N-CSR 1 a_dynassetallobal.htm PUTNAM ASSET ALLOCATION FUNDS a_dynassetallobal.htm


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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number: (811-07121)
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Stephen Tate, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2022
Date of reporting period: October 1, 2021 – September 30, 2022



Item 1. Report to Stockholders:

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




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.


2 Dynamic Asset Allocation Balanced Fund 

 


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.


Dynamic Asset Allocation Balanced Fund 3 

 



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.

4 Dynamic Asset Allocation Balanced Fund 

 



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.

Dynamic Asset Allocation Balanced Fund 5 

 



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

6 Dynamic Asset Allocation Balanced Fund 

 



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.

Dynamic Asset Allocation Balanced Fund 7 

 


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.

8 Dynamic Asset Allocation Balanced Fund 

 


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.

Dynamic Asset Allocation Balanced Fund 9 

 


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.

10 Dynamic Asset Allocation Balanced Fund 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 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

  Life of fund  10 years  5 years  3 years  1 year 
Class A (2/7/94)           
Before sales charge  6.42%  6.05%  2.92%  1.92%  –16.86% 
After sales charge  6.20  5.43  1.71  –0.07  –21.64 
Class B (2/11/94)           
Before CDSC  6.20  5.42  2.16  1.17  –17.49 
After CDSC  6.20  5.42  1.85  0.27  –21.21 
Class C (9/1/94)           
Before CDSC  6.17  5.43  2.16  1.18  –17.47 
After CDSC  6.17  5.43  2.16  1.18  –18.21 
Class P (8/31/16)           
Net asset value  6.71  6.40  3.30  2.28  –16.61 
Class R (1/21/03)           
Net asset value  6.14  5.79  2.67  1.67  –17.06 
Class R5 (7/2/12)           
Net asset value  6.68  6.32  3.17  2.16  –16.73 
Class R6 (7/2/12)           
Net asset value  6.72  6.43  3.27  2.26  –16.60 
Class Y (7/5/94)           
Net asset value  6.68  6.32  3.17  2.17  –16.72 

 

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.

Dynamic Asset Allocation Balanced Fund 11 

 


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

  Life of fund  10 years  5 years  3 years  1 year 
Russell 3000 Index  9.34%  11.39%  8.62%  7.70%  –17.63% 
Putnam Balanced Blended           
Benchmark*  —†  6.73  4.49  2.80  –16.89 
Lipper Mixed-Asset Target           
Allocation Moderate Funds           
category median ‡  6.36  4.78  2.69  1.40  –16.36 

 

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.

12 Dynamic Asset Allocation Balanced Fund 

 


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

Distributions  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Number  4  4  4  4  4  4  4  4 
Income  $0.178  $0.049  $0.060  $0.238  $0.138  $0.215  $0.230  $0.217 
Capital gains                   
Long-term gains  0.937  0.937  0.937  0.937  0.937  0.937  0.937  0.937 
Short-term gains  0.827  0.827  0.827  0.827  0.827  0.827  0.827  0.827 
Total  $1.942  $1.813  $1.824  $2.002  $1.902  $1.979  $1.994  $1.981 
  Before  After  Net  Net  Net  Net  Net  Net  Net 
  sales  sales  asset  asset  asset  asset  asset  asset  asset 
Share value  charge  charge  value  value  value  value  value  value  value 
9/30/21  $17.92  $19.01  $17.87  $17.37  $17.97  $17.76  $17.97  $17.96  $17.97 
9/30/22  13.31  14.12  13.28  12.86  13.34  13.18  13.34  13.34  13.34 

 

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

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Total annual operating                 
expenses for the fiscal year                 
ended 9/30/21  0.94%  1.69%  1.69%  0.56%  1.19%  0.70%  0.60%  0.69% 
Annualized expense ratio                 
for the six-month period                 
ended 9/30/22*  0.95%  1.70%  1.70%  0.58%  1.20%  0.72%  0.62%  0.70% 

 

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.

Dynamic Asset Allocation Balanced Fund 13 

 


Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in 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.

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $4.39  $7.84  $7.84  $2.68  $5.54  $3.33  $2.87  $3.23 
Ending value (after expenses)  $843.20  $839.80  $840.10  $844.70  $841.90  $843.50  $844.40  $843.50 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 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.

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $4.81  $8.59  $8.59  $2.94  $6.07  $3.65  $3.14  $3.55 
Ending value (after expenses)  $1,020.31  $1,016.55  $1,016.55  $1,022.16  $1,019.05  $1,021.46  $1,021.96  $1,021.56 

 

* 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).

14 Dynamic Asset Allocation Balanced Fund 

 


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.

Dynamic Asset Allocation Balanced Fund 15 

 


Terms and definitions

Important terms

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

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions. 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).

16 Dynamic Asset Allocation Balanced Fund 

 


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

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

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

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

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

Comparative indexes

Bloomberg 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.

Dynamic Asset Allocation Balanced Fund 17 

 


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.

18 Dynamic Asset Allocation Balanced Fund 

 


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.

Dynamic Asset Allocation Balanced Fund 19 

 


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

20 Dynamic Asset Allocation Balanced Fund 

 


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

Dynamic Asset Allocation Balanced Fund 21 

 


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.

22 Dynamic Asset Allocation Balanced Fund 

 


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):

One-year period  1st 
Three-year period  2nd 
Five-year period  2nd 

 

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

Dynamic Asset Allocation Balanced Fund 23 

 


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.

24 Dynamic Asset Allocation Balanced Fund 

 


Audited financial statements

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

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

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

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

Dynamic Asset Allocation Balanced Fund 25 

 


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.

26 Dynamic Asset Allocation Balanced Fund 

 


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


Dynamic Asset Allocation Balanced Fund 27


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


28 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 29


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


30 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 31


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


32 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 33


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


34 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 35


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


36 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 37


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


38 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 39


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


40 Dynamic Asset Allocation Balanced Fund


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


Dynamic Asset Allocation Balanced Fund 41


COMMON STOCKS (65.6%)* cont. Shares Value
Health care cont.
Eli Lilly and Co. 44,438 $14,369,027
Enanta Pharmaceuticals, Inc. † 6,526 338,504
Euroapi SA (France) † 1,075 17,899
Eurofins Scientific (Luxembourg) 4,316 255,933
Exelixis, Inc. † 44,200 693,056
FibroGen, Inc. † 23,529 306,112
Forma Therapeutics Holdings, Inc. † 10,387 207,221
Fresenius SE & Co. KGaA (Germany) 9,564 204,854
Fulgent Genetics, Inc. † 6,989 266,421
Getinge AB Class B (Sweden) 20,486 351,625
Ginkgo Bioworks Holdings, Inc. † 233,900 729,768
Glaukos Corp. † 2,263 120,482
GlaxoSmithKline PLC (United Kingdom) 59,125 862,397
HCA Healthcare, Inc. 9,633 1,770,449
Hologic, Inc. † 11,100 716,172
Humana, Inc. 8,646 4,194,953
ICON PLC (Ireland) † 5,060 929,927
IDEXX Laboratories, Inc. † 3,229 1,052,008
IGM Biosciences, Inc. † 4,208 95,690
Illumina, Inc. † 3,791 723,285
ImmunityBio, Inc. † 35,174 174,815
ImmunoGen, Inc. † 42,076 201,123
Inari Medical, Inc. † 1,173 85,207
Incyte Corp. † 9,963 663,934
Inspire Medical Systems, Inc. † 2,791 495,040
Integer Holdings Corp. † 1,256 78,161
Intercept Pharmaceuticals, Inc. † 6,499 90,661
Intuitive Surgical, Inc. † 6,990 1,310,205
Ipsen SA (France) 4,398 406,180
IQVIA Holdings, Inc. † 21,435 3,882,735
IVERIC bio, Inc. † 4,662 83,636
Johnson & Johnson 4,400 718,784
Laboratory Corp. of America Holdings 3,101 635,116
Lantheus Holdings, Inc. † 6,777 476,626
LivaNova PLC (United Kingdom) † 7,169 363,970
Lonza Group AG (Switzerland) 6,352 3,089,034
M3, Inc. (Japan) 4,200 115,814
McKesson Corp. 18,094 6,149,608
Medpace Holdings, Inc. † 575 90,373
Medtronic PLC 46,300 3,738,725
Merck & Co., Inc. 190,787 16,430,576
Merck KGaA (Germany) 21,779 3,554,408
Mettler-Toledo International, Inc. † 600 650,472
Molina Healthcare, Inc. † 7,300 2,407,832
NextGen Healthcare, Inc. † 11,521 203,922
NGM Biopharmaceuticals, Inc. † 7,583 99,186
Novartis AG (Switzerland) 36,355 2,771,460
Novo Nordisk A/S Class B (Denmark) 27,560 2,747,015
Ono Pharmaceutical Co., Ltd. (Japan) 20,200 469,892


42 Dynamic Asset Allocation Balanced Fund


COMMON STOCKS (65.6%)* cont. Shares Value
Health care cont.
Option Care Health, Inc. † 15,676 $493,324
Orthofix Medical, Inc. (Netherlands) † 3,290 62,872
Pfizer, Inc. 135,541 5,931,274
Prometheus Biosciences, Inc. † 7,478 441,277
Prothena Corp. PLC (Ireland) † 3,031 183,770
PTC Therapeutics, Inc. † 7,934 398,287
RAPT Therapeutics, Inc. † 4,521 108,775
Regeneron Pharmaceuticals, Inc. † 9,106 6,272,851
Relay Therapeutics, Inc. † 12,304 275,240
Roche Holding AG (Switzerland) 10,874 3,545,566
Sabra Health Care REIT, Inc. R 19,991 262,282
Sanofi (France) 44,887 3,425,788
Sartorius Stedim Biotech (France) 1,741 532,211
Select Medical Holdings Corp. 4,476 98,920
Sonic Healthcare, Ltd. (Australia) 46,673 908,173
STAAR Surgical Co. † 5,544 391,129
Theravance Biopharma, Inc. (Cayman Islands) † 20,842 211,338
Thermo Fisher Scientific, Inc. 8,644 4,384,150
Travere Therapeutics, Inc. † 10,136 249,751
Tricida, Inc. † 9,014 94,467
UnitedHealth Group, Inc. 22,329 11,277,038
Vanda Pharmaceuticals, Inc. † 7,809 77,153
Vertex Pharmaceuticals, Inc. † 32,000 9,265,280
Veru, Inc. † 6,654 76,654
Vir Biotechnology, Inc. † 15,863 305,839
Waters Corp. † 2,500 673,825
Xencor, Inc. † 4,830 125,483
ZimVie, Inc. † 2,423 23,915
210,287,452
Semiconductor (0.3%)
Applied Materials, Inc. 8,200 671,826
ASM International NV (Netherlands) 303 67,793
ASML Holding NV (Netherlands) 3,384 1,403,654
Axcelis Technologies, Inc. † 6,437 389,825
KLA Corp. 2,091 632,799
Lam Research Corp. 1,846 675,636
MaxLinear, Inc. Class A † 11,451 373,532
Renesas Electronics Corp. (Japan) † 198,900 1,657,657
5,872,722
Software (4.9%)
Adobe, Inc. † 22,624 6,226,125
Amdocs, Ltd. 8,800 699,160
American Software, Inc./GA Class A 4,561 69,875
Appian Corp. † 2,995 122,286
Atlassian Corp PLC Class A (Australia) † 20,100 4,232,859
Autodesk, Inc. † 4,100 765,880
Cadence Design Systems, Inc. † 76,405 12,486,869
Domo, Inc. Class B † 17,827 320,708
Donnelley Financial Solutions, Inc. † 3,240 119,783


Dynamic Asset Allocation Balanced Fund 43


COMMON STOCKS (65.6%)* cont. Shares Value
Software cont.
Intuit, Inc. 24,288 $9,407,228
Manhattan Associates, Inc. † 8,900 1,183,967
Microsoft Corp. 257,990 60,085,871
NTT Data Corp. (Japan) 38,700 500,150
Okta, Inc. † 12,200 693,814
Oracle Corp. 33,480 2,044,624
ROBLOX Corp. Class A † 19,400 695,296
Sage Group PLC (The) (United Kingdom) 94,869 729,897
Sapiens International Corp. NV (Israel) 3,410 65,404
Skillz, Inc. † 63,159 64,422
Square Enix Holdings Co., Ltd. (Japan) 20,000 857,706
Wix.com, Ltd. (Israel) † 8,800 688,424
Workday, Inc. Class A † 4,600 700,212
102,760,560
Technology services (4.1%)
Accenture PLC Class A 51,961 13,369,566
Alphabet, Inc. Class A † 280,413 26,821,503
Alphabet, Inc. Class C † 134,940 12,974,481
Capgemini SE (France) 14,896 2,380,538
CSG Systems International, Inc. 5,704 301,628
DocuSign, Inc. † 12,762 682,384
eBay, Inc. 158,091 5,819,330
Fidelity National Information Services, Inc. 17,337 1,310,157
GoDaddy, Inc. Class A † 9,500 673,360
HealthStream, Inc. † 3,552 75,516
Leidos Holdings, Inc. 20,146 1,762,171
Meta Platforms, Inc. Class A † 79,415 10,775,027
Palo Alto Networks, Inc. † 35,150 5,757,219
Pinterest, Inc. Class A † 34,100 794,530
SCSK Corp. (Japan) 23,900 358,602
Spotify Technology SA (Sweden) † 6,956 600,303
Zebra Technologies Corp. Class A † 2,552 668,650
85,124,965
Transportation (1.0%)
A.P. Moeller-Maersck A/S Class B (Denmark) 298 539,809
ArcBest Corp. 2,765 201,098
Arlo Technologies, Inc. † 13,100 60,784
Canadian Natl Railway Co. (Canada) 11,858 1,280,614
Covenant Logistics Group, Inc. 3,003 86,186
CSX Corp. 200,300 5,335,992
Deutsche Post AG (Germany) 36,045 1,096,791
Dorian LPG, Ltd. 8,469 114,924
Hub Group, Inc. Class A † 3,657 252,260
Matson, Inc. 5,436 334,423
Nippon Yusen KK (Japan) 34,300 585,782
Safe Bulkers, Inc. (Monaco) 25,615 63,269
SFL Corp., Ltd. (Norway) 6,342 57,776
SG Holdings Co., Ltd. (Japan) 9,300 126,388
Southwest Airlines Co. † 77,173 2,380,015


44 Dynamic Asset Allocation Balanced Fund



COMMON STOCKS (65.6%)* cont. Shares Value
Transportation cont.
Union Pacific Corp. 38,144 $7,431,214
United Parcel Service, Inc. Class B 3,935 635,660
ZIM Integrated Shipping Services, Ltd. (Israel) 3,100 72,850
20,655,835
Utilities and power (1.7%)
AES Corp. (The) 27,968 632,077
ALLETE, Inc. 4,133 206,857
Ameren Corp. 26,297 2,118,223
American Electric Power Co., Inc. 86,547 7,481,988
Avista Corp. 1,705 63,170
Black Hills Corp. 938 63,531
Chesapeake Utilities Corp. 2,099 242,204
Constellation Energy Corp. 36,089 3,002,244
DTE Energy Co. 5,702 656,015
Duke Energy Corp. 6,762 629,001
E.ON SE (Germany) 177,356 1,372,627
Edison International 11,216 634,601
Enel SpA (Italy) 110,138 451,348
Essential Utilities, Inc. 15,700 649,666
Eversource Energy 8,600 670,456
Exelon Corp. 91,675 3,434,146
FirstEnergy Corp. 19,916 736,892
Fortum OYJ (Finland) 54,231 728,931
New Jersey Resources Corp. 2,725 105,458
NiSource, Inc. 26,280 661,993
Northwest Natural Holding Co. 4,894 212,302
NRG Energy, Inc. 109,653 4,196,420
Osaka Gas Co., Ltd. (Japan) 28,600 430,622
Otter Tail Corp. 2,308 141,988
PNM Resources, Inc. 9,750 445,868
Portland General Electric Co. 7,614 330,904
PPL Corp. 12,200 309,270
Public Service Enterprise Group, Inc. 11,000 618,530
RWE AG (Germany) 12,448 458,021
SJW Group 2,395 137,952
Southern Co. (The) 9,836 668,848
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 13,140 16,425
Tokyo Gas Co., Ltd. (Japan) 49,600 837,690
Unitil Corp. 1,619 75,203
Vistra Corp. 27,860 585,060
WEC Energy Group, Inc. 7,200 643,896
Xcel Energy, Inc. 10,187 651,965
35,302,392
Total common stocks (cost $1,234,393,707) $1,365,804,009


Dynamic Asset Allocation Balanced Fund 45



U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (19.8%)*		 Principal
amount		 Value
U.S. Government Guaranteed Mortgage Obligations (3.2%)
Government National Mortgage Association Pass-Through Certificates    
6.00%, with due dates from 12/20/48 to 4/20/49 $646,697 $667,762
5.00%, 5/20/49 21,882 21,521
4.70%, with due dates from 5/20/67 to 8/20/67 109,497 107,811
4.639%, 6/20/67 49,750 49,234
4.524%, 3/20/67 65,237 64,350
4.50%, TBA, 10/1/52 10,000,000 9,559,435
4.50%, with due dates from 5/15/47 to 5/20/49 366,775 354,681
4.00%, TBA, 10/1/52 7,000,000 6,530,178
3.00%, TBA, 10/1/52 27,000,000 23,833,564
3.00%, with due dates from 8/20/49 to 4/20/51 29,393,490 26,189,058
67,377,594
U.S. Government Agency Mortgage Obligations (16.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates    
4.00%, 9/1/45 157,494 149,263
3.00%, with due dates from 2/1/47 to 1/1/48 10,162,714 8,963,057
2.50%, with due dates from 8/1/50 to 8/1/51 7,860,649 6,622,153
Federal National Mortgage Association Pass-Through Certificates    
4.50%, 5/1/49 6,936 6,678
4.00%, 1/1/57 767,462 720,637
4.00%, with due dates from 6/1/48 to 4/1/49 8,245,389 7,731,583
3.50%, 6/1/56 1,414,613 1,277,806
3.50%, with due dates from 4/1/52 to 5/1/52 5,848,438 5,296,221
3.00%, with due dates from 4/1/46 to 11/1/48 12,649,215 11,199,544
2.50%, with due dates from 7/1/50 to 8/1/51 39,640,726 33,486,036
Uniform Mortgage-Backed Securities    
6.00%, TBA, 10/1/52 5,000,000 5,074,636
5.50%, TBA, 10/1/52 12,000,000 11,923,625
5.00%, TBA, 10/1/52 102,000,000 99,242,787
4.50%, TBA, 10/1/52 21,000,000 19,979,526
4.00%, TBA, 10/1/52 1,000,000 926,875
3.50%, TBA, 10/1/52 47,000,000 42,263,270
3.00%, TBA, 10/1/52 10,000,000 8,693,750
2.50%, TBA, 10/1/52 51,000,000 42,796,171
2.50%, TBA, 10/1/37 33,000,000 29,844,375
2.00%, TBA, 10/1/52 10,000,000 8,091,563
344,289,556
Total U.S. government and agency mortgage obligations (cost $441,427,614) $411,667,150

U.S. TREASURY OBLIGATIONS (0.1%)* Principal
amount		 Value
U.S. Treasury Bonds 4.25%, 11/15/40 i $116,000 $121,566
U.S. Treasury Notes    
3.352%, 10/31/22 i 230,000 231,398
2.125%, 12/31/22 i 653,000 654,310
1.625%, 8/15/29 i 289,000 249,823
0.25%, 10/31/25 i 621,000 550,448
0.25%, 4/15/23 i 194,000 190,466
Total U.S. treasury obligations (cost $1,998,011) $1,998,011


46 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* Principal
amount		 Value
Basic materials (1.0%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France)   $400,000 $378,000
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30   70,000 64,605
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29   180,000 141,111
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26   80,000 72,780
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29   210,000 170,081
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29   222,000 204,324
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30   205,000 170,292
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32   110,000 97,707
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32   110,000 84,385
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25   185,000 162,739
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32   355,000 318,674
Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany)   295,000 274,135
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany)   310,000 288,928
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany)   1,745,000 1,651,476
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany)   350,000 285,376
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43   1,050,000 855,750
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26   396,000 379,621
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32   85,000 67,150
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30   125,000 102,627
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27   260,000 244,342
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24   95,000 89,419
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (France)   250,000 227,500
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28   125,000 93,115
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada)   460,000 442,750
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada)   390,000 359,865
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)   155,000 135,815
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)   265,000 238,622
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia)   210,000 175,203
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26   505,000 511,944


Dynamic Asset Allocation Balanced Fund 47


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Basic materials cont.
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27   $340,000 $316,705
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30   716,000 547,545
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30   150,000 123,797
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29   155,000 127,506
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg)   290,000 232,000
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31   270,000 203,205
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29   474,000 417,917
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28   195,000 159,900
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada) ‡‡   145,000 116,000
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)   180,000 143,152
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28   525,000 481,760
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50   105,000 68,725
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30   185,000 142,043
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 1.832%, 10/15/27   75,000 61,434
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 170,000 105,137
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29   $220,000 172,841
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29   320,000 240,000
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24   75,000 71,250
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24   60,000 57,000
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)   235,000 216,832
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)   190,000 151,407
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru)   650,000 524,875
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31   50,000 37,296
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30   210,000 172,200
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26   100,000 83,473
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada)   143,000 127,222
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada)   727,000 616,888
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada)   233,000 215,600
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29   260,000 178,100
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30   260,000 169,181
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28   375,000 309,521
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29   130,000 99,931


