George Putnam
Balanced
Fund

Annual report
7 | 31 | 21

 

Message from the Trustees

September 10, 2021

Dear Fellow Shareholder:

Through the summer months of 2021, financial markets continued to rise. Stocks were powered by new highs in corporate earnings, and bonds appreciated despite an uptick in inflation. Experts at Putnam believe inflation will likely be temporary, caused by an uneven recovery from the Covid-19 pandemic.

Even as the economy returns to a more normal trajectory, the evolving pandemic remains a justifiable concern. During these unsettled times, well-managed companies have tried to be flexible and resilient, adapting to conditions while focusing on their goals.

Putnam’s research teams also remain focused on their objectives. They analyze and debate how businesses are adjusting to these challenges as they work to identify investment opportunities for our portfolios. We believe this active approach is well-suited to this time.

Thank you for investing with Putnam.

George Putnam Balanced Fund was introduced in 1937, at a time when many investors considered the stock market to be risky. Named for the founder of Putnam Investments, the fund offered an innovative concept for the time — a diversified portfolio with bonds to balance the risk of stocks.

A balanced approach, grounded in research

The fund’s classic balanced approach continues to serve investors today, under the leadership of seasoned portfolio managers who use fundamental research to find opportunities and manage risk.

Diversification does not guarantee a profit or ensure against loss. It is possible to lose money in a diversified portfolio.

 

Experienced managers pursue a broad range of opportunities

The fund’s typical allocation is 60% stocks and 40% bonds. In managing the stock portion of the portfolio, Kate Lakin pursues a risk-aware style, investing in stocks across all sectors that may have value or growth characteristics. For the fund’s fixed-income investments, Paul Scanlon and Andrew Benson assemble a mix of government and investment-grade bonds. Historically, government bonds have shown relatively low correlation with stocks, which can help to dampen the impact of stock market downturns on fund performance.

Data are historical. Past performance is not a guarantee of future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. For the most recent month-end performance, visit putnam.com. Performance assumes reinvestment of distributions and does not account for taxes. Returns for class A shares do not reflect a sales charge of 5.75%. Had a sales charge been reflected, returns would have been lower. Returns for other classes of shares may vary. The period illustrated is longer than the investment horizon of many investors.

The chart is plotted on a logarithmic scale so that comparable percentage changes appear similar.

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 10–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

Returns for periods of less than one year are not annualized.

All Bloomberg indices provided by Bloomberg Index Services Limited.

Lipper peer group average provided by Lipper, a Refinitiv company.

* George Putnam Blended Index is an unmanaged index administered by Putnam Management, 60% of which is the S&P 500 Index and 40% of which is the Bloomberg U.S. Aggregate Bond Index.

† The fund’s benchmarks (George Putnam Blended Index and S&P 500 Index) were introduced on 12/31/78 and 12/31/69, respectively, and its Lipper group (Balanced Funds) was introduced on 12/31/59; they all post-date the inception of the fund’s class A shares.

This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 7/31/21. See above and pages 10–13 for additional fund performance information. Index descriptions can be found on pages 17–18.

All Bloomberg indices provided by Bloomberg Index Services Limited.

 

How did stocks perform during the reporting period?

KATE Stocks performed strongly during the period. Record fiscal and monetary stimulus, positive vaccine developments in 2020, and signs of global economic recovery boosted investor optimism. As the world’s economies reopened, stocks in cyclical sectors, such as industrials, materials, and financials, rose sharply from their pandemic-driven lows in early 2020. For the first time in a decade, value stocks began to outperform growth stocks.

At the beginning of the reporting period, in September and October, we saw increased market volatility as investors grappled with an uptick in global Covid-19 cases and uncertainty leading up to the U.S. presidential election. The promise of more government stimulus and the approval of the world’s first Covid-19 vaccine in November renewed investor confidence. A $900 billion U.S. stimulus bill passed in mid-December 2020 also boosted market sentiment.

After a positive start to the new year, vaccine shortages and rising inflation, along with a sell-off of global technology stocks, curbed investor enthusiasm. In March 2021, President Biden’s $1.9 trillion pandemic relief bill and the anticipation of a massive U.S. infrastructure bill fueled growth expectations. Most importantly,

 

Allocations are shown as a percentage of the fund’s net assets as of 7/31/21. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

This table shows the fund’s top 10 equity holdings by percentage of the fund’s net assets as of 7/31/21. Short-term investments and derivatives, if any, are excluded. Summary information may differ from the portfolio schedule included in the financial statements due to the use of different classifications of securities for presentation purposes. Holdings may vary over time.

 

in our view, better-than-expected corporate earnings helped stocks advance on strong fundamentals, which moved well past pre-pandemic levels during the period.

How did bonds perform during the period?

PAUL The Federal Reserve [Fed] was steadfast in its efforts to support the U.S. economy. Borrowing costs remained low, with short-term interest rates held in the range of 0.00% to 0.25%. In December 2020, the central bank pledged to buy at least $120 billion in bonds each month to help improve liquidity until its goals for full employment and target inflation were met. Credit markets performed well overall, with spreads tightening across the quality spectrum. [Bond prices rise as spreads tighten and fall as spreads widen.] Stimulus-fueled growth and inflation expectations drove yields higher on all but the very short-term government debt during the first quarter of calendar 2021. The Fed took a more hawkish stance in June 2021 when it signaled it may raise short-term interest rates sooner than anticipated. The Fed tempered its tone in July 2021, suggesting it needed to see more progress in the U.S. jobs market before tightening monetary policy. Against this backdrop, the yield on the benchmark 10-year U.S. Treasury note rose to 1.24% at period-end from 0.56% at the start of the period. Investment-grade [IG] corporate bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, posted a loss of 0.70% for the period.

How did the fund perform for the period?

KATE The fund’s class A shares returned 20.84%, outperforming its primary benchmark, the George Putnam Blended Index, which returned 20.50% for the period.

