Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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FORWARD CURRENCY CONTRACTS at 5/31/14 (aggregate face value $55,299,296 ) cont.CounterpartyCurrencyContracttypeDeliverydateValueAggregateface valueUnrealizedappreciation/(depreciation)JPMorgan Chase Bank N.A. cont.Swiss Franc Sell 6/18/14 $1,244,744 $1,251,295 $6,551Thai Baht Sell 8/20/14 2,641 2,677 36Royal Bank of Scotland PLC (The)Euro Buy 6/18/14 151,714 153,217 (1,503)Euro Sell 6/18/14 151,714 154,974 3,260State Street Bank and Trust Co.Australian Dollar Sell 7/17/14 327,707 320,171 (7,536)Brazilian Real Buy 7/2/14 827,825 833,133 (5,308)British Pound Buy 6/18/14 565,652 563,022 2,630Canadian Dollar Sell 7/17/14 516,364 508,899 (7,465)Chilean Peso Buy 7/17/14 286,315 287,222 (907)Chilean Peso Sell 7/17/14 286,956 277,090 (9,866)Euro Sell 6/18/14 237,727 236,930 (797)Israeli Shekel Buy 7/17/14 7,540 7,536 4Japanese Yen Sell 8/20/14 997,317 987,896 (9,421)Mexican Peso Buy 7/17/14 247,683 242,258 5,425New Taiwan Dollar Sell 8/20/14 181,753 181,582 (171)New Zealand Dollar Buy 7/17/14 583,638 586,056 (2,418)Norwegian Krone Buy 6/18/14 363,608 368,146 (4,538)Singapore Dollar Sell 8/20/14 185,207 185,044 (163)Swedish Krona Sell 6/18/14 580,934 590,820 9,886Swiss Franc Buy 6/18/14 276,982 280,775 (3,793)Swiss Franc Sell 6/18/14 276,982 278,699 1,717UBS AGAustralian Dollar Sell 7/17/14 53,999 53,356 (643)British Pound Buy 6/18/14 605,710 602,886 2,824British Pound Sell 6/18/14 605,710 605,153 (557)Canadian Dollar Sell 7/17/14 286,050 279,969 (6,081)Japanese Yen Sell 8/20/14 195,855 195,370 (485)Norwegian Krone Buy 6/18/14 274,249 275,674 (1,425)Norwegian Krone Sell 6/18/14 274,249 272,692 (1,557)Singapore Dollar Sell 8/20/14 22,802 22,877 75Swedish Krona Sell 6/18/14 40,918 34,369 (6,549)Swiss Franc Buy 6/18/14 539,556 539,055 501Swiss Franc Sell 6/18/14 539,556 544,253 4,697WestPac Banking Corp.Australian Dollar Buy 7/17/14 327,707 323,983 3,724Australian Dollar Sell 7/17/14 327,707 327,900 193British Pound Buy 6/18/14 332,017 334,287 (2,270)Canadian Dollar Sell 7/17/14 126,028 125,199 (829)Euro Buy 6/18/14 689,052 697,950 (8,898)Dynamic Risk Allocation Fund57
FORWARD CURRENCY CONTRACTS at 5/31/14 (aggregate face value $55,299,296 ) cont.CounterpartyCurrencyContracttypeDeliverydateValueAggregateface valueUnrealizedappreciation/(depreciation)WestPac Banking Corp. cont.Euro Sell 6/18/14 $689,052 $690,339 $1,287New Zealand Dollar Buy 7/17/14 443,460 447,861 (4,401)Total $(140,141 )FUTURES CONTRACTS OUTSTANDING at 5/31/14Number ofcontractsValueExpirationdateUnrealizedappreciation/(depreciation)DAX Index (Short) 1 $338,709 Jun-14 $(27,232 )Euro-Bobl 5 yr (Long) 38 6,567,166 Jun-14 76,504Euro-Bund 10 yr (Long) 35 7,004,342 Jun-14 172,738Euro-Buxl 30 yr (Long) 17 3,104,792 Jun-14 120,449Euro-CAC 40 Index (Short) 7 429,869 Jun-14 (4,318 )Euro-Schatz 2 yr (Long) 13 1,960,646 Jun-14 2,365FTSE 100 Index (Short) 30 3,430,760 Jun-14 (181,746 )IBEX 35 Index (Long) 15 2,201,678 Jun-14 41,528Japanese Government Bond10 yr (Long) 16 22,868,369 Jun-14 114,663MSCI EAFE Index Mini (Short) 62 6,071,970 Jun-14 (343,604 )S&P 500 Index E-Mini (Long) 55 5,284,125 Jun-14 167,090S&P 500 Index E-Mini (Short) 48 4,611,600 Jun-14 (125,804 )S&P/TSX 60 Index (Short) 3 462,326 Jun-14 (9,054 )SPI 200 Index (Short) 4 512,137 Jun-14 (13,790 )U.K. Gilt 10 yr (Long) 22 4,084,427 Sep-14 31,655U.S. Treasury Bond 30 yr (Long) 7 962,281 Sep-14 5,784U.S. Treasury Bond 30 yr (Short) 1 137,469 Sep-14 (830 )U.S. Treasury Note 10 yr (Long) 17 2,133,766 Sep-14 6,608U.S. Treasury Note 10 yr (Short) 100 12,551,563 Sep-14 (39,253 )U.S. Treasury Note 5 yr (Long) 49 5,868,133 Sep-14 7,180U.S. Treasury Note 5 yr (Short) 4 479,031 Sep-14 (601 )U.S. Treasury Note 2 yr (Long) 12 2,637,188 Sep-14 540Total $872WRITTEN OPTIONS OUTSTANDING at 5/31/14 (premiums $51,227 )Expiration date/strike priceContractamountValueSPDR S&P 500 ETF Trust (Call) Jun-14/$197.00 $96,082 $17,775SPDR S&P 500 ETF Trust (Call) Jun-14/193.50 72,824 60,072SPDR S&P 500 ETF Trust (Call) Jun-14/195.00 20,058 11,394SPDR S&P 500 ETF Trust (Call) Jun-14/192.50 18,048 24,275SPDR S&P 500 ETF Trust (Call) Jun-14/193.00 19,524 13,374Total $126,89058 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 and 52: U.S. TREASURY OBLIGATIONS (0.2%)* P
Page 53 and 54: PURCHASED OPTIONSOUTSTANDING (0.3%)
Page 55 and 56: S Security on loan, in part or in e
Page 57: 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
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