Putnam Dynamic
Asset Allocation
Balanced Fund

Annual report
9 | 30 | 22

 

Message from the Trustees

November 11, 2022

Dear Fellow Shareholder:

Financial markets are reminding us that the journey to long-term returns often involves weathering periods of heightened volatility. This year, stocks and bonds have experienced losses, and U.S. gross domestic product has declined slightly. Persistent inflation has caused the U.S. Federal Reserve to raise interest rates to contain price pressures, an effort that may continue into 2023. At the same time, we are encouraged by recent economic data that suggests inflation rates are improving.

While this challenging environment is a test of patience, you can be confident that Putnam portfolio managers are actively working for you. As the prices of many stocks and bonds move lower, our teams are researching new and attractive investment opportunities for your fund while assessing risks.

We also would like to announce changes to the Board of Trustees. In July 2022, we welcomed Jennifer Williams Murphy and Marie Pillai as new Trustees. Both have a wealth of investment advisory and executive management experience. We also want to thank our Trustees who retired from the Board on June 30, 2022. Paul Joskow served with us since 1997, and Ravi Akhoury joined the Board in 2009. We wish them well.

Thank you for investing with Putnam.

Putnam Dynamic Asset Allocation Balanced Fund is designed for investors seeking total return. The fund’s target mix of 60% stocks and 40% bonds 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 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.

 

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 have less volatility than an all-stock allocation in the long run.

 

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 page 5 and pages 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

Lipper peer group median is provided by Lipper, a Refinitiv company.

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

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

 

This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/22. See page 4 and pages 11–13 for additional fund performance information. Index descriptions can be found on page 17.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

 

Brett, please describe investing conditions for the 12-month reporting period.

Investors faced multiple headwinds during the period. Supply chain bottlenecks, slowing global growth, high inflation, and the Russia-Ukraine War weighed on investor sentiment. Of these concerns, controlling inflation remained a top priority of the U.S. Federal Reserve. In November 2021, the Fed began tapering its $120 billion-per-month bond-buying program, signaling it would raise interest rates in calendar 2022.

After a relatively calm start to the new year, Russia’s invasion of Ukraine on February 24 caused a flight to safety. Investors shed growth-oriented stocks in favor of value-oriented, cyclical stocks. Yields on U.S. Treasuries rose and commodity prices soared. Inflation concerns spread globally. For the first time since 2018, the Fed increased interest rates, adding 0.25% to borrowing costs at its March 2022 meeting. The Fed pledged to make additional interest-rate hikes at its six remaining policy meetings in calendar 2022.

Between May and September, the Fed raised interest rates four more times. The federal funds rate moved from 0.00%–0.25% at the start of the

 

Allocations are shown as a percentage of the fund’s net assets as of 9/30/22. 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 9/30/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

 

period to 3.00%–3.25% by period-end. Many investors feared that a more hawkish Fed would tip the U.S. economy into a recession.

Stocks and bonds posted losses for the 12-month reporting period. U.S. stocks, as measured by the S&P 500 Index, returned –15.47%. Non-U.S. stocks in developed markets, as measured by the MSCI EAFE Index [ND], fared worse, returning –25.13%. High-yield bonds returned –13.08%, as measured by the JPMorgan Developed High Yield Index. Investment-grade bonds returned –14.60%, as measured by the Bloomberg U.S. Aggregate Bond Index.

Credit spreads widened as interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury climbed from 1.52% at the start of the period to 3.83% by period-end. Short-term yields rose even more, causing the yield curve to flatten or invert at times.

How did the fund perform for the 12 months ended September 30, 2022?

The fund returned –16.86%, outperforming its primary benchmark, the Russell 3000 Index, which returned –17.63%. The fund also outperformed the custom Putnam Balanced Blended Benchmark, which returned –16.89%.

What strategies impacted fund performance relative to the custom benchmark during the reporting period?

Overall, our dynamic asset allocation decisions slightly aided performance. We adjusted the portfolio’s tactical allocation mix several times during the period. The largest boost to fund performance came from our equity allocation decisions. Equity positioning in the first quarter of calendar 2022 added value, as the fund benefited from short-term over- and underweight positions, which took advantage of equity market volatility. A modest overweight position in the second quarter of calendar 2022 offset some of these gains as stocks moved into correction territory [a decline of 10% or more from a recent high]. Underweight positioning in August and September 2022 benefited results as stocks sank to annual lows.

In fixed income, the portfolio experienced a small gain from a modest underweight position to interest-rate risk, as yields rose sharply with the Fed’s move toward tighter policy. We changed this position to neutral at the beginning of February 2022.

The portfolio posted a loss from an out-of-benchmark, modestly long position to commodity risk, implemented at the beginning of March 2022. The position ranged from modestly long to long over the remainder of the period.

Overall, security selection decisions boosted performance. Our quantitative U.S. large-cap core equity strategy performed strongly, while our quantitative international equity strategy contributed a small gain. In quantitative strategies, our team analyzes stock market history to identify characteristics of stocks [factors] that have excess risk-adjusted returns. Over the period, our valuation factors drove performance. Our fundamental U.S. large-cap growth and opportunistic fixed income strategies finished negative for the period. Our fundamental U.S. large-cap value strategy was a notable positive contributor.

As the fund starts a new fiscal year, how is it positioned relative to the custom benchmark?

The fund is positioned defensively relative to the custom benchmark as of October 1, 2022. The portfolio has an underweight position to equity risk and a neutral position to interest-rate risk. Tactically, the portfolio has an out-of-benchmark, modestly long position to commodity risk. Toward period-end, we decreased our commodity position from long to modestly long.

 

What is your outlook for financial markets?

Volatility has been a major constant across markets year to date. Rising inflation, supply chain disruptions, monetary policy tightening, and the war in Ukraine have weighed down most asset classes. Looking ahead, we expect market volatility to persist and investor sentiment to waver given many uncertainties and fears of recession.

Our near-term outlook for equities is bearish. We believe the equity market has yet to bottom. This view is supported by the Fed’s bias toward higher interest rates and the lack of improvement in labor-market tightness. A brief equity rally in July 2022 was not justified by economic activity, in our view. Our breadth thrust signals [a technical indicator that determines market momentum] have not confirmed the start of a new bullish trend.

Our near-term outlook for rate-sensitive fixed income is neutral. To reduce inflation, the Fed will need to raise interest rates faster and more than the market anticipates, in our view. We believe this will have a negative impact on duration exposure. However, this view is tempered by deteriorating economic data and heightened recession risk, which could be a catalyst for interest rates to move lower, in our view.

Our view on commodities is slightly bullish. A strengthening U.S. dollar, rising real yields [adjusted for the impact of inflation], and a looming recession could be headwinds for commodities, in our view. However, over the medium term, we believe that supply constraints are a reason to be bullish on the asset class.

Against this backdrop, we continue to have conviction in our investment strategies given our ability to adapt the portfolio to changing market conditions.

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.

 

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

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

Of special interest

In June 2022, the fund’s income distribution rate per class A share rose from $0.043 to $0.046. The increase was due to a higher level of income generated by the portfolio. Similar increases were made to other share classes of the fund.

