UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES




Investment Company Act file number: (811-07121)
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Stephen Tate, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2022
Date of reporting period: October 1, 2021 – March 31, 2022



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



 

Putnam Dynamic
Asset Allocation
Conservative Fund

Semiannual report
3 | 31 | 22

Message from the Trustees  1 
About the fund  2 
Interview with your fund’s portfolio manager  6 
Your fund’s performance  11 
Your fund’s expenses  13 
Consider these risks before investing  15 
Terms and definitions  16 
Other information for shareholders  19 
Financial statements  20 

 


 

Message from the Trustees

May 12, 2022

Dear Fellow Shareholder:

Financial markets have been bumpy in recent months. Investors are weighing the risks of higher inflation, interest-rate increases by the Federal Reserve, and the global impact of Russia’s attack on Ukraine. Regional surges in Covid-19 infections are also complicating global trade.

In times like these, it’s worth remembering the benefits of staying focused on your long-term financial goals. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

Thank you for investing with Putnam.



 


Putnam Dynamic Asset Allocation Conservative Fund is designed for investors seeking total return consistent with preservation of capital. The fund’s target mix of 70% bonds and 30% stocks has been developed to pursue this goal while moderating investment volatility.

The managers believe that spreading fund holdings across a variety of asset classes can help to smooth performance compared with the more extreme market ups and downs that can happen when investing in only one type of asset.

Active global research guides our portfolio decisions.

Today, trends can spread quickly from one part of the world to affect markets everywhere. The portfolio managers of Putnam’s Global Asset Allocation group have extensive experience analyzing how opportunities and risks are connected across borders. They follow a disciplined process to adjust the portfolio as market conditions change.

 

 

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Diversification can help to reduce volatility over time.

With today’s market volatility, investors should consider evaluating the effectiveness of a portfolio over a full market cycle. Recent history has demonstrated that a more diversified portfolio can outperform in the long run.


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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 page 5 and pages 11–12 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 are provided by Bloomberg Index Services Limited.

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

* Putnam Conservative Blended Benchmark is a blended benchmark administered by Putnam Management and comprises 65% the Bloomberg U.S. Aggregate Bond Index, 25% the Russell 3000 Index, 5% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

The fund’s secondary benchmark, the Putnam Conservative Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

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This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/22. See page 4 and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 17–18.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

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How were investing conditions for the six-month reporting period ended March 31, 2022?

Overall, the investing environment was challenging for both stock and bond markets. At the start of the period, broad economic reopenings caused a surge in global demand. Supply chain bottlenecks and a global shortage in parts, materials, and labor ensued. U.S. inflation rose, and energy prices surged. The U.S. Federal Reserve turned hawkish and began tightening monetary policy. In November 2021, the Fed started to taper its $120 billion-per-month bond-buying program and signaled it would raise interest rates in 2022. The anticipation of rising interest rates curbed investors’ appetite for stocks.

The pandemic also contributed to uncertainty. In early December, the global spread of a new Covid-19 variant, Omicron, caused many countries to reinstate lockdowns. Investors grew concerned over the potential disruptions to global economic growth and public health. Fortunately, the Omicron outbreak was less severe than anticipated, and most countries eased their mobility restrictions by February 2022.

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Allocations are shown as a percentage of the fund’s net assets as of 3/31/22. 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 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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Overseas, long-standing tensions in Europe culminated in Russia’s invasion of Ukraine on February 24, 2022. Many governments, including those in the U.S. and Europe, imposed sanctions on Russia, which drove up the price of oil, wheat, metals, and other global commodities. The U.S. dollar strengthened as investors began to favor safer-haven assets, including U.S. Treasuries. At its mid-March meeting, the Fed announced its first interest-rate hike since 2018, adding 0.25% to borrowing costs. The Fed also lowered its U.S. growth estimates and increased its inflation outlook for calendar 2022.

For the six-month reporting period, U.S. stocks returned 5.92%, as measured by the S&P 500 Index. Non-U.S. stocks in developed markets, as measured by the MSCI EAFE Index [ND], fared worse, returning –3.38%.

The U.S. 10-year Treasury yield, which helps set borrowing rates from mortgages to corporate debt, began the period at 1.48% and closed the six-month reporting period at 2.32%. Higher interest rates, coupled with geopolitical tensions, weighed on the corporate credit market. High-yield bonds returned –3.47%, as measured by the JPMorgan Developed High Yield Index. Investment-grade bonds returned –5.92%, as measured by the Bloomberg U.S. Aggregate Bond Index.

How did the fund perform for the reporting period?

The fund’s class A shares returned –4.02%, outperforming its primary benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned –5.92% for the period. The fund underperformed its secondary custom benchmark, the Putnam Conservative Blended Benchmark, which returned –3.28% for the period.

What strategies affected fund performance relative to the custom benchmark during the reporting period?

Dynamic asset allocation decisions lifted performance, as we adjusted the portfolio’s tactical allocation mix several times over the period. The largest boost to fund performance came from our equity allocation decisions. These added value in the first quarter of calendar 2022, when the portfolio benefited from short-term overweight and underweight positions that took advantage of stock market volatility.


In fixed income, the portfolio benefited from a modest underweight position in interest-rate risk, as yields rose sharply with the Fed’s move toward tighter policy. We changed the position to neutral at the beginning of February 2022. Our positions in credit risk remained close to the portfolio’s custom benchmark and did not have a significant impact on fund results.

An out-of-benchmark, modest long position to commodity risk, implemented at the beginning of March 2022, was slightly additive to results. We anticipated that the war in Ukraine and the continued reduction in Covid restrictions would provide support for commodities.

Our active implementation decisions detracted from performance during the period. Our fundamental U.S. large-cap growth and international developed equity strategies weighed on results. Strategic global macroeconomic trades in equities and currencies contributed to modest losses. The portfolio experienced slight gains from our quantitative U.S. large-cap core and international developed equity strategies. Our fundamental U.S. large-cap value strategy also ended the period slightly positive.

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How did the fund use derivatives for the period?

We used futures to help manage the fund’s exposure to market risk, gain exposure to interest rates, equitize cash, and hedge prepayment and interest-rate risks. Total return swaps were used to help hedge sector exposure; manage exposure to specific sectors, securities, or industries; and gain exposure to a basket of securities, specific markets, countries, sectors, or industries.

How is the fund positioned relative to the custom benchmark as of April 1, 2022?

The fund is positioned close to the custom benchmark as of April 1, 2022. The portfolio has a neutral position to equity risk and interest-rate risk and a slightly underweight position to credit risk. Tactically, the portfolio has an out-of-benchmark, modest long position to commodity risk, which was implemented at the beginning of March 2022. We made several changes to our tactical allocation near period-end. We moved our equity position from a modest underweight to neutral and our credit position from a modest overweight to a modest underweight.

What is your outlook for financial markets?

The first few months of 2022 saw significant volatility. High inflation, supply chain disruptions, monetary tightening, and the Russia-Ukraine War fueled sell-offs in stocks and bonds during the period. Looking ahead, we expect market volatility to persist and market sentiment to waver as these issues continue to plague markets, with no clear resolutions in sight, in our view.

Our current outlook on equities is neutral. Stocks are facing major headwinds, including a slowdown in earnings growth, higher interest rates, and ongoing geopolitical turmoil in Ukraine. We have refrained from taking a bearish position on equities given slightly bullish signals from our quantitative model, strong economic data, and the Fed’s aggressive efforts to tackle inflation.

In fixed income, our view on credit is modestly bearish. Assuming the pandemic transitions to an endemic, we believe the U.S. credit market is close to where it was in late 2019 before the


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.

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pandemic began. In our view, the high-yield index has reached peak credit quality and has little room for improvement in the near term.

Our outlook on interest-rate-sensitive fixed income is neutral. Yields have moved higher due to a significant shift in Fed expectations, in our view. At the end of 2021, markets had priced in three interest-rate hikes for 2022. By the first quarter-end of calendar 2022, the Fed had raised rates by a quarter percentage point, and markets had priced in six additional rate hikes for 2022. We expect a balanced distribution of outcomes moving forward. Against this backdrop, we continue to have conviction in our investment strategies given our ability to adapt the portfolio to changing market conditions.

Thank you, Brett, for your time and insights today.

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

The fund had no direct exposure to Russian or Ukrainian securities or markets at the end of the period. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks by establishing a combination of long and short exposures to specific equity markets or sectors.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2022, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include 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 P, 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.

Annualized fund performance Total return for periods ended 3/31/22

  Life of fund  10 years  5 years  3 years  1 year  6 months 
Class A (2/7/94)             
Before sales charge  5.64%  5.28%  4.61%  5.04%  0.00%  –4.02% 
After sales charge  5.42  4.66  3.38  2.98  –5.75  –9.54 
Class B (2/18/94)             
Before CDSC  5.42  4.65  3.83  4.26  –0.75  –4.33 
After CDSC  5.42  4.65  3.48  3.33  –5.54  –8.96 
Class C (9/1/94)             
Before CDSC  5.41  4.65  3.84  4.26  –0.67  –4.35 
After CDSC  5.41  4.65  3.84  4.26  –1.63  –5.28 
Class P (8/31/16)             
Net asset value  5.95  5.63  5.04  5.46  0.47  –3.82 
Class R (1/21/03)             
Net asset value  5.45  5.02  4.35  4.78  –0.20  –4.11 
Class R5 (7/2/12)             
Net asset value  5.93  5.59  4.92  5.35  0.28  –3.87 
Class R6 (7/2/12)             
Net asset value  5.95  5.65  4.98  5.39  0.32  –3.84 
Class Y (7/14/94)             
Net asset value  5.91  5.54  4.89  5.32  0.32  –3.88 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge 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 P, R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, 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 P, 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 P, R5, and R6 shares; had it, returns would have been higher.

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

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.

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Comparative annualized index returns For periods ended 3/31/22

  Life of fund  10 years  5 years  3 years  1 year  6 months 
Bloomberg U.S. Aggregate             
Bond Index  4.79%  2.24%  2.14%  1.69%  –4.15%  –5.92% 
Putnam Conservative             
Blended Benchmark*    5.74  5.97  6.43  0.29  –3.28 
Lipper Mixed-Asset Target             
Allocation Conservative             
Funds category average  5.58  4.72  4.74  5.26  0.03  –2.88 

 

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

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

All Bloomberg indices are provided by Bloomberg Index Services Limited.

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

* Putnam Conservative Blended Benchmark is a blended benchmark administered by Putnam Management and comprises 65% the Bloomberg U.S. Aggregate Bond Index, 25% the Russell 3000 Index, 5% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

The fund’s secondary benchmark, the Putnam Conservative Blended Benchmark, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/22, there were 320, 314, 290, 278, 202, and 8 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 3/31/22

Distributions  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Number  6  6  6  6  6  6  6  6 
Income  $0.078  $0.035  $0.035  $0.100  $0.061  $0.094  $0.097  $0.092 
Capital gains                   
Long-term gains  0.141  0.141  0.141  0.141  0.141  0.141  0.141  0.141 
Short-term gains  0.205  0.205  0.205  0.205  0.205  0.205  0.205  0.205 
Total  $0.424  $0.381  $0.381  $0.446  $0.407  $0.440  $0.443  $0.438 
  Before  After  Net  Net  Net  Net  Net  Net  Net 
  sales  sales  asset  asset  asset  asset  asset  asset  asset 
Share value  charge  charge  value  value  value  value  value  value  value 
9/30/21  $11.83  $12.55  $11.72  $11.66  $11.88  $12.21  $11.88  $11.89  $11.89 
3/31/22  10.95  11.62  10.85  10.79  11.00  11.32  11.00  11.01  11.01 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A 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) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

 

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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

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Total annual operating                 
expenses for the fiscal year                 
ended 9/30/21  0.97%  1.72%  1.72%  0.59%  1.22%  0.70%  0.63%  0.72% 
Annualized expense ratio                 
for the six-month period                 
ended 3/31/22*  0.98%  1.73%  1.73%  0.60%  1.23%  0.71%  0.64%  0.73% 

 

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.

* Includes one-time annualized proxy cost of 0.01%.

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 10/1/21 to 3/31/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $4.79  $8.44  $8.44  $2.93  $6.01  $3.47  $3.13  $3.57 
Ending value (after expenses)  $959.80  $956.70  $956.50  $961.80  $958.90  $961.30  $961.60  $961.20 

 

* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

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Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 3/31/22, use the following calculation method. To find the value of your investment on 10/1/21, 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.

  Class A  Class B  Class C  Class P  Class R  Class R5  Class R6  Class Y 
Expenses paid per $1,000*†  $4.94  $8.70  $8.70  $3.02  $6.19  $3.58  $3.23  $3.68 
Ending value (after expenses)  $1,020.04  $1,016.31  $1,016.31  $1,021.94  $1,018.80  $1,021.39  $1,021.74  $1,021.29 

 

* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

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Consider these risks before investing

Allocation of assets among asset classes may hurt performance. If the quantitative models or data that are used in managing the fund prove to be incorrect or incomplete, investment decisions made in reliance on the models or data may not produce the desired results and the fund may realize losses. 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, asset class, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

International investing involves currency, economic, and political risks. Emerging market securities carry illiquidity and volatility risks. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. 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). Default risk is generally higher for non-qualified mortgages. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. The use of derivatives may increase these risks by increasing investment exposure (which may be considered leverage) or, in the case of over-the-counter instruments, because of 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.