48 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Basic materials cont.
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27   $570,000 $523,298
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29   375,000 322,500
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada)   170,000 135,150
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29   275,000 195,209
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)   245,000 144,550
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29   330,000 244,200
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27   260,000 231,400
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51   837,000 515,552
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41   418,000 264,813
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26   1,002,000 931,787
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30   690,000 774,736
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31   154,000 173,312
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R   39,000 42,076
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24   120,000 116,700
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27   1,316,000 1,131,273
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29   270,000 202,500
20,927,835
Capital goods (0.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31   120,000 91,991
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27   350,000 308,236
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27   170,000 156,400
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30   170,000 140,709
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Ireland) ‡‡   200,000 136,940
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29   225,000 164,779
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland)   245,000 203,994
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27   296,000 245,445
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26   994,000 866,595
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada)   305,000 280,600
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada)   200,000 183,434
Bombardier, Inc. 144A sr. unsec. notes 6.00%, 2/15/28 (Canada)   90,000 75,301
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25   144,000 141,009
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29   335,000 270,767


Dynamic Asset Allocation Balanced Fund 49


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Capital goods cont.
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26   $150,000 $150,000
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22   245,000 244,399
GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada)   140,000 117,600
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)   60,000 50,400
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)   50,000 41,674
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)   235,000 218,843
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27   275,000 259,245
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29   230,000 177,237
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47   315,000 260,198
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29   740,000 604,551
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada) ‡‡   360,000 337,500
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64   515,000 407,527
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26   284,000 272,384
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31   145,000 108,469
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26   491,000 463,611
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28   368,000 345,745
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28   75,000 60,240
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29   450,000 313,452
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29   470,000 324,042
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28   1,165,000 1,060,041
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28   263,000 242,876
OT Merger Corp. 144A sr. unsec. notes 7.875%, 10/15/29   345,000 233,738
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30   320,000 261,736
Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40   135,000 121,602
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28   1,015,000 948,324
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29   200,000 168,698
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29   520,000 430,300
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30   225,000 210,524
Staples, Inc. 144A sr. notes 7.50%, 4/15/26   740,000 621,311
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26   340,000 332,282
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29   145,000 124,444
TK Elevator Holdco GmbH 144A company guaranty sr. unsec. notes 7.625%, 7/15/28 (Germany)   200,000 167,500
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26   180,000 170,057
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27   310,000 269,607


50 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Capital goods cont.
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29   $235,000 $189,952
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29   205,000 165,031
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26   545,000 528,650
Vertical Midco GMBH company guaranty sr. notes Ser. REGS, 4.375%, 7/15/27 (Germany) EUR 100,000 82,069
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28   $375,000 301,875
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32   92,000 77,023
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29   585,000 524,589
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26   330,000 289,915
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28   240,000 235,068
15,780,529
Communication services (1.5%)
Altice France Holding SA 144A company guaranty sr. sub. notes 10.50%, 5/15/27 (France)   255,000 199,730
Altice France Holding SA 144A company guaranty sr. unsec. notes 6.00%, 2/15/28 (France)   400,000 253,729
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France)   200,000 158,000
Altice France SA 144A company guaranty sr. notes 5.125%, 7/15/29 (France)   200,000 149,422
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31 R   776,000 608,935
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R   445,000 365,793
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R   990,000 875,450
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27 R   788,000 711,361
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27   333,000 291,048
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55   2,179,000 1,431,246
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46   1,125,000 942,910
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27   253,000 242,796
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32   165,000 125,841
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26   168,000 159,180
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29   1,680,000 1,470,538
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30   860,000 697,675
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30   115,000 90,947
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31   160,000 122,726
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29   845,000 661,612
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45   760,000 669,246


Dynamic Asset Allocation Balanced Fund 51


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Communication services cont.
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50   $730,000 $526,615
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25   250,000 243,790
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51   345,000 209,087
Comcast Corp. company guaranty sr. unsec. bonds 2.987%, 11/1/63   199,000 114,176
Comcast Corp. company guaranty sr. unsec. bonds 2.887%, 11/1/51   109,000 67,476
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50   593,000 411,595
Comcast Corp. company guaranty sr. unsec. unsub. bonds 4.049%, 11/1/52   174,000 133,191
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49   329,000 252,101
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47   1,144,000 871,322
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27   885,000 793,642
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35   23,000 24,533
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25   945,000 912,540
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26   60,000 56,522
Cox Communications, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 10/1/50   393,000 233,717
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27   591,000 541,039
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R   530,000 479,553
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27 R   697,000 630,963
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26 R   670,000 629,666
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24   320,000 296,000
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands)   435,000 498,377
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27   100,000 86,211
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26   135,000 103,554
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24   165,000 147,263
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29   235,000 138,063
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28   210,000 158,705
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26   115,000 94,213
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36   400,000 200,000
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R   266,000 224,871
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26 R   1,835,000 1,646,153
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27   155,000 138,916


52 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Communication services cont.
Frontier Communications Corp. 144A notes 6.75%, 5/1/29   $385,000 $317,625
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)   430,000 330,025
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28   385,000 300,304
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28   1,087,000 1,116,893
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26   255,000 263,755
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31   1,315,000 991,016
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30   119,000 105,555
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27   1,318,000 1,216,304
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31   155,000 124,905
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27   21,000 20,636
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29   110,000 90,820
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28   245,000 231,282
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28   400,000 433,805
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain)   1,130,000 822,866
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61   1,017,000 690,420
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31   508,000 405,601
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34   815,000 715,902
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28   2,323,000 2,185,765
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28   360,000 303,917
VZ Secured Financing BV 144A sr. notes 5.00%, 1/15/32 (Netherlands)   510,000 387,600
32,147,035
Conglomerates (—%)
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 6.623%, perpetual maturity   217,000 202,935
202,935
Consumer cyclicals (2.0%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29   295,000 244,850
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada)   540,000 484,650
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada)   328,000 269,684
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. unsec. notes 6.00%, 6/1/29   345,000 222,654
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27   1,555,000 1,449,070
Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31   246,000 199,489
AMC Entertainment Holdings, Inc. 144A company guaranty notes 10.00%, 6/15/26 ‡‡   280,000 191,100
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29   120,000 92,700


Dynamic Asset Allocation Balanced Fund 53


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer cyclicals cont.
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28   $270,000 $236,191
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29   225,000 176,063
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32   25,000 19,252
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29   65,000 51,959
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31   320,000 227,073
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity   125,000 102,999
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity   255,000 233,325
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25   29,000 30,015
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30   240,000 208,800
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27 ‡‡   95,000 64,634
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26   355,000 273,350
Block, Inc. sr. unsec. notes 3.50%, 6/1/31   820,000 635,758
BMW Finance NV 144A company guaranty sr. unsec. notes 2.85%, 8/14/29 (Netherlands)   536,000 459,278
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30   570,000 535,706
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27   120,000 106,201
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31   290,000 234,813
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29   85,000 64,947
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25   510,000 492,099
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28   60,000 49,452
Carnival Corp. 144A notes 10.50%, 2/1/26   150,000 148,412
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27   330,000 231,182
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29   190,000 150,257
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30   310,000 270,475
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24   320,000 300,000
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25   50,000 50,548
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26   245,000 204,863
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28   255,000 196,118
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27   385,000 325,224
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28   220,000 166,100
Clear Channel Outdoor Holdings, Inc. 144A sr. unsec. notes 7.50%, 6/1/29   95,000 68,875


54 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer cyclicals cont.
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26   $1,230,000 $1,029,660
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26   300,000 59,715
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23   510,000 509,341
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26   1,680,000 1,554,999
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29   315,000 75,883
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27   195,000 47,775
Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29   50,000 40,996
Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31   595,000 442,055
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25   715,000 674,681
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.113%, 5/3/29   220,000 190,894
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27   240,000 210,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30   315,000 245,700
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28   315,000 283,541
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30   240,000 196,200
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29   60,000 49,950
General Motors Co. sr. unsec. bonds 5.95%, 4/1/49   245,000 204,362
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45   95,000 72,335
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26   1,347,000 1,245,810
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25   110,000 105,675
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32   353,000 266,244
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26   288,000 247,526
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27   72,000 61,610
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31   630,000 494,188
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada)   172,000 150,900
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24   150,000 143,025
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27   190,000 174,325
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26   763,000 741,747
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27   467,807 392,958
Interpublic Group of Cos, Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31   18,000 13,670
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28   1,421,000 1,314,021
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25   95,000 89,419
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27   115,000 82,225


Dynamic Asset Allocation Balanced Fund 55


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer cyclicals cont.
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29   $285,000 $223,725
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29   170,000 115,175
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27   792,000 731,254
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31   325,000 253,500
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26   225,000 214,560
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27   120,000 115,470
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32   120,000 91,880
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 5.875%, 3/15/30   30,000 23,729
Magallanes, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32   1,924,000 1,583,479
Magallanes, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27   695,000 622,519
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   90,000 79,608
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30   285,000 217,884
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29   215,000 180,771
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26   100,000 89,244
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28   345,000 288,081
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29   360,000 295,551
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30   85,000 62,953
Moody’s Corp. sr. unsec. bonds 2.55%, 8/18/60   435,000 236,220
Moody’s Corp. sr. unsec. notes 2.00%, 8/19/31   1,030,000 784,058
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27   110,000 91,850
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29   85,000 64,600
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29   280,000 233,377
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32   154,000 135,136
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29   220,000 186,749
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)   170,000 166,680
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28   170,000 168,730
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29   255,000 253,872
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26   870,000 824,046
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29   205,000 180,746
Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26   152,000 143,532
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27   376,000 334,813
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27   265,000 234,334


56 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer cyclicals cont.
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27   $120,000 $100,820
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28   325,000 277,346
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32   315,000 327,600
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26   70,000 60,202
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29   200,000 144,250
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29   60,000 59,121
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26   95,000 72,675
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29   105,000 87,735
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30   200,000 149,746
S&P Global, Inc. 144A company guaranty sr. unsec. notes 4.75%, 8/1/28   86,000 83,935
S&P Global, Inc. 144A sr. unsec. unsub. notes 2.45%, 3/1/27   95,000 85,117
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25   290,000 277,649
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30   170,000 136,272
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29   375,000 349,016
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28   110,000 103,714
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29   500,000 362,499
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32   120,000 85,344
Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29   130,000 103,636
Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31   215,000 162,867
Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27   115,000 100,050
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26   200,000 182,375
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31   1,220,000 946,037
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28   235,000 199,886
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27   1,020,000 933,300
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27   185,000 161,875
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26   210,000 132,300
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29   180,000 143,188
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 3/15/31   220,000 149,992
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31   90,000 63,297
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27   160,000 141,586
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28   20,000 16,898


Dynamic Asset Allocation Balanced Fund 57


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer cyclicals cont.
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30   $305,000 $233,325
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31   135,000 101,963
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28   325,000 266,749
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31   445,000 318,290
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27   400,000 333,476
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25   205,000 189,632
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27   790,000 603,532
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26   265,000 242,229
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24   130,000 127,426
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27   325,000 306,707
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29   45,000 36,696
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30   100,000 95,000
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28   315,000 267,722
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29   345,000 258,750
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45   382,000 469,469
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25   245,000 208,250
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28   150,000 122,394
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27   295,000 259,659
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29   370,000 299,034
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25   70,000 68,377
41,116,730
Consumer staples (0.8%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)   160,000 126,013
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada)   230,000 199,295
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada)   265,000 229,225
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30   160,000 135,362
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27   310,000 277,085
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26   200,000 201,193
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48   1,199,000 992,936
Ashtead Capital, Inc. 144A bonds 4.25%, 11/1/29   255,000 222,488


58 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer staples cont.
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31   $280,000 $205,830
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27   1,000,000 917,370
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25   140,000 101,150
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29   260,000 211,142
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28   23,187 23,175
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45   210,000 161,114
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37   390,000 407,136
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42   462,000 417,970
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24   465,000 449,244
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26   143,000 130,985
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30   105,000 79,800
GSK Consumer Healthcare Capital US, LLC 144A company guaranty sr. unsec. unsub. bonds 3.625%, 3/24/32   715,000 604,030
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27   240,000 216,000
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25   120,000 119,240
JDE Peet’s NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands)   730,000 603,141
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31   975,000 758,555
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27   194,000 179,238
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27   140,000 130,055
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27   882,000 824,299
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28   170,000 154,212
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30   355,000 300,419
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27   111,000 99,068
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31   100,000 75,500
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30   50,000 41,063
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28   943,000 823,947
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26   155,000 122,534
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24   1,545,000 1,461,251
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 725,000 626,665
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28   $320,000 299,493


Dynamic Asset Allocation Balanced Fund 59


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Consumer staples cont.
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28   $848,000 $827,462
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26   845,000 797,710
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25   135,000 130,505
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26   325,000 299,000
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29   415,000 302,632
Rite Aid Corp. 144A company guaranty sr. notes 8.00%, 11/15/26   99,000 70,061
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25   307,000 233,572
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25   265,000 257,635
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32   80,000 70,931
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31   120,000 95,904
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30   180,000 157,304
16,169,939
Energy (1.1%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26   130,000 130,650
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29   109,000 108,798
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40   250,000 201,816
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28   255,000 222,411
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26   695,000 649,738
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28   77,000 71,335
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom)   875,000 801,856
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28   220,000 202,950
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30   440,000 385,222
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)   85,000 84,473
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27   370,000 357,958
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27   219,000 212,039
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31   175,000 146,734
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32   185,000 142,053
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26   145,000 137,750
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30   240,000 209,029
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29   205,000 189,073
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28   1,043,000 936,066
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23   320,000 318,397


60 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Energy cont.
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31   $190,000 $171,733
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32   720,000 527,252
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27   115,000 110,688
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37   305,000 295,469
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32   170,000 186,749
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31   120,000 132,300
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26   390,000 359,670
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28   385,000 355,174
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28   771,000 733,313
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23   57,000 56,430
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28   365,000 341,275
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23   915,000 907,232
EQT Corp. sr. unsec. notes 7.00%, 2/1/30   165,000 170,264
EQT Corp. sr. unsec. notes 5.678%, 10/1/25   315,000 313,061
EQT Corp. sr. unsec. notes 5.00%, 1/15/29   25,000 23,326
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway)   235,000 223,699
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30   125,000 107,306
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28   215,000 188,261
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30   95,000 76,713
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26   270,000 256,299
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.25%, 4/15/32   160,000 140,800
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.00%, 4/15/30   145,000 126,875
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28   385,000 339,181
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30   235,000 215,180
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25   205,000 185,587
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25   73,000 72,643
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26   150,000 130,518
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30   155,000 157,325
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31   60,000 59,100
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40   705,000 682,088


Dynamic Asset Allocation Balanced Fund 61


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Energy cont.
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27   $460,000 $492,292
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36   605,000 605,000
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25   80,000 80,242
Ovintiv, Inc. company guaranty sr. unsec. bonds 6.50%, 8/15/34   80,000 77,934
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31   205,000 213,555
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37   75,000 73,403
Ovintiv, Inc. company guaranty sr. unsec. unsub. notes 8.125%, 9/15/30   65,000 70,163
Permian Resources Operating LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26   360,000 328,500
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia)   200,000 198,000
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil)   97,000 97,485
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil)   162,000 147,258
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)   1,628,000 1,142,246
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada)   475,000 454,813
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada)   55,000 48,560
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29   385,000 337,097
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28   260,000 237,109
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24   155,000 155,567
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27   156,000 149,663
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands)   1,240,000 1,155,050
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27   100,000 95,988
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26   195,000 187,688
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28   60,000 57,019
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25   240,000 230,400
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32   545,000 456,765
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30   240,000 216,252
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29   535,000 485,138
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26   425,000 392,068
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30   200,000 170,022
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28   270,000 229,500
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada)   355,000 305,505
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands)   103,600 96,607
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27   188,125 172,134


62 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Energy cont.
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27   $190,000 $175,739
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26   230,000 211,600
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27   115,000 104,515
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33   235,000 182,713
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29   230,000 197,312
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27   70,000 64,437
23,249,198
Financials (4.2%)
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands)   200,000 192,379
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland)   1,245,000 936,325
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 3.65%, 7/21/27 (Ireland)   900,000 785,948
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28   215,000 185,998
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28   290,000 225,969
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28   528,000 473,955
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29   1,412,000 1,149,264
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27   330,000 284,390
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31   1,212,000 1,270,610
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27   520,000 479,740
Ally Financial, Inc. sr. unsec. notes 2.20%, 11/2/28   312,000 241,042
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29   95,000 78,856
ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr. unsec. notes 3.45%, 7/17/27 (United Kingdom)   200,000 183,834
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27   1,010,000 843,747
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26   504,000 458,543
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29   280,000 234,338
Athene Global Funding 144A notes 1.985%, 8/19/28   905,000 713,864
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom)   200,000 191,010
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain)   400,000 356,816
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain)   1,400,000 981,292
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain)   600,000 578,072
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity   320,000 306,400
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity   30,000 29,436
Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27   2,720,000 2,333,567
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31   720,000 568,125
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37   2,270,000 1,831,442


Dynamic Asset Allocation Balanced Fund 63


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Financials cont.
Bank of America Corp. unsec. sub. FRN (ICE LIBOR USD 3 Month + 0.76%), 4.053%, 9/15/26   $125,000 $121,443
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37   1,722,000 1,661,863
Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27   555,000 514,175
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50   860,000 552,557
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43   190,000 163,195
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31   270,000 198,069
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France)   375,000 267,856
BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France)   200,000 188,562
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France)   432,000 410,169
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R   390,000 390,064
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32   1,934,000 1,369,790
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity   661,000 546,151
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28   3,154,000 2,864,267
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28   721,000 663,617
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46   445,000 354,726
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27   520,000 481,351
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26   400,000 389,955
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25   705,000 691,353
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29   210,000 195,556
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29   250,000 174,375
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28   165,000 100,650
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia)   1,285,000 1,175,195
Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia)   246,000 222,223
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29   470,000 414,229
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France)   250,000 214,389
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland)   433,000 397,819
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland)   342,000 278,940
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland)   1,375,000 1,193,772
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany)   600,000 557,951
Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany)   1,745,000 1,518,661
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R   384,000 358,749
DNB Bank ASA 144A sr. unsec. notes 2.15%, 12/2/22 (Norway)   1,435,000 1,430,302
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31   125,000 133,750
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada)   1,124,000 1,056,107
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24   245,000 239,847


64 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Financials cont.
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28   $1,137,000 $1,128,604
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23   445,000 440,235
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25   218,000 180,120
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24   185,000 161,875
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27   125,000 89,080
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32 R   360,000 270,620
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25   195,000 188,483
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26   148,000 141,563
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada)   70,000 65,625
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada)   135,000 119,813
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51   327,000 251,300
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29   1,454,000 1,321,506
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27   2,755,000 2,559,855
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30   386,000 312,851
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37   164,000 163,610
Goldman Sachs Group, Inc. (The) unsec. sub. notes 5.95%, 1/15/27   220,000 220,803
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26   410,000 388,850
HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29   70,000 58,450
Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36   781,000 552,321
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26   215,000 200,926
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27   280,000 245,143
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29   115,000 92,561
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40   633,000 426,228
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32   317,000 233,560
Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27   182,000 172,760
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy)   810,000 544,916
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R   195,000 196,230
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R   320,000 315,584
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R   805,000 780,889
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity   218,000 209,280
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity   1,256,000 1,094,102
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 3.905%, 5/15/47   784,000 618,576
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity   149,000 120,662
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48   2,558,000 1,916,138
JPMorgan Chase & Co. sr. unsec. unsub. FRN 3.782%, 2/1/28   140,000 128,357
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27   3,080,000 2,791,208
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26   136,000 128,332


Dynamic Asset Allocation Balanced Fund 65


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Financials cont.
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23   $1,432,000 $1,422,960
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44   340,000 293,934
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R   280,000 209,622
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R   65,000 59,800
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R   330,000 267,300
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom)   445,000 418,691
Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49   425,000 377,095
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29   467,000 443,562
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37   300,000 320,250
Metropolitan Life Global Funding I 144A sr. notes 3.00%, 1/10/23   130,000 129,526
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan)   575,000 545,450
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29   3,065,000 2,756,483
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47   965,000 770,907
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.125%, 1/23/23   2,511,000 2,502,757
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31   345,000 253,014
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28   195,000 153,123
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45   305,000 249,148
New York Life Global Funding 144A notes 1.10%, 5/5/23   2,200,000 2,160,767
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26   105,000 94,647
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28   120,000 102,960
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29   315,000 244,125
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31   155,000 110,882
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25   230,000 196,641
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26   355,000 307,621
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33   1,490,000 1,329,188
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R   254,000 207,472
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27 R   106,000 94,058
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44   160,000 152,293
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada)   615,000 598,848
Santander UK Group Holdings PLC 144A unsec. sub. notes 4.75%, 9/15/25 (United Kingdom)   635,000 598,361