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.

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2022, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class 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.

Annualized fund performance Total return for periods ended 9/30/22

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class P, R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. 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 and C share performance reflects conversion to class A shares after eight years.

 

Comparative annualized index returns For periods ended 9/30/22

 

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

All Bloomberg indices are provided by Bloomberg Index Services Limited.

Lipper peer group median is provided by Lipper, a Refinitiv company.

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

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

^‡ Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/22, there were 584, 540, 492, 389, and 29 funds, respectively, in this Lipper category.

Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and C shares would have been valued at $16,957 and $16,961, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class P, R, R5, R6, and Y shares would have been valued at $18,599, $17,558, $18,451, $18,647, and $18,453, respectively.

 

Fund price and distribution information For the 12-month period ended 9/30/22

 

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

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

 

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

Expenses are shown as a percentage of average net assets.

^* Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.

 

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 4/1/22 to 9/30/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 9/30/22. 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 (183); and then dividing that result by the number of days in the year (365).

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 9/30/22, use the following calculation method. To find the value of your investment on 4/1/22, 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.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 9/30/22. 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 (183); and then dividing that result by the number of days in the year (365).

 

Consider these risks before investing

Allocation of assets among asset classes may hurt performance. If the quantitative models or data that are used in managing the fund prove to be incorrect or incomplete, investment decisions made in reliance on the models or data may not produce the desired results and the fund may realize losses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

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 investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. 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). Default risk is generally higher for non-qualified mortgages. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. 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.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

 

Terms and definitions

Important terms

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

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

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

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

Share classes

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

Class B shares are closed to new investments and are only available by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

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

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

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

Class R5 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 R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

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

Fixed income terms

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

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

• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

 

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

◦ Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

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

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

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

MSCI EAFE Index (ND) is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

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

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

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

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG^®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

 

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

Other information for shareholders

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2022, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2022, Putnam employees had approximately $428,000,000 and the Trustees had approximately $57,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

Liquidity risk management program

Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2022. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2021 through December 2021. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2021. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.

 

Important notice regarding Putnam’s privacy policy

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

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

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

 

Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”), the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”), and the sub-advisory contract among Putnam Management, PIL, and another affiliate, The Putnam Advisory Company (“PAC”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2022, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2022, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2022 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management contract and the approval of your fund’s amended and restated sub-management and sub-advisory contracts, effective July 1, 2022. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not attempted to evaluate PIL or PAC as separate entities, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)

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

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

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

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

 

Management, that some aspects of the arrangements may receive greater scrutiny in some years than others and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with certain exceptions primarily involving newer or repositioned funds, the current fee arrangements under the vast majority of the funds’ management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.) The Trustees considered that the proposed amended and restated sub-management and sub-advisory contracts would lower the sub-management and sub-advisory fees paid by Putnam Management to PIL and PAC, respectively.

In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. The Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2021.

These expense limitations were: (i) a contractual expense limitation applicable to specified open-end funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2021. Putnam Management and PSERV have agreed to maintain these expense limitations until at least January 30, 2024. Putnam Management and PSERV’s commitment to these expense limitation arrangements, which were intended to support an effort to have fund expenses meet competitive standards, was an important factor in the Trustees’ decision to approve the continuance of your fund’s management contract and to approve your fund’s amended and restated sub-management and sub-advisory contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the third quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2021. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2021 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and

 

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

The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including collective investment trusts offered in the defined contribution and defined benefit retirement plan markets, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management’s exchange-traded funds. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, in the aggregate, the Putnam funds’ performance was generally solid in 2021 against a backdrop of strong U.S. economic and financial market growth. The Trustees considered Putnam Management’s observation that, despite an environment of generally strong growth, there had been various headwinds experienced in 2021. For the one-year period ended December 31, 2021, the Trustees noted that the Putnam funds, on an asset-weighted basis, ranked in the 52nd percentile of their peers as determined by Lipper Inc. (“Lipper”) and, on an asset-weighted-basis, delivered a gross return that trailed their benchmarks by 0.1%. Over the longer-term, the Committee noted that, on an asset-weighted basis, the Putnam funds delivered strong aggregate performance relative to their Lipper peers over the three-, five- and ten-year periods ended December 31, 2021, ranking in the 31st, 29th and 21st percentiles, respectively, and that the funds, in the aggregate, outperformed their benchmarks on a gross basis for each of those periods.

 

In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In particular, the Trustees considered The Putnam Fund complex’s performance as reported in the Barron’s/Lipper Fund Families survey (the “Survey”), which ranks mutual fund companies based on their performance across a variety of asset types. The Trustees noted that The Putnam Fund complex continued to rank highly in the Survey, especially over the longer-term, with The Putnam Funds ranking as the 6th best performing mutual fund complex out of 45 complexes for the ten-year period and 13th out of 49 complexes for the five-year period. The Trustees noted that 2021 marked the fifth consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees also considered that The Putnam Fund complex’s Survey performance over the one-year period was solid, with The Putnam Funds ranking 27th out of 51 complexes. In addition to the Survey, the Trustees also considered the Putnam funds’ ratings assigned by Morningstar Inc., noting that 25 of the funds were four- or five-star rated at the end of 2021 (representing a decrease of one fund year-over-year) and that this included nine funds that had achieved a five-star rating (representing an increase of two funds year-over-year). They also noted, however, the disappointing investment performance of some Putnam funds for periods ended December 31, 2021 and considered information provided by Putnam Management regarding the factors contributing to the under-performance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds and evaluate whether additional actions to address areas of underperformance may be warranted.

For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper Mixed-Asset Target Allocation Moderate Funds) for the one-year, three-year and five-year periods ended December 31, 2021 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

 

Over the one-year, three-year and five-year periods ended December 31, 2021, there were 591, 551 and 494 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2021 to strengthen its investment team.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments

 

in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management, sub-management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contract and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the investor services provided by PSERV were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.

 

Audited financial statements

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

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

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

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

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.

 

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam Dynamic Asset Allocation Balanced Fund (the “Fund”) as of September 30, 2022, the related statement of operations for the year ended September 30, 2022, the statement of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2022 and the financial highlights for each of the five years in the period ended September 30, 2022 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 11, 2022

We have served as the auditor of one or more investment companies in the Putnam Investments family of funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.