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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. They 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.

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.

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 class B shares of 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 P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are available only to other Putnam funds and other accounts managed by Putnam Management or its affiliates.

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.

Fixed-income terms

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.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association

16 Dynamic Asset Allocation Conservative Fund 

 


 

(Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

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.

JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed-income securities issued in developed countries.

MSCI EAFE Index (ND) is a free float-adjusted market capitalization index that is designed to measure the equity performance of large-and mid-cap markets in developed countries, excluding the U.S. and Canada. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

Putnam Conservative Blended Benchmark is a benchmark administered by Putnam Management, comprising 65% the Bloomberg U.S. Aggregate Bond Index, 25% the Russell 3000® Index, 5% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index.

Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. companies.

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.

Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.

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

Dynamic Asset Allocation Conservative Fund 17 

 


 

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.

18 Dynamic Asset Allocation Conservative Fund 

 


 

Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

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 SEC’s 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 March 31, 2022, Putnam employees had approximately $530,000,000 and the Trustees had approximately $77,000,000 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.

Dynamic Asset Allocation Conservative Fund 19 

 


 

Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s 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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.

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.

20 Dynamic Asset Allocation Conservative Fund 

 


 

The fund’s portfolio 3/31/22 (Unaudited)
COMMON STOCKS (49.3%)* Shares Value
Basic materials (2.2%)
AdvanSix, Inc. 1,027 $52,469
Alcoa Corp. 2,600 234,078
American Vanguard Corp. 518 10,526
Andersons, Inc. (The) 534 26,839
Anglo American PLC (United Kingdom) 23,045 1,188,579
Archer-Daniels-Midland Co. 2,700 243,702
Arkema SA (France) 1,740 207,587
Atkore, Inc. 1,088 107,103
Avery Dennison Corp. 2,900 504,513
Axalta Coating Systems, Ltd. 8,990 220,974
Balchem Corp. 127 17,361
BHP Group, Ltd. (Australian ASE Exchange) (Australia) 15,764 614,007
BHP Group, Ltd. (London Exchange) (Australia) 3,053 117,052
BlueScope Steel, Ltd. (Australia) 24,680 381,370
Boise Cascade Co. 1,268 88,088
Brenntag SE (Germany) 14,400 1,164,370
Celanese Corp. 1,774 253,451
CF Industries Holdings, Inc. 2,300 237,038
Codexis, Inc. 3,158 65,118
Compagnie de Saint-Gobain (France) 17,938 1,067,492
Constellium SE (France) 5,295 95,310
Corteva, Inc. 23,962 1,377,336
Covestro AG (Germany) 6,389 322,825
CRH PLC (Ireland) 34,193 1,369,074
Dow, Inc. 3,796 241,881
DuPont de Nemours, Inc. 16,600 1,221,428
Eastman Chemical Co. 8,911 998,567
Eiffage SA (France) 3,474 356,077
Freeport-McMoRan, Inc. (Indonesia) 37,923 1,886,290
Innospec, Inc. 521 48,219
Intrepid Potash, Inc. 460 37,784
James Hardie Industries PLC (CDI) (Australia) 11,482 345,537
Linde PLC 2,220 715,375
LyondellBasell Industries NV Class A 2,300 236,486
Materion Corp. 214 18,348
Minerals Technologies, Inc. 570 37,706
Misumi Group, Inc. (Japan) 1,700 50,581
Mueller Industries, Inc. 1,297 70,258
Nitto Denko Corp. (Japan) 1,500 107,501
NV5 Global, Inc. 140 18,662
Olin Corp. 4,822 252,094
Orion Engineered Carbons SA (Luxembourg) 1,020 16,289
PotlatchDeltic Corp. R 1,880 99,132
PPG Industries, Inc. 4,776 625,990
Rio Tinto PLC (United Kingdom) 9,375 743,681
Sensient Technologies Corp. 210 17,630
Sherwin-Williams Co. (The) 3,082 769,328
Shin-Etsu Chemical Co., Ltd. (Japan) 3,600 548,587


Dynamic Asset Allocation Conservative Fund 21



COMMON STOCKS (49.3%)* cont. Shares Value
Basic materials cont.
Simpson Manufacturing Co., Inc. 146 $15,920
South32, Ltd. (Australia) 39,583 147,400
Standex International Corp. 255 25,480
Stepan Co. 254 25,098
Sterling Construction Co., Inc. 770 20,636
Toyo Suisan Kaisha, Ltd. (Japan) 3,400 121,585
Tronox Holdings PLC Class A (United Kingdom) 5,201 102,928
UFP Industries, Inc. 1,365 105,323
Vat Group AG (Switzerland) 206 78,548
WestRock Co. 5,530 260,076
Weyerhaeuser Co. R 24,782 939,238
Zymergen, Inc. 7,716 22,299
21,294,224
Capital goods (2.9%)
A.O. Smith Corp. 3,700 236,393
Acuity Brands, Inc. 2,300 435,390
Aerojet Rocketdyne Holdings, Inc. 2,628 103,412
AGCO Corp. 5,200 759,356
Albany International Corp. Class A 220 18,550
Allegion PLC (Ireland) 5,200 570,856
Allison Transmission Holdings, Inc. 6,100 239,486
Altra Industrial Motion Corp. 2,225 86,619
American Axle & Manufacturing Holdings, Inc. 4,612 35,789
Argan, Inc. 609 24,719
Astec Industries, Inc. 465 19,995
Axon Enterprise, Inc. 1,691 232,901
Barnes Group, Inc. 398 15,996
CAE, Inc. (Canada) 14,435 375,727
Carrier Global Corp. 5,420 248,615
Casella Waste Systems, Inc. Class A 220 19,283
Caterpillar, Inc. 1,100 245,102
Clean Harbors, Inc. 2,800 312,592
CNH Industrial NV (United Kingdom) 33,669 533,118
Comfort Systems USA, Inc. 472 42,013
Crown Holdings, Inc. 2,018 252,432
CTS Corp. 514 18,165
Cummins, Inc. 1,060 217,417
Daikin Industries, Ltd. (Japan) 2,600 473,395
Deere & Co. 3,098 1,287,095
Donaldson Co., Inc. 3,900 202,527
Dover Corp. 1,600 251,040
Eaton Corp. PLC 6,524 990,082
Emerson Electric Co. 4,400 431,420
Encore Wire Corp. 311 35,476
ESCO Technologies, Inc. 239 16,711
Federal Signal Corp. 465 15,694
Fortive Corp. 21,275 1,296,286
Franklin Electric Co., Inc. 203 16,857
GEA Group AG (Germany) 5,834 241,040


22 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Capital goods cont.
General Dynamics Corp. 7,600 $1,832,968
Gentherm, Inc. 242 17,676
Graco, Inc. 3,314 231,052
GrafTech International, Ltd. 1,756 16,893
HEICO Corp. 1,745 267,927
Hillenbrand, Inc. 1,857 82,024
Honeywell International, Inc. 8,406 1,635,640
Johnson Controls International PLC 42,735 2,802,134
Kaman Corp. 591 25,697
Koito Manufacturing Co., Ltd. (Japan) 3,500 141,695
Legrand SA (France) 2,357 224,073
Lockheed Martin Corp. 2,700 1,191,780
Manitowoc Co., Inc. (The) 1,069 16,121
Mitsubishi Electric Corp. (Japan) 13,000 149,627
Moog, Inc. Class A 675 59,265
MRC Global, Inc. 2,561 30,502
MYR Group, Inc. 188 17,680
National Presto Industries, Inc. 216 16,621
Nordson Corp. 1,700 386,036
Northrop Grumman Corp. 4,136 1,849,702
O-I Glass, Inc. 4,617 60,852
Otis Worldwide Corp. 8,885 683,701
Parker Hannifin Corp. 798 226,440
Raytheon Technologies Corp. 13,570 1,344,380
Republic Services, Inc. 7,800 1,033,500
Rheinmetall AG (Germany) 2,366 502,214
Ryerson Holding Corp. 821 28,751
Sandvik AB (Sweden) 22,710 482,142
Schneider Electric SE (France) 3,792 633,099
Shyft Group, Inc. (The) 428 15,455
Sight Sciences, Inc. 1,111 12,843
Standard Motor Products, Inc. 400 17,256
Sturm Ruger & Co., Inc. 729 50,753
Terex Corp. 2,435 86,832
Textron, Inc. 8,900 661,982
Titan International, Inc. 1,695 24,967
Titan Machinery, Inc. 749 21,167
Toro Co. (The) 3,000 256,470
Toshiba Corp. (Japan) 1,300 49,329
Vinci SA (France) 1,247 127,490
Waste Connections, Inc. 3,151 440,195
Waste Management, Inc. 1,600 253,600
Watts Water Technologies, Inc. Class A 120 16,751
Zurn Water Solutions Corp. 2,591 91,721
28,418,552
Communication services (1.3%)
American Tower Corp. R 7,337 1,843,201
AT&T, Inc. 94,260 2,227,364
Aviat Networks, Inc. 617 18,985


Dynamic Asset Allocation Conservative Fund 23



COMMON STOCKS (49.3%)* cont. Shares Value
Communication services cont.
Cambium Networks Corp. 1,245 $29,432
Charter Communications, Inc. Class A 1,594 869,559
Cogeco Communications, Inc. (Canada) 5,741 475,206
Comcast Corp. Class A 40,512 1,896,772
Crown Castle International Corp. R 7,400 1,366,040
EchoStar Corp. Class A 2,061 50,165
KDDI Corp. (Japan) 19,100 627,364
Koninklijke KPN NV (Netherlands) 95,913 333,107
Liberty Latin America, Ltd. Class C (Chile) 6,417 61,539
Nippon Telegraph & Telephone Corp. (Japan) 16,700 485,250
Shenandoah Telecommunications Co. 866 20,420
SK Telecom Co., Ltd. (South Korea) 6,712 314,140
T-Mobile US, Inc. 4,252 545,744
Telesat Corp. (Canada) 867 14,306
Telstra Corp., Ltd. (Australia) 174,994 516,076
Verizon Communications, Inc. 32,132 1,636,804
13,331,474
Conglomerates (0.3%)
3M Co. 1,653 246,099
AMETEK, Inc. 10,544 1,404,250
General Electric Co. 2,221 203,222
Mitsubishi Corp. (Japan) 21,900 825,150
SPX Corp. 836 41,307
2,720,028
Consumer cyclicals (7.8%)
Abercrombie & Fitch Co. Class A 2,518 80,551
Amazon.com, Inc. 4,197 13,682,010
Aramark 17,109 643,298
Aristocrat Leisure, Ltd. (Australia) 11,944 323,818
Arrowhead Pharmaceuticals, Inc. 2,118 97,407
AutoZone, Inc. 1,100 2,249,038
Beazer Homes USA, Inc. 1,677 25,524
Berkeley Group Holdings PLC (The) (United Kingdom) 2,397 116,672
BJ’s Wholesale Club Holdings, Inc. 14,710 994,543
Bluegreen Vacations Holding Corp. 524 15,495
BlueLinx Holdings, Inc. 435 31,268
Booking Holdings, Inc. 345 810,215
Booz Allen Hamilton Holding Corp. 4,498 395,104
Boyd Gaming Corp. 3,600 236,808
Brambles, Ltd. (Australia) 24,965 184,094
Caleres, Inc. 2,431 46,991
CIE Generale Des Etablissements Michelin SCA (France) 1,203 162,517
Cintas Corp. 655 278,630
CK Hutchison Holdings, Ltd. (Hong Kong) 118,500 868,802
CRA International, Inc. 199 16,768
Crocs, Inc. 243 18,565
Daiwa House Industry Co., Ltd. (Japan) 13,800 360,535
Dillard’s, Inc. Class A 339 90,984
Dolby Laboratories, Inc. Class A 3,196 249,991


