%. Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%. Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $404,174  Class R  9,379 
Class B  16,772  Class R5  410 
Class C  104,489  Class R6  22,432 
Class M  11,676  Class Y  154,069 
Class P  3,870  Total  $727,271 
  

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $1,179 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $802, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to the following class 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 payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

  Maximum %  Approved %  Amount 
Class A  0.35%  0.25%  $617,059 
Class B  1.00%  1.00%  102,476 
Class C  1.00%  1.00%  638,531 
Class M  1.00%  0.75%  53,361 
Class R  1.00%  0.50%  28,686 
Total      $1,440,113 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $69,255 and $1,364 from the sale of class A and class M shares, respectively, and received $3,377 and $3,266 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

96     Dynamic Asset Allocation Conservative Fund 

 


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

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA commitments (Long-term)  $2,204,171,038  $2,176,383,348 
U.S. government securities (Long-term)  —  — 
Total  $2,204,171,038  $2,176,383,348 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

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

    Written option  Written option 
    contract amounts  premiums 
Written options outstanding at the  USD  $—  $— 
beginning of the reporting period  EUR  $—  $— 
Options opened  USD  31,035,900  160,367 
  EUR  2,956,500  26,474 
Options exercised  USD  —  — 
  EUR  —  — 
Options expired  USD  —  — 
  EUR  —  — 
Options closed  USD  (27,890,600)  (155,372) 
  EUR  —  — 
Written options outstanding at the  USD  $3,145,300  $4,995 
end of the reporting period  EUR  $2,956,500  $26,474 

Note 4: Capital shares

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

  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class A  Shares  Amount  Shares  Amount 
Shares sold  4,683,472  $48,043,973  14,781,332  $150,234,624 
Shares issued in connection with         
reinvestment of distributions  612,359  6,247,926  3,389,182  34,007,269 
  5,295,831  54,291,899  18,170,514  184,241,893 
Shares repurchased  (9,526,190)  (97,581,362)  (12,119,028)  (123,353,047) 
Net increase (decrease)  (4,230,359)  $(43,289,463)  6,051,486  $60,888,846 

 

Dynamic Asset Allocation Conservative Fund    97 

 


  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class B  Shares  Amount  Shares  Amount 
Shares sold  205,546  $2,095,326  554,553  $5,572,196 
Shares issued in connection with         
reinvestment of distributions  18,441  186,329  127,102  1,263,893 
  223,987  2,281,655  681,655  6,836,089 
Shares repurchased  (321,959)  (3,282,290)  (596,219)  (6,009,398) 
Net increase (decrease)  (97,972)  $(1,000,635)  85,436  $826,691 
 
  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,807,427  $18,327,399  6,483,829  $64,850,207 
Shares issued in connection with         
reinvestment of distributions  116,184  1,169,093  562,208  5,568,485 
  1,923,611  19,496,492  7,046,037  70,418,692 
Shares repurchased  (2,070,555)  (20,934,230)  (1,995,340)  (20,030,105) 
Net increase (decrease)  (146,944)  $(1,437,738)  5,050,697  $50,388,587 
 
  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class M  Shares  Amount  Shares  Amount 
Shares sold  200,261  $2,026,736  780,494  $7,863,415 
Shares issued in connection with         
reinvestment of distributions  16,852  169,639  85,213  845,232 
  217,113  2,196,375  865,707  8,708,647 
Shares repurchased  (848,573)  (8,622,836)  (236,359)  (2,387,355) 
Net increase (decrease)  (631,460)  $(6,426,461)  629,348  $6,321,292 
 
      FOR THE PERIOD 8/31/16 
      (COMMENCEMENT OF OPERATIONS) 
  SIX MONTHS ENDED 3/31/17  TO 9/30/16 
Class P  Shares  Amount  Shares  Amount 
Shares sold  2,841,979  $29,274,274  7,091,484  $73,390,343 
Shares issued in connection with         
reinvestment of distributions  114,891  1,176,728  10,462  107,030 
  2,956,870  30,451,002  7,101,946  73,497,373 
Shares repurchased  (1,699,528)  (17,502,622)  (181,899)  (1,878,601) 
Net increase  1,257,342  $12,948,380  6,920,047  $71,618,772 
 
  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class R  Shares  Amount  Shares  Amount 
Shares sold  222,988  $2,356,451  783,495  $8,135,199 
Shares issued in connection with         
reinvestment of distributions  10,824  113,419  34,158  352,258 
  233,812  2,469,870  817,653  8,487,457 
Shares repurchased  (156,402)  (1,649,387)  (266,428)  (2,775,147) 
Net increase  77,410  $820,483  551,225  $5,712,310 