 

The fund’s portfolio 9/30/22

COMMON STOCKS (65.6%)*	Shares	Value
Basic materials (2.7%)
AdvanSix, Inc.	6,107	$196,035
Alcoa Corp.	15,314	515,469
American Vanguard Corp.	3,904	73,005
Anglo American PLC (London Exchange) (United Kingdom)	86,036	2,599,008
Arcosa, Inc.	696	39,797
Arkema SA (France)	1,808	131,865
Atkore, Inc. †	5,003	389,283
Balchem Corp.	522	63,465
BHP Group, Ltd. (ASE Exchange) (Australia)	72,894	1,815,418
BHP Group, Ltd. (London Exchange) (Australia)	6,766	169,929
BlueScope Steel, Ltd. (Australia)	20,347	196,845
Boise Cascade Co.	6,065	360,625
Boliden AB (Sweden)	4,814	148,883
Celanese Corp.	7,116	642,859
CF Industries Holdings, Inc.	47,020	4,525,675
Clearwater Paper Corp. †	1,746	65,650
Codexis, Inc. †	32,441	196,592
Compagnie de Saint-Gobain (France)	28,810	1,027,475
Constellium SE (France) †	26,729	271,032
Corteva, Inc.	150,481	8,599,989
CRH PLC (Ireland)	123,441	3,952,737
Dow, Inc.	15,496	680,739
DuPont de Nemours, Inc.	55,000	2,772,000
Eastman Chemical Co.	23,857	1,695,040
Eiffage SA (France)	10,586	847,435
Freeport-McMoRan, Inc. (Indonesia)	138,565	3,786,982
Glencore PLC (United Kingdom)	92,274	487,256
Innospec, Inc.	2,629	225,226
Intrepid Potash, Inc. †	2,318	91,723
LightWave Logic, Inc. †	22,915	168,196
Linde PLC	3,885	1,062,419
LyondellBasell Industries NV Class A	9,497	714,934
Materion Corp.	1,080	86,400
Mineral Resources, Ltd. (Australia)	4,833	202,310
Minerals Technologies, Inc.	2,876	142,103
Misumi Group, Inc. (Japan)	5,400	114,890
Mueller Industries, Inc.	6,539	388,678
Nitto Denko Corp. (Japan)	13,400	726,564
NV5 Global, Inc. †	767	94,970
OCI NV (Netherlands)	15,217	559,543
Olin Corp.	14,500	621,760
Orion Engineered Carbons SA (Luxembourg)	5,141	68,632
PotlatchDeltic Corp. R	8,874	364,189
PPG Industries, Inc.	22,901	2,534,912
Rio Tinto PLC (United Kingdom)	28,564	1,547,127
Rio Tinto, Ltd. (Australia)	15,906	946,611
Sealed Air Corp.	14,809	659,149
Sensient Technologies Corp.	1,060	73,500

COMMON STOCKS (65.6%)* cont.	Shares	Value
Basic materials cont.
Sherwin-Williams Co. (The)	11,675	$2,390,456
Shin-Etsu Chemical Co., Ltd. (Japan)	11,100	1,102,270
Simpson Manufacturing Co., Inc.	1,606	125,910
South32, Ltd. (Australia)	127,801	295,398
Standex International Corp.	1,287	105,084
Stepan Co.	760	71,189
Sterling Construction Co., Inc. †	4,227	90,754
TopBuild Corp. †	4,100	675,598
Tronox Holdings PLC Class A	27,698	339,301
UFP Industries, Inc.	6,039	435,774
WestRock Co.	20,125	621,661
Weyerhaeuser Co. R	82,493	2,356,000
		56,254,319
Capital goods (3.5%)
A.O. Smith Corp.	13,500	655,830
Aerojet Rocketdyne Holdings, Inc. †	10,967	438,570
Albany International Corp. Class A	1,111	87,580
Allison Transmission Holdings, Inc.	26,300	887,888
Altra Industrial Motion Corp.	9,323	313,439
American Axle & Manufacturing Holdings, Inc. †	32,842	224,311
BAE Systems PLC (United Kingdom)	39,710	348,885
Ball Corp.	33,690	1,627,901
Barnes Group, Inc.	2,266	65,442
Belden, Inc.	1,362	81,747
Carrier Global Corp.	19,861	706,257
Casella Waste Systems, Inc. Class A †	1,109	84,717
Caterpillar, Inc.	4,100	672,728
Clean Harbors, Inc. †	5,819	639,974
CTS Corp.	2,586	107,707
Cummins, Inc.	3,512	714,727
Dassault Aviation SA (France)	2,798	317,779
Deere & Co.	8,167	2,726,880
Eaton Corp. PLC	5,192	692,405
Emerson Electric Co.	14,800	1,083,656
Encore Wire Corp.	1,588	183,478
ESCO Technologies, Inc.	1,350	99,144
Fortive Corp.	70,340	4,100,822
Franklin Electric Co., Inc.	1,023	83,589
Fuji Electric Co., Ltd. (Japan)	10,500	384,890
GEA Group AG (Germany)	17,659	577,456
General Dynamics Corp.	35,300	7,489,601
Gentherm, Inc. †	1,225	60,919
GrafTech International, Ltd.	51,299	221,099
HEICO Corp.	4,731	681,169
Heritage-Crystal Clean, Inc. †	2,276	67,301
Hillenbrand, Inc.	9,338	342,891
Honeywell International, Inc.	29,167	4,870,014
Ingersoll Rand, Inc.	55,848	2,415,984
ITT, Inc.	9,685	632,818

COMMON STOCKS (65.6%)* cont.	Shares	Value
Capital goods cont.
Johnson Controls International PLC	94,472	$4,649,912
Kaman Corp.	2,614	73,009
Komatsu, Ltd. (Japan)	54,700	989,190
Legrand SA (France)	18,437	1,191,194
LKQ Corp.	14,300	674,245
Lockheed Martin Corp.	19,300	7,455,397
Mitsubishi Heavy Industries, Ltd. (Japan)	1,800	60,013
Moog, Inc. Class A	3,407	239,682
MRC Global, Inc. †	12,906	92,794
MYR Group, Inc. †	1,048	88,797
National Presto Industries, Inc.	1,096	71,295
Nordson Corp.	3,200	679,264
Northrop Grumman Corp.	10,786	5,072,872
O-I Glass, Inc. †	23,267	301,308
Otis Worldwide Corp.	10,600	676,280
Parker Hannifin Corp.	2,841	688,403
Raytheon Technologies Corp.	56,604	4,633,603
Republic Services, Inc.	12,800	1,741,312
Rheinmetall AG (Germany)	7,796	1,207,542
Ryerson Holding Corp.	7,349	189,163
Shyft Group, Inc. (The)	3,946	80,617
Spirax-Sarco Engineering PLC (United Kingdom)	5,138	590,204
Sturm Ruger & Co., Inc.	1,424	72,325
Terex Corp.	12,280	365,207
Tetra Tech, Inc.	5,189	666,942
Textron, Inc.	18,700	1,089,462
Titan International, Inc. †	8,472	102,850
Titan Machinery, Inc. †	3,776	106,710
TransDigm Group, Inc.	3,231	1,695,693
Vinci SA (France)	308	24,740
Waste Connections, Inc.	16,094	2,174,782
Waste Management, Inc.	4,200	672,882
Watts Water Technologies, Inc. Class A	605	76,067
Zurn Water Solutions Corp.	15,162	371,469
		73,554,823
Communication services (1.6%)
American Tower Corp. R	32,093	6,890,368
AT&T, Inc.	331,404	5,083,737
Cambium Networks Corp. †	4,299	72,739
Charter Communications, Inc. Class A †	5,667	1,719,084
Comcast Corp. Class A	109,591	3,214,304
Crown Castle International Corp. R	4,400	636,020
Deutsche Telekom AG (Germany)	71,545	1,226,430
EchoStar Corp. Class A †	10,387	171,074
KDDI Corp. (Japan)	55,000	1,613,147
Koninklijke KPN NV (Netherlands)	292,021	791,297
Liberty Latin America, Ltd. Class C (Chile) †	39,629	243,718
Nippon Telegraph & Telephone Corp. (Japan)	51,000	1,375,879
SK Telecom Co., Ltd. (South Korea)	32,820	1,159,334