24 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Consumer cyclicals cont.
Entain PLC (United Kingdom) 16,684 $357,847
Entravision Communications Corp. Class A 3,541 22,698
Equifax, Inc. 1,726 409,235
Ethan Allen Interiors, Inc. 695 18,119
Expedia Group, Inc. 1,331 260,437
FactSet Research Systems, Inc. 642 278,724
FleetCor Technologies, Inc. 992 247,068
Flutter Entertainment PLC (Ireland) 3,787 438,334
Ford Motor Co. 124,104 2,098,599
GAN, Ltd. (United Kingdom) 3,915 18,870
Gartner, Inc. 4,900 1,457,554
General Motors Co. 24,242 1,060,345
Genuine Parts Co. 4,100 516,682
GMS, Inc. 1,008 50,168
Golden Entertainment, Inc. 753 43,727
Goodyear Tire & Rubber Co. (The) 5,776 82,539
Griffon Corp. 1,196 23,956
Group 1 Automotive, Inc. 101 16,951
Hermes International (France) 384 544,659
Hilton Worldwide Holdings, Inc. 5,561 843,826
Home Depot, Inc. (The) 3,775 1,129,971
ICF International, Inc. 180 16,945
iHeartMedia, Inc. Class A 4,779 90,467
Industria de Diseno Textil SA (Spain) 12,473 271,398
InterContinental Hotels Group PLC (United Kingdom) 5,275 357,207
International Game Technology PLC 3,573 88,182
Interpublic Group of Cos., Inc. (The) 6,600 233,970
JD Sports Fashion PLC (United Kingdom) 201,349 389,912
JELD-WEN Holding, Inc. 721 14,622
John Wiley & Sons, Inc. Class A 335 17,765
Kontoor Brands, Inc. 380 15,713
La Francaise des Jeux SAEM (France) 3,613 143,209
Laureate Education, Inc. 4,960 58,776
Liberty Media Corp.-SiriusXM Series A 5,292 241,897
Live Nation Entertainment, Inc. 5,978 703,252
LiveRamp Holdings, Inc. 1,647 61,581
Lowe’s Cos., Inc. 1,074 217,152
Lululemon Athletica, Inc. (Canada) 2,345 856,464
LVMH Moet Hennessy Louis Vuitton SA (France) 1,421 1,011,850
Macy’s, Inc. 5,334 129,936
MarineMax, Inc. 385 15,500
Marriott International, Inc./MD Class A 8,100 1,423,575
Masonite International Corp. 262 23,302
Mastercard, Inc. Class A 5,996 2,142,850
MasterCraft Boat Holdings, Inc. 517 12,723
Medifast, Inc. 91 15,541
Modine Manufacturing Co. 1,115 10,046
Moncler SpA (Italy) 3,059 170,355
Movado Group, Inc. 450 17,573


Dynamic Asset Allocation Conservative Fund 25



COMMON STOCKS (49.3%)* cont. Shares Value
Consumer cyclicals cont.
NeoGames SA (Israel) 521 $8,039
Network International Holdings PLC (United Arab Emirates) 111,751 409,233
New York Times Co. (The) Class A 5,476 251,020
News Corp. Class A 10,897 241,369
Nike, Inc. Class B 6,983 939,632
Nintendo Co., Ltd. (Japan) 1,200 605,475
O’Reilly Automotive, Inc. 5,627 3,854,270
Oxford Industries, Inc. 203 18,372
Pandora A/S (Denmark) 3,431 324,606
PayPal Holdings, Inc. 6,628 766,528
Pitney Bowes, Inc. 9,687 50,372
Porsche Automobil Holding SE (Preference) (Germany) 4,491 435,087
PROG Holdings, Inc. 625 17,981
Publicis Groupe SA (France) 14,406 875,114
PulteGroup, Inc. 20,651 865,277
QuinStreet, Inc. 1,780 20,648
Quotient Technology, Inc. 2,593 16,543
RE/MAX Holdings, Inc. Class A 554 15,362
Red Rock Resorts, Inc. Class A 2,288 111,105
Rivian Automotive, Inc. Class A 5,100 256,224
Ross Stores, Inc. 2,800 253,288
Ryohin Keikaku Co., Ltd. (Japan) 2,300 26,823
Scholastic Corp. 426 17,159
Signet Jewelers, Ltd. 1,283 93,274
Skyline Champion Corp. 1,387 76,119
Smith & Wesson Brands, Inc. 5,162 78,101
Sofina SA (Belgium) 192 69,628
Sonos, Inc. 3,683 103,934
Sony Group Corp. (Japan) 15,900 1,641,055
SP Plus Corp. 410 12,858
Stellantis NV (Italy) 34,333 555,590
Steven Madden, Ltd. 435 16,808
Tapestry, Inc. 6,200 230,330
Target Corp. 15,753 3,343,102
Terminix Global Holdings, Inc. 5,400 246,402
Tesla, Inc. 6,215 6,697,284
Thomson Reuters Corp. (Canada) 5,016 544,592
Tilly’s, Inc. Class A 1,583 14,817
TJX Cos., Inc. (The) 13,973 846,484
Toll Brothers, Inc. 4,989 234,583
Toyota Motor Corp. (Japan) 5,200 93,150
Travel + Leisure Co. 4,144 240,103
TRI Pointe Homes, Inc. 3,879 77,890
TuSimple Holdings, Inc. Class A 9,700 118,340
United Rentals, Inc. 2,015 715,748
Universal Electronics, Inc. 227 7,091
Universal Music Group NV (Netherlands) 58,296 1,547,619
Vail Resorts, Inc. 994 258,708
Vectrus, Inc. 243 8,714


26 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Consumer cyclicals cont.
Vista Outdoor, Inc. 2,041 $72,843
Visteon Corp. 922 100,618
Volvo AB Class B (Sweden) 9,603 179,110
Walmart, Inc. 41,704 6,210,560
Walt Disney Co. (The) 1,809 248,122
Wesfarmers, Ltd. (Australia) 16,140 606,453
World Fuel Services Corp. 2,432 65,761
Wyndham Hotels & Resorts, Inc. 3,600 304,884
Yamaha Motor Co., Ltd. (Japan) 21,300 477,354
77,169,256
Consumer staples (3.2%)
ACCO Brands Corp. 2,869 22,952
Airbnb, Inc. Class A 2,259 388,006
Asahi Group Holdings, Ltd. (Japan) 16,400 595,379
Bloomin’ Brands, Inc. 962 21,106
Cargurus, Inc. 2,554 108,443
Carlsberg A/S Class B (Denmark) 1,181 144,193
Cars.com, Inc. 1,957 28,240
ChannelAdvisor Corp. 973 16,123
Chipotle Mexican Grill, Inc. 429 678,691
Coca-Cola Co. (The) 39,800 2,467,600
Coca-Cola Consolidated, Inc. 123 61,113
Coca-Cola Europacific Partners PLC (United Kingdom) 14,866 722,636
Coca-Cola HBC AG (Italy) 7,136 148,814
Coles Group, Ltd. (Australia) 34,384 458,296
Colgate-Palmolive Co. 27,275 2,068,263
Copart, Inc. 2,000 250,940
CoreCivic, Inc. 3,768 42,089
Costco Wholesale Corp. 2,755 1,586,466
Diageo PLC (United Kingdom) 32,440 1,639,621
DoorDash, Inc. Class A 2,100 246,099
Estee Lauder Cos., Inc. (The) Class A 2,297 625,519
EverQuote, Inc. Class A 1,706 27,603
Ferguson PLC (United Kingdom) 3,870 525,314
G-III Apparel Group, Ltd. 648 17,528
Heidrick & Struggles International, Inc. 558 22,086
Herc Holdings, Inc. 121 20,218
Hershey Co. (The) 1,194 258,656
Hostess Brands, Inc. 2,474 54,280
Imperial Brands PLC (United Kingdom) 21,552 453,800
Ingles Markets, Inc. Class A 392 34,908
ITOCHU Corp. (Japan) 8,200 278,161
Itron, Inc. 2,049 107,941
Jeronimo Martins SGPS SA (Portugal) 31,171 746,757
John B. Sanfilippo & Son, Inc. 212 17,689
Keurig Dr Pepper, Inc. 22,374 847,975
Kforce, Inc. 534 39,500
Koninklijke Ahold Delhaize NV (Netherlands) 18,526 595,541
Korn Ferry 1,545 100,332


Dynamic Asset Allocation Conservative Fund 27



COMMON STOCKS (49.3%)* cont. Shares Value
Consumer staples cont.
L’Oreal SA (France) 2,047 $819,344
ManpowerGroup, Inc. 3,100 291,152
McDonald’s Corp. 5,500 1,360,040
McDonald’s Holdings Co. (Japan), Ltd. (Japan) 6,000 249,907
Nestle SA (Switzerland) 4,996 648,585
Netflix, Inc. 678 253,972
Nissin Food Products Co., Ltd. (Japan) 2,000 140,445
PepsiCo, Inc. 8,288 1,387,245
Perdoceo Education Corp. 3,701 42,487
Philip Morris International, Inc. 27,200 2,555,168
Primo Water Corp. 3,869 55,133
Procter & Gamble Co. (The) 23,674 3,617,387
Recruit Holdings Co., Ltd. (Japan) 7,800 341,463
Resideo Technologies, Inc. 683 16,276
Resources Connection, Inc. 603 10,335
Sally Beauty Holdings, Inc. 5,011 78,322
Simply Good Foods Co. (The) 1,556 59,050
Starbucks Corp. 8,500 773,245
Swedish Match AB (Sweden) 32,135 241,721
TriNet Group, Inc. 1,087 106,917
TrueCar, Inc. 4,569 18,048
Tyson Foods, Inc. Class A 3,245 290,849
Uber Technologies, Inc. 33,720 1,203,130
Udemy, Inc. 1,436 17,893
Ulta Beauty, Inc. 600 238,932
United Natural Foods, Inc. 1,950 80,633
USANA Health Sciences, Inc. 206 16,367
Veritiv Corp. 525 70,135
Wendy’s Co. (The) 11,716 257,401
Yakult Honsha Co., Ltd. (Japan) 4,200 224,174
31,934,634
Energy (1.9%)
Antero Resources Corp. 4,894 149,414
APA Corp. 7,554 312,207
BP PLC (United Kingdom) 122,471 598,520
California Resources Corp. 2,371 106,055
Cheniere Energy, Inc. 1,700 235,705
Chevron Corp. 10,200 1,660,866
ConocoPhillips 20,185 2,018,500
DCC PLC (Ireland) 4,308 333,891
Denbury, Inc. 1,441 113,219
Enterprise Products Partners LP 19,539 504,302
EOG Resources, Inc. 2,853 340,163
Equinor ASA (Norway) 16,987 637,406
Exxon Mobil Corp. 33,775 2,789,477
Golar LNG, Ltd. (Norway) 1,609 39,871
Halliburton Co. 23,000 871,010
Marathon Oil Corp. 11,447 287,434
Marathon Petroleum Corp. 7,146 610,983


28 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Energy cont.
NOW, Inc. 7,790 $85,924
Oasis Petroleum, Inc. 1,851 270,801
Occidental Petroleum Corp. 4,000 226,960
Oceaneering International, Inc. 4,849 73,511
Ovintiv, Inc. 3,426 185,244
Phillips 66 4,200 362,838
Schlumberger, Ltd. 5,700 235,467
Shell PLC (London Exchange) (United Kingdom) 83,002 2,277,887
Shell PLC (Euronext Amsterdan Exchange) (United Kingdom) 40,546 1,116,840
SM Energy Co. 2,834 110,384
SunCoke Energy, Inc. 3,278 29,207
Talos Energy, Inc. 1,658 26,180
Targa Resources Corp. 12,500 943,375
Valero Energy Corp. 14,619 1,484,413
Warrior Met Coal, Inc. 830 30,801
19,068,855
Financials (7.2%)
3i Group PLC (United Kingdom) 18,378 332,438
AIA Group, Ltd. (Hong Kong) 66,200 693,076
Alexander & Baldwin, Inc. R 1,137 26,367
Allianz SE (Germany) 3,492 833,870
Allstate Corp. (The) 1,800 249,318
Ally Financial, Inc. 25,100 1,091,348
American Campus Communities, Inc. R 4,461 249,682
American Equity Investment Life Holding Co. 691 27,578
American Financial Group, Inc. 1,787 260,223
American International Group, Inc. 18,137 1,138,459
Ameriprise Financial, Inc. 5,300 1,591,908
Ameris Bancorp 371 16,279
AMERISAFE, Inc. 345 17,136
Apartment Income REIT Corp. R 4,633 247,680
Apollo Global Management, Inc. 13,125 813,619
Apple Hospitality REIT, Inc. R 2,362 42,445
Arch Capital Group, Ltd. 2,600 125,892
Argo Group International Holdings, Ltd. (Bermuda) 594 24,520
Armada Hoffler Properties, Inc. R 1,124 16,410
Associated Banc-Corp. 822 18,709
Assured Guaranty, Ltd. 17,130 1,090,496
Atlantic Union Bankshares Corp. 939 34,452
AvalonBay Communities, Inc. R 1,100 273,207
Aviva PLC (United Kingdom) 73,758 435,387
AXA SA (France) 41,498 1,211,904
Axis Capital Holdings, Ltd. 4,200 253,974
Banco Bilbao Vizcaya Argentaria SA (Spain) 98,491 563,149
Banco Latinoamericano de Comercio Exterior SA (Panama) 624 9,722
Banco Santander SA (Spain) 210,725 714,982
Bank Leumi Le-Israel BM (Israel) 52,393 562,442
Bank of America Corp. 57,940 2,388,287
Bank of Ireland Group PLC (Ireland) 125,640 798,148