Could you highlight some stocks that contributed to performance relative to the primary benchmark?

KATE Investment bank and financial services firm The Goldman Sachs Group was a top contributor over the period. As companies rushed to capitalize on improving economic conditions, IPO [initial public offering] and M&A [merger and acquisition] deal flow increased, creating a healthy backlog for Goldman’s investment banking division. The company also benefited from the sale of older equity investments, a surge in trading activity, and increased transactional volume from its retail bank Marcus.

Alternative asset manager KKR & Co., which is not held in the primary benchmark, was another highlight. The company’s February 2021 acquisition of Global Atlantic Financial Group, a retirement and life insurance provider, added $90 billion to KKR’s assets under management. Along with strong asset growth, robust M&A activity and a secular shift toward alternative investments provided tailwinds for the stock. KKR raised $59 billion in capital in the second quarter of 2021 — more than all it raised in calendar 2020.

NXP Semiconductors, a Dutch global semiconductor chip manufacturer, was another top performer. NXP supplies embedded connectivity solutions that help power innovative applications for internet, automotive, industrials, mobile, and communications infrastructure end markets. As global production lines reopened, NXP benefited from accelerated demand and higher chip prices, which boosted its earnings and cash flows.

What about detractors from performance?

KATE Fidelity National Information Services [FIS] was the fund’s top detractor. U.S.-based FIS delivers payment-processing solutions to merchants, banks, and capital markets worldwide. The firm’s brick-and-mortar

 

business, which closed during pandemic lockdowns, struggled to recover despite improved economic conditions. Increased competition in the financial technology and electronic payment sectors, and FIS’s ability to compete, also began to weigh on investors. However, we think FIS’s challenges are reflected in its stock price, and the company has room for appreciation. We continue to own the stock.

An underweight position in entertainment and media giant The Walt Disney Company also dampened relative results. The company’s pivot into digital streaming [the Disney+ service was launched in November 2019] has helped offset some revenue weakness from legacy Disney parks and experiences. We believe, however, that Disney is at risk of product cannibalization [when a new product takes sales from an existing product], which could cut into future profits. For this reason, we maintain an underweight position in the stock.

Our decision not to own financial services firm JPMorgan Chase, which performed strongly during the period, also detracted from relative results. The reopening of the economy caused a rise in transactional volume that benefited JPMorgan’s consumer and business banking division. As the largest U.S. bank by market value, however, JPMorgan remains overvalued, in our view, and we prefer other banks.

How did the fund’s corporate bond investments perform for the period?

PAUL Allocations to corporate bonds represented roughly 14% of the fund’s total assets for the period. U.S. IG corporate bonds were a positive contributor to performance, as spreads across the sector continued to tighten significantly.

Top performers in our bond portfolio included those issued in the technology and utility distribution sectors. In addition, issuers in the banking and life insurance industries performed

This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

 

well. Positive performance was marginally offset by positioning within pharmaceuticals and media, specifically in the cable industry.

What is your outlook for the IG corporate bond market?

PAUL We have a constructive outlook for IG corporate bonds for the remainder of 2021. Our positive outlook for fundamentals and technicals supports our neutral view on valuation. Our view on positive fundamentals is underpinned by the broad distribution of vaccines and ample U.S. stimulus. IG corporates have benefited from shedding a record number of fallen angels [companies downgraded from IG to sub-IG] in 2020, as well as extensive cost improvements implemented during the pandemic.

We believe that balance sheets are healthy, with leverage at or near its peak, and liquidity metrics are strong following record issuance in calendar 2020. At the same time, we are mindful of potential risks, including delays in vaccine distribution and the spread of new Covid-19 variants, which could create a more volatile operating environment for weaker companies. Increased M&A activity also could increase immediate leverage.

IG market technicals are robust, in our view. On the supply side, new issuance in July 2021 totaled $101.1 billion, up 7% year-over-year. Year-to-date [as of period-end] new issuance reached $1.1 trillion, a decline of 26% year-over-year. On the demand side, retail inflows totaled $21.7 billion in July. International institutional demand persists, given low hedging costs and low interest rates globally. Valuations, while less attractive than they were, should continue to be supported by robust demand from liability-based and foreign institutional investors, in our view.

What is your outlook for stocks and the fund?

KATE Overall, we have a positive outlook for equities for the remainder of 2021. We are encouraged by the record number of companies that have beat analysts’ earnings estimates for the first quarter of 2021. This trend has also continued into the second quarter. While corporate earnings momentum is encouraging, we believe many segments of the economy still have room for growth.

Additional government stimulus and strong consumer spending should propel economic recoveries, in our view. Yet, as inflation concerns rise, we will continue to monitor the impact of a more hawkish Fed policy. New variants and rising cases of Covid-19 worldwide continue to present challenges to the economy, along with the safety and health of our society.

For the fund, our analysts use bottom-up, fundamental research to identify companies with the potential for capital appreciation. Our focus on individual companies and our limited factor exposures provide greater downside protection, in our view, against broader risks of the global economy.

Kate and Paul, thanks for your time and for bringing us up to date.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

Of special interest

During the period, income earned by the fund declined due to falling interest rates and lower dividend payments made by companies held in the portfolio. As a result, the fund reduced its quarterly distribution rate for class A shares from $0.071 to $0.047 in August 2020 and from $0.047 to $0.036 in February 2021. Similar decreases were made to other share classes of the fund.

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended July 31, 2021, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R5, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.

Fund performance Total return for periods ended 7/31/21

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Performance for class R5 and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R5 and R6 shares; had it, returns would have been higher.

 

For a portion of the periods, the fund had expense limitations, without which returns would have been lower. Class B and C share performance reflects conversion to class A shares after eight years.

Comparative index returns For periods ended 7/31/21

 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

All Bloomberg indices provided by Bloomberg Index Services Limited.

Lipper peer group average provided by Lipper, a Refinitiv company.