COMMON STOCKS (65.6%)* cont.	Shares	Value
Communication services cont.
T-Mobile US, Inc. †	23,457	$3,147,225
Telstra Corp., Ltd. (Australia)	533,215	1,306,882
Verizon Communications, Inc.	107,810	4,093,546
		32,744,784
Communications equipment (0.1%)
arista Networks, Inc. †	7,200	812,808
Telefonaktiebolaget LM Ericsson Class B (Sweden)	202,200	1,177,558
Viavi Solutions, Inc. †	5,849	76,329
		2,066,695
Computers (5.2%)
A10 Networks, Inc.	25,698	341,012
Adeia, Inc.	18,801	265,846
Agilysys, Inc. †	2,337	129,353
Altair Engineering, Inc. Class A †	1,448	64,031
Apple, Inc.	509,790	70,452,978
Avid Technology, Inc. †	12,741	296,356
Calix, Inc. †	4,444	271,706
Cisco Systems, Inc./Delaware	159,000	6,360,000
CommVault Systems, Inc. †	6,937	367,938
Crowdstrike Holdings, Inc. Class A †	12,602	2,076,936
Dropbox, Inc. Class A †	32,823	680,093
Enfusion, Inc. Class A †	6,546	80,778
Extreme Networks, Inc. †	30,812	402,713
Fortinet, Inc. †	14,047	690,129
Fujitsu, Ltd. (Japan)	10,900	1,175,482
MongoDB, Inc. †	3,421	679,274
MSCI, Inc.	6,062	2,556,891
NetApp, Inc.	5,300	327,805
NetScout Systems, Inc. †	3,087	96,685
OneSpan, Inc. †	5,632	48,492
Pure Storage, Inc. Class A †	113,616	3,109,670
Qualys, Inc. †	3,602	502,083
RingCentral, Inc. Class A †	16,800	671,328
ServiceNow, Inc. †	5,302	2,002,088
Smartsheet, Inc. Class A †	21,070	723,965
Snowflake, Inc. Class A †	23,018	3,912,139
SolarWinds Corp. †	8,156	63,209
Sprout Social, Inc. Class A †	6,876	417,236
SS&C Technologies Holdings, Inc.	12,999	620,702
Sumo Logic, Inc. †	25,273	189,548
Super Micro Computer, Inc. †	7,288	401,350
Synopsys, Inc. †	24,000	7,332,240
Vimeo, Inc. †	13,435	53,740
Zscaler, Inc. †	4,100	673,917
		108,037,713
Conglomerates (0.5%)
3M Co.	6,009	663,995
AMETEK, Inc.	34,601	3,924,099
General Electric Co.	16,622	1,029,068

COMMON STOCKS (65.6%)* cont.	Shares	Value
Conglomerates cont.
Marubeni Corp. (Japan)	155,900	$1,368,767
Mitsubishi Corp. (Japan)	89,500	2,458,006
Mitsui & Co., Ltd. (Japan)	14,100	302,501
SPX Technologies, Inc. †	3,337	184,269
		9,930,705
Consumer cyclicals (9.5%)
Abercrombie & Fitch Co. Class A †	4,982	77,470
Amazon.com, Inc. †	308,065	34,811,345
Aristocrat Leisure, Ltd. (Australia)	56,873	1,186,909
Arrowhead Pharmaceuticals, Inc. †	10,681	353,007
Automatic Data Processing, Inc.	3,500	791,665
Autonation, Inc. †	6,800	692,716
AutoZone, Inc. †	3,200	6,854,176
Bandai Namco Holdings, Inc. (Japan)	8,400	548,630
Beazer Homes USA, Inc. †	8,453	81,741
BJ’s Wholesale Club Holdings, Inc. †	53,896	3,924,167
Bluegreen Vacations Holding Corp.	1,997	32,990
BlueLinx Holdings, Inc. †	2,194	136,247
Booking Holdings, Inc. †	6,524	10,720,302
Booz Allen Hamilton Holding Corp.	15,177	1,401,596
Boyd Gaming Corp.	13,800	657,570
Brambles, Ltd. (Australia)	76,068	551,922
Buckle, Inc. (The)	2,427	76,839
Caleres, Inc.	12,254	296,792
Capri Holdings, Ltd. †	15,300	588,132
Casey’s General Stores, Inc.	1,700	344,284
Choice Hotels International, Inc.	6,277	687,457
Chow Tai Fook Jewellery Group, Ltd. (Hong Kong)	159,400	298,433
Cie Financiere Richemont SA Class A (Switzerland)	4,380	410,990
Cintas Corp.	2,255	875,368
CoStar Group, Inc. †	23,536	1,639,282
CRA International, Inc.	1,003	89,006
Crocs, Inc. †	1,385	95,094
Daiwa House Industry Co., Ltd. (Japan)	21,500	438,151
Dillard’s, Inc. Class A	1,358	370,408
Dollar General Corp.	3,022	724,857
Entravision Communications Corp. Class A	7,892	31,331
Expedia Group, Inc. †	25,739	2,411,487
Experian PLC (United Kingdom)	68,261	2,001,222
FactSet Research Systems, Inc.	1,853	741,404
Flutter Entertainment PLC (Ireland) †	8,605	943,058
Foot Locker, Inc.	1,898	59,085
Ford Motor Co.	60,001	672,011
Gartner, Inc. †	16,164	4,472,417
General Motors Co.	86,186	2,765,709
Genuine Parts Co.	11,600	1,732,112
GMS, Inc. †	4,557	182,326
Golden Entertainment, Inc. †	3,795	132,408
Goodyear Tire & Rubber Co. (The) †	11,626	117,306
Group 1 Automotive, Inc.	514	73,435