Dynamic Asset Allocation Conservative Fund 29



COMMON STOCKS (49.3%)* cont. Shares Value
Financials cont.
Banner Corp. 623 $36,464
Berkshire Hathaway, Inc. Class B 1,958 690,998
BGC Partners, Inc. Class A 11,734 51,630
BlackRock, Inc. 319 243,770
Blackstone, Inc. 2,003 254,261
Blucora, Inc. 1,114 21,779
BNP Paribas SA (France) 13,997 796,951
BOC Hong Kong Holdings, Ltd. (Hong Kong) 76,500 287,856
Boston Properties, Inc. R 6,258 806,030
BrightSpire Capital, Inc. R 1,901 17,584
Brixmor Property Group, Inc. R 9,815 253,325
Brookline Bancorp, Inc. 1,176 18,604
Byline Bancorp, Inc. 382 10,192
Capital One Financial Corp. 6,297 826,733
Carlyle Group, Inc. (The) 5,191 253,892
Cathay General Bancorp 2,051 91,782
CBRE Group, Inc. Class A 11,100 1,015,872
Central Pacific Financial Corp. 599 16,712
Charles Schwab Corp. (The) 4,999 421,466
Chubb, Ltd. 1,201 256,894
Citigroup, Inc. 76,921 4,107,581
City Office REIT, Inc. (Canada) R 1,195 21,104
CK Asset Holdings, Ltd. (Hong Kong) 60,116 410,876
CNO Financial Group, Inc. 4,061 101,890
ConnectOne Bancorp, Inc. 550 17,606
Corporate Office Properties Trust R 672 19,179
Cowen, Inc. Class A 659 17,859
CubeSmart R 15,300 796,059
Cushman & Wakefield PLC 4,446 91,187
Customers Bancorp, Inc. 1,492 77,793
Dai-ichi Life Holdings, Inc. (Japan) 15,800 321,435
DBS Group Holdings, Ltd. (Singapore) 54,900 1,443,340
Deutsche Boerse AG (Germany) 5,364 963,582
Dexus (Australia) R 22,467 182,841
Discover Financial Services 2,082 229,416
Eagle Bancorp, Inc. 428 24,400
East West Bancorp, Inc. 6,100 482,022
EastGroup Properties, Inc. R 656 133,352
Employers Holdings, Inc. 462 18,951
Enterprise Financial Services Corp. 720 34,063
Equitable Holdings, Inc. 35,461 1,096,100
Equity Lifestyle Properties, Inc. R 3,400 260,032
Essent Group, Ltd. 2,499 102,984
Essential Properties Realty Trust, Inc. R 3,118 78,885
Evercore, Inc. Class A 2,169 241,453
Everest Re Group, Ltd. 800 241,104
Exor NV (Netherlands) 2,741 209,062
Extra Space Storage, Inc. R 1,200 246,720
Fidelity National Financial, Inc. 11,300 551,892


30 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Financials cont.
First BanCorp/Puerto Rico (Puerto Rico) 6,957 $91,276
First Busey Corp. 773 19,588
First Commonwealth Financial Corp. 1,200 18,192
First Financial Corp./IN 489 21,164
First Foundation, Inc. 713 17,319
First Industrial Realty Trust, Inc. R 4,104 254,079
Flushing Financial Corp. 423 9,454
Four Corners Property Trust, Inc. R 658 17,792
Fulton Financial Corp. 3,261 54,198
Gaming and Leisure Properties, Inc. R 27,134 1,273,399
Genworth Financial, Inc. Class A 25,178 95,173
Gjensidige Forsikring ASA (Norway) 3,836 95,164
Goldman Sachs Group, Inc. (The) 12,880 4,251,689
Goodman Group (Australia) R 34,920 593,108
Granite Point Mortgage Trust, Inc. R 1,521 16,914
Great Southern Bancorp, Inc. 250 14,753
Hana Financial Group, Inc. (South Korea) 16,338 652,237
Hancock Whitney Corp. 2,065 107,690
Hanmi Financial Corp. 707 17,399
Heartland Financial USA, Inc. 621 29,702
Hilltop Holdings, Inc. 1,526 44,864
HomeStreet, Inc. 704 33,356
Hope Bancorp, Inc. 4,142 66,603
Horace Mann Educators Corp. 1,596 66,761
Horizon Bancorp, Inc./IN 879 16,411
Iida Group Holdings Co., Ltd. (Japan) 6,400 110,783
Independent Bank Corp./MI 439 9,658
Industrial Logistics Properties Trust R 2,454 55,632
International Bancshares Corp. 431 18,193
Investor AB Class B (Sweden) 24,022 521,662
Invitation Homes, Inc. R 6,100 245,098
Israel Discount Bank, Ltd. Class A (Israel) 35,476 220,428
Jones Lang LaSalle, Inc. 2,400 574,704
JPMorgan Chase & Co. 51,247 6,985,991
Kennedy-Wilson Holdings, Inc. 981 23,927
KeyCorp 16,293 364,637
Lamar Advertising Co. Class A R 2,300 267,214
LendingClub Corp. 3,617 57,076
Life Storage, Inc. R 5,300 744,279
Link REIT (The) (Hong Kong) R 5,500 46,879
London Stock Exchange Group PLC (United Kingdom) 4,496 469,723
LPL Financial Holdings, Inc. 1,249 228,167
Marsh & McLennan Cos., Inc. 1,539 262,276
Meta Financial Group, Inc. 1,344 73,812
MetLife, Inc. 32,200 2,263,016
MFA Financial, Inc. R 14,924 60,144
MGIC Investment Corp. 17,374 235,418
Midland States Bancorp, Inc. 446 12,872
Mitsubishi UFJ Financial Group, Inc. (Japan) 143,400 890,109


Dynamic Asset Allocation Conservative Fund 31



COMMON STOCKS (49.3%)* cont. Shares Value
Financials cont.
Mizrahi Tefahot Bank, Ltd. (Israel) 1,305 $50,764
Moelis & Co. Class A 382 17,935
Mr. Cooper Group, Inc. 2,135 97,505
National Bank Holdings Corp. Class A 603 24,289
National Health Investors, Inc. R 333 19,650
National Storage Affiliates Trust R 1,763 110,646
Navient Corp. 5,127 87,364
NBT Bancorp, Inc. 783 28,290
New Residential Investment Corp. R 23,102 253,660
New York Mortgage Trust, Inc. R 4,836 17,651
Nicolet Bankshares, Inc. 107 10,012
NN Group NV (Netherlands) 1,184 59,675
OceanFirst Financial Corp. 1,231 24,743
OFG Bancorp (Puerto Rico) 1,084 28,878
Old Republic International Corp. 9,235 238,909
OneMain Holdings, Inc. 5,136 243,498
Oportun Financial Corp. 621 8,918
Orion Office REIT, Inc. † R 7,284 101,976
Outfront Media, Inc. R 3,944 112,128
Partners Group Holding AG (Switzerland) 434 539,187
PennyMac Financial Services, Inc. 1,471 78,257
Peoples Bancorp, Inc./OH 324 10,144
Piedmont Office Realty Trust, Inc. Class A R 3,307 56,947
Piper Sandler Cos. 305 40,031
PNC Financial Services Group, Inc. (The) 6,624 1,221,797
Popular, Inc. (Puerto Rico) 2,948 240,970
Preferred Bank 275 20,375
ProAssurance Corp. 878 23,601
Prologis, Inc. R 1,670 269,672
Prudential PLC (United Kingdom) 36,702 542,154
PS Business Parks, Inc. R 347 58,324
Public Storage R 800 312,224
QCR Holdings, Inc. 288 16,298
Radian Group, Inc. 869 19,300
Realogy Holdings Corp. 4,681 73,398
Redwood Trust, Inc. R 5,017 52,829
Reinsurance Group of America, Inc. 2,347 256,903
Retail Opportunity Investments Corp. R 3,991 77,385
RMR Group, Inc. (The) Class A 364 11,320
RPT Realty R 2,303 31,712
S&T Bancorp, Inc. 330 9,761
Safety Insurance Group, Inc. 174 15,808
Sculptor Capital Management, Inc. 1,414 19,697
SEI Investments Co. 4,117 247,885
Selective Insurance Group, Inc. 234 20,910
Simon Property Group, Inc. R 2,067 271,935
SITE Centers Corp. R 1,171 19,567
SLM Corp. 16,400 301,104
Starwood Property Trust, Inc. R 10,041 242,691


32 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Financials cont.
State Street Corp. 5,810 $506,167
Stewart Information Services Corp. 773 46,852
Sumitomo Mitsui Financial Group, Inc. (Japan) 8,293 264,665
Sumitomo Realty & Development Co., Ltd. (Japan) 2,800 77,395
Sunstone Hotel Investors, Inc. † R 8,659 102,003
SVB Financial Group 388 217,067
Synchrony Financial 6,342 220,765
Terreno Realty Corp. R 237 17,550
TPG RE Finance Trust, Inc. R 1,832 21,636
UBS Group AG (Switzerland) 40,104 783,512
UMB Financial Corp. 734 71,315
United Fire Group, Inc. 476 14,789
United Overseas Bank, Ltd. (Singapore) 24,900 584,056
Universal Insurance Holdings, Inc. 1,348 18,185
Unum Group 10,350 326,129
Urban Edge Properties R 1,027 19,616
Virtu Financial, Inc. Class A 6,900 256,818
Virtus Investment Partners, Inc. 225 53,998
Visa, Inc. Class A 8,376 1,857,546
W.R. Berkley Corp. 3,989 265,594
Washington Federal, Inc. 1,165 38,235
Wells Fargo & Co. 4,697 227,617
WesBanco, Inc. 1,079 37,074
Zurich Insurance Group AG (Switzerland) 444 218,905
70,554,819
Government (—%)
Poste Italiane SpA (Italy) 8,084 91,706
91,706
Health care (6.5%)
Abbott Laboratories 26,900 3,183,884
AbbVie, Inc. 25,554 4,142,559
Abcam PLC (United Kingdom) 13,261 239,580
ABIOMED, Inc. 836 276,917
Accuray, Inc. 5,097 16,871
Agenus, Inc. 21,166 52,068
Alector, Inc. 4,345 61,916
Align Technology, Inc. 447 194,892
Alkermes PLC 3,168 83,350
Allakos, Inc. 5,019 28,608
AmerisourceBergen Corp. 1,732 267,958
Amgen, Inc. 1,082 261,649
AMN Healthcare Services, Inc. 1,044 108,921
AnaptysBio, Inc. 607 15,017
AngioDynamics, Inc. 810 17,447
Anthem, Inc. 3,589 1,762,989
Arbutus Biopharma Corp. 5,595 16,673
Arvinas, Inc. 138 9,287
AstraZeneca PLC (United Kingdom) 8,970 1,189,522
AstraZeneca PLC ADR (United Kingdom) 18,374 1,218,931


Dynamic Asset Allocation Conservative Fund 33



COMMON STOCKS (49.3%)* cont. Shares Value
Health care cont.
AtriCure, Inc. 459 $30,143
Avanos Medical, Inc. 605 20,268
Baxter International, Inc. 3,141 243,553
Bio-Rad Laboratories, Inc. Class A 391 220,223
BioCryst Pharmaceuticals, Inc. 1,665 27,073
Bluebird Bio, Inc. 10,238 49,654
Boston Scientific Corp. 5,682 251,656
Bristol-Myers Squibb Co. 10,709 782,078
Brookdale Senior Living, Inc. 3,525 24,851
Cara Therapeutics, Inc. 3,237 39,330
Cardinal Health, Inc. 4,643 263,258
Chimerix, Inc. 3,077 14,093
Chinook Therapeutics, Inc. 1,321 21,612
Cigna Corp. 1,077 258,060
Computer Programs and Systems, Inc. 619 21,325
Crinetics Pharmaceuticals, Inc. 1,007 22,104
CVS Health Corp. 2,357 238,552
Danaher Corp. 6,266 1,838,005
DexCom, Inc. 1,763 901,951
Eagle Pharmaceuticals, Inc./DE 354 17,519
Edwards Lifesciences Corp. 13,574 1,597,931
Eli Lilly and Co. 6,258 1,792,103
Enanta Pharmaceuticals, Inc. 1,047 74,525
Eurofins Scientific (Luxembourg) 2,925 289,963
Exelixis, Inc. 11,400 258,438
FibroGen, Inc. 4,669 56,121
Fisher & Paykel Healthcare Corp., Ltd. (New Zealand) 4,318 72,557
Fulgent Genetics, Inc. 1,386 86,500
Getinge AB Class B (Sweden) 6,471 257,578
Glaukos Corp. 449 25,961
GlaxoSmithKline PLC (United Kingdom) 24,255 523,033
HCA Healthcare, Inc. 4,302 1,078,167
Hologic, Inc. 7,500 576,150
ICON PLC (Ireland) 2,259 549,434
IDEXX Laboratories, Inc. 1,511 826,608
IGM Biosciences, Inc. 480 12,830
Illumina, Inc. 736 257,158
ImmunityBio, Inc. 6,969 39,096
ImmunoGen, Inc. 8,349 39,741
Inari Medical, Inc. 232 21,028
Incyte Corp. 3,564 283,053
Inspire Medical Systems, Inc. 548 140,666
Integer Holdings Corp. 222 17,887
Intercept Pharmaceuticals, Inc. 1,150 18,711
Intuitive Surgical, Inc. 2,646 798,245
Ipsen SA (France) 1,202 150,152
IQVIA Holdings, Inc. 9,085 2,100,543
iTeos Therapeutics, Inc. 1,543 49,654
Johnson & Johnson 9,132 1,618,464