66 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Financials cont.
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom)   $241,000 $239,342
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R   80,000 74,800
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France)   690,000 472,857
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan)   1,420,000 1,362,596
Svenska Handelsbanken AB 144A sr. unsec. notes 0.625%, 6/30/23 (Sweden)   290,000 281,429
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42   385,000 326,413
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.90%, 12/1/22 (Canada)   1,792,000 1,786,468
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada)   965,000 879,652
Truist Bank unsec. sub. FRN Ser. BKNT, 2.636%, 9/17/29   540,000 503,133
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24   275,000 244,845
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26   640,000 622,429
UBS Group AG 144A sr. unsec. FRN 4.703%, 8/5/27 (Switzerland)   395,000 375,161
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland)   581,000 541,975
US Bancorp unsec. sub. FRB 2.491%, 11/3/36   1,305,000 980,822
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25   235,000 225,901
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28 R   702,000 645,495
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27 R   263,000 230,351
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity   203,000 193,358
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity   173,000 146,293
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33   3,960,000 3,211,434
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 4.54%, 8/15/26   509,000 494,104
Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia)   160,000 149,286
Westpac Banking Corp. sr. unsec. unsub. notes 2.70%, 8/19/26 (Australia)   78,000 71,481
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia)   379,000 241,959
87,910,725
Health care (1.1%)
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada)   26,042 25,847
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25   640,000 619,843
Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25   260,000 130,476
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51   552,000 463,815
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26   794,000 727,344
Bausch Health Cos, Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28   46,298 37,270
Bausch Health Cos, Inc. 144A company guaranty sub. notes 14.00%, 10/15/30   9,260 5,046


Dynamic Asset Allocation Balanced Fund 67


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Health care cont.
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27   $185,000 $127,650
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28   340,000 219,198
Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27   166,000 154,479
Becton Dickinson and Co. sr. unsec. sub. bonds 1.957%, 2/11/31   1,050,000 810,626
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 2/20/23   1,350,000 1,344,781
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24   1,115,000 1,081,381
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30   215,000 170,267
Centene Corp. sr. unsec. notes 4.625%, 12/15/29   595,000 532,525
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31   110,000 88,550
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29   105,000 86,100
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26   115,000 99,566
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29   25,000 18,500
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27   90,000 69,525
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28   165,000 75,488
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29   310,000 149,742
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30   340,000 236,725
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23   528,000 524,111
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38   1,529,000 1,340,477
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36   260,078 236,866
DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg)   355,000 254,518
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28   260,000 229,525
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27   116,000 108,287
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29   242,000 212,232
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26   245,000 237,357
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30   115,000 94,958
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland)   415,000 358,456
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg)   239,000 143,400
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24   44,000 43,002
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45   865,000 678,829
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25   277,000 265,552
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30   355,000 280,652
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29   125,000 100,211
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29   190,000 143,450
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45   1,430,000 1,207,235
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29   70,000 59,150


68 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Health care cont.
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28   $240,000 $205,200
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30   90,000 79,200
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29   265,000 208,058
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26   670,000 629,643
Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland)   1,210,000 1,026,093
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29   320,000 290,810
Service Corp. International sr. unsec. notes 4.625%, 12/15/27   177,000 160,185
Service Corp. International sr. unsec. notes 3.375%, 8/15/30   190,000 148,597
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31   220,000 176,922
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24   58,000 56,085
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27   485,000 435,184
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26   1,375,000 1,277,746
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29   190,000 157,368
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30   300,000 274,800
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel)   285,000 276,604
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel)   390,000 321,734
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42   550,000 445,759
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28   1,625,000 1,527,335
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23   545,000 542,251
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27   641,000 523,370
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28   730,000 675,906
Zoetis, Inc. sr. unsec. sub. notes 3.00%, 9/12/27   242,000 217,563
23,449,425
Technology (1.0%)
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60   680,000 382,292
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26   670,000 611,454
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47   1,680,000 1,488,356
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61   275,000 171,199
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24   565,000 551,074
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45   493,000 442,355
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43   600,000 502,514
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28   680,000 530,400
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28   150,000 116,199
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25   65,000 63,705
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27   783,000 720,265
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28   2,244,000 1,986,830
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36   115,000 78,654


Dynamic Asset Allocation Balanced Fund 69


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Technology cont.
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29   $170,000 $161,618
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29   405,000 317,115
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26   100,000 92,072
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25   84,000 74,630
CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27   165,000 136,331
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29   415,000 348,600
Google, LLC sr. unsec. notes 3.375%, 2/25/24   720,000 710,806
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29   480,000 404,952
Meta Platforms, Inc. 144A sr. unsec. unsub. bonds 4.45%, 8/15/52   463,000 377,846
Meta Platforms, Inc. 144A sr. unsec. unsub. notes 3.50%, 8/15/27   256,000 239,389
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23   360,000 358,254
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52   1,818,000 1,282,228
Microsoft Corp. sr. unsec. unsub. bonds 2.525%, 6/1/50   85,000 55,534
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26   2,165,000 2,004,106
Microsoft Corp. sr. unsec. unsub. notes 3.30%, 2/6/27   120,000 114,351
NortonLifeLock, Inc. 144A company guaranty sr. unsec. unsub. notes 6.75%, 9/30/27   125,000 120,625
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51   85,000 56,372
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41   440,000 298,947
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47   1,705,000 1,142,434
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40   215,000 179,177
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22   1,651,000 1,649,915
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29   370,000 312,539
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29   545,000 403,300
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61   665,000 414,962
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51   665,000 439,258
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31   665,000 523,824
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30   720,000 530,108
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29   300,000 238,875
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31   120,000 94,197
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29   295,000 238,213
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29   200,000 179,439
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29   755,000 616,035
21,761,349
Transportation (0.2%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29   230,000 200,675
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26   230,000 216,009
Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada)   1,315,000 1,151,449


70 Dynamic Asset Allocation Balanced Fund


CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Transportation cont.
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44   $480,000 $385,587
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28   360,000 335,288
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26   254,000 229,946
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27   255,000 239,291
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24   450,000 438,684
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29   90,000 74,470
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26   90,000 80,325
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27   645,000 587,050
3,938,774
Utilities and power (0.8%)
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26   320,000 275,652
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31   515,000 393,978
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28   1,130,000 1,055,731
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32   195,000 153,081
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32   123,000 97,260
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43   110,000 81,482
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26   60,000 52,331
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28   180,000 153,000
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26   48,000 45,247
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28   350,000 308,347
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31   50,000 39,728
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29   25,000 20,372
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36   133,000 136,370
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42   275,000 217,065
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49   835,000 631,395
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27   980,000 886,708
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39   210,000 218,768
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29   860,000 785,851
Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23   308,000 304,209
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada)   815,000 649,992
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)   592,000 563,559
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30   1,410,000 1,193,934
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27   86,000 83,772
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25   113,000 105,327
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity   1,550,000 1,131,497


Dynamic Asset Allocation Balanced Fund 71



CORPORATE BONDS AND NOTES (14.5%)* cont. Principal
amount		 Value
Utilities and power cont.
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30   $417,000 $348,233
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48   1,680,000 1,291,250
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30   265,000 229,911
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23   300,000 298,601
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27   15,000 14,689
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29   160,000 138,784
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24   535,000 515,037
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32   835,000 651,338
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29   140,000 122,500
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada)   450,000 449,672
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42   175,000 168,954
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45   760,000 593,250
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26   110,000 97,042
Pacific Gas and Electric Co. notes 2.10%, 8/1/27   115,000 92,962
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40   160,000 156,943
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity   100,000 87,301
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29   526,000 448,201
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24   421,000 401,141
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26   295,000 273,613
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27   155,000 139,971
16,104,049
Total corporate bonds and notes (cost $353,440,353) $302,758,523

MORTGAGE-BACKED SECURITIES (5.1%)* Principal
amount		 Value
Agency collateralized mortgage obligations (1.6%)
Federal Home Loan Mortgage Corporation      
REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 14.455%, 4/15/37   $39,460 $61,558
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 13.465%, 11/15/35   23,441 35,631
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 9.744%, 6/15/34   15,512 16,753
REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51   3,721,740 820,741
REMICs Ser. 5170, Class CI, IO, 5.50%, 5/25/44   4,888,318 965,247
REMICs Ser. 5117, Class CI, IO, 5.00%, 6/25/51   8,885,396 1,576,447
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50   5,217,588 1,111,833
REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49   6,458,009 1,452,889
REMICs Ser. 5162, Class HI, IO, 4.00%, 11/25/51   8,278,126 1,503,366


72 Dynamic Asset Allocation Balanced Fund


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation      
REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51   $6,295,378 $1,215,763
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51   11,197,539 2,183,520
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51   4,911,874 1,050,324
REMICs Ser. 5080, Class DI, IO, 4.00%, 3/25/51   9,841,163 1,911,499
REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50   5,340,462 1,015,756
REMICs Ser. 5152, Class IE, IO, 3.50%, 10/25/51   7,903,950 1,379,780
REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51   5,496,318 963,905
REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50   3,922,428 678,121
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.232%, 4/15/44   5,797,852 574,738
REMICs Ser. 5167, IO, 3.00%, 11/25/51   8,163,624 1,265,362
REMICs Ser. 5127, Class AI, IO, 3.00%, 6/25/51   9,149,956 1,496,116
REMICs Ser. 5094, Class AI, IO, 3.00%, 4/25/41   10,324,267 1,369,277
REMICs Ser. 3391, PO, zero %, 4/15/37   2,925 2,574
REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36   4,594 4,042
Federal National Mortgage Association      
REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 21.396%, 7/25/36   12,656 23,413
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 12.892%, 6/25/37   29,697 46,921
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 10.561%, 12/25/35   20,120 27,163
REMICs Ser. 21-67, Class DI, IO, 4.00%, 10/25/51   8,856,137 1,903,965
REMICs Ser. 21-28, Class GI, IO, 4.00%, 5/25/51   5,990,033 1,245,797
REMICs Ser. 20-67, Class JI, IO, 4.00%, 9/25/50   6,439,516 1,230,873
REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51   4,593,454 786,445
REMICs IFB Ser. 17-69, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.066%, 9/25/47   5,624,679 665,956
REMICs IFB Ser. 19-43, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 8/25/49   4,407,973 469,975
REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51   8,662,235 1,073,075
REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41   8,497,826 977,250
REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49   7,238,090 978,822
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37   9,560 8,604
REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37   677 602
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36   1,002 881
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36   2,244 1,879
Government National Mortgage Association      
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40   164,493 35,109
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40   32,688 6,211
Ser. 13-14, IO, 3.50%, 12/20/42   293,162 32,866
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42   7,875,648 1,189,065
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 6/20/49   37,641 2,980
Ser. 20-138, Class AI, IO, 3.00%, 9/20/50   3,824,899 583,844
FRB Ser. 16-H16, Class LI, IO, 2.35%, 7/20/66 W   15,242,604 574,556
Ser. 16-H16, Class EI, IO, 1.667%, 6/20/66 W   2,214,418 104,299


Dynamic Asset Allocation Balanced Fund 73


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 15-H26, Class EI, IO, 1.575%, 10/20/65 W   $1,754,489 $79,654
Ser. 15-H25, Class BI, IO, 0.592%, 10/20/65 W   2,939,326 113,752
34,819,199
Commercial mortgage-backed securities (1.8%)
Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 1.084%, 5/15/53 W   5,246,500 274,240
AREIT CRE Trust 144A FRB Ser. 21-CRE5, Class A, 4.073%, 11/17/38 (Cayman Islands)   513,400 498,615
AREIT Trust 144A FRB Ser. 20-CRE4, Class C, 5.507%, 4/15/37   607,000 610,715
AREIT, LLC 144A FRB Ser. 22-CRE7, Class A, 5.26%, 6/17/39   930,000 919,240
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49 W   94,607 1
BANK FRB Ser. 17-BNK8, Class B, 4.056%, 11/15/50 W   501,000 446,868
Barclays Commercial Mortgage Trust FRB Ser. 19-C4, Class XA, IO, 1.703%, 8/15/52 W   10,979,202 815,086
BBCMS Mortgage Trust FRB Ser. 21-C9, Class XA, IO, 1.753%, 2/15/54 W   5,231,774 486,589
Benchmark Mortgage Trust Ser. 19-B11, Class AS, 3.784%, 5/15/52   437,000 383,496
BXMT, Ltd. 144A FRB Ser. 21-FL4, Class A, 3.868%, 5/15/38 (Cayman Islands)   827,000 810,475
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50 W   169,000 157,452
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.249%, 12/15/47 W   141,073 142,532
Citigroup Commercial Mortgage Trust 144A      
FRB Ser. 14-GC19, Class D, 5.258%, 3/10/47 W   402,000 388,444
FRB Ser. 06-C5, Class XC, IO, 0.557%, 10/15/49 W   3,067,313 27
COMM Mortgage Trust      
FRB Ser. 13-CR13, Class C, 5.04%, 11/10/46 W   976,000 932,800
FRB Ser. 14-CR17, Class C, 4.943%, 5/10/47 W   392,000 368,317
FRB Ser. 14-CR18, Class C, 4.905%, 7/15/47 W   346,000 323,472
Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W   411,000 408,205
FRB Ser. 14-UBS6, Class C, 4.587%, 12/10/47 W   500,000 461,962
FRB Ser. 15-LC21, Class B, 4.476%, 7/10/48 W   476,000 453,880
FRB Ser. 15-LC19, Class C, 4.356%, 2/10/48 W   855,000 793,715
FRB Ser. 14-CR18, Class XA, IO, 1.146%, 7/15/47 W   1,969,598 25,664
FRB Ser. 14-CR19, Class XA, IO, 1.091%, 8/10/47 W   5,136,984 67,284
FRB Ser. 13-CR11, Class XA, IO, 1.066%, 8/10/50 W   5,559,949 29,840
FRB Ser. 14-UBS6, Class XA, IO, 0.999%, 12/10/47 W   5,497,072 75,904
FRB Ser. 14-LC17, Class XA, IO, 0.817%, 10/10/47 W   4,198,966 43,833
COMM Mortgage Trust 144A      
FRB Ser. 10-C1, Class D, 5.985%, 7/10/46 W   876,463 802,394
FRB Ser. 13-CR13, Class D, 5.04%, 11/10/46 W   537,000 483,827
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.048%, 1/15/49 W   3,039,668 1
CSAIL Commercial Mortgage Trust      
FRB Ser. 15-C1, Class C, 4.401%, 4/15/50 W   1,318,000 1,152,205
Ser. 16-C7, Class AS, 3.958%, 11/15/49 W   388,000 356,859
Ser. 15-C2, Class AS, 3.849%, 6/15/57 W   442,000 411,741


74 Dynamic Asset Allocation Balanced Fund


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Commercial mortgage-backed securities cont.
CSAIL Commercial Mortgage Trust      
Ser. 15-C1, Class AS, 3.791%, 4/15/50 W   $1,138,000 $1,075,844
Ser. 19-C17, Class AS, 3.278%, 9/15/52   598,000 501,996
FRB Ser. 20-C19, Class XA, IO, 1.23%, 3/15/53 W   10,537,758 656,397
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.901%, 4/15/50 W   501,000 335,538
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.597%, 12/15/49 W   1,264,000 966,387
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.541%, 8/10/44 W   1,395,586 1,275,565
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.595%, 2/10/46 W   3,033,602 3,245
GS Mortgage Securities Trust      
FRB Ser. 14-GC18, Class C, 5.225%, 1/10/47 W   560,000 386,400
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47 W   767,000 729,027
FRB Ser. 13-GC12, Class XA, IO, 1.514%, 6/10/46 W   2,064,254 6,001
FRB Ser. 14-GC22, Class XA, IO, 1.094%, 6/10/47 W   4,226,388 42,665
FRB Ser. 14-GC24, Class XA, IO, 0.842%, 9/10/47 W   8,606,679 92,952
GS Mortgage Securities Trust 144A      
FRB Ser. 10-C1, Class D, 6.566%, 8/10/43 W   630,000 468,422
FRB Ser. 13-GC14, Class B, 4.877%, 8/10/46 W   436,000 429,083
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45 W   650,000 641,830
JPMBB Commercial Mortgage Securities Trust      
FRB Ser. 14-C22, Class C, 4.699%, 9/15/47 W   370,000 337,114
FRB Ser. 14-C23, Class C, 4.632%, 9/15/47 W   682,400 633,821
FRB Ser. 13-C12, Class B, 4.231%, 7/15/45 W   435,000 427,916
FRB Ser. 13-C12, Class C, 4.231%, 7/15/45 W   755,000 734,504
Ser. 16-C1, Class AS, 3.97%, 3/17/49   423,000 396,338
FRB Ser. 15-C33, Class XA, IO, 1.056%, 12/15/48 W   5,118,541 118,022
FRB Ser. 14-C25, Class XA, IO, 0.958%, 11/15/47 W   6,138,846 82,285
FRB Ser. 14-C19, Class XA, IO, 0.785%, 4/15/47 W   4,351,794 27,812
JPMorgan Chase Commercial Mortgage Securities Trust      
FRB Ser. 13-C16, Class C, 5.17%, 12/15/46 W   591,000 574,473
Ser. 13-LC11, Class AS, 3.216%, 4/15/46   766,000 752,954
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.129%, 5/15/45 W   695,000 618,342
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W   18,514 —
MF1 Multifamily Housing Mortgage Loan Trust 144A FRB Ser. 22-FL9, Class A, (CME Term SOFR 1 Month + 2.15%), 5.174%, 6/19/37   821,000 818,895
Morgan Stanley Bank of America Merrill Lynch Trust      
FRB Ser. 14-C14, Class C, 5.211%, 2/15/47 W   560,000 549,769
FRB Ser. 14-C17, Class C, 4.638%, 8/15/47 W   1,106,000 1,034,550
Ser. 14-C15, Class B, 4.565%, 4/15/47 W   306,000 296,901
FRB Ser. 15-C24, Class B, 4.476%, 5/15/48 W   375,000 355,498
FRB Ser. 14-C17, Class XA, IO, 1.185%, 8/15/47 W   2,816,031 31,728
Morgan Stanley Bank of America Merrill Lynch Trust 144A      
FRB Ser. 12-C6, Class D, 4.694%, 11/15/45 W   491,000 451,720
FRB Ser. 13-C9, Class D, 4.241%, 5/15/46 W   441,000 389,456


Dynamic Asset Allocation Balanced Fund 75


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Commercial mortgage-backed securities cont.
Morgan Stanley Capital I Trust FRB Ser. 16-BNK2, Class C, 4.019%, 11/15/49 W   $1,669,000 $1,444,927
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.253%, 7/15/49 W   324,000 324,292
PFP, Ltd. 144A REMICs FRB Ser. 21-8, Class AS, 4.189%, 8/9/37 (Cayman Islands)   463,000 442,246
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) †   417,718 4
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C4, Class XA, IO, 1.545%, 12/10/45 W   227,272 6
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 4.093%, 6/16/36   167,861 162,405
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.356%, 11/15/48 W   714,442 289
Wells Fargo Commercial Mortgage Trust      
FRB Ser. 13-LC12, Class C, 4.432%, 7/15/46 W   501,000 458,832
FRB Ser. 14-LC16, Class XA, IO, 1.244%, 8/15/50 W   8,785,752 114,304
FRB Ser. 16-LC25, Class XA, IO, 0.975%, 12/15/59 W   10,253,165 281,183
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.432%, 7/15/46 W   412,000 162,553
WF-RBS Commercial Mortgage Trust      
Ser. 13-C18, Class AS, 4.387%, 12/15/46 W   1,270,000 1,249,629
FRB Ser. 13-C11, Class C, 4.309%, 3/15/45 W   1,149,000 1,138,210
Ser. 13-C11, Class AS, 3.311%, 3/15/45   455,000 451,812
FRB Ser. 14-C22, Class XA, IO, 0.938%, 9/15/57 W   21,786,659 56,820
FRB Ser. 13-C14, Class XA, IO, 0.784%, 6/15/46 W   10,192,918 23,252
WF-RBS Commercial Mortgage Trust 144A      
FRB Ser. 11-C3, Class D, 5.42%, 3/15/44 W   785,444 381,883
Ser. 11-C4, Class E, 4.987%, 6/15/44 W   138,000 103,639
FRB Ser. 12-C9, Class D, 4.978%, 11/15/45 W   546,000 542,114
FRB Ser. 13-C15, Class D, 4.671%, 8/15/46 W   599,000 360,885
FRB Ser. 12-C10, Class XA, IO, 1.569%, 12/15/45 W   1,906,277 2,044
37,070,462
Residential mortgage-backed securities (non-agency) (1.7%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 3.274%, 5/25/47   1,178,691 697,353
Arroyo Mortgage Trust 144A      
Ser. 19-1, Class A3, 4.097%, 1/25/49 W   101,580 95,378
Ser. 19-3, Class A3, 3.416%, 10/25/48 W   151,697 140,550
Banc of America Funding Trust FRB Ser. 05-B, Class 3M1, (ICE LIBOR USD 1 Month + 0.68%), 3.668%, 4/20/35   96,204 94,388
BankUnited Trust FRB Ser. 05-1, Class 1A1, (ICE LIBOR USD 1 Month + 0.60%), 3.684%, 9/25/45   115,193 107,824
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (ICE LIBOR USD 1 Month + 1.95%), 5.034%, 8/25/35   232,766 224,076
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 5.584%, 10/25/29 (Bermuda)   502,000 499,223
BRAVO Residential Funding Trust 144A      
FRB Ser. 21-HE3, Class A2, (US 30 Day Average SOFR + 1.00%), 3.281%, 8/25/69   695,391 669,441
Ser. 21-C, Class A1, 1.62%, 3/1/61   465,878 416,020