COMMON STOCKS (65.6%)* cont.	Shares	Value
Consumer cyclicals cont.
Hackett Group, Inc. (The)	5,111	$90,567
Hermes International (France)	1,445	1,698,391
Hilton Worldwide Holdings, Inc.	19,771	2,384,778
Home Depot, Inc. (The)	9,675	2,669,720
ICF International, Inc.	817	89,069
iHeartMedia, Inc. Class A †	9,166	67,187
Industria de Diseno Textil SA (Spain)	40,994	846,747
InterContinental Hotels Group PLC (United Kingdom)	17,945	860,922
International Game Technology PLC	23,954	378,473
Interpublic Group of Cos., Inc. (The)	26,500	678,400
Jardine Matheson Holdings, Ltd. (Hong Kong)	7,300	369,572
JD Sports Fashion PLC (United Kingdom)	1,206,475	1,317,721
Knorr-Bremse AG (Germany)	7,039	305,183
Kontoor Brands, Inc.	2,151	72,295
La Francaise des Jeux SAEM (France)	11,204	331,511
Laureate Education, Inc.	31,173	328,875
Light & Wonder, Inc. †	6,686	286,696
Live Nation Entertainment, Inc. †	30,100	2,288,804
LiveRamp Holdings, Inc. †	11,330	205,753
Lowe’s Cos., Inc.	3,899	732,271
Lululemon Athletica, Inc. (Canada) †	10,233	2,860,737
LVMH Moet Hennessy Louis Vuitton SA (France)	5,842	3,434,132
Macy’s, Inc.	44,100	691,047
MarineMax, Inc. †	2,172	64,704
Marriott International, Inc./MD Class A	5,100	714,714
Masonite International Corp. †	1,327	94,602
Mastercard, Inc. Class A	21,307	6,058,432
MasterCraft Boat Holdings, Inc. †	3,360	63,336
Medifast, Inc.	593	64,257
Modine Manufacturing Co. †	11,936	154,452
Moncler SpA (Italy)	30,070	1,234,667
Movado Group, Inc.	2,268	63,912
Murphy USA, Inc.	334	91,820
NeoGames SA (Israel) †	3,149	40,622
Network International Holdings PLC (United Arab Emirates) †	467,746	1,583,800
New York Times Co. (The) Class A	24,183	695,261
News Corp. Class A	43,215	652,979
Nexstar Media Group, Inc. Class A	3,940	657,389
Nike, Inc. Class B	37,388	3,107,691
Nintendo Co., Ltd. (Japan)	39,900	1,615,657
NVR, Inc. †	176	701,726
O’Reilly Automotive, Inc. †	8,348	5,871,565
Owens Corning	8,300	652,463
Oxford Industries, Inc.	1,027	92,204
Pan Pacific International Holdings Corp. (Japan)	42,900	753,838
Pandora A/S (Denmark)	12,859	598,935
Payoneer Global, Inc. †	14,693	88,893
PayPal Holdings, Inc. †	7,400	636,918

COMMON STOCKS (65.6%)* cont.	Shares	Value
Consumer cyclicals cont.
Penske Automotive Group, Inc.	6,900	$679,167
Pitney Bowes, Inc.	48,833	113,781
Porsche Automobil Holding SE (Preference) (Germany)	4,837	275,535
PROG Holdings, Inc. †	4,060	60,819
Publicis Groupe SA (France)	21,969	1,039,525
PulteGroup, Inc.	73,489	2,755,838
RE/MAX Holdings, Inc. Class A	3,533	66,809
Red Rock Resorts, Inc. Class A	11,377	389,776
Sabre Corp. †	5,508	28,366
Scholastic Corp.	2,150	66,134
Signet Jewelers, Ltd.	7,080	404,905
Skyline Champion Corp. †	7,642	404,033
Smith & Wesson Brands, Inc.	25,981	269,423
Sonos, Inc. †	4,835	67,207
Sony Group Corp. (Japan)	21,000	1,351,609
SP Plus Corp. †	2,339	73,257
Stellantis NV (Italy)	123,253	1,456,390
Steven Madden, Ltd.	2,456	65,502
StoneCo., Ltd. Class A (Brazil) †	3,632	34,613
Tapestry, Inc.	21,700	616,931
Target Corp.	16,041	2,380,324
TechnoPro Holdings, Inc. (Japan)	15,400	323,739
Terminix Global Holdings, Inc. †	19,700	754,313
Tesla, Inc. †	71,529	18,973,068
Thomson Reuters Corp. (Canada)	19,283	1,979,462
Toast, Inc. Class A †	50,300	841,016
Toll Brothers, Inc.	22,955	964,110
Toyota Motor Corp. (Japan)	16,300	212,174
TRI Pointe Homes, Inc. †	19,547	295,355
TuSimple Holdings, Inc. Class A †	9,529	72,420
United Rentals, Inc. †	7,163	1,934,870
Universal Music Group NV (Netherlands)	211,641	3,989,451
Vail Resorts, Inc.	3,379	728,648
Vista Outdoor, Inc. †	10,294	250,350
Visteon Corp. †	3,914	415,119
Volkswagen AG (Preference) (Germany)	12,014	1,483,955
Volvo AB Class B (Sweden)	17,676	249,413
Volvo Car AB Class B (Sweden) †	69,923	301,554
Walmart, Inc.	71,616	9,288,596
Walt Disney Co. (The) †	6,240	588,619
Warner Bros Discovery, Inc. †	54,794	630,131
Wesfarmers, Ltd. (Australia)	39,306	1,068,256
Wolters Kluwer NV (Netherlands)	18,497	1,800,888
World Fuel Services Corp.	9,598	224,977
Worldline SA/France (France) †	38,521	1,506,370
Wyndham Hotels & Resorts, Inc.	10,300	631,905
		197,545,248

COMMON STOCKS (65.6%)* cont.	Shares	Value
Consumer staples (5.6%)
ACCO Brands Corp.	14,465	$70,879
Airbnb, Inc. Class A †	32,231	3,385,544
Albertsons Cos., Inc. Class A	26,000	646,360
Asahi Group Holdings, Ltd. (Japan)	57,900	1,796,135
Bloomin’ Brands, Inc.	4,849	88,882
British American Tobacco PLC (United Kingdom)	23,657	845,960
Cargurus, Inc. †	15,745	223,107
Cars.com, Inc. †	9,864	113,436
ChannelAdvisor Corp. †	5,507	124,789
Chipotle Mexican Grill, Inc. †	1,741	2,616,305
CK Hutchison Holdings, Ltd. (Hong Kong)	426,000	2,339,398
Coca-Cola Co. (The)	256,684	14,379,438
Coca-Cola Consolidated, Inc.	831	342,148
Coca-Cola Europacific Partners PLC (United Kingdom)	52,039	2,217,902
Coca-Cola HBC AG (Italy)	22,738	478,514
Coles Group, Ltd. (Australia)	82,468	867,620
Colgate-Palmolive Co.	9,582	673,136
Copart, Inc. †	6,700	712,880
CoreCivic, Inc. †	18,991	167,880
Costco Wholesale Corp.	14,673	6,929,618
Dave & Buster’s Entertainment, Inc. †	3,834	118,969
Diageo PLC (United Kingdom)	106,192	4,451,117
DoorDash, Inc. Class A †	11,900	588,455
Estee Lauder Cos., Inc. (The) Class A	10,621	2,293,074
Ferguson PLC (United Kingdom)	11,790	1,227,666
FIGS, Inc. Class A †	3,709	30,599
G-III Apparel Group, Ltd. †	3,652	54,597
Hain Celestial Group, Inc. (The) †	3,922	66,203
Haleon PLC (United Kingdom) †	76,794	237,608
Heidrick & Struggles International, Inc.	4,973	129,248
Herc Holdings, Inc.	771	80,091
Hershey Co. (The)	17,684	3,898,792
Hostess Brands, Inc. †	20,019	465,242
Imperial Brands PLC (United Kingdom)	65,670	1,355,152
Ingles Markets, Inc. Class A	1,978	156,677
ITOCHU Corp. (Japan)	63,800	1,546,249
Itron, Inc. †	8,010	337,301
Jeronimo Martins SGPS SA (Portugal)	64,864	1,208,496
John B. Sanfilippo & Son, Inc.	1,077	81,561
Kesko Oyj Class B (Finland)	17,023	316,328
Keurig Dr Pepper, Inc.	98,246	3,519,172
Kforce, Inc.	2,693	157,944
Koninklijke Ahold Delhaize NV (Netherlands)	56,451	1,437,465
Korn Ferry	7,519	353,017
Kraft Heinz Co. (The)	20,400	680,340
L’Oreal SA (France)	6,057	1,928,657
ManpowerGroup, Inc.	10,200	659,838
McDonald’s Corp.	3,000	692,220
McDonald’s Holdings Co. (Japan), Ltd. (Japan)	22,100	769,824