34 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Health care cont.
Jounce Therapeutics, Inc. 2,005 $13,614
Laboratory Corp. of America Holdings 1,500 395,490
LivaNova PLC (United Kingdom) 232 18,985
Lonza Group AG (Switzerland) 1,802 1,305,519
MacroGenics, Inc. 1,984 17,479
Masimo Corp. 1,600 232,864
McKesson Corp. 9,195 2,814,865
Medpace Holdings, Inc. 113 18,486
Medtronic PLC 14,000 1,553,300
Merck & Co., Inc. 66,619 5,466,089
Merck KGaA (Germany) 6,404 1,341,182
Meridian Bioscience, Inc. 2,033 52,777
Merit Medical Systems, Inc. 260 17,295
Moderna, Inc. 5,500 947,430
Molina Healthcare, Inc. 2,400 800,616
Natus Medical, Inc. 786 20,656
NextGen Healthcare, Inc. 1,915 40,043
NGM Biopharmaceuticals, Inc. 1,386 21,137
Novartis AG (Switzerland) 12,362 1,084,165
Novavax, Inc. 3,000 220,950
Novo Nordisk A/S Class B (Denmark) 9,756 1,080,445
Ono Pharmaceutical Co., Ltd. (Japan) 4,900 123,061
Option Care Health, Inc. 3,029 86,508
Ortho Clinical Diagnostics Holdings PLC 2,710 50,569
Orthofix Medical, Inc. (Netherlands) 651 21,288
Pfizer, Inc. 27,303 1,413,476
Precision BioSciences, Inc. 3,026 9,320
Prothena Corp. PLC (Ireland) 476 17,407
Quidel Corp. 2,200 247,412
Radius Health, Inc. 3,423 30,225
RAPT Therapeutics, Inc. 419 9,214
Regeneron Pharmaceuticals, Inc. 3,148 2,198,626
Relay Therapeutics, Inc. 2,441 73,059
Roche Holding AG (Switzerland) 3,594 1,421,338
Sabra Health Care REIT, Inc. R 1,376 20,489
Sanofi (France) 6,307 643,215
Sartorius Stedim Biotech (France) 561 229,924
Schrodinger, Inc. 774 26,409
Select Medical Holdings Corp. 2,736 65,637
Seres Therapeutics, Inc. 7,639 54,390
Service Corp. International 3,800 250,116
Sonic Healthcare, Ltd. (Australia) 20,446 538,386
STAAR Surgical Co. 1,243 99,328
Surmodics, Inc. 276 12,511
Teleflex, Inc. 765 271,445
Tenet Healthcare Corp. 1,592 136,848
Theravance Biopharma, Inc. (Cayman Islands) 4,123 39,416
Thermo Fisher Scientific, Inc. 2,066 1,220,283
Tivity Health, Inc. 897 28,856


Dynamic Asset Allocation Conservative Fund 35



COMMON STOCKS (49.3%)* cont. Shares Value
Health care cont.
Travere Therapeutics, Inc. 2,011 $51,823
UnitedHealth Group, Inc. 4,011 2,045,490
Vanda Pharmaceuticals, Inc. 1,549 17,519
Ventyx Biosciences, Inc. 613 8,318
Vertex Pharmaceuticals, Inc. 10,500 2,740,185
Veru, Inc. 3,380 16,325
Vir Biotechnology, Inc. 3,519 90,509
Xencor, Inc. 958 25,559
63,844,515
Technology (13.6%)
A10 Networks, Inc. 4,193 58,492
Accenture PLC Class A 17,333 5,845,208
Adobe, Inc. 8,850 4,032,237
Advanced Micro Devices, Inc. 9,489 1,037,527
Agilent Technologies, Inc. 6,900 913,077
Agilysys, Inc. 464 18,504
Alpha & Omega Semiconductor, Ltd. 1,783 97,441
Alphabet, Inc. Class A 4,133 11,495,320
Alphabet, Inc. Class C 1,559 4,354,271
Altair Engineering, Inc. Class A 287 18,483
Ambarella, Inc. 203 21,299
American Software, Inc./GA Class A 809 16,860
Appian Corp. 1,002 60,942
Apple, Inc. 142,458 24,874,591
Applied Materials, Inc. 6,700 883,060
ASML Holding NV (Netherlands) 1,249 833,082
Atlassian Corp PLC Class A (Australia) 4,400 1,292,852
Autodesk, Inc. 1,200 257,220
Avid Technology, Inc. 1,665 58,059
Axcelis Technologies, Inc. 1,477 111,558
Benefitfocus, Inc. 975 12,305
Blackbaud, Inc. 279 16,704
Brightcove, Inc. 1,270 9,906
Cadence Design Systems, Inc. 17,797 2,926,895
Capgemini SE (France) 5,659 1,258,807
CEVA, Inc. 678 27,561
Ciena Corp. 4,204 254,889
Cirrus Logic, Inc. 2,905 246,315
Cisco Systems, Inc./Delaware 47,400 2,643,024
CommVault Systems, Inc. 1,474 97,800
CSG Systems International, Inc. 687 43,673
Digi International, Inc. 538 11,578
DocuSign, Inc. 6,000 642,720
Domo, Inc. Class B 1,941 98,156
Donnelley Financial Solutions, Inc. 1,250 41,575
Dropbox, Inc. Class A 10,963 254,890
eBay, Inc. 4,173 238,946
Electronic Arts, Inc. 2,000 253,020
Extreme Networks, Inc. 7,626 93,113


36 Dynamic Asset Allocation Conservative Fund



COMMON STOCKS (49.3%)* cont. Shares Value
Technology cont.
Fidelity National Information Services, Inc. 9,850 $989,137
Fortinet, Inc. 700 239,218
Garmin, Ltd. 3,200 379,552
GoDaddy, Inc. Class A 2,900 242,730
HealthStream, Inc. 691 13,765
Hoya Corp. (Japan) 10,800 1,232,407
Intapp, Inc. 1,202 28,860
Intel Corp. 5,010 248,296
Intuit, Inc. 9,916 4,768,009
KLA Corp. 664 243,064
Knowles Corp. 2,963 63,793
Lam Research Corp. 500 268,805
Lattice Semiconductor Corp. 1,484 90,450
MACOM Technology Solutions Holdings, Inc. 1,717 102,797
Manhattan Associates, Inc. 2,700 374,517
Marvell Technology, Inc. 12,969 930,007
MaxLinear, Inc. Class A 1,725 100,654
Meta Platforms, Inc. Class A 12,263 2,726,800
Microsoft Corp. 69,559 21,445,588
Mimecast, Ltd. 1,397 111,145
Minebea Mitsumi, Inc. (Japan) 8,600 187,341
Monolithic Power Systems, Inc. 460 223,413
NetScout Systems, Inc. 612 19,633
Nomura Research Institute, Ltd. (Japan) 12,700 415,357
NTT Data Corp. (Japan) 12,800 251,055
Nutanix, Inc. Class A 9,100 244,062
NVIDIA Corp. 34,450 9,400,027
NXP Semiconductors NV 2,427 449,189
Omron Corp. (Japan) 3,200 213,353
OneSpan, Inc. 880 12,707
Oracle Corp. 9,417 779,068
Oracle Corp. Japan (Japan) 4,800 333,339
Outbrain, Inc. 1,462 15,687
Palo Alto Networks, Inc. 2,780 1,730,578
Pinterest, Inc. Class A 45,700 1,124,677
PlayAGS, Inc. 940 6,270
Pure Storage, Inc. Class A 7,000 247,170
Qualcomm, Inc. 32,194 4,919,887
Qualys, Inc. 490 69,781
Renesas Electronics Corp. (Japan) 62,900 727,827
Roku, Inc. 1,867 233,879
Roper Technologies, Inc. 549 259,254
Sage Group PLC (The) (United Kingdom) 37,888 347,445
salesforce.com, Inc. 4,108 872,211
SCSK Corp. (Japan) 5,100 87,397
Semtech Corp. 1,482 102,762
ServiceNow, Inc. 1,450 807,491
Shimadzu Corp. (Japan) 8,900 306,469
Snowflake, Inc. Class A 8,150 1,867,410


Dynamic Asset Allocation Conservative Fund 37



COMMON STOCKS (49.3%)* cont. Shares Value
Technology cont.
Sprout Social, Inc. Class A 1,537 $123,144
Square Enix Holdings Co., Ltd. (Japan) 6,600 292,163
SS&C Technologies Holdings, Inc. 3,231 242,390
Super Micro Computer, Inc. 436 16,599
Synaptics, Inc. 425 84,788
Synopsys, Inc. 6,700 2,232,909
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 22,000 454,838
Tata Consultancy Services, Ltd. (India) 7,204 354,291
Telefonaktiebolaget LM Ericsson Class B (Sweden) 66,360 607,193
Texas Instruments, Inc. 2,756 505,671
Thales SA (France) 7,181 906,780
Tokyo Electron, Ltd. (Japan) 400 205,390
Viavi Solutions, Inc. 1,160 18,653
Vishay Intertechnology, Inc. 893 17,503
Vontier Corp. 16,111 409,058
Workday, Inc. Class A 1,100 263,406
Xperi Holding Corp. 3,619 62,681
Zebra Technologies Corp. Class A 1,316 544,429
Ziff Davis, Inc. 170 16,453
133,664,632
Transportation (1.0%)
A.P. Moeller-Maersck A/S Class B (Denmark) 56 168,792
ArcBest Corp. 806 64,883
Arlo Technologies, Inc. 2,265 20,068
Covenant Logistics Group, Inc. 595 12,810
CSX Corp. 60,200 2,254,490
Deutsche Post AG (Germany) 26,276 1,261,735
Dorian LPG, Ltd. 1,681 24,358
Hub Group, Inc. Class A 725 55,977
Matson, Inc. 1,043 125,807
Nippon Express Holdings, Inc. (Japan) 1,800 123,728
Nippon Yusen KK (Japan) 5,000 436,963
Ryder System, Inc. 2,953 234,261
Safe Bulkers, Inc. (Monaco) 5,083 24,195
Saia, Inc. 434 105,818
SFL Corp., Ltd. (Norway) 4,482 45,627
SG Holdings Co., Ltd. (Japan) 2,900 54,653
SkyWest, Inc. 1,318 38,024
Southwest Airlines Co. 21,707 994,181
Teekay Corp. (Bermuda) 3,212 10,182
Union Pacific Corp. 10,805 2,952,034
United Parcel Service, Inc. Class B 1,200 257,352
Yamato Holdings Co., Ltd. (Japan) 8,900 166,611
9,432,549
Utilities and power (1.4%)
AES Corp. (The) 42,100 1,083,233
ALLETE, Inc. 847 56,732
Ameren Corp. 8,175 766,488
American Electric Power Co., Inc. 25,430 2,537,151


38 Dynamic Asset Allocation Conservative Fund




COMMON STOCKS (49.3%)* cont. Shares Value
Utilities and power cont.
California Water Service Group 840 $49,795
Constellation Energy Corp. 11,715 658,969
DTE Energy Co. 2,092 276,583
Duke Energy Corp. 2,429 271,222
E.ON SE (Germany) 10,929 127,101
Edison International 4,042 283,344
Enel SpA (Italy) 14,423 96,317
Eversource Energy 2,900 255,751
Exelon Corp. 26,499 1,262,147
FirstEnergy Corp. 6,400 293,504
Fortum OYJ (Finland) 29,425 534,162
Kinder Morgan, Inc. 40,800 771,528
New Jersey Resources Corp. 539 24,719
NiSource, Inc. 8,000 254,400
Northwest Natural Holding Co. 567 29,325
NRG Energy, Inc. 35,662 1,367,994
Osaka Gas Co., Ltd. (Japan) 9,000 154,512
Otter Tail Corp. 428 26,750
PNM Resources, Inc. 2,363 112,644
Portland General Electric Co. 1,575 86,861
PPL Corp. 4,500 128,520
SJW Group 475 33,051
Southern Co. (The) 13,158 954,087
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 2,297 2,940
Tokyo Gas Co., Ltd. (Japan) 16,400 300,421
Vistra Corp. 11,100 258,075
WEC Energy Group, Inc. 2,500 249,525
Xcel Energy, Inc. 3,656 263,854
13,571,705
Total common stocks (cost $349,469,647) $485,096,949

U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (42.4%)*
Principal
amount
Value
U.S. Government Guaranteed Mortgage Obligations (4.2%)
Government National Mortgage Association Pass-Through Certificates    
6.00%, with due dates from 12/20/48 to 4/20/49 $441,887 $488,895
5.00%, 5/20/49 15,268 16,166
4.70%, with due dates from 5/20/67 to 8/20/67 124,813 128,069
4.65%, 6/20/67 62,979 64,710
4.50%, 5/20/49 21,564 22,502
4.499%, 3/20/67 68,207 70,299
3.00%, TBA, 4/1/52 16,000,000 15,815,053
3.00%, with due dates from 8/20/49 to 4/20/51 24,770,004 24,567,799
41,173,493
U.S. Government Agency Mortgage Obligations (38.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates    
4.00%, 9/1/45 165,263 171,504
3.00%, with due dates from 2/1/47 to 1/1/48 9,060,808 8,965,012
2.50%, with due dates from 8/1/50 to 8/1/51 4,474,790 4,286,685


