Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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MORTGAGE-BACKED SECURITIES (4.0%)* cont. Principal amount ValueCommercial mortgage-backed securities cont.JPMorgan Chase Commercial Mortgage Securities TrustSer. 06-LDP6, Class AJ, 5.565s, 2043 $100,000 $104,990FRB Ser. 06-LDP8, Class AJ, 5.48s, 2045 91,000 97,288Ser. 04-LN2, Class A2, 5.115s, 2041 82,734 83,202FRB Ser. 13-C10, Class C, 4.16s, 2047 53,000 53,210JPMorgan Chase Commercial Mortgage Securities Trust 144AFRB Ser. 10-C1, Class D, 6.312s, 2043 142,000 161,859FRB Ser. 11-C3, Class E, 5.567s, 2046 213,000 228,251FRB Ser. 12-C6, Class E, 5.201s, 2045 186,000 191,427LB-UBS Commercial Mortgage TrustFRB Ser. 07-C6, Class A4, 5.858s, 2040 77,964 83,640Ser. 06-C6, Class E, 5.541s, 2039 125,000 113,050Ser. 06-C6, Class D, 5.502s, 2039 125,000 119,063Morgan Stanley Bank of America Merrill Lynch Trust FRBSer. 13-C11, Class C, 4.418s, 2046 83,000 84,900Morgan Stanley Capital I Trust FRB Ser. 06-HQ8, Class D,5.496s, 2044 125,000 116,350UBS-Barclays Commercial Mortgage Trust 144AFRB Ser. 12-C3, Class C, 4.958s, 2049 50,000 53,265FRB Ser. 12-C3, Class D, 4.958s, 2049 114,000 112,397Ser. 13-C6, Class D, 4.353s, 2046 70,000 64,183WF-RBS Commercial Mortgage Trust Ser. 13-C17, Class XA, IO,1.61s, 2046 1,465,879 132,616WF-RBS Commercial Mortgage Trust 144AFRB Ser. 12-C6, Class D, 5.562s, 2045 193,000 201,564FRB Ser. 11-C2, Class D, 5.466s, 2044 100,000 106,460FRB Ser. 12-C7, Class E, 4.847s, 2045 300,000 289,641Ser. 12-C10, Class XA, IO, 1.815s, 2045 2,501,324 266,941Ser. 13-C12, Class XA, IO, 1.51s, 2048 815,200 71,574Residential mortgage-backed securities (non-agency) (1.1%)5,494,333Barclays Capital, LLC Trust 144A FRB Ser. 14-RR2, Class 2A1,3 1/2s, 2036 202,000 199,728Countrywide Alternative Loan Trust Ser. 05-28CB, Class 2A7,5 3/4s, 2035 337,057 315,149Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 13-5R,Class 1A6, 0.377s, 2036 110,000 89,408Residential Accredit Loans, Inc. FRB Ser. 06-QO7, Class 1A1,0.924s, 2046 169,906 116,385WAMU Mortgage Pass-Through CertificatesFRB Ser. 04-AR12, Class A2B, 0.648s, 2044 463,277 419,034FRB Ser. 05-AR15, Class A1B2, 0.56s, 2045 111,112 97,950FRB Ser. 05-AR11, Class A1B3, 0.55s, 2045 351,908 313,198FRB Ser. 05-AR9, Class A1B, 0.53s, 2045 455,308 421,680Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2,0.331s, 2047 60,000 44,3452,016,877Total mortgage-backed securities (cost $7,483,753) $7,511,210Dynamic Risk Allocation Fund51
PURCHASED OPTIONSOUTSTANDING (0.3%)*Expiration date/strike priceContractamountValueSPDR S&P 500 ETF Trust (Put) May-15/$165.00 $37,073 $157,553SPDR S&P 500 ETF Trust (Put) Apr-15/164.00 33,208 122,338SPDR S&P 500 ETF Trust (Put) Mar-15/164.00 32,875 108,590SPDR S&P 500 ETF Trust (Put) Feb-15/163.00 38,870 101,645SPDR S&P 500 ETF Trust (Put) Jan-15/162.00 42,403 87,279SPDR S&P 500 ETF Trust (Put) Dec-14/158.00 41,766 53,671Total purchased options outstanding (cost $1,211,233) $631,076SENIOR LOANS (0.2%)* c Principal amount ValueCaesars Entertainment Operating Co., Inc. bank term loan FRNSer. B6, 5.4s, 2018 $210,000 $195,694Caesars Entertainment Operating Co., Inc. bank term loan FRNSer. B7, 9 3/4s, 2017 20,000 19,796Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 74,813 