^* The fund’s benchmarks (George Putnam Blended Index and S&P 500 Index) were introduced on 12/31/78 and 12/31/69, respectively, the Bloomberg U.S. Aggregate Bond Index was introduced on 12/31/75, and its Lipper group (Balanced Funds) was introduced on 12/31/59; they all post-date the inception of the fund’s class A shares.

^† George Putnam Blended Index is an unmanaged index administered by Putnam Management, 60% of which is the S&P 500 Index and 40% of which is the Bloomberg U.S. Aggregate Bond Index.

^‡ Over the 1-year, 3-year, 5-year, and 10-year periods ended 7/31/21, there were 525, 505, 477, and 389 funds, respectively, in this Lipper category.

Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and C shares would have been valued at $25,681 and $25,699, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $25,037. A $10,000 investment in the fund’s class R, R5, R6, and Y shares would have been valued at $26,603, $28,003, $28,198, and $27,966, respectively.

 

Fund price and distribution information For the 12-month period ended 7/31/21

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

¹ Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

² Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

 

Fund performance as of most recent calendar quarter Total return for periods ended 6/30/21

 

See the discussion following the fund performance table on page 10 for information about the calculation of fund performance.

 

Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

 

Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

^* Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 2/1/21 to 7/31/21. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 7/31/21. The expense ratio may differ for each share class.

^† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (181); and then dividing that result by the number of days in the year (365).

 

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 7/31/21, use the following calculation method. To find the value of your investment on 2/1/21, call Putnam at 1-800-225-1581.

Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 7/31/21. The expense ratio may differ for each share class.

^† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (181); and then dividing that result by the number of days in the year (365).

 

Consider these risks before investing

The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund.

You can lose money by investing in the fund.

 

Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares are closed to new investments except through certain eligible employer sponsored retirement plans and certain eligible plan record-keepers. They have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R5 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.

Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Comparative indexes

Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

ICE BofA (Intercontinental Exchange Bank of America) U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

 

George Putnam Blended Index is an unmanaged index administered by Putnam Management, LLC, 60% of which is the S&P 500 Index and 40% of which is the Bloomberg U.S. Aggregate Bond Index.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG^®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of July 31, 2021, Putnam employees had approximately $569,000,000 and the Trustees had approximately $80,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

 

Liquidity risk management program

Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2021. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2020 through December 2020. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2020. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.

 

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

 

Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2021, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2021, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2021 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2021. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.) The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund, and the application of certain reductions and waivers noted below; and

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with certain exceptions primarily involving newly

 

launched or repositioned funds, the current fee arrangements under the vast majority of the funds’ management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.) In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. The Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2020. These expense limitations were: (i) a contractual expense limitation applicable to specified open-end funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2020. Putnam Management and PSERV have agreed to maintain these expense limitations until at least November 30, 2022. Putnam Management and PSERV’s commitment to these expense limitation arrangements, which were intended to support an effort to have fund expenses meet competitive standards, was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the second quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2020. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2020 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution and investor servicing

 

contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place for the Putnam funds, including the fee schedule for your fund, represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including defined benefit pension and profit-sharing plans, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management’s newly launched exchange-traded funds. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, in the aggregate, The Putnam Funds generally performed well in 2020, which Putnam Management characterized as a challenging year with significant volatility and varied market dynamics. On an asset-weighted basis, the Putnam funds ranked in the second quartile of their peers as determined by Lipper Inc. (“Lipper”) for the year ended December 31, 2020 and, on an asset-weighted-basis, delivered a gross return that was 2.3% ahead of their benchmarks in 2020. In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In this regard, the Trustees observed that The Putnam Funds’ relative performance, as reported in the Barron’s/Lipper Fund Families survey, continued to be exceptionally strong over the long term, with The Putnam Funds ranking as the 3rd best performing mutual fund complex out of 44 complexes for the ten-year period, with 2020 marking the fourth consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees noted that The Putnam Funds’ performance was solid over the one- and five-year periods, with The Putnam Funds ranking 22nd out of 53 complexes and 14th out of 50 complexes, respectively. In addition to the Barron’s/Lipper Fund Families Survey, the Trustees also considered the funds’ ratings assigned by Morningstar Inc., noting that 26 of the funds were four- or five-star rated at the end of 2020 (representing an increase of four funds year-over-year) and that this included seven funds that had achieved a five-star rating (representing

 

an increase of two funds year-over-year). They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2020 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds and evaluate whether additional actions to address areas of underperformance may be warranted.

For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper Balanced Funds) for the one-year, three-year and five-year periods ended December 31, 2020 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

 

For the three-year and five-year periods ended December 31, 2020, your fund’s performance was in the top decile of its Lipper peer group. Over the one-year, three-year and five-year periods ended December 31, 2020, there were 529, 511 and 478 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.) The Trustees considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2020 to strengthen its investment team.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contract and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the investor services provided by PSERV were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.

 

Audited financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of
George Putnam Balanced Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of George Putnam Balanced Fund (the “Fund”) as of July 31, 2021, the related statement of operations for the year ended July 31, 2021, the statement of changes in net assets for each of the two years in the period ended July 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended July 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2021 and the financial highlights for each of the five years in the period ended July 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
September 10, 2021

We have served as the auditor of one or more investment companies in the Putnam Investments family of mutual funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.