76 Dynamic Asset Allocation Balanced Fund


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55 W   $500,000 $447,066
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB7, Class M2, 2.679%, 10/27/31 W   1,666,000 1,574,380
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 2.955%, 5/25/35 W   172,856 168,563
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65 W   17,117 16,769
Countrywide Alternative Loan Trust      
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 3.674%, 11/20/35   192,285 169,801
FRB Ser. 06-24CB, Class A19, (ICE LIBOR USD 1 Month + 0.50%), 3.584%, 8/25/36   383,534 195,313
FRB Ser. 05-65CB, Class 2A1, (ICE LIBOR USD 1 Month + 0.43%), 3.509%, 12/25/35   896,411 631,572
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 3.464%, 8/25/46   820,380 679,095
FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 3.173%, 2/20/47   458,079 351,865
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.044%, 6/25/46   476,857 413,393
CSMC Trust 144A      
Ser. 21-RPL7, Class A1, 1.926%, 7/27/61 W   284,742 266,234
Ser. 21-RPL4, Class A1, 1.796%, 12/27/60 W   292,947 275,370
Eagle Re, Ltd. 144A      
FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 3.00%), 6.084%, 11/25/28   190,000 189,575
FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 4.784%, 11/25/28 (Bermuda)   357,894 351,887
Federal Home Loan Mortgage Corporation      
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 9.434%, 9/25/28   716,940 772,704
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (ICE LIBOR USD 1 Month + 5.55%), 8.634%, 7/25/28   962,846 1,016,918
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 8.084%, 12/25/28   540,277 566,532
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 7.784%, 4/25/28   452,419 469,946
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 6.634%, 8/25/29   462,129 472,815
Federal Home Loan Mortgage Corporation 144A      
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 5.484%, 2/25/47   197,341 190,442
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 5.231%, 6/25/42   84,192 84,170
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 4.984%, 1/25/50   70,359 69,593
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 4.931%, 7/25/42   401,566 397,801
Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 4.581%, 8/25/33   691,000 669,428


Dynamic Asset Allocation Balanced Fund 77


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A      
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 4.131%, 1/25/42   $281,000 $255,383
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 4.084%, 2/25/47   2,140,510 2,097,394
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 3.581%, 2/25/42   345,772 339,613
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 3.131%, 9/25/41   129,040 125,437
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 10.034%, 8/25/28   582,711 611,058
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 9.834%, 8/25/28   748,517 792,431
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 9.084%, 9/25/28   537,731 558,882
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 8.984%, 10/25/28   37,724 38,973
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 8.784%, 4/25/28   913,610 945,930
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 8.634%, 4/25/28   814,819 842,263
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 8.084%, 11/25/24   9,434 9,545
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 7.984%, 11/25/24   130,787 134,050
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 7.534%, 1/25/29   916,940 949,272
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (ICE LIBOR USD 1 Month + 4.35%), 7.434%, 5/25/29   563,244 582,119
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 7.384%, 2/25/25   55,035 56,060
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 4/25/29   390,536 402,717
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 1/25/29   1,076,386 1,106,680
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 7.084%, 5/25/25   28,240 28,728
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 6.734%, 9/25/29   95,000 96,332
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 6.634%, 7/25/29   460,753 469,021
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 5.984%, 7/25/24   86,245 87,042
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (ICE LIBOR USD 1 Month + 2.60%), 5.684%, 5/25/24   124,175 124,106
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 4.334%, 7/25/29   98,874 98,304
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (ICE LIBOR USD 1 Month + 0.65%), 3.734%, 1/25/31   78,308 76,982
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (ICE LIBOR USD 1 Month + 0.60%), 3.684%, 11/25/29   114,717 112,004


78 Dynamic Asset Allocation Balanced Fund


MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association 144A      
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M2, (US 30 Day Average SOFR + 3.00%), 5.281%, 4/25/42   $901,000 $891,990
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 5.234%, 11/25/39   90,728 88,293
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 5.184%, 9/25/39   41,739 41,671
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 5.134%, 1/25/40   289,700 285,557
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 4.781%, 9/25/42   250,000 249,836
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 3.481%, 1/25/42   178,400 175,789
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 3.281%, 12/25/41   163,361 159,787
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 3.181%, 11/25/41   104,566 102,213
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 3.031%, 10/25/41   53,595 53,193
Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 12/25/24 W   829,822 794,425
FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49 W   660,741 629,626
Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26   427,194 371,749
Imperial Fund Mortgage Trust 144A Ser. 22-NQM5, Class A1, 5.39%, 8/25/67   187,375 183,436
Legacy Mortgage Asset Trust 144A      
Ser. 20-GS5, Class A1, 3.25%, 6/25/60   323,037 322,204
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59   474,215 467,363
FRB Ser. 20-GS1, Class A1, 2.882%, 10/25/59   427,685 424,349
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (ICE LIBOR USD 1 Month + 0.80%), 3.884%, 2/25/34   474,338 454,894
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.766%, 2/25/35 W   88,101 81,412
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (ICE LIBOR USD 1 Month + 0.83%), 3.909%, 8/25/34   159,930 152,125
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 2.992%, 8/26/47 W   116,968 113,622
New Residential Mortgage Loan Trust 144A FRB Ser. 18-4A, Class A1M, (ICE LIBOR USD 1 Month + 0.90%), 3.344%, 1/25/48   261,651 258,009
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M1, (ICE LIBOR USD 1 Month + 1.55%), 4.634%, 7/25/28 (Bermuda)   42,343 42,268
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 4.134%, 10/25/34   366,854 356,920
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60 W   886,000 853,755
RMF Proprietary Issuance Trust 144A Ser. 22-3, Class A, 4.00%, 8/25/62 W   214,000 195,446


Dynamic Asset Allocation Balanced Fund 79



MORTGAGE-BACKED SECURITIES (5.1%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Starwood Mortgage Residential Trust 144A Ser. 20-3, Class A3, 2.591%, 4/25/65 W   $757,000 $633,785
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 3.934%, 5/25/47   483,283 396,312
Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A1, 2.24%, 6/25/24   260,000 250,569
Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56 W   282,000 256,182
Triangle Re, Ltd. 144A FRB Ser. 21-2, Class M1A, (ICE LIBOR USD 1 Month + 2.05%), 5.134%, 10/25/33 (Bermuda)   281,415 275,763
WaMu Mortgage Pass-Through Certificates Trust      
FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 4.044%, 7/25/45   169,117 154,066
FRB Ser. 05-AR11, Class A1B3, (ICE LIBOR USD 1 Month + 0.80%), 3.884%, 8/25/45   135,733 130,057
FRB Ser. 05-AR12, Class 1A8, 3.803%, 10/25/35 W   412,059 365,271
FRB Ser. 07-HY2, Class 1A1, 3.342%, 12/25/36 W   346,565 289,678
34,827,426
Total mortgage-backed securities (cost $109,988,920) $106,717,087

COLLATERALIZED LOAN OBLIGATIONS (1.6%)* Principal
amount		 Value
522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 3.853%, 4/23/34 (Cayman Islands)   $331,000 $315,928
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 3.612%, 4/15/34 (Cayman Islands)   841,000 803,406
AGL CLO 13, Ltd. 144A FRB Ser. 21-13A, Class A1, (ICE LIBOR USD 3 Month + 1.16%), 3.87%, 10/20/34 (Cayman Islands)   938,000 895,216
AGL CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME TERM SOFR 3 Month + 1.33%), 3.803%, 1/21/35 (Cayman Islands)   554,000 529,913
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 3.91%, 7/20/34 (Cayman Islands)   1,011,000 968,632
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 3.859%, 4/22/34   448,000 427,318
Aimco CLO 14, Ltd. 144A FRB Ser. 21-14A, Class A, (ICE LIBOR USD 3 Month + 0.99%), 3.70%, 4/20/34 (Cayman Islands)   461,000 437,134
American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 4.038%, 11/2/30 (Cayman Islands)   600,000 588,878
Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 3.933%, 10/25/32 (Cayman Islands)   400,000 390,440
Apidos CLO XXXV 144A FRB Ser. 21-35A, Class A, (ICE LIBOR USD 3 Month + 1.05%), 3.76%, 4/20/34 (Cayman Islands)   250,000 238,718
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 3.582%, 4/15/34 (Cayman Islands)   750,000 713,192
Ballyrock CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 10/20/34 (Cayman Islands)   500,000 477,226
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 3.80%, 4/20/31   570,500 556,661
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 4.009%, 11/22/34 (Cayman Islands)   754,000 717,588


80 Dynamic Asset Allocation Balanced Fund


COLLATERALIZED LOAN OBLIGATIONS (1.6%)* cont. Principal
amount		 Value
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.05%), 3.833%, 4/24/29 (Cayman Islands)   $335,847 $330,088
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 3.682%, 10/15/34 (Cayman Islands)   518,000 494,569
Carlyle C17 CLO, Ltd. 144A FRB Ser. C17A, Class A1AR, (ICE LIBOR USD 3 Month + 1.03%), 3.812%, 4/30/31   381,000 372,019
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-1A, Class A1R2, (ICE LIBOR USD 3 Month + 0.97%), 3.71%, 4/17/31 (Cayman Islands)   1,096,666 1,067,501
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-3RA, Class A1A, (ICE LIBOR USD 3 Month + 1.05%), 3.819%, 7/27/31 (Cayman Islands)   391,774 381,093
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 3.82%, 4/20/32 (Cayman Islands)   871,000 842,682
Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 3.739%, 7/27/30 (Cayman Islands)   1,150,000 1,123,720
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 10/20/34   978,000 936,306
Elevation CLO, Ltd. 144A FRB Ser. 17-2A, Class A1R, (CME TERM SOFR 3 Month + 1.49%), 3.819%, 10/15/29   664,499 656,851
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (ICE LIBOR USD 3 Month + 1.24%), 3.752%, 4/15/33 (Cayman Islands)   700,000 676,873
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 10/20/34 (Cayman Islands)   430,000 411,609
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (ICE LIBOR USD 3 Month + 1.20%), 3.94%, 4/16/34 (Cayman Islands)   581,000 560,815
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 3.742%, 10/15/31 (Cayman Islands)   498,107 486,020
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 3.712%, 7/15/34 (Cayman Islands)   350,000 335,434
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (ICE LIBOR USD 3 Month + 1.35%), 4.06%, 1/20/33 (Cayman Islands)   1,025,000 993,798
ICG US CLO, Ltd. 144A FRB Ser. 18-1A, Class A2R, (ICE LIBOR USD 3 Month + 1.55%), 4.288%, 10/19/28 (Cayman Islands)   400,000 385,692
LCM XXI LP 144A FRB Ser. 21A, Class AR, (ICE LIBOR USD 3 Month + 0.88%), 3.59%, 4/20/28 (Cayman Islands)   365,497 361,983
Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 4.159%, 10/22/30 (Cayman Islands)   500,000 478,992
Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 3.672%, 10/21/30 (Cayman Islands)   500,000 489,123
Madison Park Funding XXX, Ltd. 144A FRB Ser. 18-30A, Class A, (ICE LIBOR USD 3 Month + 0.75%), 3.262%, 4/15/29   433,166 423,700
Magnetite CLO XXXIII, Ltd. 144A FRB Ser. 22-33A, Class A, (CME TERM SOFR 3 Month + 1.50%), 4.207%, 7/20/35 (Cayman Islands)   400,000 388,261
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 3.832%, 4/15/32 (Cayman Islands)   545,000 525,766
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 3.802%, 1/15/35 (Cayman Islands)   250,000 237,954
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands)   307,000 296,368


Dynamic Asset Allocation Balanced Fund 81



COLLATERALIZED LOAN OBLIGATIONS (1.6%)* cont. Principal
amount		 Value
Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 3.963%, 1/24/33 (Cayman Islands)   $677,000 $651,326
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 10/20/34 (Cayman Islands)   250,000 238,556
Octagon Investment Partners 54, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 3.632%, 7/15/34 (Cayman Islands)   250,000 239,380
OZLM VII, Ltd. 144A FRB Ser. 18-7RA, Class A1R, (ICE LIBOR USD 3 Month + 1.01%), 3.75%, 7/17/29 (Cayman Islands)   460,169 450,559
OZLM XVIII, Ltd. 144A FRB Ser. 18-18A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 3.532%, 4/15/31 (Cayman Islands)   369,000 355,005
Palmer Square CLO, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 4.055%, 11/14/34 (Cayman Islands)   400,000 383,294
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 3.662%, 7/15/34 (Cayman Islands)   709,000 676,850
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 4.905%, 5/15/32 (Cayman Islands)   1,178,000 1,105,494
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 3.71%, 10/20/31 (Cayman Islands)   500,000 483,206
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.16%), 3.672%, 10/15/34 (Cayman Islands)   184,000 174,327
Regatta XXIII Funding, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 1/20/35 (Cayman Islands)   360,000 341,210
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 7/20/34 (Cayman Islands)   971,000 928,614
RR, 14, Ltd. 144A FRB Ser. 21-14A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 3.632%, 4/15/36 (Cayman Islands)   582,000 556,404
Sound Point CLO XIV, Ltd. 144A FRB Ser. 21-3A, Class AR2, (ICE LIBOR USD 3 Month + 0.99%), 3.773%, 1/23/29 (Cayman Islands)   380,882 374,538
Sound Point CLO XVIII, Ltd. 144A FRB Ser. 18-4A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 3.83%, 1/21/31 (Cayman Islands)   750,000 722,890
Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 3.682%, 7/15/34 (Cayman Islands)   758,000 714,050
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 7/20/34 (Cayman Islands)   1,008,000 951,773
Venture 33 CLO, Ltd. 144A FRB Ser. 21-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 3.572%, 7/15/31 (Cayman Islands)   539,000 519,864
Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 4.41%, 1/20/29 (Cayman Islands)   600,000 570,879
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 4.002%, 7/15/32   900,000 868,744
Total collateralized loan obligations (cost $33,625,396) $32,624,430


82 Dynamic Asset Allocation Balanced Fund



FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (0.8%)*		 Principal
amount		 Value
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil)   $630,000 $457,208
Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil)   656,000 542,404
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile)   1,170,000 931,613
Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia)   517,000 437,154
Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia)   750,000 613,328
Cote d’lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’lvoire)   1,300,000 988,000
Cote d’lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’lvoire)   550,000 495,688
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)   238,000 179,095
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)   940,000 918,850
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic)   278,000 251,873
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic)   262,000 244,315
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic)   670,000 544,480
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia)   2,270,000 2,129,104
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)   990,000 946,692
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan)   400,000 369,016
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan)   880,000 678,682
Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan)   520,000 530,469
Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama)   750,000 580,313
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay)   505,000 450,713
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay)   245,000 230,300
Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay)   200,000 156,750
Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania)   1,110,000 935,730
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal)   465,000 348,169
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa)   287,000 255,426
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico)   2,324,000 1,781,774
Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay)   300,000 274,196
Total foreign government and agency bonds and notes (cost $19,009,489) $16,271,342


Dynamic Asset Allocation Balanced Fund 83



COMMODITY LINKED NOTES (0.5%)*††† Principal
amount		 Value
Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) $12,786,000 $10,124,181
Total commodity Linked Notes (cost $12,786,000) $10,124,181

SENIOR LOANS (0.3%)*c Principal
amount		 Value
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 4/1/28   $172,813 $162,769
AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 3.00%), 5.756%, 4/22/26   216,332 168,713
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 7.46%, 4/20/28   105,000 101,535
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 6.784%, 10/19/27   191,600 178,906
Ascend Learning, LLC bank term loan FRN (ICE LIBOR USD 1 Month + 5.75%), 8.865%, 11/18/29   160,000 138,501
Asurion, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.25%), 8.365%, 1/30/29   75,000 57,000
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 6.365%, 7/31/27   118,621 99,819
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 6.952%, 6/21/24   462,216 401,148
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 5.814%, 4/3/24   204,428 189,991
Clarios Global LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 4/30/26   169,042 159,533
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 6.306%, 8/21/26   260,000 231,481
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (ICE LIBOR USD 3 Month + 3.50%), 6.615%, 11/23/27   254,622 220,757
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 7.424%, 5/27/28   281,438 271,117
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 8.115%, 7/22/27   218,400 202,922
Epicor Software Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 7.75%), 10.274%, 7/30/28   120,000 116,640
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 6.814%, 10/2/25   491,250 424,686
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.115%, 12/1/27   187,150 177,725
HUB International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 5.982%, 4/25/25   34,647 33,327
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 5/1/26   151,572 142,005
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 5.696%, 12/15/27   83,513 78,084
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.259%, 2/4/26   102,926 86,973
MajorDrive Holdings IV, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.125%, 6/1/28   281,153 258,661
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 7.752%, 4/22/27   132,305 96,583


84 Dynamic Asset Allocation Balanced Fund



SENIOR LOANS (0.3%)*c cont. Principal
amount		 Value
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 4.25%), 7.365%, 12/17/28   $411,888 $350,446
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.87%, 1/29/28   189,521 178,940
Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 7.674%, 6/3/28   182,677 168,165
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 9.32%, 8/31/29   185,000 177,369
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 11.125%, 2/28/26   125,000 75,000
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 7.365%, 11/28/25   118,500 113,242
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 6.283%, 10/1/25   173,055 162,023
TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 6.871%, 7/31/27   118,804 113,657
UKG, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 5.25%), 7.535%, 5/3/27   150,000 141,000
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.533%, 4/21/28   221,625 211,129
Vertiv Group Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 5.303%, 3/2/27   395,588 375,666
Total senior loans (cost $6,645,663) $6,065,513

ASSET-BACKED SECURITIES (0.2%)* Principal
amount		 Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24   $724,223 $722,412
Mortgage Repurchase Agreement Financing Trust II 144A FRN Ser. 22-S1, Class A1, (US 30 Day Average SOFR + 2.00%), 2.889%, 3/30/25   700,000 700,000
MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR Compounded Index + 1.25%), 3.54%, 1/17/23   783,000 783,000
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.834%, 5/25/55   602,000 589,458
Station Place Securitization Trust 144A      
FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 4.314%, 5/29/23   1,264,000 1,264,000
FRB Ser. 21-14, Class A1, (ICE LIBOR USD 1 Month + 0.70%), 3.784%, 12/8/22   377,000 377,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 3.684%, 1/25/46   388,087 387,020
Total asset-backed securities (cost $4,835,160) $4,822,890

CONVERTIBLE PREFERRED STOCKS (0.2%)* Shares Value
Danaher Corp. 5.00% cv. pfd. 1,047 $1,402,980
T-Mobile US, Inc. 144A 5.25% cv. pfd. † 1,670 1,878,583
Total convertible preferred stocks (cost $2,758,320) $3,281,563


Dynamic Asset Allocation Balanced Fund 85



CONVERTIBLE BONDS AND NOTES (—%)* Principal
amount		 Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26   $125,000 $86,000
Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24   280,000 254,800
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23   106,000 100,833
Total convertible bonds and notes (cost $454,534) $441,633

SHORT-TERM INVESTMENTS (5.1%)* Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 3.11% L Shares 68,997,140 $68,997,140
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.94% P Shares 2,758,000 2,758,000
U.S. Treasury Bills 2.701%, 11/1/22 # ∆ Φ § $16,100,000 16,065,388
U.S. Treasury Bills 2.527%, 10/18/22 # ∆ Φ § 8,200,000 8,191,351
U.S. Treasury Bills 2.802%, 11/8/22 # Φ § 5,200,000 5,185,914
U.S. Treasury Bills 2.440%, 10/11/22 # ∆ Φ § 2,500,000 2,498,638
U.S. Treasury Bills 2.638%, 10/25/22 # ∆ Φ § 1,800,000 1,797,212
U.S. Treasury Bills 2.849%, 11/25/22 ∆ Φ § 1,500,000 1,493,787
Total short-term investments (cost $106,982,446) $106,987,430

TOTAL INVESTMENTS
Total investments (cost $2,328,345,613) $2,369,563,762

Key to holding’s currency abbreviations
EUR Euro
USD/$ United States Dollar

Key to holding’s abbreviations
ADR American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank.
DAC Designated Activity Company
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
PO Principal Only
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2021 through September 30, 2022 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.


86 Dynamic Asset Allocation Balanced Fund



* Percentages indicated are based on net assets of $2,083,215,782.
† This security is non-income-producing.
††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to the change in the underlying index.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $22,756,473 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $1,251,099 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
Φ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $3,047,222 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $6,618,403 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.