Dynamic Asset Allocation Conservative Fund 39




U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (42.4%)*
cont.
Principal
amount
Value
U.S. Government Agency Mortgage Obligations cont.
Federal National Mortgage Association Pass-Through Certificates    
4.00%, 1/1/57 $443,121 $460,513
4.00%, with due dates from 6/1/48 to 4/1/49 6,882,720 7,043,753
3.50%, 6/1/56 507,492 517,448
3.00%, with due dates from 4/1/46 to 11/1/48 9,316,566 9,245,146
2.50%, with due dates from 7/1/50 to 8/1/51 31,406,416 30,083,163
Uniform Mortgage-Backed Securities    
6.00%, TBA, 4/1/52 4,000,000 4,267,952
4.50%, TBA, 5/1/52 1,000,000 1,033,282
4.50%, TBA, 4/1/52 1,000,000 1,037,344
4.00%, TBA, 5/1/52 24,000,000 24,403,138
4.00%, TBA, 4/1/52 22,000,000 22,452,043
3.50%, TBA, 5/1/52 51,000,000 50,900,392
3.50%, TBA, 4/1/52 54,000,000 54,097,032
3.00%, TBA, 6/1/52 11,000,000 10,714,257
3.00%, TBA, 5/1/52 14,000,000 13,665,313
3.00%, TBA, 4/1/52 32,000,000 31,307,501
2.50%, TBA, 5/1/52 31,000,000 29,520,234
2.50%, TBA, 4/1/52 31,000,000 29,580,783
2.50%, TBA, 4/1/37 32,000,000 31,612,515
2.00%, TBA, 4/1/52 12,000,000 11,137,687
376,502,697
Total U.S. government and agency mortgage obligations (cost $426,321,471) $417,676,190

U.S. TREASURY OBLIGATIONS (—%)* Principal
amount
Value
U.S. Treasury Bonds 2.50%, 2/15/45 i $10,000 $9,772
U.S. Treasury Notes 2.75%, 2/15/24 i 104,000 105,172
Total U.S. treasury obligations (cost $114,944) $114,944

CORPORATE BONDS AND NOTES (23.2%)* Principal
amount
Value
Basic materials (1.0%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France)   $120,000 $141,600
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26   35,000 34,764
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29   40,000 36,952
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29   84,000 88,134
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30   75,000 72,829
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32   50,000 46,563
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27   65,000 67,438
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25   105,000 104,067
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany)   255,000 229,651
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43   879,000 942,728


40 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Basic materials cont.
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29   $75,000 $65,115
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27   155,000 156,953
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24   40,000 39,600
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28   45,000 38,369
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada)   200,000 205,570
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)   50,000 51,125
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)   115,000 115,532
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia)   65,000 72,790
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26   215,000 217,688
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30   744,000 665,763
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30   65,000 59,475
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29   65,000 59,800
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31   200,000 184,958
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29   266,000 274,598
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28   85,000 76,394
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada) ‡‡   65,000 64,350
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)   85,000 83,725
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28   362,000 375,428
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. notes 3.468%, 12/1/50   78,000 68,802
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30   137,000 122,295
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 100,000 82,733
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29   $100,000 92,523
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29   120,000 111,642
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24   35,000 35,613
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24   25,000 24,901
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)   105,000 105,788
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)   85,000 82,025
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31   20,000 18,293
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30   70,000 67,961


Dynamic Asset Allocation Conservative Fund 41



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Basic materials cont.
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26   $20,000 $19,106
Nufarm Australia, Ltd./Nufarm Americas, Inc. 144A sr. unsec. notes 5.00%, 1/27/30 (Australia)   25,000 24,629
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada)   115,000 131,907
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada)   520,000 525,952
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada)   122,000 127,485
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29   200,000 177,000
Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28   20,000 18,376
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30   120,000 105,600
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28   145,000 136,663
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29   50,000 44,883
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27   455,000 456,011
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22   11,000 11,015
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29   150,000 147,000
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada)   95,000 97,826
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29   125,000 118,750
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)   125,000 115,341
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29   185,000 173,206
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27   120,000 119,885
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51   1,094,000 899,257
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41   546,000 456,651
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30   515,000 661,115
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31   110,000 140,986
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R   25,000 31,871
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24   90,000 91,188
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27   70,000 68,492
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29   90,000 84,159
10,368,889
Capital goods (1.1%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31   55,000 49,893
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27   150,000 147,563
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27   70,000 70,175
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30   75,000 71,080


42 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Capital goods cont.
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Luxembourg) ‡‡   $200,000 $182,875
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27   167,000 152,118
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26   749,000 697,752
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60   564,000 651,186
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada)   155,000 151,763
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada)   8,000 8,260
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada)   65,000 63,700
Bombardier, Inc. 144A sr. unsec. notes 6.00%, 2/15/28 (Canada)   40,000 37,490
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25   63,000 65,238
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29   80,000 76,376
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26   65,000 73,349
Deere & Co. sr. unsec. unsub. notes 2.60%, 6/8/22   570,000 570,726
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22   160,000 160,855
GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada)   75,000 69,938
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)   30,000 28,350
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)   25,000 23,000
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)   100,000 100,850
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27   100,000 105,500
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29   70,000 66,850
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47   255,000 274,580
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29   325,000 296,766
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada) ‡‡   130,000 135,200
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64   405,000 429,647
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47   190,000 199,772
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31   170,000 147,709
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26   357,000 363,954
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28   312,000 324,462
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28   55,000 50,690
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29   135,000 121,163
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29   170,000 150,450
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28   860,000 860,039
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28   140,000 142,765
OT Merger Corp. 144A sr. unsec. notes 7.875%, 10/15/29   160,000 138,400
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30   235,000 219,629
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27   105,000 108,938
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27   140,000 117,250
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28   90,000 88,437


Dynamic Asset Allocation Conservative Fund 43



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Capital goods cont.
Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40   $195,000 $216,018
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28   745,000 778,750
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29   35,000 32,638
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29   110,000 104,225
Staples, Inc. 144A sr. notes 7.50%, 4/15/26   225,000 218,499
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26   145,000 149,746
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29   55,000 52,716
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada)   15,000 14,905
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26   75,000 75,677
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27   135,000 133,988
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29   110,000 103,100
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29   70,000 65,448
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26   235,000 241,260
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28   55,000 50,194
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32   58,000 56,593
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29   430,000 431,358
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26   195,000 184,291
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28   100,000 106,214
10,810,358
Communication services (2.7%)
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31 R   1,083,000 979,468
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R   339,000 314,567
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R   735,000 703,789
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55   1,914,000 1,688,083
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33   2,419,000 2,149,147
AT&T, Inc. sr. unsec. unsub. bonds 2.25%, 2/1/32   91,000 80,691
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46   567,000 615,809
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32   70,000 64,029
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26   70,000 70,983
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29   875,000 875,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30   80,000 76,819
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30   50,000 46,915
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31   65,000 58,988


44 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Communication services cont.
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 3.75%, 2/15/28   $275,000 $271,552
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29   210,000 188,972
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45   694,000 790,038
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50   590,000 560,447
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51   330,000 271,953
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47   52,000 53,242
Comcast Corp. company guaranty sr. unsec. unsub. bonds 4.049%, 11/1/52   151,000 156,182
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49   263,000 265,252
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47   780,000 794,509
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27   720,000 700,097
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35   17,000 21,977
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26   25,000 25,217
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50   1,050,000 987,061
Comcast Corp. 144A company guaranty sr. unsec. bonds 2.987%, 11/1/63   173,000 141,570
Comcast Corp. 144A company guaranty sr. unsec. bonds 2.887%, 11/1/51   82,000 69,129
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25   40,000 37,884
Cox Communications, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 10/1/50   404,000 318,148
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27   340,000 338,227
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R   395,000 394,600
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27 R   557,000 552,957
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26 R   455,000 457,025
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24   202,000 202,256
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands)   163,000 218,491
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27   45,000 44,269
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26   70,000 69,545
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24   75,000 74,813


Dynamic Asset Allocation Conservative Fund 45



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Communication services cont.
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29   $110,000 $93,675
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28   100,000 94,625
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26   55,000 52,388
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36   130,000 125,239
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R   140,000 133,979
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26 R   1,380,000 1,336,359
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27   55,000 54,632
Frontier Communications Corp. 144A notes 6.75%, 5/1/29   155,000 148,800
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)   240,000 225,000
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28   105,000 96,391
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28   552,000 639,597
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26   110,000 124,169
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31   1,035,000 905,337
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30   64,000 64,246
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27   792,000 796,629
T-Mobile USA, Inc. company guaranty sr. notes 2.55%, 2/15/31   267,000 242,116
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31   70,000 63,065
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27   10,000 10,268
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29   50,000 45,637
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28   110,000 111,804
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28   365,000 436,854
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain)   1,085,000 1,121,896
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61   924,000 855,878
Verizon Communications, Inc. sr. unsec. bonds 1.75%, 1/20/31   290,000 252,842
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31   461,000 428,292
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34   775,000 826,427
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28   1,337,000 1,410,367
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada)   164,000 165,964
26,592,177
Conglomerates (—%)
General Electric Co. jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 3.33%), 4.156%, perpetual maturity   127,000 121,761
121,761
Consumer cyclicals (2.8%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29   95,000 88,231
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada)   415,000 413,963


46 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada)   $239,000 $228,001
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27   1,225,000 1,240,711
Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31   208,000 193,225
AMC Entertainment Holdings, Inc. 144A company guaranty notes 10.00% (12.00%), 6/15/26 ‡‡   110,000 98,796
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29   45,000 43,729
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28   50,000 48,035
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29   50,000 46,625
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32   10,000 9,295
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29   20,000 18,625
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31   236,000 205,468
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity   55,000 56,011
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity   110,000 118,663
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25   12,000 13,697
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30   50,000 52,500
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27 ‡‡   95,000 86,213
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26   165,000 156,750
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31   425,000 388,875
BMW Finance NV 144A company guaranty sr. unsec. notes 2.85%, 8/14/29 (Netherlands)   405,000 391,218
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30   410,000 444,680
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27   50,000 49,750
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31   110,000 106,013
Boyd Gaming Corp. 144A sr. unsec. notes 8.625%, 6/1/25   22,000 23,108
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada)   105,000 102,802
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada)   110,000 99,881
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29   40,000 37,400
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26   95,000 95,620
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27   110,000 104,903
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29   75,000 69,857
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30   65,000 65,650
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24   130,000 129,675
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25   20,000 20,925


Dynamic Asset Allocation Conservative Fund 47



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26   $120,000 $116,400
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28   115,000 107,396
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27   70,000 69,243
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28   80,000 80,418
Clear Channel Outdoor Holdings, Inc. 144A sr. unsec. notes 7.50%, 6/1/29   85,000 84,818
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25   160,000 150,000
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26   905,000 822,414
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26   120,000 46,500
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23   400,000 402,879
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26   1,390,000 1,374,009
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29   110,000 102,713
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27   75,000 70,370
Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31   310,000 280,015
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25   400,000 408,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30   285,000 268,385
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28   145,000 148,263
Garda World Security Corp. 144A sr. unsec. notes 6.00%, 6/1/29 (Canada)   65,000 58,387
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30   110,000 103,263
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29   30,000 28,125
General Motors Co. sr. unsec. bonds 5.95%, 4/1/49   163,000 181,141
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45   50,000 50,609
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26   1,082,000 1,085,339
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25   200,000 202,980
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25   85,000 86,045
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32   191,000 171,674
Global Payments, Inc. sr. unsec. notes 2.90%, 5/15/30   39,000 35,995
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31   215,000 205,586
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada)   135,000 138,375
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24   60,000 60,900
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27   80,000 80,540
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.95%, 4/1/41   300,000 387,449
Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22   475,000 475,537


48 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26   $576,000 $595,320
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27   190,911 197,116
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28   944,000 988,293
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27   50,000 47,875
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25   45,000 46,181
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29   135,000 123,525
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29   80,000 74,933
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27   599,000 623,996
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31   125,000 114,470
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26   65,000 66,219
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27   50,000 53,251
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32   50,000 49,375
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 5.875%, 3/15/30   10,000 9,865
Magallanes, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32   1,795,000 1,799,317
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   40,000 40,300
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30   75,000 67,406
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada)   140,000 138,193
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)   110,000 103,324
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29   80,000 76,978
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26   20,000 19,582
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28   140,000 133,528
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29   145,000 137,040
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30   30,000 28,013
Moody’s Corp. sr. unsec. bonds 2.55%, 8/18/60   335,000 252,150
Moody’s Corp. sr. unsec. notes 2.00%, 8/19/31   755,000 669,784
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27   45,000 44,325
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29   35,000 35,175
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29   105,000 103,163
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32   80,000 80,426
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29   80,000 75,600
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)   80,000 80,400