 

The fund’s portfolio 7/31/21

COMMON STOCKS (61.1%)*	Shares	Value
Automotive (1.4%)
Climate Change Crisis Real Impact I Acquisition Corp. Class A (acquired 1/22/21, cost $5,038,970) (Private) † ∆∆ F P2	503,897	$5,686,982
General Motors Co. †	41,922	2,382,846
Tesla, Inc. †	21,715	14,922,548
United Rentals, Inc. †	12,616	4,157,603
		27,149,979
Basic materials (1.4%)
Alamos Gold, Inc. Class A (Canada) S	174,239	1,414,821
Anglo American PLC (United Kingdom)	36,270	1,608,501
Corteva, Inc.	54,454	2,329,542
Diversey Holdings, Ltd. †	54,977	917,016
Dow, Inc.	29,974	1,863,184
DuPont de Nemours, Inc.	20,830	1,563,292
Eastman Chemical Co.	14,214	1,602,202
Fortune Brands Home & Security, Inc.	10,375	1,011,251
Freeport-McMoRan, Inc. (Indonesia)	57,117	2,176,158
Linde PLC	12,748	3,918,608
Newmont Corp.	40,909	2,569,903
Sherwin-Williams Co. (The)	18,986	5,525,496
		26,499,974
Capital goods (4.0%)
Avery Dennison Corp.	21,895	4,612,839
Ball Corp.	23,052	1,864,446
Boeing Co. (The) †	8,849	2,004,122
CAE, Inc. (Canada) †	53,243	1,624,688
Deere & Co.	13,558	4,902,437
Eaton Corp. PLC	62,183	9,828,023
Emerson Electric Co.	58,199	5,871,697
General Dynamics Corp.	15,326	3,004,356
Honeywell International, Inc.	40,817	9,542,606
Ingersoll Rand, Inc. †	51,369	2,510,403
Johnson Controls International PLC	119,244	8,516,406
Northrop Grumman Corp.	20,219	7,339,901
Otis Worldwide Corp.	68,359	6,121,548
Raytheon Technologies Corp.	116,608	10,139,066
		77,882,538
Commercial and consumer services (3.0%)
Aramark	63,802	2,241,364
Booking Holdings, Inc. †	2,809	6,118,732
CoStar Group, Inc. †	37,710	3,350,534
Ecolab, Inc.	8,639	1,907,750
Mastercard, Inc. Class A	51,874	20,020,252
PayPal Holdings, Inc. †	88,306	24,330,952
		57,969,584
Communication services (0.1%)
T-Mobile US, Inc. †	10,705	1,541,734
		1,541,734

COMMON STOCKS (61.1%)* cont.	Shares	Value
Computers (2.5%)
Apple, Inc.	331,734	$48,386,721
		48,386,721
Conglomerates (0.2%)
General Electric Co.	238,955	3,094,467
		3,094,467
Consumer staples (3.7%)
Altria Group, Inc.	73,025	3,508,121
Bunge, Ltd.	9,565	742,531
Chipotle Mexican Grill, Inc. †	3,009	5,607,091
Coca-Cola Co. (The)	146,520	8,356,036
Constellation Brands, Inc. Class A	4,966	1,114,072
Costco Wholesale Corp.	5,209	2,238,411
McCormick & Co., Inc. (non-voting shares)	39,344	3,311,584
Molson Coors Beverage Co. Class B † S	61,475	3,005,513
PepsiCo, Inc.	98,142	15,403,387
Procter & Gamble Co. (The)	132,443	18,837,368
Sea, Ltd. ADR (Thailand) †	31,996	8,836,015
		70,960,129
Electronics (2.4%)
NVIDIA Corp.	117,688	22,947,983
NXP Semiconductors NV	60,823	12,553,259
ON Semiconductor Corp. †	137,912	5,386,843
Vontier Corp.	157,337	5,089,852
		45,977,937
Energy (1.6%)
Cairn Energy PLC (United Kingdom)	891,540	1,582,511
Cenovus Energy, Inc. (Canada)	1,094,882	9,135,718
Exxon Mobil Corp.	239,578	13,792,505
Phillips 66	1,518	111,467
Royal Dutch Shell PLC Class A (United Kingdom)	192,999	3,871,655
TotalEnergies SE (France)	64,185	2,794,317
		31,288,173
Financials (7.8%)
AIA Group, Ltd. (Hong Kong)	299,400	3,591,412
American International Group, Inc.	205,410	9,726,164
Apollo Global Management, Inc.	134,133	7,895,068
Assured Guaranty, Ltd.	262,063	12,529,232
AXA SA (France)	284,534	7,385,119
Berkshire Hathaway, Inc. Class B †	13,108	3,647,825
Boston Properties, Inc. R	25,718	3,018,779
Citigroup, Inc.	365,081	24,686,777
Gaming and Leisure Properties, Inc. R	227,734	10,780,928
Goldman Sachs Group, Inc. (The)	51,939	19,470,892
Hartford Financial Services Group, Inc. (The)	31,672	2,014,973
KKR & Co., Inc. Class A	169,075	10,780,222
Morgan Stanley	80,613	7,737,236
Prudential PLC (United Kingdom)	497,487	9,380,298
Quilter PLC (United Kingdom)	2,491,998	5,556,063
Visa, Inc. Class A	61,305	15,104,939
		153,305,927