Dynamic Asset Allocation Balanced Fund 87



FORWARD CURRENCY CONTRACTS at 9/30/22 (aggregate face value $72,789,538)
Counterparty Currency Contract
type*		 Delivery
date		 Value Aggregate
face value		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
British Pound Sell 12/21/22 $2,736,861 $2,835,964 $99,103
Canadian Dollar Sell 10/19/22 173,012 184,834 11,822
Euro Sell 12/21/22 10,849,460 11,134,147 284,687
Citibank, N.A.
Danish Krone Sell 12/21/22 1,047,079 1,082,664 35,585
HSBC Bank USA, National Association
British Pound Sell 12/21/22 8,143,065 8,442,437 299,372
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 10/19/22 926,160 989,496 63,336
Norwegian Krone Sell 12/21/22 575,577 636,708 61,131
Singapore Dollar Buy 11/16/22 1,694,884 1,765,759 (70,875)
South Korean Won Sell 11/16/22 4,286,051 4,687,803 401,752
Swedish Krona Buy 12/21/22 2,895,457 3,061,849 (166,392)
Morgan Stanley & Co. International PLC
Euro Sell 12/21/22 86,870 87,521 651
NatWest Markets PLC
Australian Dollar Buy 10/19/22 5,178,034 5,497,199 (319,165)
Euro Sell 12/21/22 1,755,737 1,801,342 45,605
Japanese Yen Buy 11/16/22 627,354 697,434 (70,080)
Swiss Franc Buy 12/21/22 491,924 505,133 (13,209)
State Street Bank and Trust Co.
Chinese Yuan (Offshore) Sell 11/16/22 1,481,231 1,567,452 86,221
Japanese Yen Buy 11/16/22 5,895,467 6,552,713 (657,246)
Swiss Franc Buy 12/21/22 7,300,092 7,497,497 (197,405)
Toronto-Dominion Bank
Euro Buy 12/21/22 5,591,518 5,708,577 (117,059)
UBS AG
Canadian Dollar Sell 10/19/22 5,081,934 5,420,481 338,547
Hong Kong Dollar Buy 11/16/22 2,629,610 2,632,528 (2,918)
Unrealized appreciation 1,727,812
Unrealized (depreciation) (1,614,349)
Total $113,463
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 9/30/22
Number of
contracts		 Notional
amount		 Value Expiration
date		 Unrealized
appreciation/
(depreciation)
MSCI EAFE Index (Short) 285 $23,676,119 $23,663,550 Dec-22 $2,839,273
Russell 2000 Index E-Mini (Long) 72 5,992,978 6,011,280 Dec-22 (793,380)
S&P 500 Index E-Mini (Long) 24 4,302,744 4,321,800 Dec-22 4,006
S&P 500 Index E-Mini (Short) 1,499 268,742,219 269,932,425 Dec-22 36,265,151
S&P Mid Cap 400 Index E-Mini (Long) 3 661,059 662,460 Dec-22 136
U.S. Treasury Bond 30 yr (Long) 207 26,166,094 26,166,094 Dec-22 (2,237,013)


88 Dynamic Asset Allocation Balanced Fund



FUTURES CONTRACTS OUTSTANDING at 9/30/22 cont.
Number of
contracts		 Notional
amount		 Value Expiration
date		 Unrealized
appreciation/
(depreciation)
U.S. Treasury Bond Ultra 30 yr (Long) 325 $44,525,000 $44,525,000 Dec-22 $(4,505,200)
U.S. Treasury Note 2 yr (Long) 449 92,220,391 92,220,391 Dec-22 (1,379,517)
U.S. Treasury Note 5 yr (Long) 866 93,101,766 93,101,766 Dec-22 (2,958,800)
U.S. Treasury Note 10 yr (Long) 378 42,359,625 42,359,626 Dec-22 (1,897,366)
U.S. Treasury Note Ultra 10 yr (Short) 10 1,184,844 1,184,844 Dec-22 75,908
Unrealized appreciation 39,184,474
Unrealized (depreciation) (13,771,276)
Total $25,413,198

TBA SALE COMMITMENTS OUTSTANDING at 9/30/22 (proceeds receivable $87,561,992)
Agency Principal
amount		 Settlement
date		 Value
Uniform Mortgage-Backed Securities, 3.50%, 10/1/52 $13,000,000 10/13/22 $11,689,841
Uniform Mortgage-Backed Securities, 3.00%, 10/1/52 25,000,000 10/13/22 21,734,375
Uniform Mortgage-Backed Securities, 2.50%, 10/1/52 33,000,000 10/13/22 27,691,640
Uniform Mortgage-Backed Securities, 2.00%, 10/1/52 28,000,000 10/13/22 22,656,376
Total $83,772,232

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/22
Notional amount Value Upfront
premium
received
(paid)		 Termination
date		 Payments
made by fund		 Payments
received by fund		 Unrealized
appreciation/
(depreciation)
  $189,392,000 $153,408 E $(193,809) 12/21/24 4.20% — Annually US SOFR — Annually $(40,401)
  67,251,000 54,473 E 74,509 12/21/24 US SOFR — Annually 4.20% — Annually 20,036
  92,508,000 48,104 E 195,478 12/21/27 3.80% — Annually US SOFR — Annually 243,583
  12,344,000 148,992 E (57,990) 12/21/32 3.40% — Annually US SOFR — Annually 91,002
  28,107,000 339,251 E 133,055 12/21/32 US SOFR — Annually 3.40% — Annually (206,196)
  2,761,000 26,174 E 22,812 12/21/52 3.00% — Annually US SOFR — Annually 48,987
  9,509,000 90,145 E (79,346) 12/21/52 US SOFR — Annually 3.00% — Annually (169,491)
  8,735,000 58,350 (115) 9/29/32 3.6305% — Annually US SOFR — Annually (60,227)
  11,882,250 36,360 (96) 9/29/27 US SOFR — Annually 3.884% — Annually 38,828
  8,735,000 65,250 (115) 9/29/32 3.64% — Annually US SOFR — Annually (67,132)
  11,882,250 43,133 (96) 9/29/27 US SOFR — Annually 3.8965% — Annually 45,609
  526,000 1,131 (2) 9/29/24 4.321% — Annually US SOFR — Annually (1,259)
  5,298,000 53,086 (70) 9/29/32 3.67061% — Annually US SOFR — Annually (54,236)


Dynamic Asset Allocation Balanced Fund 89



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/22 cont.
Notional amount Value Upfront
premium
received
(paid)		 Termination
date		 Payments
made by fund		 Payments
received by fund		 Unrealized
appreciation/
(depreciation)
  $3,806,000 $22,227 $(31) 9/30/27 US SOFR — Annually 3.6865% — Annually $(21,868)
  3,806,000 22,570 (31) 9/30/27 US SOFR — Annually 3.6845% — Annually (22,211)
  7,253,000 11,387 (27) 9/30/24 4.1255% — Annually US SOFR — Annually 11,129
  5,338,000 30,106 (70) 9/30/32 3.4825% — Annually US SOFR — Annually 29,961
  877,000 859 (3) 10/3/24 US SOFR — Annually 4.16% — Annually (863)
  6,635,000 25,677 (88) 10/3/32 US SOFR — Annually 3.504% — Annually (25,765)
  4,365,000 28,373 (58) 10/4/32 US SOFR — Annually 3.4725% — Annually (28,430)
  4,034,000 1,678 (29) 10/4/27 3.826% — Annually US SOFR — Annually (1,711)
Total $93,878 $(170,655)
E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/22
Swap counterparty/
Notional amount		 Value Upfront
premium
received
(paid)		 Termi-
nation
date		 Payments
received (paid)
by fund		 Total return
received by
or paid by fund		 Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
  $66,866,993 $60,763,733 $— 8/4/23 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (BCPUDEAL) of common stocks — Monthly* $(6,152,802)
  68,159,709 60,109,993 — 9/14/23 Secured Overnight Financing Rate plus 0.25% — Monthly A basket (BCPUDEAS) of common stocks — Monthly* 8,113,342
Goldman Sachs International
  84,397,040 83,907,635 — 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (335,544)
  81,801,253 80,897,460 — 12/15/25 Secured Overnight Financing Rate minus 0.25% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 750,827


90 Dynamic Asset Allocation Balanced Fund



OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/22 cont.
Swap counterparty/
Notional amount		 Value Upfront
premium
received
(paid)		 Termi-
nation
date		 Payments
received (paid)
by fund		 Total return
received by
or paid by fund		 Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
  $34,143 $33,180 $— 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly Evraz PLC — Monthly $(977)
Upfront premium received — Unrealized appreciation 8,864,169
Upfront premium (paid) — Unrealized (depreciation) (6,489,323)
Total $— Total $2,374,846
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.

A BASKET (BCPUDEAL) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
STORE Capital Corp. Financials 29,474 $923,410 1.52%
O’Reilly Automotive, Inc. Consumer cyclicals 1,201 844,974 1.39%
Unum Group Financials 21,078 817,822 1.35%
Brown & Brown, Inc. Financials 13,320 805,614 1.33%
Constellation Energy Corp. Utilities and power 9,678 805,113 1.32%
Molina Healthcare, Inc. Health care 2,434 802,989 1.32%
Manhattan Associates, Inc. Technology 5,932 789,190 1.30%
Wintrust Financial Corp. Financials 9,676 789,064 1.30%
Ulta Beauty, Inc. Consumer staples 1,944 779,729 1.28%
ON Semiconductor Corp. Technology 12,495 778,821 1.28%
Cadence Design Systems, Inc. Technology 4,727 772,490 1.27%
Pure Storage, Inc. Class A Technology 28,204 771,936 1.27%
East West Bancorp, Inc. Financials 11,442 768,249 1.26%
Gartner, Inc. Consumer cyclicals 2,762 764,088 1.26%
General Dynamics Corp. Capital goods 3,586 760,846 1.25%
MGIC Investment Corp. Financials 58,995 756,316 1.24%
Wix.com, Ltd.(IL) (Israel) Technology 9,653 755,133 1.24%
Apartment Income REIT Corp. Financials 18,921 730,743 1.20%
Targa Resources Corp. Energy 12,105 730,388 1.20%
Toll Brothers, Inc. Consumer cyclicals 17,284 725,926 1.19%
NRG Energy, Inc. Utilities and power 18,947 725,115 1.19%
Procore Technologies, Inc. Technology 14,630 723,892 1.19%
Hologic, Inc. Health care 11,178 721,221 1.19%
Valero Energy Corp. Energy 6,731 719,199 1.18%
Textron, Inc. Capital goods 12,256 714,043 1.18%
Synopsys, Inc. Technology 2,320 708,688 1.17%
Uber Technologies, Inc. Consumer staples 26,691 707,317 1.16%
Boyd Gaming Corp. Consumer cyclicals 14,843 707,267 1.16%
American International Group, Inc. Financials 14,865 705,772 1.16%
Genuine Parts Co. Consumer cyclicals 4,644 693,398 1.14%
Virtu Financial, Inc. Class A Financials 33,384 693,383 1.14%


Dynamic Asset Allocation Balanced Fund 91



A BASKET (BCPUDEAL) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
Johnson Controls International PLC Capital goods 14,083 $693,152 1.14%
Allison Transmission Holdings, Inc. Capital goods 20,399 688,654 1.13%
Autonation, Inc. Consumer cyclicals 6,745 687,150 1.13%
AbbVie, Inc. Health care 5,102 684,760 1.13%
Wyndham Hotels & Resorts, Inc. Consumer cyclicals 10,887 667,891 1.10%
Live Nation Entertainment, Inc. Consumer cyclicals 8,770 666,853 1.10%
Bio-Rad Laboratories, Inc. Class A Health care 1,567 653,823 1.08%
CF Industries Holdings, Inc. Basic materials 6,704 645,280 1.06%
Booking Holdings, Inc. Consumer cyclicals 388 638,255 1.05%
Palo Alto Networks, Inc. Technology 3,861 632,408 1.04%
Expedia Group, Inc. Consumer cyclicals 6,745 631,905 1.04%
ManpowerGroup, Inc. Consumer staples 9,734 629,713 1.04%
Marathon Oil Corp. Energy 27,755 626,700 1.03%
Apollo Global Management, Inc. Financials 13,318 619,295 1.02%
Albertsons Cos., Inc. Class A Consumer staples 24,784 616,142 1.01%
Monolithic Power Systems, Inc. Technology 1,635 594,254 0.98%
Merck & Co., Inc. Health care 6,824 587,687 0.97%
Travel + Leisure Co. Consumer cyclicals 17,067 582,338 0.96%
Smartsheet, Inc. Class A Technology 16,942 582,118 0.96%

A BASKET (BCPUDEAS) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
Five Below, Inc. Consumer cyclicals 6,267 $862,750 1.44%
Erie Indemnity Co. Class A Financials 3,843 854,409 1.42%
Wynn Resorts, Ltd. Consumer cyclicals 13,157 829,297 1.38%
Shift4 Payments, Inc. Class A Consumer cyclicals 18,181 811,033 1.35%
Commerce Bancshares, Inc./MO Financials 12,136 802,907 1.34%
Ross Stores, Inc. Consumer cyclicals 9,499 800,488 1.33%
Ceridian HCM Holding, Inc. Technology 14,162 791,389 1.32%
Berkshire Hathaway, Inc. Class B Financials 2,957 789,585 1.31%
Wolfspeed, Inc. Technology 7,489 774,050 1.29%
RPM International, Inc. Basic materials 9,188 765,424 1.27%
Air Products & Chemicals, Inc. Basic materials 3,283 764,101 1.27%
NextEra Energy, Inc. Utilities and power 9,605 753,156 1.25%
Aspen Technology, Inc. Technology 3,158 752,353 1.25%
BWX Technologies, Inc. Capital goods 14,914 751,232 1.25%
Tyler Technologties, Inc. Technology 2,118 735,991 1.22%
Texas Instruments, Inc. Technology 4,754 735,820 1.22%
Floor & Decor Holdings, Inc. Class A Consumer cyclicals 10,423 732,321 1.22%
Broadridge Financial Solutions, Inc. Financials 5,065 731,037 1.22%
T Rowe Price Group, Inc. Financials 6,884 722,861 1.20%
New York Community Bancorp, Inc. Financials 84,595 721,597 1.20%
Boston Beer Co., Inc. Class A Consumer staples 2,207 714,139 1.19%
Becton Dickinson and Co. Health care 3,201 713,180 1.19%


92 Dynamic Asset Allocation Balanced Fund



A BASKET (BCPUDEAS) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
Paramount Global Class B Consumer cyclicals 37,007 $704,622 1.17%
Equifax, Inc. Consumer cyclicals 4,094 701,874 1.17%
Royal Caribbean Cruises, Ltd. Consumer cyclicals 18,380 696,593 1.16%
Take-Two Interactive Software, Inc. Technology 6,358 693,056 1.15%
Pioneer Natural Resources Co. Energy 3,191 690,939 1.15%
Kemper Corp. Financials 16,726 690,114 1.15%
TD SYNNEX Corp. Technology 8,482 688,667 1.15%
Viasat, Inc. Communication services 22,725 686,974 1.14%
New Fortress Energy, Inc. Energy 15,227 665,580 1.11%
Cooper Cos., Inc. (The) Health care 2,512 662,926 1.10%
NortonLifeLock, Inc. Technology 32,617 656,913 1.09%
Domino’s Pizza, Inc. Consumer staples 2,052 636,389 1.06%
Polaris, Inc. Consumer cyclicals 6,631 634,219 1.06%
Norwegian Cruise Line Holdings, Ltd. Consumer cyclicals 55,401 629,358 1.05%
Universal Health Services, Inc. Class B Health care 7,118 627,636 1.04%
Digital Realty Trust, Inc. Financials 6,265 621,395 1.03%
Welltower, Inc. Financials 9,591 616,867 1.03%
Thor Industries, Inc. Consumer cyclicals 8,481 593,479 0.99%
TripAdvisor, Inc. Consumer staples 26,107 576,442 0.96%
CH Robinson Worldwide, Inc. Transportation 5,885 566,811 0.94%
Ball Corp. Capital goods 11,678 564,260 0.94%
CarMax, Inc. Consumer cyclicals 8,530 563,160 0.94%
Prudential Financial, Inc. Financials 6,557 562,444 0.94%
Stanley Black & Decker, Inc. Consumer cyclicals 7,473 562,017 0.93%
Catalent, Inc. Health care 7,520 544,137 0.91%
Exact Sciences Corp. Health care 16,667 541,509 0.90%
Organon & Co. Health care 23,089 540,293 0.90%
VF Corp. Consumer cyclicals 17,937 536,495 0.89%

A BASKET (GSGLPWDL) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
Shell PLC (London Exchange)
(United Kingdom)		 Energy 21,498 $539,121 0.64%
Exxon Mobil Corp. Energy 6,026 526,132 0.63%
FactSet Research Systems, Inc. Consumer cyclicals 1,313 525,232 0.63%
Weyerhaeuser Co. Basic materials 18,240 520,922 0.62%
Vinci SA (France) Capital goods 6,378 519,650 0.62%
GoDaddy, Inc. Class A Technology 7,316 518,581 0.62%
Keysight Technologies, Inc. Technology 3,293 518,140 0.62%
Chevron Corp. Energy 3,584 514,967 0.61%
Merck & Co., Inc. Health care 5,951 512,476 0.61%
Secom Co., Ltd. (Japan) Consumer cyclicals 8,944 511,388 0.61%
Kirin Holdings Co., Ltd. (Japan) Consumer staples 33,159 510,172 0.61%
Cummins, Inc. Capital goods 2,505 509,882 0.61%
MSCI, Inc. Technology 1,208 509,660 0.61%


Dynamic Asset Allocation Balanced Fund 93



A BASKET (GSGLPWDL) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 23,895 $505,769 0.60%
ConocoPhillips Energy 4,913 502,827 0.60%
Energias de Portugal (EDP) SA (Portugal) Utilities and power 114,829 499,463 0.60%
PepsiCo, Inc. Consumer staples 3,039 496,085 0.59%
Diageo PLC (United Kingdom) Consumer staples 11,659 494,262 0.59%
SEI Investments Co. Financials 10,067 493,767 0.59%
Hershey Co. (The) Consumer staples 2,218 489,073 0.58%
Fortive Corp. Capital goods 8,342 486,343 0.58%
Eiffage SA (France) Basic materials 5,827 471,078 0.56%
Nitto Denko Corp. (Japan) Basic materials 8,359 452,208 0.54%
Avery Dennison Corp. Basic materials 2,746 446,831 0.53%
Moncler SpA (Italy) Consumer cyclicals 10,571 438,992 0.52%
Hartford Financial Services Group, Inc. (The) Financials 6,987 432,780 0.52%
Gilead Sciences, Inc. Health care 6,990 431,229 0.51%
Lockheed Martin Corp. Capital goods 1,098 423,980 0.51%
Leidos Holdings, Inc. Technology 4,783 418,396 0.50%
AT&T, Inc. Communication services 27,238 417,826 0.50%
Ferrari NV (Italy) Consumer cyclicals 2,205 414,037 0.49%
Textron, Inc. Capital goods 7,073 412,063 0.49%
Garmin, Ltd. Technology 5,121 411,233 0.49%
Agilent Technologies, Inc. Technology 3,350 407,153 0.49%
Dropbox, Inc. Class A Technology 19,436 402,706 0.48%
EXOR N.V. Financials 6,251 400,968 0.48%
Airbnb, Inc. Class A Consumer staples 3,752 394,104 0.47%
Camden Property Trust Financials 3,279 391,667 0.47%
W.R. Berkley Corp. Financials 6,030 389,434 0.46%
Colgate-Palmolive Co. Consumer staples 5,532 388,629 0.46%
Panasonic Corp. (Japan) Consumer cyclicals 53,801 377,083 0.45%
Chubb, Ltd. Financials 2,072 376,820 0.45%
NetApp, Inc. Technology 6,043 373,787 0.45%
Trimble Inc. Technology 6,858 372,158 0.44%
Philip Morris International, Inc. Consumer staples 4,471 371,115 0.44%
Valeo (France) Consumer cyclicals 23,964 366,934 0.44%
Power Assets Holdings, Ltd. (Hong Kong) Utilities and power 72,450 363,639 0.43%
Anglo American PLC (London Exchange) (United Kingdom) Basic materials 11,878 362,710 0.43%
Marubeni Corp. (Japan) Conglomerates 40,746 356,947 0.43%
Sealed Air Corp. Basic materials 7,972 354,837 0.42%


94 Dynamic Asset Allocation Balanced Fund


A BASKET (GSGLPWDS) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
LVMH Moet Hennessy Louis Vuitton SA (France) Consumer cyclicals 852 $509,882 0.63%
Air Liquide SA (France) Basic materials 4,425 509,797 0.63%
Rollins, Inc. Consumer cyclicals 14,303 496,024 0.61%
CGI Group, Inc. Class A (Canada) Technology 6,588 495,945 0.61%
International Paper Co. Basic materials 15,602 494,594 0.61%
Allianz SE (Germany) Financials 3,117 494,195 0.61%
STERIS PLC Health care 2,961 492,327 0.61%
Ingersoll Rand, Inc. Capital goods 11,325 489,924 0.61%
Equifax, Inc. Consumer cyclicals 2,848 488,199 0.60%
Reed Elsevier (United Kingdom) Consumer cyclicals 19,833 487,633 0.60%
Visa, Inc. Class A Financials 2,730 484,919 0.60%
AXA SA (France) Financials 21,993 484,439 0.60%
SoftBank Corp. (Japan) Communication services 48,309 482,826 0.60%
Waste Connections, Inc. Capital goods 3,550 479,675 0.59%
Toyota Motor Corp. (Japan) Consumer cyclicals 36,595 474,348 0.59%
Enel SpA (Italy) Utilities and power 113,727 470,800 0.58%
Alexandria Real Estate Equities, Inc. Financials 3,340 468,258 0.58%
Broadridge Financial Solutions, Inc. Financials 3,237 467,138 0.58%
Moody’s Corp. Consumer cyclicals 1,920 466,691 0.58%
Masco Corp. Consumer cyclicals 9,947 464,445 0.57%
Orange SA (France) Communication services 50,526 457,946 0.57%
Sumitomo Mitsui Financial Group, Inc. (Japan) Financials 16,305 453,332 0.56%
Imperial Brands PLC (United Kingdom) Consumer staples 21,845 452,452 0.56%
NICE, Ltd. (Israel) Communication services 2,368 451,257 0.56%
Monster Beverage Corp. Consumer staples 5,130 446,067 0.55%
BlackRock, Inc. Financials 803 441,626 0.55%
Realty Income Corp. Financials 7,578 441,061 0.55%
Cooper Cos., Inc. (The) Health care 1,653 436,283 0.54%
Enbridge, Inc. (Canada) Utilities and power 11,658 432,280 0.53%
BNP Paribas SA (France) Financials 10,073 430,458 0.53%
Prudential Financial, Inc. Financials 4,838 415,015 0.51%
Aeon Co., Ltd. (Japan) Consumer cyclicals 21,957 410,155 0.51%
Solvay SA (France) Basic materials 5,235 408,623 0.51%
Heineken NV (Netherlands) Consumer staples 4,631 407,839 0.50%
Mizuho Financial Group, Inc. (Japan) Financials 36,834 397,662 0.49%
Bridgestone Corp. (Japan) Consumer cyclicals 11,713 377,869 0.47%
S&P Global, Inc. Consumer cyclicals 1,236 377,474 0.47%
Kubota Corp. (Japan) Capital goods 27,256 377,398 0.47%
Swisscom AG (Switzerland) Communication services 803 377,279 0.47%
Catalent, Inc. Health care 5,194 375,872 0.46%
D.R. Horton, Inc. Consumer cyclicals 5,529 372,400 0.46%
Hess Corp. Energy 3,389 369,421 0.46%
Berkshire Hathaway, Inc. Class B Financials 1,382 368,918 0.46%
Welltower, Inc. Financials 5,547 356,765 0.44%