Dynamic Asset Allocation Conservative Fund 49



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28   $75,000 $75,540
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29   60,000 59,850
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26   660,000 667,982
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27   120,000 118,900
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27   50,000 45,745
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28   100,000 97,860
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32   132,000 170,280
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24   98,000 100,221
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26   35,000 33,618
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29   90,000 84,825
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.25%, 4/15/30   60,000 55,200
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26   40,000 38,872
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29   90,000 85,295
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30   152,000 130,959
S&P Global, Inc. 144A sr. unsec. unsub. notes 2.45%, 3/1/27   20,000 19,452
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25   125,000 138,579
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30   70,000 69,005
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29   160,000 167,600
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28   50,000 51,825
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29   150,000 140,625
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32   55,000 48,708
Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29   60,000 55,755
Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31   65,000 62,238
Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27   55,000 55,042
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26   90,000 87,525
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30   55,000 49,042
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31   590,000 536,900
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28   115,000 109,250
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27   700,000 700,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27   65,000 65,000


50 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25   $105,000 $109,594
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26   85,000 85,425
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29   50,000 47,036
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 3/15/31   100,000 88,220
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31   40,000 35,000
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27   70,000 69,390
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28   10,000 9,563
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30   70,000 64,400
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31   35,000 32,015
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28   100,000 94,849
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31   575,000 507,828
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25   90,000 88,650
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27   155,000 157,713
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26   105,000 108,134
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24   50,000 51,936
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28   130,000 130,488
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29   324,000 327,683
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27   298,000 290,631
Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26   136,000 138,081
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29   70,000 63,175
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45   281,000 445,180
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25   130,000 133,900
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28   95,000 90,021
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27   120,000 116,100
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29   105,000 98,831
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25   30,000 31,130
27,544,452
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)   70,000 63,142
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada)   70,000 67,200
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada)   90,000 85,275
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30   30,000 29,213
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27   130,000 125,673


Dynamic Asset Allocation Conservative Fund 51



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer staples cont.
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26   $90,000 $95,063
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49   338,000 412,115
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48   810,000 874,212
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29   404,000 438,007
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31   405,000 356,382
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27   685,000 693,577
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25   70,000 65,106
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29   15,000 13,782
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28   31,473 33,661
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45   230,000 235,535
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37   300,000 391,614
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42   363,000 425,723
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24   300,000 305,040
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30   50,000 45,938
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23   165,000 161,836
GSK Consumer Healthcare Capital US, LLC 144A company guaranty sr. unsec. unsub. bonds 3.625%, 3/24/32   515,000 515,194
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27   65,000 65,910
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25   50,000 52,000
JDE Peet’s NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands)   535,000 480,263
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31   869,000 781,882
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28   303,000 319,508
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27   60,000 60,900
Kraft Heinz Foods Co. company guaranty sr. unsec. bonds 4.375%, 6/1/46   175,000 172,837
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 5.00%, 7/15/35   98,000 104,471
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26   89,000 87,740
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 4.875%, 10/1/49   335,000 352,966


52 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Consumer staples cont.
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28   $75,000 $75,000
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30   125,000 116,250
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27   54,000 53,738
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31   45,000 40,250
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30   25,000 23,427
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28   415,000 402,032
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26   70,000 66,461
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. notes 2.125%, 9/19/22 (Netherlands)   425,000 425,515
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24   850,000 816,049
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 395,000 473,608
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28   $90,000 94,388
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28   676,000 745,155
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26   480,000 499,169
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29   35,000 37,888
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30   633,000 675,221
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25   55,000 56,773
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26   90,000 90,563
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29   205,000 197,825
Rite Aid Corp. 144A company guaranty sr. notes 8.00%, 11/15/26   86,000 79,150
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25   58,000 54,095
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25   90,000 92,966
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25   55,000 57,750
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27   100,000 104,750
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29   55,000 52,354
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29   110,000 103,254
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32   30,000 30,068
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31   50,000 45,592
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30   50,000 49,031
13,470,087
Energy (1.4%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26   60,000 64,927
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26   45,000 49,613
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29   50,000 54,047
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40   55,000 55,413


Dynamic Asset Allocation Conservative Fund 53



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Energy cont.
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28   $65,000 $66,234
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26   445,000 444,132
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom)   715,000 721,449
Callon Petroleum Co. company guaranty sr. unsec. notes 6.125%, 10/1/24   130,000 129,350
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25   50,000 53,000
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28   80,000 84,334
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)   80,000 99,000
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27   175,000 175,893
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26   120,000 116,400
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26   40,000 40,800
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27   120,000 127,911
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31   80,000 77,551
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32   96,000 87,360
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25   24,000 24,360
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30   110,000 108,383
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29   95,000 98,000
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44   80,000 78,900
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28   95,000 96,311
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23   135,000 136,620
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31   110,000 120,318
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32   1,240,000 1,105,770
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.00%, 5/1/29   95,000 95,000
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27   50,000 52,125
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37   135,000 158,288
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32   75,000 97,330
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31   50,000 64,938
Devon Energy Corp. sr. unsec. unsub. bonds 5.60%, 7/15/41   40,000 46,160
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26   290,000 289,569
DT Midstream, Inc. 144A sr. bonds 4.30%, 4/15/32   165,000 165,431


54 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Energy cont.
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28   $150,000 $154,394
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28   585,000 604,744
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25   50,000 51,875
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28   140,000 142,800
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23   690,000 691,428
EQT Corp. sr. unsec. notes 7.50%, 2/1/30   55,000 63,731
EQT Corp. sr. unsec. notes 5.00%, 1/15/29   10,000 10,323
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway)   170,000 200,897
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28   95,000 94,938
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30   45,000 42,462
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26   355,000 364,212
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28   150,000 142,311
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25   60,000 58,388
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25   35,000 36,453
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26   45,000 45,000
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26   55,000 56,375
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30   70,000 80,325
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31   25,000 28,125
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40   453,000 502,830
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36   135,000 158,582
Ovintiv, Inc. company guaranty sr. unsec. bonds 6.50%, 8/15/34   35,000 41,542
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31   95,000 116,463
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37   35,000 41,407
Ovintiv, Inc. company guaranty sr. unsec. unsub. notes 8.125%, 9/15/30   30,000 37,563
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25   135,000 139,080
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia)   200,000 202,509
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 5.50%, 6/10/51 (Brazil)   135,000 115,844
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil)   146,000 153,300
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil)   139,000 140,738


Dynamic Asset Allocation Conservative Fund 55



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Energy cont.
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 7.69%, 1/23/50 (Mexico)   $159,000 $138,926
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)   898,000 853,100
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada)   140,000 142,800
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada)   25,000 25,375
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25   70,000 71,050
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23   24,000 24,360
Renewable Energy Group, Inc. 144A company guaranty sr. notes 5.875%, 6/1/28   35,000 37,595
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29   125,000 125,116
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28   174,000 178,678
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24   120,000 125,597
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27   52,000 54,993
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands)   980,000 981,985
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27   40,000 41,006
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26   85,000 87,403
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28   95,000 98,033
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25   45,000 49,125
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30   110,000 111,783
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29   205,000 207,563
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26   340,000 340,129
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30   95,000 92,183
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28   120,000 115,800
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada)   227,000 223,595
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands)   39,975 39,875
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27   70,313 69,609
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27   90,000 92,925
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26   100,000 100,900
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27   50,000 50,192
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33   60,000 57,150
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27   30,000 30,558
14,270,960


56 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Financials (6.8%)
ABN AMRO Bank NV 144A unsec. sub. FRB 3.324%, 3/13/37 (Netherlands)   $600,000 $545,285
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland)   1,465,000 1,320,639
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28   90,000 90,000
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28   240,000 209,856
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28   279,000 284,101
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29   972,000 917,663
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27   130,000 128,432
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31   630,000 790,228
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29   45,000 43,201
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27   725,000 659,590
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26   204,000 200,119
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29   130,000 124,913
Athene Global Funding 144A notes 1.985%, 8/19/28   660,000 579,817
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom)   200,000 214,900
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain)   200,000 202,407
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain)   1,600,000 1,436,045
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain)   200,000 206,679
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity   204,000 210,885
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity   10,000 10,450
Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27   2,355,000 2,187,053
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31   735,000 675,590
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37   1,775,000 1,699,778
Bank of America Corp. unsec. sub. FRN (BBA LIBOR USD 3 Month + 0.76%), 1.586%, 9/15/26   100,000 97,384
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37   870,000 1,033,902
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50   635,000 549,763
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43   151,000 160,743
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31   205,000 173,482
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France)   485,000 421,038
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France)   200,000 205,306
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France)   295,000 298,368
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R   140,000 142,575
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22   136,000 137,180
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32   1,420,000 1,221,848
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity   374,000 353,430
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28   2,519,000 2,521,988
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28   576,000 582,480
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46   275,000 294,334


Dynamic Asset Allocation Conservative Fund 57



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Financials cont.
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27   $385,000 $397,103
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26   340,000 352,556
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29   90,000 94,680
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25   80,000 82,992
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29   115,000 98,613
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31   55,000 46,888
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28   55,000 48,744
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia)   1,010,000 1,001,880
Commonwealth Bank of Australia 144A unsec. sub. notes 2.688%, 3/11/31 (Australia)   200,000 177,910
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29   335,000 334,695
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France)   250,000 244,551
Credit Suisse AG/New York, NY sr. unsec. notes 2.80%, 4/8/22   550,000 550,103
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland)   225,000 226,688
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland)   311,000 303,485
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland)   1,090,000 1,020,346
Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany)   1,315,000 1,233,386
Deutsche Bank AG/New York, NY unsec. sub. FRN 3.729%, 1/14/32 (Germany)   425,000 379,078
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R   204,000 212,250
DNB Bank ASA 144A sr. unsec. notes 2.15%, 12/2/22 (Norway)   970,000 971,979
Empire Communities Corp. 144A sr. unsec. notes 7.00%, 12/15/25 (Canada)   40,000 39,300
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada)   714,000 739,058
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24   190,000 194,736
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity   51,000 50,426
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28   713,000 788,748
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23   345,000 352,788
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25   67,000 66,798
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24   80,000 79,700
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27   55,000 50,997
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32 R   355,000 322,092
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25   85,000 87,491
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada)   30,000 29,775
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada)   60,000 56,775
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51   189,000 173,171


58 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Financials cont.
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29   $916,000 $937,885
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27   2,035,000 2,053,270
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30   289,000 267,182
Home Point Capital, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/26   50,000 40,875
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26   130,000 131,502
HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29   35,000 33,425
Huntington Bancshares, Inc. 144A unsec. sub. FRB 2.487%, 8/15/36   592,000 515,083
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26   95,000 96,900
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27   85,000 83,421
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29   50,000 45,875
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40   599,000 511,108
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32   300,000 259,093
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22   44,000 44,435
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy)   465,000 406,721
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R   85,000 86,063
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R   135,000 136,103
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R   360,000 354,151
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity   43,000 44,075
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity   252,000 242,865
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD 3 Month + 1.00%), 1.506%, 5/15/47   293,000 251,980
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48   2,495,000 2,548,594
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27   2,650,000 2,656,491
JPMorgan Chase & Co. unsec. sub. FRB 2.956%, 5/13/31   80,000 74,856
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23   1,053,000 1,064,422
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44   250,000 279,004
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R   140,000 132,038
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R   30,000 29,888
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R   100,000 95,375
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom)   295,000 301,789
Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49   305,000 352,905
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29   344,000 363,520
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37   385,000 459,113
Metropolitan Life Global Funding I 144A notes 1.95%, 1/13/23   420,000 420,052
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan)   425,000 430,479


Dynamic Asset Allocation Conservative Fund 59



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Financials cont.
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29   $2,470,000 $2,489,274
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47   715,000 774,382
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.125%, 1/23/23   1,324,000 1,336,828
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31   115,000 109,677
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28   85,000 81,711
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30   30,000 27,750
NatWest Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom)   200,000 207,141
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45   225,000 238,687
New York Life Global Funding 144A notes 1.10%, 5/5/23   1,176,000 1,160,972
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25   25,000 26,339
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26   45,000 48,100
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28   50,000 52,375
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29   150,000 145,736
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31   50,000 44,438
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25   100,000 99,000
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26   165,000 154,275
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R   192,000 178,377
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27 R   80,000 75,862
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25   125,000 122,908
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44   100,000 99,500
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada)   440,000 458,621
Santander UK Group Holdings PLC 144A unsec. sub. notes 4.75%, 9/15/25 (United Kingdom)   430,000 439,314
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R   35,000 36,717
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France)   390,000 363,698
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan)   755,000 734,843
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42   435,000 484,307
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.90%, 12/1/22 (Canada)   925,000 925,791
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada)   760,000 762,848
Truist Bank unsec. sub. FRN Ser. BKNT, 2.636%, 9/17/29   390,000 383,571