 

98     Dynamic Asset Allocation Conservative Fund 

 


  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class R5  Shares  Amount  Shares  Amount 
Shares sold  5,190  $53,372  81,004  $795,879 
Shares issued in connection with         
reinvestment of distributions  952  9,744  2,943  29,685 
  6,142  63,116  83,947  825,564 
Shares repurchased  (24,092)  (245,045)  (26,475)  (272,275) 
Net increase (decrease)  (17,950)  $(181,929)  57,472  $553,289 
 
  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  3,686,742  $37,767,607  6,282,224  $63,606,135 
Shares issued in connection with         
reinvestment of distributions  132,281  1,356,083  225,842  2,278,203 
  3,819,023  39,123,690  6,508,066  65,884,338 
Shares repurchased  (1,089,457)  (11,237,828)  (1,145,114)  (11,691,928) 
Net increase  2,729,566  $27,885,862  5,362,952  $54,192,410 
 
  SIX MONTHS ENDED 3/31/17  YEAR ENDED 9/30/16 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  6,831,836  $70,326,887  16,528,463  $169,669,635 
Shares issued in connection with         
reinvestment of distributions  240,545  2,463,976  1,044,192  10,516,883 
  7,072,381  72,790,863  17,572,655  180,186,518 
Shares repurchased  (3,529,627)  (36,234,008)  (13,226,567)  (136,627,511) 
Net increase  3,542,754  $36,556,855  4,346,088  $43,559,007 

 

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

  Shares owned  Percentage of ownership  Value 
Class P  983  0.01%  $10,263 
Class R5  1,300  2.10  13,572 

 

Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

  Fair value at         
  the beginning        Fair value at 
  of the        the end of the 
  reporting      Investment  reporting 
Name of affiliate  period  Purchase cost  Sale proceeds  income  period 
Putnam Cash Collateral           
Pool, LLC*  $10,479,675  $30,800,120  $35,047,720  $35,006  $6,232,075 
Putnam Short Term           
Investment Fund**  200,030,946  83,941,320  133,830,088  579,226  150,142,178 
Totals  $210,510,621  $114,741,440  $168,877,808  $614,232  $156,374,253 

*   No management fees are charged to Putnam Cash Collateral Pool, LLC.
**  Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

Dynamic Asset Allocation Conservative Fund    99 

 


Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest 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 7: Senior loan commitments

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

Note 8: Summary of derivative activity

The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:

Purchased currency options (contract amount)  $4,000,000 
Written currency options (contract amount) (Note 3)  $4,000,000 
Futures contracts (number of contracts)  4,000 
Forward currency contracts (contract amount)  $130,100,000 
Centrally cleared interest rate swap contracts (notional)  $236,700,000 
OTC total return swap contracts (notional)  $79,800,000 
OTC credit default contracts (notional)  $16,200,000 
Centrally cleared credit default contracts (notional)  $120,900,000 
Warrants (number of warrants)  800 

 

100    Dynamic Asset Allocation Conservative Fund 

 


The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period   
  ASSET DERIVATIVES LIABILITY DERIVATIVES 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Credit contracts  appreciation  $3,990,427*  Unrealized depreciation  $1,870,530* 
Foreign exchange  Investments,       
contracts  Receivables  957,511  Payables  655,474 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  477,724*  Unrealized depreciation  1,347,343* 
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  451,967*  Unrealized depreciation  877,014* 
Total    $5,877,629    $4,750,361 

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

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

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments   
 
Derivatives not             
accounted for as        Forward     
hedging instruments        currency     
under ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $2,320,010  $2,320,010 
Foreign exchange             
contracts  —  195,913  —  924,518  —  1,120,431 
Equity contracts  1,887  —  (2,368,943)  —  1,126,542  (1,240,514) 
Interest rate             
contracts  —  —  (6,971,330)  —  (1,716,369)  (8,687,699) 
Total  $1,887  $195,913  $(9,340,273)  $924,518  $1,730,183  $(6,487,772) 

 

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  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $(413,859)  $(413,859) 
Foreign exchange             
contracts  —  (8,573)  —  (267,535)  —  (276,108) 
Equity contracts  (169)  —  395,747  —  (1,225,723)  (830,145) 
 