Dynamic Asset Allocation Balanced Fund 95



A BASKET (GSGLPWDS) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
TransUnion Consumer cyclicals 5,958 $354,467 0.44%
Texas Pacific Land Corp. Energy 199 353,889 0.44%
ORIX Corp. (Japan) Financials 24,947 349,656 0.43%
Walt Disney Co. (The) Consumer cyclicals 3,688 347,849 0.43%
Pioneer Natural Resources Co. Energy 1,606 347,748 0.43%
Fastenal Co. Consumer staples 7,548 347,521 0.43%

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22
Swap counterparty/
Referenced debt*		 Rating*** Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB−.6 Index B+/P $1,504   $15,797 $3,550 5/11/63 300 bp — Monthly $(2,038)
CMBX NA BBB−.6 Index B+/P 2,953   35,184 7,906 5/11/63 300 bp — Monthly (4,935)
CMBX NA BBB−.6 Index B+/P 6,050   70,368 15,812 5/11/63 300 bp — Monthly (9,726)
Barclays Bank PLC
CMBX NA BBB−.6 Index B+/P 8,647   56,007 12,585 5/11/63 300 bp — Monthly (3,909)
Citigroup Global Markets, Inc.
CMBX NA BB.11 Index BB−/P 46,895   83,000 18,459 11/18/54 500 bp — Monthly 28,505
CMBX NA BB.6 Index CCC+/P 48,200   255,285 102,420 5/11/63 500 bp — Monthly (54,005)
CMBX NA BB.7 Index B-/P 31,284   613,000 204,374 1/17/47 500 bp — Monthly (172,580)
CMBX NA BB.9 Index B/P 1,629   8,000 2,610 9/17/58 500 bp — Monthly (975)
CMBX NA BB.9 Index B/P 13,274   65,000 21,210 9/17/58 500 bp — Monthly (7,881)
CMBX NA BBB−.10 Index BB+/P 4,963   40,000 7,440 11/17/59 300 bp — Monthly (2,457)
CMBX NA BBB−.10 Index BB+/P 5,782   53,000 9,858 11/17/59 300 bp — Monthly (4,050)
CMBX NA BBB−.12 Index BBB−/P 1,126   27,000 4,941 8/17/61 300 bp — Monthly (3,801)
CMBX NA BBB−.12 Index BBB−/P 7,190   122,000 22,326 8/17/61 300 bp — Monthly (15,075)
Credit Suisse International
CMBX NA BB.7 Index B-/P 15,516   116,000 38,674 1/17/47 500 bp — Monthly (23,061)
CMBX NA BBB−.7 Index BB−/P 51,063   646,000 130,944 1/17/47 300 bp — Monthly (79,559)


96 Dynamic Asset Allocation Balanced Fund


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Rating*** Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
received
by fund		 Unrealized
appreciation/
(depreciation)
Goldman Sachs International
CMBX NA A.14 Index A-/P $(141)   $8,000 $731 12/16/72 200 bp — Monthly $(869)
CMBX NA A.14 Index A-/P (492)   29,000 2,651 12/16/72 200 bp — Monthly (3,133)
CMBX NA A.14 Index A-/P (696)   41,000 3,747 12/16/72 200 bp — Monthly (4,430)
CMBX NA A.6 Index A-/P (31)   32,061 3,270 5/11/63 200 bp — Monthly (3,290)
CMBX NA BBB−.14 Index BBB−/P 225   5,000 1,021 12/16/72 300 bp — Monthly (794)
CMBX NA BBB−.15 Index BBB−/P 92   1,000 211 11/18/64 300 bp — Monthly (118)
CMBX NA BBB−.15 Index BBB−/P 89   1,000 211 11/18/64 300 bp — Monthly (122)
CMBX NA BBB−.6 Index B+/P 34,128   325,989 73,250 5/11/63 300 bp — Monthly (38,955)
CMBX NA BBB−.7 Index BB−/P 418   6,000 1,216 1/17/47 300 bp — Monthly (795)
JPMorgan Securities LLC
CMBX NA A.13 Index A-/P (646)   123,000 10,689 12/16/72 200 bp — Monthly (11,294)
CMBX NA A.14 Index A-/P (682)   103,000 9,414 12/16/72 200 bp — Monthly (10,062)
CMBX NA A.7 Index BBB+/P 9,165   209,000 11,579 1/17/47 200 bp — Monthly (2,344)
CMBX NA BB.10 Index B+/P 4,975   62,000 20,634 5/11/63 500 bp — Monthly (15,607)
CMBX NA BBB−.8 Index BB/P 5,302   34,000 5,882 10/17/57 300 bp — Monthly (563)
Morgan Stanley & Co. International PLC
CMBX NA A.13 Index A-/P (567)   38,000 3,302 12/16/72 200 bp — Monthly (3,856)
CMBX NA A.13 Index A-/P (384)   46,000 3,997 12/16/72 200 bp — Monthly (4,366)
CMBX NA A.13 Index A-/P (912)   152,000 13,209 12/16/72 200 bp — Monthly (14,070)
CMBX NA A.14 Index A-/P (436)   28,000 2,559 12/16/72 200 bp — Monthly (2,986)
CMBX NA A.14 Index A-/P (483)   31,000 2,833 12/16/72 200 bp — Monthly (3,306)
CMBX NA A.6 Index A-/P 5,769   40,862 4,168 5/11/63 200 bp — Monthly 1,614


Dynamic Asset Allocation Balanced Fund 97



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Rating*** Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
received
by fund		 Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BB.6 Index CCC+/P $24,066   $74,458 $29,873 5/11/63 500 bp — Monthly $(5,744)
CMBX NA BB.6 Index CCC+/P 48,543   149,676 60,050 5/11/63 500 bp — Monthly (11,380)
Upfront premium received 378,848 Unrealized appreciation 30,119
Upfront premium (paid) (5,470) Unrealized (depreciation) (522,136)
Total $373,378 Total $(492,017)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2022. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index   $(6,063)   $45,891 $4,681 5/11/63 (200 bp) — Monthly $(1,397)
CMBX NA A.6 Index   (1,263)   8,172 834 5/11/63 (200 bp) — Monthly (433)
CMBX NA A.6 Index   (575)   4,401 449 5/11/63 (200 bp) — Monthly (127)
CMBX NA A.6 Index   (324)   2,515 256 5/11/63 (200 bp) — Monthly (69)
CMBX NA A.6 Index   (164)   1,257 128 5/11/63 (200 bp) — Monthly (36)
CMBX NA A.6 Index   (164)   1,257 128 5/11/63 (200 bp) — Monthly (36)
CMBX NA A.6 Index   (81)   629 64 5/11/63 (200 bp) — Monthly (17)
CMBX NA A.7 Index   (1,550)   209,000 11,579 1/17/47 (200 bp) — Monthly 9,959
CMBX NA BB.10 Index   (47,738)   198,000 65,894 11/17/59 (500 bp) — Monthly 17,991
CMBX NA BB.10 Index   (18,615)   73,000 24,294 11/17/59 (500 bp) — Monthly 5,619
CMBX NA BB.10 Index   (7,410)   71,000 23,629 11/17/59 (500 bp) — Monthly 16,160
CMBX NA BB.10 Index   (6,360)   58,000 19,302 11/17/59 (500 bp) — Monthly 12,894
CMBX NA BB.11 Index   (2,131)   31,000 6,894 11/18/54 (500 bp) — Monthly 4,737


98 Dynamic Asset Allocation Balanced Fund


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BB.11 Index   $(4,016)   $31,000 $6,894 11/18/54 (500 bp) — Monthly $2,852
CMBX NA BB.11 Index   (1,089)   21,000 4,670 11/18/54 (500 bp) — Monthly 3,564
CMBX NA BB.8 Index   (8,940)   69,575 26,104 10/17/57 (500 bp) — Monthly 17,107
CMBX NA BB.8 Index   (21,707)   60,878 22,841 10/17/57 (500 bp) — Monthly 1,084
CMBX NA BB.9 Index   (1,290)   32,000 10,442 9/17/58 (500 bp) — Monthly 9,125
CMBX NA BB.9 Index   (387)   6,000 1,958 9/17/58 (500 bp) — Monthly 1,566
CMBX NA BBB−.10 Index   (39,326)   132,000 24,552 11/17/59 (300 bp) — Monthly (14,840)
CMBX NA BBB−.10 Index   (8,120)   33,000 6,138 11/17/59 (300 bp) — Monthly (1,999)
CMBX NA BBB−.10 Index   (5,010)   21,000 3,906 11/17/59 (300 bp) — Monthly (1,115)
CMBX NA BBB−.12 Index   (109,446)   347,000 63,501 8/17/61 (300 bp) — Monthly (46,119)
CMBX NA BBB−.12 Index   (28,391)   85,000 15,555 8/17/61 (300 bp) — Monthly (12,879)
CMBX NA BBB−.12 Index   (10,605)   47,000 8,601 8/17/61 (300 bp) — Monthly (2,028)
CMBX NA BBB−.12 Index   (11,630)   33,000 6,039 8/17/61 (300 bp) — Monthly (5,607)
CMBX NA BBB−.12 Index   (10,897)   31,000 5,673 8/17/61 (300 bp) — Monthly (5,239)
CMBX NA BBB−.12 Index   (3,615)   19,000 3,477 8/17/61 (300 bp) — Monthly (147)
CMBX NA BBB−.12 Index   (1,694)   10,000 1,830 8/17/61 (300 bp) — Monthly 131
CMBX NA BBB−.14 Index   (112)   1,000 204 12/16/72 (300 bp) — Monthly 92
CMBX NA BBB−.14 Index   (199)   1,000 204 12/16/72 (300 bp) — Monthly 5
CMBX NA BBB−.14 Index   (112)   1,000 204 12/16/72 (300 bp) — Monthly 92
CMBX NA BBB−.6 Index   (5,463)   15,797 3,550 5/11/63 (300 bp) — Monthly (1,921)
CMBX NA BBB−.6 Index   (4,189)   12,207 2,743 5/11/63 (300 bp) — Monthly (1,453)
CMBX NA BBB−.8 Index   (28,438)   182,000 31,486 10/17/57 (300 bp) — Monthly 2,958
CMBX NA BBB−.8 Index   (24,000)   160,000 27,680 10/17/57 (300 bp) — Monthly 3,600


Dynamic Asset Allocation Balanced Fund 99


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.8 Index   $(15,648)   $99,000 $17,127 10/17/57 (300 bp) — Monthly $1,429
CMBX NA BBB−.8 Index   (15,710)   99,000 17,127 10/17/57 (300 bp) — Monthly 1,367
CMBX NA BBB−.8 Index   (11,100)   80,000 13,840 10/17/57 (300 bp) — Monthly 2,700
CMBX NA BBB−.8 Index   (6,011)   42,000 7,266 10/17/57 (300 bp) — Monthly 1,234
CMBX NA BBB−.8 Index   (5,550)   40,000 6,920 10/17/57 (300 bp) — Monthly 1,350
CMBX NA BBB−.8 Index   (3,861)   29,000 5,017 10/17/57 (300 bp) — Monthly 1,142
CMBX NA BBB−.9 Index   (9,700)   41,000 7,999 9/17/58 (300 bp) — Monthly (1,722)
Credit Suisse International
CMBX NA BB.10 Index   (19,613)   147,000 48,922 11/17/59 (500 bp) — Monthly 29,186
CMBX NA BB.10 Index   (17,362)   146,000 48,589 11/17/59 (500 bp) — Monthly 31,105
CMBX NA BB.10 Index   (9,571)   77,000 25,626 11/17/59 (500 bp) — Monthly 15,990
CMBX NA BB.7 Index   (9,143)   393,564 157,898 5/11/63 (500 bp) — Monthly 148,422
CMBX NA BB.7 Index   (28,039)   152,000 50,677 1/17/47 (500 bp) — Monthly 22,511
CMBX NA BB.8 Index   (9,988)   55,080 20,666 10/17/57 (500 bp) — Monthly 10,632
Goldman Sachs International
CMBX NA A.6 Index   (96)   629 64 5/11/63 (200 bp) — Monthly (32)
CMBX NA BB.10 Index   (4,525)   20,000 6,656 11/17/59 (500 bp) — Monthly 2,114
CMBX NA BB.6 Index   (9,821)   72,938 29,263 5/11/63 (500 bp) — Monthly 19,380
CMBX NA BB.6 Index   (146)   760 305 5/11/63 (500 bp) — Monthly 158
CMBX NA BB.7 Index   (74,519)   367,000 122,358 1/17/47 (500 bp) — Monthly 47,533
CMBX NA BB.7 Index   (12,780)   78,000 26,005 1/17/47 (500 bp) — Monthly 13,160
CMBX NA BB.8 Index   (28,436)   76,339 28,642 10/17/57 (500 bp) — Monthly 143
CMBX NA BB.8 Index   (20,756)   58,945 22,116 10/17/57 (500 bp) — Monthly 1,311
CMBX NA BB.8 Index   (18,578)   51,215 19,216 10/17/57 (500 bp) — Monthly 595


100 Dynamic Asset Allocation Balanced Fund


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BB.8 Index   $(18,610)   $51,215 $19,216 10/17/57 (500 bp) — Monthly $563
CMBX NA BB.8 Index   (16,578)   43,484 16,315 10/17/57 (500 bp) — Monthly (299)
CMBX NA BB.8 Index   (4,758)   40,585 15,228 10/17/57 (500 bp) — Monthly 10,435
JPMorgan Securities LLC
CMBX NA BB.11 Index   (8,237)   12,156 4,877 5/11/63 (500 bp) — Monthly (3,370)
CMBX NA BB.17 Index   (93,524)   191,000 63,679 1/17/47 (500 bp) — Monthly (30,004)
CMBX NA BB.8 Index   (3,965)   7,731 2,900 10/17/57 (500 bp) — Monthly (1,071)
CMBX NA BBB−.10 Index   (69,478)   551,000 102,486 11/17/59 (300 bp) — Monthly 32,733
CMBX NA BBB−.14 Index   (61)   1,000 204 12/16/72 (300 bp) — Monthly 143
CMBX NA BBB−.6 Index   (40,141)   129,247 29,042 5/11/63 (300 bp) — Monthly (11,166)
CMBX NA BBB−.7 Index   (116,208)   495,000 100,337 1/17/47 (300 bp) — Monthly (16,119)
Merrill Lynch International
CMBX NA BB.10 Index   (8,080)   142,000 47,258 11/17/59 (500 bp) — Monthly 39,060
CMBX NA BBB−.10 Index   (18,634)   86,000 15,996 11/17/59 (300 bp) — Monthly (2,681)
CMBX NA BBB−.7 Index   (5,409)   66,000 13,378 1/17/47 (300 bp) — Monthly 7,937
CMBX NA BBB−.9 Index   (5,557)   30,000 5,853 9/17/58 (300 bp) — Monthly 281
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index   (1,062)   6,915 705 5/11/63 (200 bp) — Monthly (359)
CMBX NA A.6 Index   (168)   1,257 128 5/11/63 (200 bp) — Monthly (40)
CMBX NA BB.10 Index   (23,389)   77,000 25,626 11/17/59 (500 bp) — Monthly 2,173
CMBX NA BB.10 Index   (7,446)   71,000 23,629 11/17/59 (500 bp) — Monthly 16,123
CMBX NA BB.10 Index   (13,856)   59,000 19,635 11/17/59 (500 bp) — Monthly 5,730
CMBX NA BB.7 Index   (6,171)   32,000 10,669 1/17/47 (500 bp) — Monthly 4,472
CMBX NA BB.7 Index   (402)   2,000 667 1/17/47 (500 bp) — Monthly 263
CMBX NA BB.8 Index   (7,407)   20,293 7,614 10/17/57 (500 bp) — Monthly 190


Dynamic Asset Allocation Balanced Fund 101


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BB.8 Index   $(3,986)   $10,629 $3,988 10/17/57 (500 bp) — Monthly $(7)
CMBX NA BB.9 Index   (1,353)   22,000 7,179 9/17/58 (500 bp) — Monthly 5,807
CMBX NA BB.9 Index   (851)   14,000 4,568 9/17/58 (500 bp) — Monthly 3,705
CMBX NA BB.9 Index   (428)   5,000 1,632 9/17/58 (500 bp) — Monthly 1,200
CMBX NA BB.9 Index   (453)   3,000 979 9/17/58 (500 bp) — Monthly 524
CMBX NA BBB−.10 Index   (12,175)   96,000 17,856 11/17/59 (300 bp) — Monthly 5,633
CMBX NA BBB−.10 Index   (8,392)   80,000 14,880 11/17/59 (300 bp) — Monthly 6,448
CMBX NA BBB−.10 Index   (6,408)   74,000 13,764 11/17/59 (300 bp) — Monthly 7,319
CMBX NA BBB−.10 Index   (12,677)   52,000 9,672 11/17/59 (300 bp) — Monthly (3,031)
CMBX NA BBB−.10 Index   (7,589)   35,000 6,510 11/17/59 (300 bp) — Monthly (1,096)
CMBX NA BBB−.10 Index   (6,704)   31,000 5,766 11/17/59 (300 bp) — Monthly (953)
CMBX NA BBB−.10 Index   (6,386)   27,000 5,022 11/17/59 (300 bp) — Monthly (1,377)
CMBX NA BBB−.10 Index   (2,755)   12,000 2,232 11/17/59 (300 bp) — Monthly (529)
CMBX NA BBB−.12 Index   (36,201)   278,000 50,874 8/17/61 (300 bp) — Monthly 14,534
CMBX NA BBB−.12 Index   (6,260)   30,000 5,490 8/17/61 (300 bp) — Monthly (785)
CMBX NA BBB−.12 Index   (4,985)   15,000 2,745 8/17/61 (300 bp) — Monthly (2,248)
CMBX NA BBB−.14 Index   (62)   1,000 204 12/16/72 (300 bp) — Monthly 141
CMBX NA BBB−.6 Index   (116,885)   346,094 77,767 5/11/63 (300 bp) — Monthly (35,807)
CMBX NA BBB−.7 Index   (6,827)   67,000 13,581 1/17/47 (300 bp) — Monthly 6,721
CMBX NA BBB−.8 Index   (14,372)   105,000 18,165 10/17/57 (300 bp) — Monthly 3,741
CMBX NA BBB−.8 Index   (11,200)   80,000 13,840 10/17/57 (300 bp) — Monthly 2,600
CMBX NA BBB−.8 Index   (9,674)   71,000 12,283 10/17/57 (300 bp) — Monthly 2,574
CMBX NA BBB−.8 Index   (8,013)   63,000 10,899 10/17/57 (300 bp) — Monthly 2,855


102 Dynamic Asset Allocation Balanced Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 cont.
Swap counterparty/
Referenced debt*		 Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
(paid)
by fund		 Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.8 Index   $(7,063)   $50,000 $8,650 10/17/57 (300 bp) — Monthly $1,563
CMBX NA BBB−.8 Index   (5,289)   39,000 6,747 10/17/57 (300 bp) — Monthly 1,438
CMBX NA BBB−.8 Index   (4,314)   34,000 5,882 10/17/57 (300 bp) — Monthly 1,551
CMBX NA BBB−.8 Index   (1,703)   11,000 1,903 10/17/57 (300 bp) — Monthly 193
Upfront premium received — Unrealized appreciation 649,648
Upfront premium (paid) (1,524,213) Unrealized (depreciation) (208,158)
Total $(1,524,213) Total $441,490
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22
Referenced debt* Rating*** Upfront
premium
received
(paid)**		 Notional
amount		 Value Termi-
nation
date		 Payments
received
by fund		 Unrealized
appreciation/
(depreciation)
CDX NA HY Series 38 Index B+/P $(400,642)   $7,410,150 $172,731 6/20/27 500 bp — Quarterly $(562,052)
CDX NA IG Series 39 Index BBB+/P (108,493)   70,300,000 259,407 12/20/27 100 bp — Quarterly (348,372)
Total $(509,135) $(910,424)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2022. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.


Dynamic Asset Allocation Balanced Fund 103


ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $38,320,336 $17,933,983 $—
Capital goods 67,862,930 5,691,893 —
Communication services 25,271,815 7,472,969 —
Conglomerates 5,801,431 4,129,274 —
Consumer cyclicals 161,155,998 36,389,250 —
Consumer staples 92,010,538 25,166,404 —
Energy 54,472,455 12,948,490 —
Financials 149,716,403 44,135,909 —
Health care 179,316,703 30,970,749 —
Technology 330,792,065 20,286,187 —
Transportation 18,307,065 2,348,770 —
Utilities and power 31,006,728 4,295,664 —
Total common stocks 1,154,034,467 211,769,542 —
Asset-backed securities — 4,822,890 —
Collateralized loan obligations — 32,624,430 —
Commodity linked notes — 10,124,181 —
Convertible bonds and notes — 441,633 —
Convertible preferred stocks — 3,281,563 —
Corporate bonds and notes — 302,758,523 —
Foreign government and agency bonds and notes — 16,271,342 —
Mortgage-backed securities — 106,717,087 —
Senior loans — 6,065,513 —
U.S. government and agency mortgage obligations — 411,667,150 —
U.S. treasury obligations — 1,998,011 —
Short-term investments 2,758,000 104,229,430 —
Totals by level $1,156,792,467 $1,212,771,295 $—
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $113,463 $—
Futures contracts 25,413,198 — —
TBA sale commitments — (83,772,232) —
Interest rate swap contracts — (264,533) —
Total return swap contracts — 2,374,846 —
Credit default contracts — 699,019 —
Totals by level $25,413,198 $(80,849,437) $—
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.