COMMON STOCKS (65.6%)* cont.	Shares	Value
Consumer staples cont.
Mondelez International, Inc. Class A	12,000	$657,960
Nestle SA (Switzerland)	15,793	1,710,060
Netflix, Inc. †	1,549	364,697
PepsiCo, Inc.	11,900	1,942,794
Perdoceo Education Corp. †	18,649	192,085
Philip Morris International, Inc.	112,439	9,333,561
Poshmark, Inc. Class A †	21,619	338,770
Primo Water Corp.	19,498	244,700
Procter & Gamble Co. (The)	130,029	16,416,161
Recruit Holdings Co., Ltd. (Japan)	23,600	681,172
Resideo Technologies, Inc. †	3,445	65,662
Resources Connection, Inc.	4,488	81,098
Sally Beauty Holdings, Inc. †	25,252	318,175
ScanSource, Inc. †	1,146	30,266
Simply Good Foods Co. (The) †	7,842	250,866
SpartanNash Co.	3,936	114,223
Sysco Corp.	8,796	621,965
TriNet Group, Inc. †	5,478	390,143
Tyson Foods, Inc. Class A	9,583	631,807
Uber Technologies, Inc. †	228,913	6,066,195
Udemy, Inc. †	7,265	87,834
Ulta Beauty, Inc. †	12,800	5,135,232
Unilever PLC (United Kingdom)	4,864	214,015
United Natural Foods, Inc. †	9,831	337,891
USANA Health Sciences, Inc. †	1,161	65,074
Vacasa, Inc. Class A †	49,422	151,726
Vector Group, Ltd.	20,385	179,592
Veritiv Corp. †	2,715	265,446
Wendy’s Co. (The)	35,900	670,971
WH Group, Ltd. (Hong Kong)	654,500	411,710
Yakult Honsha Co., Ltd. (Japan)	23,100	1,343,258
		117,176,942
Electronics (2.3%)
Advanced Micro Devices, Inc. †	24,575	1,557,072
Agilent Technologies, Inc.	7,018	853,038
Alpha & Omega Semiconductor, Ltd. †	8,987	276,440
Ambarella, Inc. †	1,162	65,281
Broadcom, Inc.	1,500	666,015
CEVA, Inc. †	3,423	89,785
Enovix Corp. †	5,042	92,445
Hoya Corp. (Japan)	32,200	3,095,865
Keysight Technologies, Inc. †	4,300	676,648
Lattice Semiconductor Corp. †	30,679	1,509,714
Marvell Technology, Inc.	26,988	1,158,055
Minebea Mitsumi, Inc. (Japan)	75,800	1,124,240
Monolithic Power Systems, Inc.	1,728	627,955
Murata Manufacturing Co., Ltd. (Japan)	19,300	886,544
NVIDIA Corp.	105,940	12,860,056
NXP Semiconductors NV	8,424	1,242,624

COMMON STOCKS (65.6%)* cont.	Shares	Value
Electronics cont.
Qualcomm, Inc.	107,627	$12,159,698
Rambus, Inc. †	18,028	458,272
Sartorius AG (Preference) (Germany)	1,773	619,253
Semtech Corp. †	8,072	237,398
Shimadzu Corp. (Japan)	27,000	702,807
Silergy Corp. (China)	4,000	52,433
STMicroelectronics NV (France)	32,236	994,627
Synaptics, Inc. †	2,142	212,079
Texas Instruments, Inc.	9,569	1,481,090
Thales SA (France)	22,678	2,501,381
Vishay Intertechnology, Inc.	4,502	80,091
Vontier Corp.	55,936	934,691
		47,215,597
Energy (3.2%)
Alpha Metallurgical Resources, Inc.	1,604	219,491
APA Corp.	24,401	834,270
BP PLC (United Kingdom)	455,365	2,165,422
California Resources Corp.	10,446	401,440
Cheniere Energy, Inc.	32,500	5,392,075
Chevron Corp.	4,489	644,935
Chord Energy Corp.	6,088	832,656
ConocoPhillips	44,549	4,559,145
Delek US Holdings, Inc.	11,858	321,826
Denbury, Inc. †	5,673	489,353
Enphase Energy, Inc. †	2,300	638,181
Enterprise Products Partners LP	67,839	1,613,211
EOG Resources, Inc.	9,904	1,106,574
Equinor ASA (Norway)	39,267	1,295,166
Exxon Mobil Corp.	158,509	13,839,421
Fluence Energy, Inc. †	7,904	115,319
Golar LNG, Ltd. (Norway) †	8,109	202,076
Marathon Oil Corp.	180,907	4,084,880
Marathon Petroleum Corp.	60,825	6,041,747
NOW, Inc. †	28,353	284,948
Occidental Petroleum Corp.	11,015	676,872
Oceaneering International, Inc. †	8,811	70,136
Orsted AS (Denmark)	2,922	232,510
PBF Energy, Inc. Class A †	13,740	483,098
PDC Energy, Inc.	11,889	687,065
Phillips 66	8,520	687,734
Shell PLC (London Exchange) (United Kingdom)	227,465	5,659,396
Shell PLC (Euronext Amsterdam Exchange) (United Kingdom)	144,151	3,595,996
Shoals Technologies Group, Inc. Class A †	17,048	367,384
SM Energy Co.	12,327	463,618
SunCoke Energy, Inc.	16,522	95,993
Talos Energy, Inc. †	20,053	333,882
Targa Resources Corp.	74,900	4,519,466
Valero Energy Corp.	34,875	3,726,394