Interest rate             
contracts  —  —  16,722  —  (181,865)  (165,143) 
Total  $(169)  $(8,573)  $412,469  $(267,535)  $(1,821,447)  $(1,685,255) 

 

Dynamic Asset Allocation Conservative Fund    101 

 


Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  Bank of America N.A. Barclays Bank PLC BarclaysCapital Inc. (clearingbroker) Citibank, N.A. Credit Suisse International GoldmanSachs
International		 HSBC Bank USA, National Association JPMorganChase Bank N.A. JPMorgan
Securities LLC		 Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPacBanking Corp. Total
Assets:                               
Centrally cleared interest                               
rate swap contracts§  $—  $—  $ 113,714  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $ 113,714 
OTC Total return  —  9,002  —  7,775  —  —  —  —  5,269  —  —  —  —  —  22,046 
swap contracts*#                               
OTC Credit  —  —  —  —  283,397  264,060  —  —  83,675  —  —  —  —  —  631,132 
default contracts*#                               
Centrally cleared credit  —  —  1,958,475  —  —  —  —  —  —  —  —  —  —  —  1,958,475 
default contracts§                               
Futures contracts§  —  —  —  —  —  —  —  —  —  585,663  —  —  —  —  585,663 
Forward currency                               
contracts #  149,735  27,870  —  166,653  62,831  113,329  7,497  154,060  —  —  83,698  50,109  66,424  15,200  897,406 
Purchased options **#  3,980  —  —  —  —  56,125  —  —  —  —  —  —  —  —  60,105 
Total Assets  $153,715  $36,872  $2,072,189  $174,428  $346,228  $433,514  $7,497  $154,060  $88,944  $585,663  $83,698  $50,109  $66,424  $15,200  $4,268,541 
Liabilities:                               
Centrally cleared interest                               
rate swap contracts§  —  —  122,843  —  —  —  —  —  —  —  —  —  —  —  122,843 
OTC Total return  —  5,749  —  597,736  1,754  4,807  —  —  —  —  —  —  —  —  610,046 
swap contracts*#                               
OTC Credit  13,623  —  —  —  404,914  458,272  —  —  608,883  —  —  —  —  —  1,485,692 
default contracts*#                               
Centrally cleared credit  —  —  1,456,622  —  —  —  —  —  —  —  —  —  —  —  1,456,622 
default contracts§                               
Futures contracts§  —  —  —  —  —  —  —  —  —  196,948  —  —  —  —  196,948 
Forward currency                               
contracts #  56,006  61,127  —  67,127  1,448  98,693  21,393  126,222  —  —  42,357  51,417  63,579  27,255  616,624 
Written options #  31,531  —  —  —  —  7,319  —  —  —  —  —  —  —  —  38,850 
Total Liabilities  $101,160  $66,876  $1,579,465  $664,863  $408,116  $569,091  $21,393  $126,222  $608,883  $196,948  $42,357  $51,417  $63,579  $27,255  $4,527,625 
Total Financial and  $52,555  $(30,004)  $492,724  $(490,435)  $(61,888)  $(135,577)  $(13,896)  $27,838  $(519,939)  $388,715  $41,341  $(1,308)  $2,845  $(12,055)  $(259,084) 
Derivative Net Assets                               
Total collateral                               
received (pledged)†##  $52,555  $—  $—  $(459,372)  $(61,888)  $(135,577)  $—  $—  $(519,939)  $—  $—  $—  $—  $—   
Net amount  $—  $(30,004)  $492,724  $(31,063)  $—  $—  $(13,896)  $27,838  $—  $388,715  $41,341  $(1,308)  $2,845  $(12,055)   

 

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.

** Included with Investments in securities on the Statement of assets and liabilities.

† Additional collateral may be required from certain brokers based on individual agreements.

# Covered by master netting agreement (Note 1).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio.

102    Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund    103 

 


Note 10: New pronouncements

In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.