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


104 Dynamic Asset Allocation Balanced Fund


Statement of assets and liabilities 9/30/22

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $2,259,348,473)  $2,300,566,622 
Affiliated issuers (identified cost $68,997,140) (Note 5)  68,997,140 
Cash  165,920 
Foreign currency (cost $40,679) (Note 1)  38,176 
Dividends, interest and other receivables  7,683,872 
Foreign tax reclaim  725,936 
Receivable for shares of the fund sold  8,253,622 
Receivable for investments sold  29,694,118 
Receivable for sales of TBA securities (Note 1)  58,612,435 
Receivable for variation margin on futures contracts (Note 1)  4,715,343 
Receivable for variation margin on centrally cleared swap contracts (Note 1)  6,857,609 
Unrealized appreciation on forward currency contracts (Note 1)  1,727,812 
Unrealized appreciation on OTC swap contracts (Note 1)  9,543,936 
Premium paid on OTC swap contracts (Note 1)  1,529,683 
Prepaid assets  42,010 
Total assets  2,499,154,234 
 
LIABILITIES   
Payable for investments purchased  8,520,613 
Payable for purchases of TBA securities (Note 1)  292,281,597 
Payable for shares of the fund repurchased  6,093,438 
Payable for compensation of Manager (Note 2)  937,433 
Payable for custodian fees (Note 2)  109,583 
Payable for investor servicing fees (Note 2)  412,353 
Payable for Trustee compensation and expenses (Note 2)  369,554 
Payable for administrative services (Note 2)  8,741 
Payable for distribution fees (Note 2)  928,352 
Payable for variation margin on futures contracts (Note 1)  1,477,770 
Payable for variation margin on centrally cleared swap contracts (Note 1)  6,791,341 
Unrealized depreciation on OTC swap contracts (Note 1)  7,219,617 
Premium received on OTC swap contracts (Note 1)  378,848 
Unrealized depreciation on forward currency contracts (Note 1)  1,614,349 
TBA sale commitments, at value (proceeds receivable $87,561,992) (Note 1)  83,772,232 
Collateral on certain derivative contracts, at value (Notes 1 and 9)  4,756,011 
Other accrued expenses  266,620 
Total liabilities  415,938,452 
 
Net assets  $2,083,215,782 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $2,006,540,383 
Total distributable earnings (Note 1)  76,675,399 
Total — Representing net assets applicable to capital shares outstanding  $2,083,215,782 

 

(Continued on next page)

Dynamic Asset Allocation Balanced Fund 105 

 


Statement of assets and liabilities cont.

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($1,120,970,132 divided by 84,225,736 shares)  $13.31 
Offering price per class A share (100/94.25 of $13.31)*  $14.12 
Net asset value and offering price per class B share ($15,149,888 divided by 1,140,824 shares)**  $13.28 
Net asset value and offering price per class C share ($151,984,886 divided by 11,822,743 shares)**  $12.86 
Net asset value, offering price and redemption price per class P share   
($265,859,717 divided by 19,931,286 shares)  $13.34 
Net asset value, offering price and redemption price per class R share   
($15,387,988 divided by 1,167,655 shares)  $13.18 
Net asset value, offering price and redemption price per class R5 share   
($7,691,438 divided by 576,372 shares)  $13.34 
Net asset value, offering price and redemption price per class R6 share   
($230,311,185 divided by 17,261,434 shares)  $13.34 
Net asset value, offering price and redemption price per class Y share   
($275,860,548 divided by 20,671,819 shares)  $13.34 

 

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

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

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

106 Dynamic Asset Allocation Balanced Fund 

 


Statement of operations Year ended 9/30/22

INVESTMENT INCOME   
Dividends (net of foreign tax of $748,803)  $30,198,376 
Interest (net of foreign tax of $2,038) (including interest income of $504,216 from investments   
in affiliated issuers) (Note 5)  26,308,813 
Securities lending (net of expenses) (Notes 1 and 5)  10,570 
Total investment income  56,517,759 
 
EXPENSES   
Compensation of Manager (Note 2)  12,869,313 
Investor servicing fees (Note 2)  2,674,060 
Custodian fees (Note 2)  221,604 
Trustee compensation and expenses (Note 2)  99,696 
Distribution fees (Note 2)  5,615,524 
Administrative services (Note 2)  71,492 
Other  843,410 
Total expenses  22,395,099 
Expense reduction (Note 2)  (3,657) 
Net expenses  22,391,442 
 
Net investment income  34,126,317 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain (loss) on:   
Securities from unaffiliated issuers (net of foreign tax of $17,963) (Notes 1 and 3)  93,758,494 
Net increase from payments by affiliates (Note 2)  2,776 
Foreign currency transactions (Note 1)  (144,952) 
Forward currency contracts (Note 1)  (1,376,533) 
Futures contracts (Note 1)  (12,998,966) 
Swap contracts (Note 1)  (13,819,844) 
Written options (Note 1)  4,838,604 
Total net realized gain  70,259,579 
Change in net unrealized appreciation (depreciation) on:   
Securities from unaffiliated issuers and TBA sale commitments  (551,272,931) 
Assets and liabilities in foreign currencies  (112,886) 
Forward currency contracts  2,349,406 
Futures contracts  10,004,008 
Swap contracts  5,260,024 
Written options  39,280 
Total change in net unrealized depreciation  (533,733,099) 
 
Net loss on investments  (463,473,520) 
 
Net decrease in net assets resulting from operations  $(429,347,203) 

 

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

Dynamic Asset Allocation Balanced Fund 107 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Year ended 9/30/22  Year ended 9/30/21 
Operations     
Net investment income  $34,126,317  $30,489,964 
Net realized gain on investments     
and foreign currency transactions  70,259,579  203,756,328 
Change in net unrealized appreciation (depreciation)     
of investments and assets and liabilities     
in foreign currencies  (533,733,099)  230,884,840 
Net increase (decrease) in net assets resulting     
from operations  (429,347,203)  465,131,132 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (14,924,575)  (13,986,377) 
Class B  (63,452)  (71,102) 
Class C  (750,314)  (651,557) 
Class P  (4,306,225)  (3,871,278) 
Class R  (164,450)  (161,963) 
Class R5  (125,023)  (138,230) 
Class R6  (4,123,203)  (4,484,278) 
Class Y  (4,617,383)  (4,866,108) 
Net realized short-term gain on investments     
Class A  (65,673,917)  — 
Class B  (1,243,889)  — 
Class C  (10,407,273)  — 
Class P  (13,489,800)  — 
Class R  (924,197)  — 
Class R5  (503,502)  — 
Class R6  (14,650,438)  — 
Class Y  (17,102,608)  — 
From net realized long-term gain on investments     
Class A  (74,409,262)  (7,817,273) 
Class B  (1,409,339)  (209,006) 
Class C  (11,791,553)  (1,416,286) 
Class P  (15,284,090)  (1,575,238) 
Class R  (1,047,125)  (130,651) 
Class R5  (570,473)  (63,349) 
Class R6  (16,599,106)  (1,908,920) 
Class Y  (19,377,440)  (2,242,756) 
Increase (decrease) from capital share transactions (Note 4)  75,542,499  (310,876,691) 
Total increase (decrease) in net assets  (647,363,341)  110,660,069 
 
NET ASSETS     
Beginning of year  2,730,579,123  2,619,919,054 
End of year  $2,083,215,782  $2,730,579,123 

 

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

108 Dynamic Asset Allocation Balanced Fund 

 


This page left blank intentionally. 

 

Dynamic Asset Allocation Balanced Fund 109 

 


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

  INVESTMENT OPERATIONS  LESS DISTRIBUTIONS  RATIOS AND SUPPLEMENTAL DATA 
                        Ratio of net   
  Net asset    Net realized                Ratio  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class A­                           
September 30, 2022  $17.92­  .21­  (2.88)  (2.67)  (.18)  (1.76)  (1.94)  $13.31­  (16.86)  $1,120,970­  .94­  1.32­  257 
September 30, 2021  15.34­  .18­  2.67­  2.85­  (.17)  (.10)  (.27)  17.92­  18.66­  1,438,004­  .94­  1.07­  253­ 
September 30, 2020  14.55­  .20­  .84­  1.04­  (.25)  —­  (.25)  15.34­  7.31­  1,391,432­  .96­  1.38­  265­ 
September 30, 2019  15.66­  .28­  (.23)  .05­  (.27)  (.89)  (1.16)  14.55­  1.07­  1,377,682­  .97­  1.92­  137­ 
September 30, 2018  15.43­  .26­  .93­  1.19­  (.24)  (.72)  (.96)  15.66­  7.92­  1,444,919­  .97­  1.70­  129­ 
Class B                           
September 30, 2022­  $17.87­  .08­  (2.86)  (2.78)  (.05)  (1.76)  (1.81)  $13.28­  (17.49)  $15,150­  1.69­  .52­  257 
September 30, 2021  15.29­  .05­  2.67­  2.72­  (.04)  (.10)  (.14)  17.87­  17.80­  29,057­  1.69­  .32­  253­ 
September 30, 2020  14.49­  .09­  .84­  .93­  (.13)  —­  (.13)  15.29­  6.54­  36,121­  1.71­  .63­  265­ 
September 30, 2019  15.60­  .17­  (.23)  (.06)  (.16)  (.89)  (1.05)  14.49­  .28­  45,740­  1.72­  1.16­  137­ 
September 30, 2018  15.36­  .14­  .94­  1.08­  (.12)  (.72)  (.84)  15.60­  7.19­  59,879­  1.72­  .93­  129­ 
Class C                           
September 30, 2022­  $17.37­  .09­  (2.78)  (2.69)  (.06)  (1.76)  (1.82)  $12.86­  (17.47)  $151,985­  1.69­  .56­  257 
September 30, 2021  14.88­  .05­  2.59­  2.64­  (.05)  (.10)  (.15)  17.37­  17.76­  224,072­  1.69­  .33­  253­ 
September 30, 2020  14.11­  .09­  .82­  .91­  (.14)  —­  (.14)  14.88­  6.57­  226,182­  1.71­  .64­  265­ 
September 30, 2019  15.23­  .16­  (.22)  (.06)  (.17)  (.89)  (1.06)  14.11­  .28­  251,217­  1.72­  1.17­  137­ 
September 30, 2018  15.03­  .14­  .91­  1.05­  (.13)  (.72)  (.85)  15.23­  7.13­  283,493­  1.72­  .94­  129­ 
Class P                           
September 30, 2022­  $17.97­  .27­  (2.90)  (2.63)  (.24)  (1.76)  (2.00)  $13.34­  (16.61)  $265,860­  .57­  1.70­  257 
September 30, 2021  15.38­  .25­  2.68­  2.93­  (.24)  (.10)  (.34)  17.97­  19.12­  288,282­  .56­  1.45­  253­ 
September 30, 2020  14.59­  .26­  .84­  1.10­  (.31)  —­  (.31)  15.38­  7.73­  260,760­  .57­  1.77­  265­ 
September 30, 2019  15.71­  .34­  (.24)  .10­  (.33)  (.89)  (1.22)  14.59­  1.41­  227,614­  .58­  2.33­  137­ 
September 30, 2018  15.47­  .32­  .94­  1.26­  (.30)  (.72)  (1.02)  15.71­  8.39­  209,773­  .58­  2.09­  129­ 
Class R                           
September 30, 2022­  $17.76­  .17­  (2.85)  (2.68)  (.14)  (1.76)  (1.90)  $13.18­  (17.06)  $15,388­  1.19­  1.07­  257 
September 30, 2021  15.20­  .14­  2.65­  2.79­  (.13)  (.10)  (.23)  17.76­  18.39­  20,763­  1.19­  .82­  253­ 
September 30, 2020  14.42­  .17­  .82­  .99­  (.21)  —­  (.21)  15.20­  7.01­  24,135­  1.21­  1.14­  265­ 
September 30, 2019  15.53­  .24­  (.22)  .02­  (.24)  (.89)  (1.13)  14.42­  .83­  31,821­  1.22­  1.68­  137­ 
September 30, 2018  15.31­  .22­  .92­  1.14­  (.20)  (.72)  (.92)  15.53­  7.65­  39,262­  1.22­  1.46­  129­ 
Class R5                           
September 30, 2022­  $17.97­  .24­  (2.89)  (2.65)  (.22)  (1.76)  (1.98)  $13.34­  (16.73)  $7,691­  .71­  1.54­  257 
September 30, 2021  15.38­  .23­  2.67­  2.90­  (.21)  (.10)  (.31)  17.97­  18.95­  10,957­  .70­  1.31­  253­ 
September 30, 2020  14.58­  .24­  .85­  1.09­  (.29)  —­  (.29)  15.38­  7.64­  10,456­  .71­  1.64­  265­ 
September 30, 2019  15.70­  .31­  (.23)  .08­  (.31)  (.89)  (1.20)  14.58­  1.26­  10,876­  .72­  2.18­  137­ 
September 30, 2018  15.46­  .30­  .94­  1.24­  (.28)  (.72)  (1.00)  15.70­  8.26­  10,918­  .72­  1.96­  129­ 

 

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

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

110 Dynamic Asset Allocation Balanced Fund  Dynamic Asset Allocation Balanced Fund 111 

 


Financial highlights cont.

  INVESTMENT OPERATIONS  LESS DISTRIBUTIONS  RATIOS AND SUPPLEMENTAL DATA 
                        Ratio of net   
  Net asset    Net realized                Ratio  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class R6                           
September 30, 2022­  $17.96­  .26­  (2.89)  (2.63)  (.23)  (1.76)  (1.99)  $13.34­  (16.60)  $230,311­  .61­  1.64­  257 
September 30, 2021  15.37­  .24­  2.68­  2.92­  (.23)  (.10)  (.33)  17.96­  19.08­  332,275­  .60­  1.41­  253­ 
September 30, 2020  14.58­  .26­  .83­  1.09­  (.30)  —­  (.30)  15.37­  7.68­  320,512­  .61­  1.74­  265­ 
September 30, 2019  15.70­  .33­  (.23)  .10­  (.33)  (.89)  (1.22)  14.58­  1.36­  307,002­  .62­  2.29­  137­ 
September 30, 2018  15.46­  .32­  .93­  1.25­  (.29)  (.72)  (1.01)  15.70­  8.35­  281,041­  .62­  2.07­  129­ 
Class Y                           
September 30, 2022­  $17.97­  .25­  (2.90)  (2.65)  (.22)  (1.76)  (1.98)  $13.34­  (16.72)  $275,861­  .69­  1.56­  257 
September 30, 2021  15.37­  .23­  2.69­  2.92­  (.22)  (.10)  (.32)  17.97­  19.04­  387,168­  .69­  1.32­  253­ 
September 30, 2020  14.58­  .24­  .84­  1.08­  (.29)  —­  (.29)  15.37­  7.57­  350,322­  .71­  1.63­  265­ 
September 30, 2019  15.69­  .31­  (.22)  .09­  (.31)  (.89)  (1.20)  14.58­  1.32­  469,860­  .72­  2.17­  137­ 
September 30, 2018  15.46­  .30­  .93­  1.23­  (.28)  (.72)  (1.00)  15.69­  8.18­  466,775­  .72­  1.96­  129­ 

 

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

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

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

d Portfolio turnover includes TBA purchase and sale commitments.

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

112 Dynamic Asset Allocation Balanced Fund  Dynamic Asset Allocation Balanced Fund 113 

 


Notes to financial statements 9/30/22

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2021 through September 30, 2022.

Putnam Dynamic Asset Allocation Balanced Fund (the fund) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The fund is one of three Putnam Dynamic Asset Allocation Funds, each of which has a unique strategic, or typical, allocation between equity and fixed-income investments. Using qualitative analysis and quantitative techniques, Putnam Management adjusts portfolio allocations from time to time within a certain range to try to optimize the fund’s performance consistent with its goal. The goal of the fund is to seek total return. Total return is composed of capital appreciation and income. The fund invests mainly in equity securities (growth or value stocks or both) of both U.S. and foreign companies of any size. Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments. The fund also invests in fixed-income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell fixed-income investments. Putnam Management may also select other investments that do not fall within these asset classes. The fund typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes.

The fund offers the following share classes. The expenses for each class of shares may differ based on the distribution and investor servicing fees of each class, which are identified in Note 2.

Share class  Sales charge  Contingent deferred sales charge  Conversion feature 
    1.00% on certain redemptions of shares   
Class A  Up to 5.75%  bought with no initial sales charge  None 
      Converts to class A shares 
Class B*  None  5.00% phased out over six years  after 8 years 
      Converts to class A shares 
Class C  None  1.00% eliminated after one year  after 8 years 
Class P∆  None  None  None 
Class R†  None  None  None 
Class R5†  None  None  None 
Class R6†  None  None  None 
Class Y†  None  None  None 

 

* Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment.

† Not available to all investors.

∆ Only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates.

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

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

114 Dynamic Asset Allocation Balanced Fund 

 


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

Note 1: Significant accounting policies

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

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

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

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

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

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

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

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value

Dynamic Asset Allocation Balanced Fund 115 

 


following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

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

Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.

Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

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

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

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

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

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

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

116 Dynamic Asset Allocation Balanced Fund 

 


income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge against changes in values of securities it owns, owned or expects to own.

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

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

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

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

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

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

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

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

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

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

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

Dynamic Asset Allocation Balanced Fund 117 

 


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

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

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

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

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

To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

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

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

118 Dynamic Asset Allocation Balanced Fund 

 


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

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

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

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

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

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

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

Dynamic Asset Allocation Balanced Fund 119 

 


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

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

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

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

At the close of the reporting period, the fund had a net liability position of $1,242,338 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $1,251,099 and may include amounts related to unsettled agreements.

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

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

Lines of credit The fund participates, along with other Putnam funds, in a $100 million ($317.5 million prior to October 14, 2022) unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

120 Dynamic Asset Allocation Balanced Fund 

 


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

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

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

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences from losses on wash sale transactions, from foreign currency gains and losses, from unrealized gains and losses on certain futures contracts, from straddle loss deferrals, from income on swap contracts and from interest-only securities. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. At the close of the reporting period, the fund reclassified $2,009,213 to decrease undistributed net investment income, $26,614 to increase paid-in capital and $1,982,599 to decrease accumulated net realized loss.

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:

Unrealized appreciation  $239,519,360 
Unrealized depreciation  (280,520,462) 
Net unrealized depreciation  (41,001,102) 
Undistributed ordinary income  23,452,988 
Undistributed long-term gains  94,322,187 
Cost for federal income tax purposes  $2,355,128,625 

 

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

Dynamic Asset Allocation Balanced Fund 121 

 


Note 2: Management fee, administrative services and other transactions

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

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

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.515% of the fund’s average net assets.

Putnam Management has contractually agreed, through January 30, 2024, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the equity and asset allocation portion of the fund managed by PIL and 0.20% of the average net assets of the fixed-income portion of the fund managed by PIL (prior to July 1, 2022, the annual rate was 0.35% of the average net assets of the portion of the fund managed by PIL).

The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.25% of the average net assets of the equity and asset allocation portion of the fund’s assets for which PAC is engaged as sub-advisor and 0.20% of the average net assets of the fixed-income portion of the fund’s assets for which PAC is engaged as sub-advisor (prior to July 1, 2022, the annual rate was 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser).

Putnam Management voluntarily reimbursed the fund $2,776 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.

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

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

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

Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%.

Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%.

122 Dynamic Asset Allocation Balanced Fund 

 


Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.

During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $1,733,836  Class R5  13,958 
Class B  28,926  Class R6  145,155 
Class C  254,970  Class Y  444,302 
Class P  28,504  Total  $2,674,060 
Class R  24,409     

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $3,657 under the expense offset arrangements and by no monies under the brokerage/service arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $1,870, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

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

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

The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

  Maximum %  Approved %  Amount 
Class A  0.35%  0.25%  $3,334,158 
Class B  1.00%  1.00%  223,375 
Class C  1.00%  1.00%  1,964,146 
Class R  1.00%  0.50%  93,845 
Total      $5,615,524 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $182,708 from the sale of class A shares and received $501 and $1,342 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $2,011 on class A redemptions.