COMMON STOCKS (65.6%)* cont.	Shares	Value
Energy cont.
Warrior Met Coal, Inc.	12,626	$359,083
Weatherford International PLC	11,774	380,182
		67,420,945
Financials (9.3%)
3i Group PLC (United Kingdom)	60,765	729,615
Alexander & Baldwin, Inc. R	11,405	189,095
Alleghany Corp. †	900	755,433
Ally Financial, Inc.	20,300	564,949
Amalgamated Financial Corp.	7,236	163,172
American Equity Investment Life Holding Co.	2,825	105,344
American Express Co.	4,806	648,377
American Financial Group, Inc.	5,962	732,909
American International Group, Inc.	64,892	3,081,073
Ameriprise Financial, Inc.	16,300	4,106,785
Ameris Bancorp	2,095	93,667
AMERISAFE, Inc.	1,742	81,404
Apartment Income REIT Corp. R	17,332	669,362
Apollo Global Management, Inc.	33,952	1,578,768
Apple Hospitality REIT, Inc. R	11,907	167,412
Arch Capital Group, Ltd. †	15,739	716,754
Argo Group International Holdings, Ltd. (Bermuda)	3,807	73,323
Armada Hoffler Properties, Inc. R	5,653	58,678
Associated Banc-Corp.	4,144	83,212
Assured Guaranty, Ltd.	55,997	2,713,055
Atlantic Union Bankshares Corp.	4,733	143,789
AvalonBay Communities, Inc. R	3,700	681,503
Aviva PLC (United Kingdom)	170,805	733,641
AXA SA (France)	176,513	3,864,709
Banco Bilbao Vizcaya Argentaria SA (Spain)	342,469	1,538,220
Banco Santander SA (Spain)	642,088	1,492,372
Bank Leumi Le-Israel BM (Israel)	165,881	1,412,467
Bank of America Corp.	205,993	6,220,989
Bank of Ireland Group PLC (Ireland)	333,316	2,130,721
Banner Corp.	3,137	185,334
Barratt Developments PLC (United Kingdom)	66,726	252,757
Berkshire Hathaway, Inc. Class B †	3,298	880,632
BGC Partners, Inc. Class A	59,136	185,687
Blackstone, Inc.	7,896	660,895
Blucora, Inc. †	5,615	108,594
BNP Paribas SA (France)	26,250	1,108,205
Boston Properties, Inc. R	22,249	1,668,008
BrightSpire Capital, Inc. R	11,509	72,622
Brixmor Property Group, Inc. R	35,104	648,371
Brookline Bancorp, Inc.	5,944	69,248
Brown & Brown, Inc.	22,100	1,336,608
BRT Apartments Corp. R	2,208	44,844
Camden Property Trust R	5,400	645,030
Capital One Financial Corp.	41,053	3,783,855
Carlyle Group, Inc. (The)	32,171	831,299

COMMON STOCKS (65.6%)* cont.	Shares	Value
Financials cont.
Cathay General Bancorp	10,352	$398,138
CBRE Group, Inc. Class A †	28,500	1,924,035
Central Pacific Financial Corp.	3,384	70,015
Charles Schwab Corp. (The)	113,436	8,152,646
Chubb, Ltd.	3,936	715,880
Citigroup, Inc.	262,825	10,951,918
City Office REIT, Inc. (Canada) R	6,727	67,068
CK Asset Holdings, Ltd. (Hong Kong)	170,159	1,021,048
CNO Financial Group, Inc.	20,488	368,169
ConnectOne Bancorp, Inc.	2,773	63,945
Corporate Office Properties Trust R	3,389	78,726
CubeSmart R	16,600	664,996
Cushman & Wakefield PLC †	22,409	256,583
Customers Bancorp, Inc. †	8,749	257,921
DBS Group Holdings, Ltd. (Singapore)	187,200	4,328,058
Deutsche Boerse AG (Germany)	16,514	2,718,816
Discover Financial Services	44,092	4,008,845
DNB Bank ASA (Norway)	39,925	632,091
Donegal Group, Inc. Class A	2,404	32,430
Eagle Bancorp, Inc.	2,328	104,341
East West Bancorp, Inc.	25,900	1,738,926
Employers Holdings, Inc.	2,328	80,293
Encore Capital Group, Inc. †	2,434	110,698
Enova International, Inc. †	2,461	72,033
Equitable Holdings, Inc.	118,265	3,116,283
Equity Lifestyle Properties, Inc. R	10,435	655,735
Equity Residential R	10,000	672,200
Essent Group, Ltd.	12,384	431,830
Essential Properties Realty Trust, Inc. R	20,138	391,684
Essex Property Trust, Inc. R	2,800	678,244
Exor NV (Netherlands)	8,851	568,001
Extra Space Storage, Inc. R	4,115	710,702
Fifth Third Bancorp	21,100	674,356
First BanCorp/Puerto Rico (Puerto Rico)	31,540	431,467
First Bancshares, Inc. (The)	2,506	74,854
First Busey Corp.	3,898	85,678
First Commonwealth Financial Corp.	6,049	77,669
First Financial Corp./IN	2,032	91,826
First Foundation, Inc.	4,011	72,760
First Industrial Realty Trust, Inc. R	14,407	645,578
Flagstar Bancorp, Inc.	10,806	360,920
Fulton Financial Corp.	16,438	259,720
Gaming and Leisure Properties, Inc. R	80,379	3,555,967
Genworth Financial, Inc. Class A †	105,900	370,650
Gjensidige Forsikring ASA (Norway)	16,447	281,433
Goldman Sachs Group, Inc. (The)	38,972	11,420,745
Goodman Group (Australia) R	106,401	1,063,099
Granite Point Mortgage Trust, Inc. R	7,665	49,363
Great Southern Bancorp, Inc.	1,265	72,194

COMMON STOCKS (65.6%)* cont.	Shares	Value
Financials cont.
Hana Financial Group, Inc. (South Korea)	53,928	$1,324,496
Hancock Whitney Corp.	10,455	478,944
Hanmi Financial Corp.	5,042	119,395
Hilltop Holdings, Inc.	3,144	78,128
HomeStreet, Inc.	2,145	61,797
Hope Bancorp, Inc.	20,867	263,759
Horace Mann Educators Corp.	8,064	284,579
Horizon Bancorp, Inc./IN	4,433	79,617
Independent Bank Corp./MI	2,210	42,211
Intercontinental Exchange, Inc.	7,400	668,590
International Bancshares Corp.	2,172	92,310
International Money Express, Inc. †	8,698	198,227
Investor AB Class B (Sweden)	78,412	1,142,992
Israel Discount Bank, Ltd. Class A (Israel)	92,530	464,874
iStar, Inc. R	24,233	224,398
Jackson Financial, Inc. Class A	14,302	396,881
Japan Exchange Group, Inc. (Japan)	85,100	1,150,379
Japan Post Holdings Co., Ltd. (Japan)	201,600	1,334,916
Jones Lang LaSalle, Inc. †	4,335	654,888
JPMorgan Chase & Co.	131,038	13,693,471
Kennedy-Wilson Holdings, Inc.	4,931	76,233
KeyCorp	32,133	514,771
Life Storage, Inc. R	21,407	2,371,039
Lloyds Banking Group PLC (United Kingdom)	466,763	213,247
Loews Corp.	13,000	647,920
London Stock Exchange Group PLC (United Kingdom)	29,000	2,445,381
Marcus & Millichap, Inc.	5,174	169,604
MetLife, Inc.	97,400	5,919,972
MFA Financial, Inc. R	3,431	26,693
MGIC Investment Corp.	77,445	992,845
Midland States Bancorp, Inc.	2,238	52,750
Mitsubishi UFJ Financial Group, Inc. (Japan)	511,200	2,305,219
Mitsui Fudosan Co., Ltd. (Japan)	10,800	205,871
Mizrahi Tefahot Bank, Ltd. (Israel)	4,181	146,098
Mr. Cooper Group, Inc. †	10,197	412,979
National Australia Bank, Ltd. (Australia)	72,747	1,333,903
National Bank Holdings Corp. Class A	3,043	112,561
National Health Investors, Inc. R	1,679	94,914
Navient Corp.	26,644	391,400
NBT Bancorp, Inc.	3,955	150,092
Nicolet Bankshares, Inc. †	440	30,994
NN Group NV (Netherlands)	3,107	120,927
Nomura Real Estate Holdings, Inc. (Japan)	27,900	632,489
OceanFirst Financial Corp.	6,194	115,456
OFG Bancorp (Puerto Rico)	5,467	137,386
Old Republic International Corp.	30,727	643,116
Outfront Media, Inc. R	23,658	359,365
Partners Group Holding AG (Switzerland)	1,641	1,318,327
Pathward Financial, Inc.	6,783	223,568