COMMON STOCKS (61.1%)* cont.	Shares	Value
Gaming and lottery (0.8%)
Evolution AB (Sweden)	67,663	$11,787,026
Penn National Gaming, Inc. † S	40,711	2,783,818
		14,570,844
Health care (8.1%)
Abbott Laboratories	74,138	8,969,215
AbbVie, Inc.	112,419	13,074,330
Amgen, Inc.	12,550	3,031,327
Anthem, Inc.	11,369	4,365,810
Bio-Rad Laboratories, Inc. Class A †	8,939	6,610,480
Biogen, Inc. †	15,967	5,216,898
Boston Scientific Corp. †	119,091	5,430,550
Bristol-Myers Squibb Co.	55,132	3,741,809
Cigna Corp.	28,412	6,520,270
Cooper Cos., Inc. (The)	7,786	3,283,901
CVS Health Corp.	38,318	3,155,870
Danaher Corp.	36,354	10,814,951
DexCom, Inc. †	7,723	3,981,284
Edwards Lifesciences Corp. †	37,506	4,210,799
Eli Lilly and Co.	29,236	7,118,966
Gilead Sciences, Inc.	36,732	2,508,428
Intuitive Surgical, Inc. †	4,063	4,028,302
Ironwood Pharmaceuticals, Inc. †	302,041	4,008,084
Johnson & Johnson	53,066	9,137,965
McKesson Corp.	10,205	2,080,085
Medtronic PLC	32,068	4,210,849
Merck & Co., Inc.	62,388	4,795,766
Pfizer, Inc.	119,693	5,124,057
Regeneron Pharmaceuticals, Inc. †	9,271	5,327,209
Thermo Fisher Scientific, Inc.	21,175	11,434,712
UnitedHealth Group, Inc.	32,890	13,557,916
Zimmer Biomet Holdings, Inc.	16,894	2,760,817
		158,500,650
Homebuilding (0.2%)
PulteGroup, Inc.	73,080	4,009,900
		4,009,900
Lodging/Tourism (0.3%)
Hilton Worldwide Holdings, Inc. †	42,768	5,621,854
		5,621,854
Media (0.2%)
Walt Disney Co. (The) †	23,263	4,094,753
		4,094,753
Miscellaneous (0.1%)
Soaring Eagle (acquired 5/11/21, cost $1,206,000) (Private) † ∆∆ F P1	120,600	1,071,290
		1,071,290
Retail (6.6%)
Advance Auto Parts, Inc.	8,025	1,701,769
Amazon.com, Inc. †	17,650	58,731,964
BJ’s Wholesale Club Holdings, Inc. † S	20,430	1,034,575
Burlington Stores, Inc. †	3,802	1,272,910

COMMON STOCKS (61.1%)* cont.	Shares	Value
Retail cont.
CarMax, Inc. †	31,443	$4,211,790
Home Depot, Inc. (The)	69,192	22,708,122
L Brands, Inc.	25,282	2,024,330
lululemon athletica, Inc. (Canada) †	3,381	1,352,975
Nike, Inc. Class B	41,361	6,928,381
O’Reilly Automotive, Inc. †	4,215	2,545,186
Target Corp.	45,002	11,747,772
TJX Cos., Inc. (The)	51,518	3,544,954
Walmart, Inc.	82,762	11,797,723
		129,602,451
Semiconductor (0.5%)
Applied Materials, Inc.	64,099	8,969,373
		8,969,373
Software (6.6%)
Activision Blizzard, Inc.	107,701	9,005,958
Adobe, Inc. †	30,748	19,113,879
Intuit, Inc.	22,278	11,806,672
Microsoft Corp.	265,212	75,561,551
Oracle Corp.	152,055	13,250,073
		128,738,133
Technology services (6.3%)
Alphabet, Inc. Class A †	24,060	64,830,392
Facebook, Inc. Class A †	104,174	37,117,196
Fidelity National Information Services, Inc.	139,799	20,837,041
		122,784,629
Textiles (0.1%)
Levi Strauss & Co. Class A	39,230	1,079,610
		1,079,610
Toys (0.1%)
Hasbro, Inc.	18,068	1,796,682
		1,796,682
Transportation (1.2%)
CSX Corp.	101,028	3,265,225
Southwest Airlines Co. †	52,789	2,666,900
Union Pacific Corp.	75,820	16,586,383
		22,518,508
Utilities and power (1.9%)
Ameren Corp.	38,157	3,202,135
CenterPoint Energy, Inc.	77,218	1,965,970
Exelon Corp.	166,681	7,800,671
NextEra Energy, Inc.	106,597	8,303,906
NRG Energy, Inc.	391,238	16,134,655
		37,407,337
Total common stocks (cost $842,532,032)		$1,184,823,177

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (7.7%)*	Principal amount	Value
U.S. Government Guaranteed Mortgage Obligations (1.4%)
Government National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 2/20/49 to 10/20/49	2,397,600	$2,638,569
4.50%, with due dates from 3/20/49 to 10/20/49	514,358	563,867
4.00%, 4/15/43	2,663,707	2,944,645
3.50%, with due dates from 11/15/47 to 4/20/51	13,152,379	14,378,803
3.00%, with due dates from 7/20/46 to 10/20/46	3,600,622	3,820,513
2.00%, 1/20/51	1,977,526	2,027,378
		26,373,775
U.S. Government Agency Mortgage Obligations (6.3%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
6.00%, 3/1/35	825	964
4.00%, with due dates from 7/1/42 to 7/1/49	3,964,642	4,279,186
3.50%, with due dates from 12/1/42 to 4/1/43	343,074	377,584
3.00%, with due dates from 3/1/43 to 2/1/47	1,492,635	1,581,355
2.50%, with due dates from 7/1/50 to 2/1/51	1,718,342	1,803,260
Federal National Mortgage Association Pass-Through Certificates
5.50%, with due dates from 7/1/33 to 11/1/38	972,235	1,118,308
5.00%, with due dates from 8/1/33 to 1/1/39	287,131	323,909
4.50%, with due dates from 5/1/48 to 2/1/49	3,290,303	3,602,407
4.00%, with due dates from 9/1/45 to 4/1/49	3,375,662	3,632,711
3.50%, 5/1/56	1,148,887	1,258,347
3.50%, with due dates from 5/1/43 to 12/1/49	8,441,841	8,992,972
3.00%, with due dates from 2/1/43 to 3/1/47	4,571,526	4,904,863
3.00%, 12/1/30	1,551,610	1,634,355
2.50%, with due dates from 7/1/50 to 7/1/51	51,858,207	54,290,899
2.00%, 10/1/50	11,909,058	12,154,110
2.00%, with due dates from 10/1/27 to 8/1/28	3,799,439	3,944,962
Uniform Mortgage-Backed Securities
4.50%, TBA, 8/1/51	3,000,000	3,234,258
4.00%, TBA, 9/1/51	1,000,000	1,068,906
4.00%, TBA, 8/1/51	3,000,000	3,204,961
3.50%, TBA, 9/1/51	2,000,000	2,115,158
3.50%, TBA, 8/1/51	2,000,000	2,119,454
3.00%, TBA, 9/1/51	1,000,000	1,046,132
3.00%, TBA, 8/1/51	1,000,000	1,048,203
2.50%, TBA, 9/1/51	1,000,000	1,039,492
2.50%, TBA, 8/1/51	2,000,000	2,083,516
2.00%, TBA, 8/1/51	2,000,000	2,039,723
		122,899,995
Total U.S. government and agency mortgage obligations (cost $146,630,108)		$149,273,770

