Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is basedupon 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 areobservable, 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 inputsInvestments in securities: Level 1 Level 2 Level 3Common stocks*:Basic materials $3,570,299 $570,125 $—Capital goods 3,077,787 595,815 —Communication services 1,968,112 269,108 —Conglomerates 1,264,374 34,223 —Consumer cyclicals 10,090,985 1,168,847 —Consumer staples 7,165,356 654,147 —Energy 5,941,976 115,479 —Financials 20,050,110 2,537,472 —Health care 9,450,586 115,488 —Technology 7,504,278 906,048 —Transportation 2,354,487 527,193 —Utilities and power 2,414,231 22,929 —Total common stocks 74,852,581 7,516,874 —Commodity linked notes — 7,931,271 —Convertible bonds and notes — 48,344 —Convertible preferred stocks — 34,802 —Corporate bonds and notes — 33,492,661 —Investment companies 14,112 — —Mortgage-backed securities — 7,511,210 —Preferred stocks 70,673 106,536 —Purchased options outstanding — 631,076 —Senior loans — 290,115 —U.S. government and agency mortgage obligations — 7,492,032 —U.S. treasury obligations — 472,199 —Short-term investments 47,522,631 10,374,938 —Totals by level $122,459,997 $75,902,058 $—The accompanying notes are an integral part of these financial statements.Valuation inputsOther financial instruments: Level 1 Level 2 Level 3Forward currency contracts $— $(140,141 ) $—Futures contracts 872 — —Written options outstanding — (126,890 ) —Interest rate swap contracts — 1,995,888 —Total return swap contracts — (1,040,015 ) —Credit default contracts — 4,970,773 —Totals by level $872 $5,659,615 $—* Common stock classifications are presented at the sector level, which may differ from the fund’sportfolio presentation.Dynamic Risk Allocation Fund63
Statement of assets and liabilities 5/31/14ASSETSInvestment in securities, at value, including $20,664 of securities on loan (Note 1):Unaffiliated issuers (identified cost $136,405,815) $151,618,124Affiliated issuers (identified cost $46,743,931) (Notes 1 and 5) 46,743,931Cash 199,554Foreign currency (cost $7,318) (Note 1) 8,244Dividends, interest and other receivables 809,839Receivable for shares of the fund sold 663,580Receivable for investments sold 315,562Receivable for variation margin (Note 1) 90,587Unrealized appreciation on forward currency contracts (Note 1) 204,770Unrealized appreciation on OTC swap contracts (Note 1) 2,140,348Premium paid on OTC swap contracts (Note 1) 1,407,289Prepaid assets 22,580Total assets 204,224,408LIABILITIESPayable for investments purchased 777,697Payable for purchases of delayed delivery securities (Note 1) 7,431,131Payable for shares of the fund repurchased 110,194Payable for compensation of Manager (Note 2) 92,912Payable for custodian fees (Note 2) 54,636Payable for investor servicing fees (Note 2) 61,019Payable for Trustee compensation and expenses (Note 2) 10,932Payable for administrative services (Note 2) 570Payable for distribution fees (Note 2) 31,440Payable for variation margin (Note 1) 125,738Unrealized depreciation on OTC swap contracts (Note 1) 2,901,817Premium received on OTC swap contracts (Note 1) 37,451Unrealized depreciation on forward currency contracts (Note 1) 344,911Written options outstanding, at value (premiums $51,227) (Notes 1 and 3) 126,890Collateral on securities loaned, at value (Note 1) 21,300Collateral on certain derivative contracts, at value (Note 1) 1,867,080Other accrued expenses 93,448Total liabilities 14,089,166Net assets $190,135,242REPRESENTED BYPaid-in capital (Unlimited shares authorized) (Notes 1 and 4) $172,954,961Undistributed net investment income (Note 1) 93,318Accumulated net realized gain on investments and foreign currency transactions (Note 1) 586,293Net unrealized appreciation of investments and assets and liabilities in foreign currencies 16,500,670Total — Representing net assets applicable to capital shares outstanding $190,135,242(Continued on next page)64 Dynamic Risk Allocation Fund
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PutnamDynamic RiskAllocation FundFU
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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
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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 and 62: OTC TOTAL RETURN SWAP CONTRACTS OUT
Page 63: OTC CREDIT DEFAULT CONTRACTS OUTSTA
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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Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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