COMMON STOCKS (65.6%)* cont.	Shares	Value
Financials cont.
Peapack-Gladstone Financial Corp.	1,662	$55,926
PennyMac Financial Services, Inc.	7,104	304,762
Peoples Bancorp, Inc./OH	1,326	38,361
Piedmont Office Realty Trust, Inc. Class A R	16,667	176,004
Piper Sandler Cos.	734	76,879
PNC Financial Services Group, Inc. (The)	29,249	4,370,386
Preferred Bank/Los Angeles CA	1,387	90,474
ProAssurance Corp.	4,428	86,390
Prologis, Inc. R	6,450	655,320
Prudential PLC (United Kingdom)	177,054	1,739,569
Public Storage R	2,900	849,149
QCR Holdings, Inc.	1,457	74,220
Radian Group, Inc.	4,396	84,799
Realogy Holdings Corp. †	23,590	191,315
Reinsurance Group of America, Inc.	8,827	1,110,525
Retail Opportunity Investments Corp. R	20,113	276,755
S&T Bancorp, Inc.	2,825	82,801
Safety Insurance Group, Inc.	908	74,056
Sampo Oyj Class A (Finland)	5,405	230,672
Selective Insurance Group, Inc.	1,182	96,215
Silvergate Capital Corp. Class A †	373	28,106
Simon Property Group, Inc. R	6,787	609,133
Singapore Exchange, Ltd. (Singapore)	59,700	391,402
SITE Centers Corp. R	5,904	63,232
SLM Corp.	47,662	666,791
SouthState Corp.	928	73,423
STAG Industrial, Inc. R	16,118	458,235
State Street Corp.	20,173	1,226,720
Stewart Information Services Corp.	3,898	170,109
StoneX Group, Inc. †	2,352	195,075
Sumitomo Realty & Development Co., Ltd. (Japan)	9,000	204,940
Sunstone Hotel Investors, Inc. † R	39,796	374,878
Synchrony Financial	21,767	613,612
Taylor Morrison Home Corp. †	3,020	70,426
Terreno Realty Corp. R	1,196	63,376
Tokio Marine Holdings, Inc. (Japan)	84,100	1,494,760
TPG RE Finance Trust, Inc. R	9,190	64,330
UBS Group AG (Switzerland)	79,775	1,152,427
UMB Financial Corp.	5,230	440,837
Umpqua Holdings Corp.	27,900	476,811
United Fire Group, Inc.	2,406	69,124
United Overseas Bank, Ltd. (Singapore)	50,300	913,271
Universal Insurance Holdings, Inc.	6,772	66,704
Unum Group	16,573	643,032
Urban Edge Properties R	5,175	69,035
Virtu Financial, Inc. Class A	42,900	891,033
Virtus Investment Partners, Inc.	1,137	181,374
Visa, Inc. Class A	30,898	5,489,030
W.R. Berkley Corp.	10,628	686,356

COMMON STOCKS (65.6%)* cont.	Shares	Value
Financials cont.
Washington Federal, Inc.	5,872	$176,043
Wells Fargo & Co.	127,948	5,146,069
WesBanco, Inc.	5,439	181,499
Wintrust Financial Corp.	8,715	710,708
Zurich Insurance Group AG (Switzerland)	1,415	562,497
		193,852,312
Health care (10.1%)
2seventy bio, Inc. †	5,384	78,337
Abbott Laboratories	124,571	12,053,490
AbbVie, Inc.	84,078	11,284,108
ABIOMED, Inc. †	2,877	706,764
ACADIA Pharmaceuticals, Inc. †	5,433	88,884
Adaptive Biotechnologies Corp. †	43,080	306,730
Agenus, Inc. †	106,664	218,661
Alector, Inc. †	21,862	206,815
Alkermes PLC †	17,102	381,888
Allscripts Healthcare Solutions, Inc. †	24,719	376,470
AmerisourceBergen Corp.	5,114	692,078
Amgen, Inc.	3,026	682,060
AMN Healthcare Services, Inc. †	4,546	481,694
Amylyx Pharmaceuticals, Inc. †	4,640	130,616
AngioDynamics, Inc. †	4,088	83,640
Arcellx, Inc. †	3,867	72,584
Arvinas, Inc. †	1,751	77,902
AstraZeneca PLC (United Kingdom)	57,791	6,355,280
AstraZeneca PLC ADR (United Kingdom)	65,325	3,582,423
AtriCure, Inc. †	2,313	90,438
Avanos Medical, Inc. †	6,662	145,098
Bio-Rad Laboratories, Inc. Class A †	1,690	704,967
BioCryst Pharmaceuticals, Inc. †	8,392	105,739
Biohaven Pharmaceutical Holding Co., Ltd. †	4,333	655,020
Boston Scientific Corp. †	18,760	726,575
Bristol-Myers Squibb Co.	95,672	6,801,322
Brookdale Senior Living, Inc. †	17,748	75,784
Cara Therapeutics, Inc. †	9,081	84,998
Cardinal Health, Inc.	12,584	839,101
Catalyst Pharmaceuticals, Inc. †	5,207	66,806
Chugai Pharmaceutical Co., Ltd. (Japan)	50,500	1,260,938
Cigna Corp.	16,533	4,587,412
Computer Programs and Systems, Inc. †	2,619	73,018
Corcept Therapeutics, Inc. †	4,171	106,944
Crinetics Pharmaceuticals, Inc. †	4,740	93,094
CSL, Ltd. (Australia)	531	96,282
CVS Health Corp.	113,154	10,791,497
Danaher Corp.	29,232	7,550,333
DexCom, Inc. †	24,660	1,986,116
Eagle Pharmaceuticals, Inc./DE †	2,253	59,524
Edwards Lifesciences Corp. †	8,221	679,301
Elevance Health, Inc.	9,598	4,359,796