104    Dynamic Asset Allocation Conservative Fund 

 


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, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. 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  Emerging Markets Income Fund 
Small Cap Growth Fund  Floating Rate Income Fund 
Global Income Trust 
Blend  Government Money Market Fund* 
Capital Opportunities Fund  High Yield Advantage Fund 
Capital Spectrum Fund  High Yield Trust 
Emerging Markets Equity Fund  Income Fund 
Equity Spectrum Fund  Money Market Fund† 
Europe Equity Fund  Short Duration Income Fund 
Global Equity Fund  U.S. Government Income Trust 
International Capital Opportunities Fund 
International Equity Fund  Tax-free Income 
Investors Fund  AMT-Free Municipal Fund 
Low Volatility Equity Fund  Intermediate-Term Municipal Income Fund 
Multi-Cap Core Fund  Short-Term Municipal Income Fund 
Research Fund  Tax Exempt Income Fund 
  Tax-Free High Yield Fund 
Value 
Convertible Securities Fund  State tax-free income funds‡: 
Equity Income Fund  Arizona, California, Massachusetts, Michigan, 
Global Dividend Fund  Minnesota, New Jersey, New York, Ohio, 
The Putnam Fund for Growth and Income  and Pennsylvania. 
International Value Fund   
Multi-Cap Value Fund   
Small Cap Value Fund   

 

Dynamic Asset Allocation Conservative Fund 105 

 


Absolute Return  Retirement Income Fund Lifestyle 1 — a portfolio 
Absolute Return 100 Fund®  with managed allocations to stocks, bonds, 
Absolute Return 300 Fund®  and money market investments to generate 
Absolute Return 500 Fund®  retirement income. 
Absolute Return 700 Fund® 
RetirementReady® Funds — portfolios with 
Global Sector  adjusting allocations to stocks, bonds, and 
Global Consumer Fund  money market instruments, becoming more 
Global Energy Fund  conservative over time. 
Global Financials Fund 
Global Health Care Fund  RetirementReady® 2060 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 
George Putnam Balanced Fund   
Global Asset Allocation Funds — four   
investment portfolios that spread your money   
across a variety of stocks, bonds, and money   
market instruments.   
Dynamic Asset Allocation Balanced Fund   
Dynamic Asset Allocation Conservative Fund   
Dynamic Asset Allocation Growth Fund   
Dynamic Risk Allocation Fund   

* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

‡ Not available in all states.

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

106   Dynamic Asset Allocation Conservative Fund 

 


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.

Dynamic Asset Allocation Conservative Fund    107 

 


Putnam’s commitment to confidentiality

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.

Within the Putnam organization, your information is shared with those who need it to service your account or provide you with information about other Putnam products or services. Under certain circumstances, we must also 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. It is also our policy to share account information with your financial advisor, if you've provided us with information about your advisor and that person is listed on your Putnam account.

If you would like clarification about our confidentiality policies or have any questions or concerns, please don't hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:00 a.m. to 8:00 p.m. Eastern Time.

108    Dynamic Asset Allocation Conservative Fund 

 


Fund information

Founded over 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  James F. Clark 
Putnam Investment  Jameson A. Baxter, Chair  Vice President and 
Management, LLC  Kenneth R. Leibler, Vice Chair  Chief Compliance Officer 
One Post Office Square  Liaquat Ahamed   
Boston, MA 02109  Ravi Akhoury  Michael J. Higgins 
  Barbara M. Baumann  Vice President, Treasurer, 
Investment Sub-Advisors  Robert J. Darretta  and Clerk 
Putnam Investments Limited  Katinka Domotorffy 
57–59 St James’s Street  Catharine Bond Hill  Janet C. Smith 
London, England SW1A 1LD  John A. Hill  Vice President, 
Paul L. Joskow  Principal Financial Officer, 
The Putnam Advisory Company, LLC  Robert E. Patterson  Principal Accounting Officer, 
One Post Office Square  George Putnam, III  and Assistant Treasurer 
Boston, MA 02109  Robert L. Reynolds   
  Manoj P. Singh  Susan G. Malloy 
Marketing Services  W. Thomas Stephens  Vice President and 
Putnam Retail Management  Assistant Treasurer 
One Post Office Square  Officers    
Boston, MA 02109  Robert L. Reynolds  Mark C. Trenchard 
  President  Vice President and 
Custodian  BSA Compliance Officer 
State Street Bank  Jonathan S. Horwitz    
and Trust Company  Executive Vice President,  Nancy E. Florek 
  Principal Executive Officer,  Vice President, Director of 
Legal Counsel  and Compliance Liaison  Proxy Voting and Corporate 
Ropes & Gray LLP  Governance, Assistant Clerk, 
  Robert T. Burns   and Associate Treasurer 
  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:
Not applicable
Item 3. Audit Committee Financial Expert:
Not applicable
Item 4. Principal Accountant Fees and Services:
Not applicable
Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 12. Exhibits:
(a)(1) Not applicable
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

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

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

Date: May 26, 2017
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: May 26, 2017
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: May 26, 2017