U.S. TREASURY OBLIGATIONS (13.0%)*	Principal amount	Value
U.S. Treasury Bonds
3.125%, 11/15/41 i	$500,000	$617,235
3.00%, 2/15/47	11,500,000	14,106,432
2.75%, 8/15/42 # ∆	25,180,000	29,211,459
1.25%, 5/15/50	10,760,000	9,159,030

U.S. TREASURY OBLIGATIONS (13.0%)* cont.	Principal amount	Value
U.S. Treasury Notes
2.75%, 2/15/24	$23,410,000	$24,881,145
2.375%, 8/15/24	29,030,000	30,801,437
2.25%, 11/15/27	12,740,000	13,796,258
2.125%, 12/31/22	11,770,000	12,099,899
2.00%, 11/30/22 i	159,000	163,506
1.75%, 11/15/29 i	9,000	9,492
1.625%, 2/15/26	9,670,000	10,099,634
1.625%, 10/31/23	18,870,000	19,458,880
1.50%, 2/15/30	12,010,000	12,355,757
1.50%, 3/31/23	22,000,000	22,491,084
1.125%, 2/28/25	29,610,000	30,297,044
0.25%, 6/15/23	23,390,000	23,423,806
Total U.S. treasury obligations (cost $250,738,270)		$252,972,098

CORPORATE BONDS AND NOTES (14.1%)*		Principal amount	Value
Basic materials (0.8%)
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany)		$289,000	$309,045
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany)		750,000	751,622
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26		1,595,000	1,847,365
Georgia-Pacific, LLC 144A sr. unsec. sub. notes 2.10%, 4/30/27		1,525,000	1,592,397
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30		1,998,000	2,015,288
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29		1,600,000	1,844,101
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28		625,000	733,943
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50		204,000	222,003
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30		356,000	364,248
International Paper Co. sr. unsec. notes 8.70%, 6/15/38		10,000	17,094
Nutrien, Ltd. sr. unsec. notes 2.95%, 5/13/30 (Canada)		1,305,000	1,403,001
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27		801,000	890,172
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30		1,040,000	1,484,843
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31		187,000	270,156
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R		553,000	805,229
			14,550,507
Capital goods (0.6%)
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27		1,045,000	1,046,066
Berry Global, Inc. 144A company guaranty sr. unsub. notes 1.57%, 1/15/26		1,225,000	1,232,105
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60		670,000	926,918
Boeing Co. (The) sr. unsec. notes 4.875%, 5/1/25		685,000	768,134
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47		1,145,000	1,463,038

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Capital goods cont.
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31		$480,000	$473,218
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26		940,000	1,060,991
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28		510,000	595,973
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28		1,619,000	1,780,457
Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30		164,000	176,659
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30		695,000	734,292
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29		1,010,000	1,127,745
			11,385,596
Communication services (1.6%)
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31 R		1,953,000	2,047,861
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R		921,000	979,647
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R		686,000	730,268
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27		1,227,000	1,284,667
AT&T, Inc. sr. unsec. unsub. bonds 3.30%, 2/1/52		1,700,000	1,692,865
AT&T, Inc. sr. unsec. unsub. bonds 2.25%, 2/1/32		1,107,000	1,103,683
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46		132,000	162,117
AT&T, Inc. 144A sr. unsec. bonds 3.55%, 9/15/55		62,000	64,043
AT&T, Inc. 144A sr. unsec. unsub. bonds 2.55%, 12/1/33		2,013,000	2,030,782
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23		240,000	253,655
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. bonds 2.80%, 4/1/31		291,000	301,871
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 3.75%, 2/15/28		274,000	304,771
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45		1,055,000	1,484,128
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51		65,000	65,739
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47		506,000	625,956
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49		921,000	1,106,074
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27		481,000	509,245
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35		268,000	394,827
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26		9,000	9,816
Comcast Corp. sr. unsec. bonds 3.45%, 2/1/50		1,618,000	1,806,042
Cox Communications, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 10/1/50		766,000	728,977
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27		637,000	706,696
Cox Communications, Inc. 144A sr. unsec. notes 3.35%, 9/15/26		551,000	602,501
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R		458,000	514,713
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27 R		549,000	612,072
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47 R		185,000	233,406

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Communication services cont.
Crown Castle International Corp. sr. unsec. sub. bonds 3.30%, 7/1/30 R		$205,000	$223,247
Crown Castle International Corp. sr. unsec. sub. bonds 2.25%, 1/15/31		1,275,000	1,278,543
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R		1,483,000	1,614,655
Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada)		95,000	147,295
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada)		215,000	253,459
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21		59,688	59,896
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30		48,000	54,196
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27		1,762,000	1,964,419
T-Mobile USA, Inc. company guaranty sr. notes 2.55%, 2/15/31		695,000	711,437
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61		960,000	1,060,490
Verizon Communications, Inc. sr. unsec. notes 3.15%, 3/22/30		700,000	762,684
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31		480,000	499,059
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28		1,904,000	2,233,164
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada)		490,000	510,825
			31,729,791
Conglomerates (—%)
General Electric Co. jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 3.33%), 3.449%, perpetual maturity		689,000	673,498
			673,498
Consumer cyclicals (1.2%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada)		995,000	1,105,694
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada)		919,000	972,373
Amazon.com, Inc. sr. unsec. notes 4.05%, 8/22/47		1,105,000	1,365,345
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27		654,000	725,725
Amazon.com, Inc. sr. unsec. unsub. notes 1.50%, 6/3/30		600,000	594,156
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25		255,000	284,371
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31		454,000	456,540
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28		671,000	773,998
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21		390,000	390,344
Discovery Communications, LLC company guaranty sr. unsec. unsub. notes 3.625%, 5/15/30		473,000	521,509
General Motors Co. sr. unsec. bonds 5.95%, 4/1/49		553,000	757,163
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45		225,000	281,356
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26		287,000	318,416
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25		252,000	279,654
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25		175,000	191,317