74,625Total senior loans (cost $292,027) $290,115PREFERRED STOCKS (0.1%)* Shares ValueAlly Financial, Inc. 144A 7.00% cum. pfd. 75 $75,638Citigroup, Inc. Ser. K, $1.719 pfd. 2,640 70,673M/I Homes, Inc. Ser. A, $2.438 pfd. 1,230 30,898Total preferred stocks (cost $168,388) $177,209CONVERTIBLE BONDS AND NOTES (—%)* Principal amount ValueiStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R $35,000 $48,344Total convertible bonds and notes (cost $37,457) $48,344CONVERTIBLE PREFERRED STOCKS (—%)* Shares ValueEPR Properties Ser. C, $1.44 cv. pfd. R 1,550 $34,802Total convertible preferred stocks (cost $34,286) $34,802INVESTMENT COMPANIES (—%)* Shares ValueHercules Technology Growth Capital, Inc. 926 $14,112Total investment companies (cost $13,075) $14,112SHORT-TERM INVESTMENTS (30.5%)* Principal amount/shares ValuePutnam Cash Collateral Pool, LLC 0.18% d 21,300 $21,300Putnam Money Market Liquidity Fund 0.06% L 10,960,847 10,960,847Putnam Short Term Investment Fund 0.06% L 35,761,784 35,761,784SSgA Prime Money Market Fund 0.01% P 800,000 800,000U.S. Treasury Bills with an effective yield of 0.12%,February 5, 2015 # ∆ § $1,760,000 1,759,333U.S. Treasury Bills with an effective yield of 0.14%,August 21, 2014 # ∆ § 8,000,000 7,999,424U.S. Treasury Bills zero %, October 9, 2014 i 595,000 594,881Total short-term investments (cost $57,894,906) $57,897,569TOTAL INVESTMENTSTotal investments (cost $183,149,746) $198,362,05552 Dynamic Risk Allocation Fund
Page 1 and 2: PutnamDynamic RiskAllocation FundFU
Page 3 and 4: Message from the TrusteesDear Fello
Page 5 and 6: PerformancesnapshotAnnualized total
Page 7 and 8: program late in 2013 and end it by
Page 9 and 10: In this shifting environment, where
Page 11 and 12: at the same rate as during the past
Page 13 and 14: Change in the value of a $10,000 in
Page 15 and 16: Expenses per $1,000The following ta
Page 17 and 18: S&P 500 Index is an unmanaged index
Page 19 and 20: Financial statementsThese sections
Page 21 and 22: The fund’s portfolio 5/31/14COMMO
Page 23 and 24: COMMON STOCKS (43.3%)* cont. Shares
Page 37 and 38: CORPORATE BONDS AND NOTES (17.6%)*
Page 51: U.S. TREASURY OBLIGATIONS (0.2%)* P
Page 55 and 56: S Security on loan, in part or in e
Page 57 and 58: FORWARD CURRENCY CONTRACTS at 5/31/
Page 59 and 60: FORWARD CURRENCY CONTRACTS at 5/31/
Page 61 and 62: OTC TOTAL RETURN SWAP CONTRACTS OUT
Page 63 and 64: OTC CREDIT DEFAULT CONTRACTS OUTSTA
Page 65 and 66: Statement of assets and liabilities
Page 67 and 68: Statement of operations Year ended
Page 69 and 70: Financial highlights (For a common
Page 71 and 72: Notes to financial statements 5/31/
Page 73 and 74: eceive all of the interest and prin
Page 75 and 76: OTC total return swap contracts out
Page 77 and 78: Federal taxes It is the policy of t
Page 79 and 80: The fund has adopted an unfunded no
Page 81 and 82: Year ended 5/31/14For the period 7/
Page 83 and 84: The following is a summary of the f
Page 85 and 86: Federal tax information (Unaudited)
Page 87 and 88: About the TrusteesIndependent Trust
Page 89 and 90: OfficersIn addition to Robert L. Re
Page 91 and 92: Absolute ReturnAbsolute Return 100
Page 93: A BALANCED APPROACHSince 1937, when

Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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