Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

Key to holding’s currency abbreviationsCADEURCanadian DollarEuroKey to holding’s abbreviationsADR American Depository Receipts: represents ownership of foreign securities on deposit with acustodian bankBKNT Bank Notebp Basis PointsETF Exchange Traded FundFRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting periodFRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting periodGMTN Global Medium Term NotesIO Interest OnlyMTN Medium Term NotesSPDR S&P Depository ReceiptsTBA To Be Announced CommitmentsNotes to the fund’s portfolioUnless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, whichran from June 1, 2013 through May 31, 2014 (the reporting period). Within the following notes to the portfolio,references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements andDisclosures and references to “OTC”, if any, represent over-the-counter.* Percentages indicated are based on net assets of $190,135,242.††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of theperformance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to thechange in the underlying index.† Non-income-producing security.‡‡ Income may be received in cash or additional securities at the discretion of the issuer.# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements forfutures contracts at the close of the reporting period.∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certainderivative contracts at the close of the reporting period.§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initialmargin on certain centrally cleared derivative contracts at the close of the reporting period.c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certainrestrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. Theinterest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loansare also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remainingmaturity may be substantially less than the stated maturity shown (Notes 1 and 6).d Affiliated company. See Note 1 to the financial statements regarding securities lending. The rate quoted in thesecurity description is the annualized 7-day yield of the fund at the close of the reporting period.i Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivativecontracts (Note 1). L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fundat the close of the reporting period.P Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivativecontracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of thereporting period (Note 1).R Real Estate Investment Trust.Dynamic Risk Allocation Fund53