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Consumer cyclicals cont.
Global Payments, Inc. sr. unsec. notes 2.90%, 5/15/30		$889,000	$944,551
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom)		1,415,000	1,579,494
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom)		350,000	388,938
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28		1,668,000	1,979,211
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27		1,449,000	1,688,390
Moody’s Corp. sr. unsec. bonds 2.55%, 8/18/60		585,000	537,512
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26		416,000	462,109
Omnicom Group, Inc. sr. unsec. sub. notes 2.45%, 4/30/30		1,330,000	1,375,115
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24		390,000	422,663
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29		1,550,000	1,655,952
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30		423,000	406,946
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27		1,115,000	1,167,963
ViacomCBS, Inc. company guaranty sr. unsec. bonds 4.20%, 6/1/29		360,000	419,535
ViacomCBS, Inc. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27		457,000	491,380
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26		198,000	221,065
ViacomCBS, Inc. sr. unsec. notes 4.20%, 5/19/32		8,000	9,359
Walt Disney Co. (The) company guaranty sr. unsec. bonds 4.75%, 9/15/44		30,000	40,095
			22,808,239
Consumer staples (1.0%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49		1,172,000	1,646,229
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42		200,000	256,612
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48		1,389,000	1,730,545
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29		827,000	994,764
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27		1,155,000	1,209,863
Ashtead Capital, Inc. 144A notes 4.00%, 5/1/28		1,190,000	1,252,475
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32		503,319	640,163
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37		1,434,000	2,177,770
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42		566,000	791,689
Keurig Dr Pepper, Inc. company guaranty sr. unsec. bonds 3.20%, 5/1/30		187,000	205,939
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31		905,000	926,314
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28		717,000	849,733
Kraft Heinz Foods Co. company guaranty sr. unsec. bonds 4.375%, 6/1/46		1,090,000	1,255,952

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Consumer staples cont.
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 4.875%, 10/1/49		$925,000	$1,153,702
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27		215,000	238,117
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26		816,000	841,949
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. unsub. notes 2.00%, 10/28/21 (Netherlands)		1,000,000	1,002,690
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26		1,660,000	1,883,170
			19,057,676
Energy (0.5%)
BG Energy Capital PLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 10/15/21 (United Kingdom)		250,000	251,750
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26		770,000	839,237
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28		690,000	793,243
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27		1,245,000	1,458,348
ConocoPhillips 144A company guaranty sr. unsec. notes 3.75%, 10/1/27		999,000	1,137,128
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26		780,000	842,237
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway)		550,000	743,626
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28		175,000	198,484
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27		878,000	1,023,459
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada)		1,285,000	1,379,576
			8,667,088
Financials (4.6%)
Air Lease Corp. sr. unsec. notes Ser. MTN, 3.00%, 2/1/30		1,625,000	1,679,383
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28		328,000	375,538
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29		928,000	980,493
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58		107,000	158,761
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42		1,265,000	1,505,859
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26		1,555,000	1,678,348
Australia & New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia)		920,000	906,401
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom)		200,000	235,000
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain)		1,200,000	1,375,560
Bank of America Corp. jr. unsec. sub. bonds Ser. JJ, 5.125%, perpetual maturity		1,135,000	1,210,239
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity		314,000	348,933
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31		715,000	736,776

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Financials cont.
Bank of America Corp. unsec. sub. FRN (BBA LIBOR USD 3 Month + 0.76%), 0.879%, 9/15/26		$275,000	$273,353
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37		600,000	833,953
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada)		390,000	433,949
Bank of Nova Scotia (The) sr. unsec. notes 2.00%, 11/15/22 (Canada)		3,100,000	3,169,001
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50		5,000	5,125
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43		808,000	1,025,796
BNP Paribas SA 144A jr. unsec. sub. FRN 4.625%, perpetual maturity (replace maturity with perpetual maturity) (France)		305,000	317,139
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France)		695,000	686,203
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France)		810,000	901,208
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France)		1,060,000	1,176,027
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R		1,213,000	1,294,192
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22		824,000	865,222
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32		1,447,000	1,460,310
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25		227,000	254,982
CIT Bank NA sr. unsec. FRN Ser. BKNT, 2.969%, 9/27/25		250,000	263,438
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25		1,894,000	2,135,485
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity (replace maturity with perpetual maturity)		1,580,000	1,625,425
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28		10,000	11,096
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46		1,540,000	1,981,828
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27		2,634,000	3,039,334
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25		241,000	274,234
Commonwealth Bank of Australia 144A unsec. sub. notes 2.688%, 3/11/31 (Australia)		535,000	543,200
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands)		250,000	272,816
Cooperative Rabobank UA company guaranty unsec. sub. notes 3.75%, 7/21/26 (Netherlands)		285,000	315,204
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France)		340,000	371,450
Credit Suisse AG sr. unsec. notes 1.00%, 5/5/23		3,100,000	3,133,773
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland)		443,000	492,032
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland)		320,000	328,843
Credit Suisse Group AG 144A unsec. sub. notes 6.50%, 8/8/23 (Switzerland)		729,000	803,480
Deutsche Bank AG unsec. sub. FRB 3.729%, 1/14/32 (Germany)		1,730,000	1,780,670
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R		1,395,000	1,637,646
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada)		1,225,000	1,428,407
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24		330,000	361,444
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity		217,000	224,270

