Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/14 cont.Swap counterparty/Notional amountUpfrontpremiumreceived (paid)TerminationdatePaymentsreceived (paid) byfund per annumTotal returnreceived byor paid by fundUnrealizedappreciation/(depreciation)Goldman Sachs International$1,500,000 $— 10/5/22 (2.73%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)1,700,000 — 4/5/23 (2.7475%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)6,500,000 — 7/19/23 (2.58%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)JPMorgan Chase Bank N.A.13,500,000 — 8/7/22 (2.515%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)$(58,980 )(63,546 )(88,465 )(319,273 )Total $— $(1,040,015 )OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/14Swap counterparty/Referenced debt*Rating***Upfrontpremiumreceived(paid)**NotionalamountTerminationdatePaymentsreceived(paid) by fundper annumUnrealizedappreciation/(depreciation)Barclays Bank PLCEM Series 21 Index BB+/P $(700,323 ) $6,500,000 6/20/19 500 bp $97,964EM Series 21 Index BB+/P (350,450 ) 4,300,000 6/20/19 500 bp 190,189Credit Suisse InternationalCMBX NABBB– IndexBBB–/P 243 8,000 5/11/63 300 bp 246CMBX NABBB– IndexCMBX NABBB– IndexCMBX NABBB– IndexCMBX NABBB– IndexCMBX NABBB– IndexCMBX NABBB– IndexCMBX NABBB– IndexBBB–/P 1,940 20,000 5/11/63 300 bp 1,946BBB–/P 1,596 20,000 5/11/63 300 bp 1,602BBB–/P 1,549 20,000 5/11/63 300 bp 1,554BBB–/P 1,316 20,000 5/11/63 300 bp 1,321BBB–/P 353 23,000 5/11/63 300 bp 360BBB–/P 1,641 40,000 5/11/63 300 bp 1,653BBB–/P 28,586 373,000 5/11/63 300 bp 28,692CMBX NA BB Index — (157 ) 30,000 5/11/63 (500 bp) (135 )CMBX NA BB Index — 227 22,000 5/11/63 (500 bp) 243CMBX NA BB Index — (384 ) 22,000 5/11/63 (500 bp) (368 )CMBX NA BB Index — (77 ) 10,000 5/11/63 (500 bp) (70 )CMBX NA BB Index — (96 ) 10,000 5/11/63 (500 bp) (89 )CMBX NA BB Index — (91 ) 10,000 5/11/63 (500 bp) (84 )Dynamic Risk Allocation Fund61
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/14 cont.Swap counterparty/Referenced debt*Rating***Upfrontpremiumreceived(paid)**NotionalamountTerminationdatePaymentsreceived(paid) by fundper annumUnrealizedappreciation/(depreciation)Credit Suisse International cont.CMBX NA BB Index — $(427 ) $22,000 5/11/63 (500 bp) $(411 )CMBX NABBB– IndexCMBX NABBB– Index— (1,220 ) 26,000 1/17/47 (300 bp) (723 )— (1,469 ) 26,000 1/17/47 (300 bp) (972 )Deutsche Bank AGEM Series 19 Index BB+/P (352,499) 3,000,000 6/20/18 500 bp (44,283)Goldman Sachs InternationalCMBX NA BB Index — (96 ) 10,000 5/11/63 (500 bp) (89 )Total $(1,369,838 ) $278,546* 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 dayof execution.*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlyingreferenced debt. Ratings for an underlying index represent the average of the ratings of all the securities includedin that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings availableat May 31, 2014. Securities rated by Putnam are indicated by “/P.”CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/14Referenced debt*Rating***Upfrontpremiumreceived(paid)**NotionalamountTerminationdatePaymentsreceived(paid) by fundper annumUnrealizedappreciation/(depreciation)NA IG Series 22IndexNA IG Series 22IndexNA HY Series 22IndexNA HY Series 22IndexNA HY Series 22IndexBBB+/P $(73,435 ) $5,120,000 6/20/19 100 bp $30,414BBB+/P (70,495 ) 4,915,000 6/20/19 100 bp 29,196B+/P (433,664 ) 6,025,140 6/20/19 500 bp 121,980B+/P (279,071 ) 3,910,500 6/20/19 500 bp 81,558B+/P (1,737,627 ) 23,883,750 6/20/19 500 bp 464,949Total $(2,594,292 ) $728,097* 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 dayof execution.*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlyingreferenced debt. Ratings for an underlying index represent the average of the ratings of all the securities includedin that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings availableat May 31, 2014. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”62 Dynamic Risk Allocation Fund
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PutnamDynamic RiskAllocation FundFU
Page 3 and 4:
Message from the TrusteesDear Fello
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PerformancesnapshotAnnualized total
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program late in 2013 and end it by
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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 and 58: FORWARD CURRENCY CONTRACTS at 5/31/
Page 59 and 60: FORWARD CURRENCY CONTRACTS at 5/31/
Page 61: OTC TOTAL RETURN SWAP CONTRACTS OUT
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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