Dynamic Asset Allocation Balanced Fund 123 

 


Note 3: Purchases and sales of securities

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

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA commitments (Long-term)  $6,542,785,660  $6,518,717,459 
U.S. government securities (Long-term)  —  — 
Total  $6,542,785,660  $6,518,717,459 

 

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

Note 4: Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:

  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class A  Shares  Amount  Shares  Amount 
Shares sold  5,766,600  $92,077,627  7,723,151  $132,003,613 
Shares issued in connection with         
reinvestment of distributions  9,139,222  149,911,651  1,234,382  21,034,103 
  14,905,822  241,989,278  8,957,533  153,037,716 
Shares repurchased  (10,911,465)  (172,531,047)  (19,432,220)  (325,110,020) 
Net increase (decrease)  3,994,357  $69,458,231  (10,474,687)  $(172,072,304) 
 
  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class B  Shares  Amount  Shares  Amount 
Shares sold  18,637  $296,253  31,938  $535,534 
Shares issued in connection with         
reinvestment of distributions  154,852  2,554,835  15,839  262,584 
  173,489  2,851,088  47,777  798,118 
Shares repurchased  (658,461)  (10,420,977)  (783,868)  (13,418,690) 
Net decrease  (484,972)  $(7,569,889)  (736,091)  $(12,620,572) 
 
  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,138,358  $17,696,225  1,572,456  $26,184,910 
Shares issued in connection with         
reinvestment of distributions  1,400,630  22,354,374  124,376  2,014,190 
  2,538,988  40,050,599  1,696,832  28,199,100 
Shares repurchased  (3,616,490)  (54,809,750)  (4,001,893)  (66,313,283) 
Net decrease  (1,077,502)  $(14,759,151)  (2,305,061)  $(38,114,183) 

 

124 Dynamic Asset Allocation Balanced Fund 

 


  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class P  Shares  Amount  Shares  Amount 
Shares sold  9,021,682  $139,724,675  19,018,988  $306,223,532 
Shares issued in connection with         
reinvestment of distributions  2,018,937  33,077,234  317,955  5,446,516 
  11,040,619  172,801,909  19,336,943  311,670,048 
Shares repurchased  (7,151,469)  (112,039,375)  (20,250,946)  (326,579,750) 
Net increase (decrease)  3,889,150  $60,762,534  (914,003)  $(14,909,702) 
 
  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class R  Shares  Amount  Shares  Amount 
Shares sold  163,758  $2,536,727  149,878  $2,529,697 
Shares issued in connection with         
reinvestment of distributions  130,402  2,122,490  16,856  283,073 
  294,160  4,659,217  166,734  2,812,770 
Shares repurchased  (295,331)  (4,603,929)  (585,328)  (9,706,551) 
Net increase (decrease)  (1,171)  $55,288  (418,594)  $(6,893,781) 
 
  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class R5  Shares  Amount  Shares  Amount 
Shares sold  56,511  $877,913  50,257  $850,562 
Shares issued in connection with         
reinvestment of distributions  72,920  1,198,998  11,782  201,579 
  129,431  2,076,911  62,039  1,052,141 
Shares repurchased  (162,909)  (2,660,804)  (132,167)  (2,302,442) 
Net decrease  (33,478)  $(583,893)  (70,128)  $(1,250,301) 
 
  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  2,110,470  $33,679,675  3,241,809  $55,490,601 
Shares issued in connection with         
reinvestment of distributions  2,110,322  34,636,066  368,584  6,309,950 
  4,220,792  68,315,741  3,610,393  61,800,551 
Shares repurchased  (5,455,423)  (87,232,590)  (5,961,699)  (102,877,033) 
Net decrease  (1,234,631)  $(18,916,849)  (2,351,306)  $(41,076,482) 

 

Dynamic Asset Allocation Balanced Fund 125 

 


  YEAR ENDED 9/30/22  YEAR ENDED 9/30/21 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  5,407,974  $86,488,116  5,724,924  $95,818,532 
Shares issued in connection with         
reinvestment of distributions  2,224,065  36,537,292  372,380  6,369,746 
  7,632,039  123,025,408  6,097,304  102,188,278 
Shares repurchased  (8,510,339)  (135,929,180)  (7,332,387)  (126,127,644) 
Net decrease  (878,300)  $(12,903,772)  (1,235,083)  $(23,939,366) 

 

At the close of the reporting period, the Putnam RetirementReady Funds owned 11.7% of the outstanding shares of the fund.

Note 5: Affiliated transactions

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

          Shares 
          outstanding 
          and fair 
  Fair value as  Purchase  Sale  Investment  value as 
Name of affiliate  of 9/30/21  cost  proceeds  income  of 9/30/22 
Short-term investments           
Putnam Cash Collateral           
Pool, LLC*  $19,155,555  $54,983,115  $74,138,670  $4,928  $— 
Putnam Short Term           
Investment Fund**  90,503,040  641,561,730  663,067,630  504,216  68,997,140 
Total Short-term           
investments  $109,658,595  $696,544,845  $737,206,300  $509,144  $68,997,140 

 

* No management fees are charged to Putnam Cash Collateral Pool, LLC (Note 1). Investment income shown is included in securities lending income on the Statement of operations. There were no realized or unrealized gains or losses during the period.

** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

Note 6: Market, credit and other risks

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

126 Dynamic Asset Allocation Balanced Fund 

 


On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.

Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.

Note 7: Senior loan commitments

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

Dynamic Asset Allocation Balanced Fund 127 

 


Note 8: Summary of derivative activity

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

Purchased equity option contracts (contract amount)  $—* 
Purchased currency option contracts (contract amount)  $15,900,000 
Written equity option contracts (contract amount)  $—* 
Written currency option contracts (contract amount)  $15,900,000 
Futures contracts (number of contracts)  5,000 
Forward currency contracts (contract amount)  $645,600,000 
Centrally cleared interest rate swap contracts (notional)  $357,000,000 
OTC total return swap contracts (notional)  $259,100,000 
Centrally cleared total return swap contracts (notional)  $95,300,000 
OTC credit default contracts (notional)  $13,900,000 
Centrally cleared credit default contracts (notional)  $98,200,000 
Warrants (number of warrants)  1,000 

 

* For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.

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

Fair value of derivative instruments as of the close of the reporting period   
  ASSET DERIVATIVES  LIABILITY DERIVATIVES 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
      Payables, Net assets —   
Credit contracts  Receivables  $1,965,703  Unrealized depreciation  $1,266,684* 
Foreign exchange         
contracts  Receivables  1,727,812  Payables  1,614,349 
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  47,972,735*  Unrealized depreciation  7,282,703* 
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  578,404*  Unrealized depreciation  13,744,925* 
Total    $52,244,654    $23,908,661 

 

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

128 Dynamic Asset Allocation Balanced Fund 

 


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

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments 
Derivatives not             
accounted for as             
hedging        Forward     
instruments under        currency     
ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $(2,374,581)  $(2,374,581) 
Foreign exchange             
contracts  —  (617,763)   —  (1,376,533)  —  $(1,994,296) 
Equity contracts  47,018  2,860,014  9,815,111  —  857,578  $13,579,721 
Interest             
rate contracts  —  —  (22,814,077)  —  (12,302,841)  $(35,116,918) 
Total  $47,018  $2,242,251  $(12,998,966)  $(1,376,533)  $(13,819,844)  $(25,906,074) 
 
 
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) 
on investments             
Derivatives not             
accounted for as             
hedging        Forward     
instruments under        currency     
ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $(241,816)  $(241,816) 
Foreign exchange             
contracts  —  (26,478)   —  2,349,406  —  $2,322,928 
Equity contracts  (9,256)  —   21,492,828  —  4,848,878  $26,332,450 
Interest             
rate contracts  —  —  (11,488,820)  —  652,962  $(10,835,858) 
Total  $(9,256)  $(26,478)  $10,004,008  $2,349,406  $5,260,024  $17,577,704 

 

Dynamic Asset Allocation Balanced Fund 129 

 


Note 9: Offsetting of financial and derivative assets and liabilities

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

  Bank of America N.A. Barclays Bank PLC Barclays
Capital, Inc. (clearing
broker)		 BofA
Securities,
Inc.		 Citibank, N.A. Citigroup
Global
Markets, Inc.		 Credit Suisse International Goldman
Sachs
International		 HSBC Bank USA, National Association JPMorgan
Chase Bank N.A.		 JPMorgan
Securities LLC		 Merrill Lynch International Morgan
Stanley & Co. International
PLC		 NatWest
Markets PLC		 State Street Bank and
Trust Co.		 Toronto- Dominion
Bank		 UBS AG Total
Assets:                                     
Centrally cleared interest rate swap                                     
contracts§  $—  $—  $6,857,609  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $6,857,609 
OTC Total return swap contracts*#  —  8,113,342  —  —  —  —  —  750,827  —  —  —  —  —  —  —  —  —  8,864,169 
OTC Credit default contracts - protection                                     
sold*#  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
OTC Credit default contracts - protection                                     
purchased*#  —  —  —  —  —  510,268  351,562  304,664  —  —  302,760  82,277  414,172  —  —  —  —  1,965,703 
Centrally cleared credit default contracts§  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Futures contracts§  —  —  —  4,710,343  —  —  —  —  —  —  5,000  —  —  —  —  —  —  4,715,343 
Forward currency contracts#  395,612  —  —  —  35,585  —  —  —  299,372  526,219  —  —  651  45,605  86,221  —  338,547  1,727,812 
Total Assets  $395,612  $8,113,342  $6,857,609  $4,710,343  $35,585  $510,268  $351,562  $1,055,491  $299,372  $526,219  $307,760  $82,277  $414,823  $45,605  $86,221  $—  $338,547  $24,130,636 
Liabilities:                                     
Centrally cleared interest rate                                     
swap contracts§  —  —  6,775,526  —  —  —  —  —  —  —  —  —  —  —  —  —  —  6,775,526 
OTC Total return swap contracts*#  —  6,152,802  —  —  —  —  —  336,521  —  —  —  —  —  —  —  —  —  6,489,323 
OTC Credit default contracts —                                     
protection sold*#  27,206  12,556  —  —  —  392,662  169,199  86,098  —  —  57,984  —  119,690  —  —  —  —  865,395 
OTC Credit default contracts —                                     
protection purchased*#  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Centrally cleared credit default contracts§  —  —  15,815  —  —  —  —  —  —  —  —  —  —  —  —  —  —  15,815 
Futures contracts§  —  —  —  369,488  —  —  —  —  —  —  1,108,282  —  —  —  —  —  —  1,477,770 
Forward currency contracts#  —  —  —  —  —  —  —  —  —  237,267  —  —  —  402,454  854,651  117,059  2,918  1,614,349 
Total Liabilities  $27,206  $6,165,358  $6,791,341  $369,488  $—  $392,662  $169,199  $422,619  $—  $237,267  $1,166,266  $—  $119,690  $402,454  $854,651  $117,059  $2,918  $17,238,178 
Total Financial and Derivative                                     
Net Assets  $368,406  $1,947,984  $66,268  $4,340,855  $35,585  $117,606  $182,363  $632,872  $299,372  $288,952  $(858,506)  $82,277  $295,133  $(356,849)  $(768,430)  $(117,059)  $335,629  $6,892,458 
Total collateral received (pledged)†##  $368,406  $1,436,156  $—  $—  $—  $110,000  $182,363  $632,872  $299,372  $160,000  $245,000  $82,277  $293,000  $(282,310)  $(768,430)  $(117,059)  $210,000   
Net amount  $—  $511,828  $66,268  $4,340,855  $35,585  $7,606  $—  $—  $—  $128,952  $(1,103,506)  $—  $2,133  $(74,539)  $—  $—  $125,629   
Controlled collateral received (including                                     
TBA commitments)**  $440,289  $1,436,156  $—  $—  $—  $110,000  $220,000  $1,030,000  $490,000  $160,000  $245,000  $121,566  $293,000  $—  $—  $—  $210,000  $4,756,011 
Uncontrolled collateral received  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $— 
Collateral (pledged) (including TBA                                     
commitments)**  $—  $—  $—  $(1,314,813)  $—  $(1,284,752)  $—  $—  $—  $—  $(447,657)  $—  $—  $(282,310)  $(787,098)  $(181,691)  $—  $(4,298,321) 

 

130 Dynamic Asset Allocation Balanced Fund  Dynamic Asset Allocation Balanced Fund 131 

 


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

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

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

# Covered by master netting agreement (Note 1).

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

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $22,756,473 and $6,618,403, respectively.

Note 10: New accounting pronouncements

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023.ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. The adoption of the guidance will not have a material impact on the fund’s financial statements.

132 Dynamic Asset Allocation Balanced Fund 

 


Federal tax information (Unaudited)

Pursuant to §852 of the Internal Revenue Code, as amended, the fund hereby designates $104,323,486 as a capital gain dividend with respect to the taxable year ended September 30, 2022, or, if subsequently determined to be different, the net capital gain of such year.

The fund designated 32.42% of ordinary income distributions as qualifying for the dividends received deduction for corporations.

For the reporting period, the fund hereby designates 56.99%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.

For the reporting period, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $16,821,194 of distributions paid as qualifying to be taxed as interest-related dividends, and $123,995,624 to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The Form 1099 that will be mailed to you in January 2023 will show the tax status of all distributions paid to your account in calendar 2022.

Dynamic Asset Allocation Balanced Fund 133 

 


Shareholder meeting results (Unaudited)

June 29, 2022 special meeting

At the meeting, each of the nominees for Trustees was elected, with all funds of the Trust voting together as a single class, as follows:

  Votes for  Votes withheld 
Liaquat Ahamed  232,937,784  3,722,436 
Barbara M. Baumann  233,561,894  3,098,326 
Katinka Domotorffy  233,219,243  3,440,978 
Catharine Bond Hill  233,446,071  3,214,150 
Kenneth R. Leibler  233,338,540  3,321,680 
Jennifer Williams Murphy  233,405,400  3,254,821 
Marie Pillai  233,338,625  3,321,596 
George Putnam, III  233,238,702  3,421,519 
Robert L. Reynolds  233,509,836  3,150,385 
Manoj P. Singh  233,287,174  3,373,047 
Mona K. Sutphen  233,562,006  3,098,215 

 

A proposal to approve an amendment to your fund’s fundamental investment policy regarding the acquisition of voting securities of any issuer was approved as follows:

Votes for  Votes against  Abstentions  Broker non-votes 
62,258,190  896,788  1,587,955  24,759,196 

 

All tabulations are rounded to the nearest whole number.

134 Dynamic Asset Allocation Balanced Fund 

 



Dynamic Asset Allocation Balanced Fund 135 

 


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

The address of each Trustee is 100 Federal Street, Boston, MA 02110.

As of September 30, 2022, there were 102 funds in the Putnam fund complex, including 96 Putnam Funds and six funds in Putnam ETF Trust. Each Trustee serves as Trustee of all Putnam Funds. In addition to serving as Trustees of the Putnam Funds, Dr. Hill, Mses. Domotorffy and Sutphen, and Mr. Ahamed serve as Trustees of Putnam ETF Trust. Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

136 Dynamic Asset Allocation Balanced Fund 

 


Officers

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

James F. Clark (Born 1974)  Alan G. McCormack (Born 1964) 
Vice President and Chief Compliance Officer  Vice President and Derivatives Risk Manager 
Since 2016  Since 2022 
Chief Compliance Officer and Chief Risk Officer,  Head of Quantitative Equities and Risk, 
Putnam Investments, and Chief Compliance Officer,  Putnam Investments 
Putnam Management 
Denere P. Poulack (Born 1968) 
Nancy E. Florek (Born 1957)  Assistant Vice President, Assistant Clerk, 
Vice President, Director of Proxy Voting and Corporate  and Assistant Treasurer 
Governance, Assistant Clerk, and Assistant Treasurer  Since 2004 
Since 2000 
Janet C. Smith (Born 1965) 
Michael J. Higgins (Born 1976)  Vice President, Principal Financial Officer, Principal 
Vice President, Treasurer, and Clerk  Accounting Officer, and Assistant Treasurer 
Since 2010  Since 2007 
  Head of Fund Administration Services, 
Jonathan S. Horwitz (Born 1955)  Putnam Investments and Putnam Management 
Executive Vice President, Principal Executive Officer,   
and Compliance Liaison  Stephen J. Tate (Born 1974) 
Since 2004  Vice President and Chief Legal Officer 
  Since 2021 
Richard T. Kircher (Born 1962)  General Counsel, Putnam Investments, 
Vice President and BSA Compliance Officer  Putnam Management, and Putnam Retail Management 
Since 2019   
Assistant Director, Operational Compliance, Putnam  Mark C. Trenchard (Born 1962) 
Investments and Putnam Retail Management  Vice President 
  Since 2002 
Martin Lemaire (Born 1984)  Director of Operational Compliance, Putnam 
Vice President and Derivatives Risk Manager  Investments and Putnam Retail Management 
Since 2022   
Risk Manager and Risk Analyst, Putnam Investments   
 
Susan G. Malloy (Born 1957)   
Vice President and Assistant Treasurer   
Since 2007   
Head of Accounting and Middle Office Services,   
Putnam Investments and Putnam Management   

 

The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.

Dynamic Asset Allocation Balanced Fund 137 

 


Putnam family of funds

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

Blend  Income 
Emerging Markets Equity Fund  Convertible Securities Fund 
Focused Equity Fund  Diversified Income Trust 
Focused International Equity Fund  Floating Rate Income Fund 
International Capital Opportunities Fund  Global Income Trust 
International Equity Fund  Government Money Market Fund* 
Multi-Cap Core Fund  High Yield Fund 
Research Fund  Income Fund 
Money Market Fund† 
Global Sector  Mortgage Opportunities Fund 
Global Health Care Fund  Mortgage Securities Fund 
Global Technology Fund  Short Duration Bond Fund 
Ultra Short Duration Income Fund 
Growth   
Growth Opportunities Fund  Tax-free Income 
Small Cap Growth Fund  Intermediate-Term Municipal Income Fund 
Sustainable Future Fund  Short-Term Municipal Income Fund 
Sustainable Leaders Fund  Strategic Intermediate Municipal Fund 
Tax Exempt Income Fund 
Value  Tax-Free High Yield Fund 
International Value Fund   
Large Cap Value Fund  State tax-free income funds:‡ 
Small Cap Value Fund  California, Massachusetts, Minnesota, 
  New Jersey, New York, Ohio, and Pennsylvania 

 

138 Dynamic Asset Allocation Balanced Fund 

 


Absolute Return  Asset Allocation (cont.) 
Fixed Income Absolute Return Fund  Putnam Retirement Advantage Maturity Fund 
Multi-Asset Absolute Return Fund  Putnam Retirement Advantage 2065 Fund 
Putnam Retirement Advantage 2060 Fund 
Putnam PanAgora§  Putnam Retirement Advantage 2055 Fund 
Putnam PanAgora Risk Parity Fund  Putnam Retirement Advantage 2050 Fund 
Putnam Retirement Advantage 2045 Fund 
Asset Allocation  Putnam Retirement Advantage 2040 Fund 
Dynamic Risk Allocation Fund  Putnam Retirement Advantage 2035 Fund 
George Putnam Balanced Fund  Putnam Retirement Advantage 2030 Fund 
Putnam Retirement Advantage 2025 Fund 
Dynamic Asset Allocation Balanced Fund 
Dynamic Asset Allocation Conservative Fund  RetirementReady® Maturity Fund 
Dynamic Asset Allocation Growth Fund  RetirementReady® 2065 Fund 
  RetirementReady® 2060 Fund 
  RetirementReady® 2055 Fund 
  RetirementReady® 2050 Fund 
  RetirementReady® 2045 Fund 
  RetirementReady® 2040 Fund 
  RetirementReady® 2035 Fund 
  RetirementReady® 2030 Fund 
RetirementReady® 2025 Fund 

 

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

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

‡ Not available in all states.

§ Sub-advised by PanAgora Asset Management.

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

Dynamic Asset Allocation Balanced Fund 139 

 


Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

140 Dynamic Asset Allocation Balanced Fund 

 


Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Richard T. Kircher 
Putnam Investment  Kenneth R. Leibler, Chair  Vice President and 
Management, LLC  Barbara M. Baumann, Vice Chair  BSA Compliance Officer 
100 Federal Street  Liaquat Ahamed   
Boston, MA 02110  Katinka Domotorffy  Martin Lemaire 
  Catharine Bond Hill  Vice President and 
Investment Sub-Advisors  Jennifer Williams Murphy  Derivatives Risk Manager 
Putnam Investments Limited  Marie Pillai 
16 St James’s Street  George Putnam, III  Susan G. Malloy 
London, England SW1A 1ER  Robert L. Reynolds  Vice President and 
Manoj P. Singh  Assistant Treasurer 
The Putnam Advisory Company, LLC  Mona K. Sutphen 
100 Federal Street    Alan G. McCormack 
Boston, MA 02110  Officers  Vice President and 
Robert L. Reynolds  Derivatives Risk Manager 
Marketing Services  President 
Putnam Retail Management    Denere P. Poulack 
Limited Partnership  James F. Clark  Assistant Vice President, 
100 Federal Street  Vice President, Chief Compliance  Assistant Clerk, and 
Boston, MA 02110  Officer, and Chief Risk Officer  Assistant Treasurer 
   
Custodian  Nancy E. Florek  Janet C. Smith 
State Street Bank  Vice President, Director of  Vice President, 
and Trust Company  Proxy Voting and Corporate  Principal Financial Officer, 
Governance, Assistant Clerk,  Principal Accounting Officer, 
Legal Counsel  and Assistant Treasurer  and Assistant Treasurer 
Ropes & Gray LLP   
Michael J. Higgins  Stephen J. Tate 
Independent Registered  Vice President, Treasurer,  Vice President and 
Public Accounting Firm  and Clerk  Chief Legal Officer 
PricewaterhouseCoopers LLP   
  Jonathan S. Horwitz  Mark C. Trenchard 
  Executive Vice President,  Vice President 
Principal Executive Officer,   
  and Compliance Liaison   

 

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



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

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

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


Fiscal year ended Audit Fees Audit-Related Fees Tax Fees All Other Fees
September 30, 2022 $149,646 $ — $26,021 $ —
September 30, 2021 $151,005 $ — $22,543 $ —

For the fiscal years ended September 30, 2022 and September 30, 2021, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $324,304 and $287,442 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

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

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

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

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

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

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


Fiscal year ended Audit-Related Fees Tax Fees All Other Fees Total Non-Audit Fees
September 30, 2022 $ — $298,283 $ — $ —
September 30, 2021 $ — $264,899 $ — $ —

Item 5. Audit Committee of Listed Registrants
Not applicable

Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable

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

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies:
Not Applicable

Item 13. Exhibits:
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

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

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

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

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

Date: November 28, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: November 28, 2022
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: November 28, 2022