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Financials cont.
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23		$425,000	$462,037
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51		1,055,000	1,062,913
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29		804,000	924,746
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27		1,477,000	1,635,332
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30		3,535,000	3,693,255
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40		963,000	946,761
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32		482,000	467,189
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy)		1,710,000	1,739,934
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity		195,000	212,306
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity		1,113,000	1,151,955
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD 3 Month + 1.00%), 1.156%, 5/15/47		664,000	569,277
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity		195,000	196,828
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48		1,710,000	2,023,387
JPMorgan Chase & Co. unsec. sub. FRB 2.956%, 5/13/31		2,338,000	2,489,956
KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29		105,000	118,985
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom)		315,000	359,321
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29		1,422,000	1,685,750
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70		1,457,000	1,607,257
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37		2,564,000	3,589,600
Morgan Stanley unsec. sub. notes Ser. GMTN, 4.35%, 9/8/26		3,409,000	3,882,405
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R		467,000	485,510
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27 R		194,000	203,236
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44		1,485,000	1,597,712
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada)		322,000	369,856
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France)		1,180,000	1,270,947
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan)		412,000	448,542
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39		263,000	408,258
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada)		759,000	847,131
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24		580,000	616,940
U.S. Bancorp unsec. sub. notes 3.00%, 7/30/29		1,955,000	2,141,858
UBS AG unsec. sub. notes 5.125%, 5/15/24 (Switzerland)		2,640,000	2,913,319
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity		580,000	653,950
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity		610,000	633,265
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38		1,095,000	1,635,192

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Financials cont.
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia)		$670,000	$808,191
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia)		597,000	600,825
			89,365,752
Health care (1.4%)
AbbVie, Inc. sr. unsec. notes 3.20%, 11/21/29		2,440,000	2,678,746
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51		710,000	938,422
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26		273,000	291,088
Becton Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30		820,000	872,122
Bristol-Myers Squibb Co. sr. unsec. notes 2.75%, 2/15/23		3,100,000	3,215,923
Bristol-Myers Squibb Co. sr. unsec. sub. notes 3.40%, 7/26/29		2,325,000	2,633,421
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23		1,008,000	1,070,464
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38		1,600,000	2,008,552
CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23		98,000	102,953
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36		536,687	615,294
DH Europe Finance II Sarl company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg)		1,425,000	1,594,606
DH Europe Finance II Sarl company guaranty sr. unsec. notes 2.60%, 11/15/29 (Luxembourg)		600,000	637,113
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26		143,000	166,601
HCA, Inc. company guaranty sr. bonds 3.50%, 7/15/51		341,000	352,088
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29		505,000	576,396
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47		270,000	359,108
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24		475,000	525,482
Service Corp. International sr. unsec. notes 4.625%, 12/15/27		185,000	194,713
Service Corp. International sr. unsec. notes 3.375%, 8/15/30		165,000	164,571
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31		1,335,000	1,378,187
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.00%, 5/15/30		1,602,000	1,639,717
Viatris, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 6/22/50		2,820,000	3,052,822
Viatris, Inc. 144A company guaranty sr. unsec. notes 2.30%, 6/22/27		565,000	581,202
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28		1,210,000	1,393,304
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30		306,000	310,058
			27,352,953
Technology (1.5%)
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60		1,200,000	1,087,536
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26		748,000	787,542
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61		3,480,000	3,450,072
Apple, Inc. sr. unsec. notes 1.65%, 5/11/30		15,000	15,055
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45		342,000	437,547
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43		486,000	585,981
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30		2,637,000	2,989,006
Broadcom, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 2/15/51		676,000	714,053
Cisco Systems, Inc./California sr. unsec. unsub. notes 3.625%, 3/4/24		3,100,000	3,355,805

CORPORATE BONDS AND NOTES (14.1%)* cont.		Principal amount	Value
Technology cont.
Dell International, LLC/EMC Corp. company guaranty sr. bonds 8.35%, 7/15/46		$271,000	$443,613
Fidelity National Information Services, Inc. sr. unsec. bonds 2.25%, 3/1/31		1,875,000	1,905,505
Fiserv, Inc. sr. unsec. bonds 3.50%, 7/1/29		540,000	603,137
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28		1,295,000	1,501,031
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23		710,000	754,852
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52		1,150,000	1,239,185
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41		1,750,000	1,898,576
Salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61		1,463,000	1,522,838
Salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51		1,462,000	1,499,425
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31		1,310,000	1,319,825
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30		1,520,000	1,454,204
VMware, Inc. sr. unsec. unsub. bonds 2.20%, 8/15/31		1,766,000	1,763,102
			29,327,890
Transportation (—%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26		595,000	652,614
			652,614
Utilities and power (0.9%)
AES Corp. (The) 144A sr. unsec. bonds 2.45%, 1/15/31		1,045,000	1,056,604
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28		528,000	614,297
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35		560,000	741,666
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33		610,000	828,407
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42		255,000	303,537
Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41		520,000	641,293
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29		280,000	315,626
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32		490,000	738,941
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)		416,000	471,409
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity		2,076,000	2,039,462
Energy Transfer Operating LP sr. unsec. unsub. notes 7.60%, 2/1/24		470,000	534,612
Energy Transfer Operating LP sr. unsec. unsub. notes 6.50%, 2/1/42		137,000	180,093
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30		1,704,000	1,827,601
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48		560,000	653,230
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30		813,000	925,593
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24		340,000	366,836
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44		199,000	252,517
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24		620,000	662,053
Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29		445,000	565,056
Pacific Gas and Electric Co. notes 2.10%, 8/1/27		235,000	228,610
PacifiCorp sr. bonds 2.70%, 9/15/30		656,000	700,261