60 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Financials cont.
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24   $141,000 $138,533
U.S. Bancorp unsec. sub. notes unsec. sub. notes Ser. MTN, 2.95%, 7/15/22   204,000 204,732
UBS Group AG 144A sr. unsec. notes 3.491%, 5/23/23 (Switzerland)   1,760,000 1,763,245
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 4.125%, 4/15/26 (Switzerland)   233,000 237,270
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland)   589,000 622,039
US Bancorp unsec. sub. FRB 2.491%, 11/3/36   960,000 860,835
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25   105,000 105,348
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity   127,000 132,398
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity   98,000 93,938
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33   2,835,000 2,755,174
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia)   298,000 250,417
66,718,743
Health care (2.4%)
AbbVie, Inc. sr. unsec. notes 3.20%, 11/21/29   2,640,000 2,608,606
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25   525,000 534,756
Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25   110,000 95,150
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51   495,000 544,730
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26   710,000 699,830
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27   75,000 75,281
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29   90,000 76,764
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29   75,000 61,500
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29   40,000 31,160
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28   90,000 86,175
Becton Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30   94,000 89,436
Becton Dickinson and Co. sr. unsec. sub. bonds 1.957%, 2/11/31   795,000 702,305
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22   705,000 711,035
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 2/20/23   712,000 720,739
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 8/15/22   473,000 476,295
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24   808,000 813,994
Bristol-Myers Squibb Co. sr. unsec. notes 1.45%, 11/13/30   540,000 471,119
Bristol-Myers Squibb Co. sr. unsec. sub. notes 3.40%, 7/26/29   93,000 94,654
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30   50,000 45,924
Centene Corp. sr. unsec. notes 4.625%, 12/15/29   225,000 227,250
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31   50,000 47,063
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29   45,000 42,413
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26   45,000 46,864
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29   10,000 10,125


Dynamic Asset Allocation Conservative Fund 61



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Health care cont.
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27   $40,000 $40,700
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28   75,000 68,028
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29   145,000 142,463
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30   45,000 43,191
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23   391,000 396,708
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38   1,768,000 1,932,138
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36   200,260 209,206
DH Europe Finance II Sarl company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg)   265,000 250,742
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28   115,000 123,340
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg)   40,000 36,300
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25   55,000 54,588
HCA, Inc. company guaranty sr. bonds 3.50%, 7/15/51   651,000 564,471
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29   86,000 87,660
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47   88,000 99,299
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26   105,000 110,250
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30   50,000 48,303
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland)   200,000 193,750
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg)   107,000 101,115
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24   28,000 28,339
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45   685,000 697,658
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25   172,000 172,399
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30   140,000 135,818
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29   40,000 37,000
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29   90,000 83,670
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45   1,130,000 1,210,715
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29   35,000 32,813
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 7.375%, 6/1/25   24,000 24,720
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30   35,000 35,875
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29   120,000 114,600
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26   530,000 534,655
Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland)   955,000 1,000,291
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29   135,000 137,375
Service Corp. International sr. unsec. notes 4.625%, 12/15/27   123,000 124,076
Service Corp. International sr. unsec. notes 3.375%, 8/15/30   95,000 85,583
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31   55,000 51,168


62 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Health care cont.
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24   $25,000 $25,108
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27   25,000 25,665
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27   200,000 200,941
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26   805,000 812,044
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29   135,000 129,431
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel)   215,000 206,662
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42   540,000 556,737
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28   1,455,000 1,514,260
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23   535,000 537,732
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.00%, 5/15/30   75,000 69,029
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27   459,000 417,756
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28   540,000 554,282
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30   147,000 131,816
23,503,638
Technology (1.9%)
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28   175,000 156,349
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60   520,000 404,186
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26   505,000 492,186
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47   1,420,000 1,591,356
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61   310,000 266,543
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24   175,000 176,441
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45   350,000 395,567
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43   453,000 476,216
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28   135,000 125,936
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28   55,000 50,839
Black Knight InfoServ, LLC 144A company guaranty sr. unsec. notes 3.625%, 9/1/28   85,000 80,555
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25   30,000 31,096
Boxer Parent Co., Inc. 144A notes 9.125%, 3/1/26   85,000 87,550
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28   1,225,000 1,202,764
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30   434,000 439,854
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36   153,000 132,818
Cisco Systems, Inc./California sr. unsec. unsub. bonds 5.90%, 2/15/39   315,000 410,864
Cisco Systems, Inc./California sr. unsec. unsub. notes 2.50%, 9/20/26   520,000 515,189
Citrix Systems, Inc. sr. unsec. sub. notes 1.25%, 3/1/26   763,000 741,802
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29   115,000 108,193
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26   45,000 45,522


Dynamic Asset Allocation Conservative Fund 63



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Technology cont.
CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27   $75,000 $72,938
Condor Merger Sub., Inc. 144A sr. unsec. notes 7.375%, 2/15/30   80,000 76,739
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29   100,000 91,750
Dell International, LLC/EMC Corp. company guaranty sr. bonds 8.35%, 7/15/46   20,000 29,228
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25   50,000 50,794
Google, LLC sr. unsec. notes 3.375%, 2/25/24   540,000 551,287
IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22   675,000 676,316
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29   185,000 178,148
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23   270,000 274,240
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25   105,000 106,253
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52   1,170,000 1,097,915
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26   1,800,000 1,784,933
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41   510,000 445,452
Oracle Corp. sr. unsec. notes 2.50%, 5/15/22   550,000 550,326
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47   1,105,000 977,228
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40   310,000 327,089
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22   832,000 835,124
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29   140,000 126,700
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61   490,000 429,827
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51   490,000 435,076
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31   385,000 356,125
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30   545,000 463,182
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25   40,000 40,350
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29   80,000 74,000
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31   55,000 51,123
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29   105,000 98,963
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29   145,000 145,276
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29   215,000 196,515
18,474,723
Transportation (0.3%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29   105,000 104,606
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26   105,000 105,788
Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada)   950,000 894,873
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44   370,000 381,253
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28   155,000 156,187


64 Dynamic Asset Allocation Conservative Fund



CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Transportation cont.
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26   $210,000 $209,053
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24   315,000 319,081
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29   40,000 38,038
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26   40,000 39,347
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27   270,000 265,456
2,513,682
Utilities and power (1.4%)
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31   592,000 529,399
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28   575,000 594,466
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32   140,000 129,388
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32   88,000 83,897
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43   45,000 38,360
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26   25,000 24,431
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28   40,000 38,318
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26   20,000 20,100
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28   150,000 146,322
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31   20,000 18,200
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29   10,000 9,200
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36   208,000 255,306
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42   205,000 206,498
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49   570,000 569,006
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27   775,000 766,541
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39   255,000 324,772
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29   585,000 594,626
Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23   164,000 165,894
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada)   495,000 500,700
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)   395,000 408,577
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30   1,080,000 1,062,459
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25   78,000 76,296
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity   935,000 836,825
Energy Transfer LP sr. unsec. unsub. bonds 6.125%, 12/15/45   66,000 72,782
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30   286,000 274,907
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48   1,310,000 1,315,437
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30   125,000 125,192
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24   68,000 68,176


Dynamic Asset Allocation Conservative Fund 65




CORPORATE BONDS AND NOTES (23.2%)* cont. Principal
amount
Value
Utilities and power cont.
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23   $210,000 $211,471
Kinder Morgan, Inc./DE company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32   17,000 21,908
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27   6,000 6,183
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29   65,000 65,027
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24   249,000 248,833
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32   390,000 343,200
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29   40,000 39,089
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada)   350,000 350,867
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42   110,000 132,349
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45   560,000 553,825
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26   95,000 90,272
Pacific Gas and Electric Co. notes 2.10%, 8/1/27   85,000 76,376
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27   25,000 23,993
Pacific Gas and Electric Co. sr. notes 1.367%, 3/10/23   1,645,000 1,616,031
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40   215,000 259,766
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity   45,000 43,819
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29   311,000 300,189
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24   275,000 272,394
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26   125,000 125,684
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27   65,000 63,948
14,101,299
Total corporate bonds and notes (cost $234,351,808) $228,490,769

MORTGAGE-BACKED SECURITIES (7.0%)* Principal
amount
Value
Agency collateralized mortgage obligations (2.2%)
Federal Home Loan Mortgage Corporation      
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 24.197%, 4/15/37   $37,614 $58,678
REMICs IFB Ser. 3065, Class DC, ((-3 x 1 Month US LIBOR) + 19.86%), 18.67%, 3/15/35   71,516 90,825
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 15.932%, 6/15/34   21,972 23,729
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.653%, 4/15/44   3,957,840 541,465
REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51   2,592,505 509,775
REMICs Ser. 5170, Class CI, IO, 5.50%, 5/25/44   2,702,786 543,274
REMICs Ser. 5117, Class CI, IO, 5.00%, 6/25/51   6,360,436 1,130,601
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50   3,583,768 664,203
REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49   4,125,454 883,914


66 Dynamic Asset Allocation Conservative Fund



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation      
REMICs Ser. 5162, Class HI, IO, 4.00%, 11/25/51   $4,449,061 $766,680
REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51   3,735,988 652,191
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51   5,971,949 1,067,486
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51   3,395,724 683,914
REMICs Ser. 5080, Class DI, IO, 4.00%, 3/25/51   6,085,914 1,108,140
REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50   3,339,272 594,724
REMICs Ser. 5152, Class IE, IO, 3.50%, 10/25/51   4,890,583 784,185
REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51   3,481,418 566,124
REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50   2,430,344 426,960
REMICs Ser. 5167, IO, 3.00%, 11/25/51   4,497,418 685,856
REMICs Ser. 5127, Class AI, IO, 3.00%, 6/25/51   5,433,582 865,831
REMICs Ser. 5094, Class AI, IO, 3.00%, 4/25/41   6,293,792 793,361
REMICs Ser. 3391, PO, zero %, 4/15/37   3,202 2,818
Federal National Mortgage Association      
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 37.161%, 7/25/36   11,358 21,012
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x 1 Month US LIBOR) + 24.57%), 22.893%, 3/25/36   42,638 58,835
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x 1 Month US LIBOR) + 20.12%), 18.708%, 12/25/35   21,163 28,571
REMICs IFB Ser. 17-69, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 9/25/47   3,328,056 532,469
REMICs IFB Ser. 19-43, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 8/25/49   2,773,375 456,355
REMICs Ser. 21-67, Class DI, IO, 4.00%, 10/25/51   5,503,315 1,097,133
REMICs Ser. 21-28, Class GI, IO, 4.00%, 5/25/51   3,722,450 705,367
REMICs Ser. 20-67, Class JI, IO, 4.00%, 9/25/50   3,988,551 719,752
REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51   2,763,026 462,807
REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51   5,327,804 638,433
REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41   5,265,211 578,647
REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49   4,189,938 608,052
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37   9,341 8,407
REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37   676 602
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36   1,195 1,051
Government National Mortgage Association      
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40   110,112 21,815
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40   21,590 3,880
Ser. 14-116, Class IL, IO, 4.00%, 8/20/44   985,793 123,609
Ser. 13-14, IO, 3.50%, 12/20/42   199,485 22,083
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42   5,026,271 737,857
Ser. 20-138, Class AI, IO, 3.00%, 9/20/50   2,498,981 302,372
Ser. 16-H16, Class EI, IO, 2.199%, 6/20/66 W   2,137,997 126,142
FRB Ser. 16-H16, Class LI, IO, 2.113%, 7/20/66 W   9,229,384 507,616
Ser. 15-H26, Class EI, IO, 1.723%, 10/20/65 W   1,073,571 55,396
Ser. 15-H25, Class BI, IO, 1.713%, 10/20/65 W   1,858,408 98,496
21,361,493


Dynamic Asset Allocation Conservative Fund 67



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Commercial mortgage-backed securities (2.4%)
Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 0.965%, 5/15/53 W   $3,181,979 $194,149
AREIT CRE Trust 144A      
FRB Ser. 20-CRE4, Class C, 3.272%, 4/15/37   335,000 337,228
FRB Ser. 21-CRE5, Class A, 1.477%, 7/17/26 (Cayman Islands)   379,000 376,878
BANK      
FRB Ser. 17-BNK8, Class B, 3.925%, 11/15/50 W   275,000 275,044
FRB Ser. 19-BN22, Class C, 3.461%, 11/15/62 W   382,000 361,987
FRB Ser. 19-BN20, Class XA, IO, 0.853%, 9/15/62 W   4,147,846 207,786
Barclays Commercial Mortgage Trust      
Ser. 19-C3, Class C, 4.178%, 5/15/52   282,000 273,975
FRB Ser. 19-C4, Class XA, IO, 1.586%, 8/15/52 W   2,840,868 248,707
BBCMS Mortgage Trust 144A Ser. 21-C11, Class D, 2.00%, 9/15/54   274,000 204,885
Benchmark Mortgage Trust      
Ser. 18-B8, Class AS, 4.532%, 1/15/52 W   173,000 182,072
Ser. 19-B11, Class AS, 3.784%, 5/15/52   181,000 180,924
BXMT, Ltd. 144A FRB Ser. 21-FL4, Class A, 1.447%, 5/15/38 (Cayman Islands)   399,000 392,330
CD Commercial Mortgage Trust FRB Ser. 17-CD6, Class AM, 3.709%, 11/13/50 W   374,000 369,835
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50 W   179,000 176,011
CFCRE Commercial Mortgage Trust 144A      
FRB Ser. 11-C2, Class D, 5.124%, 12/15/47 W   71,648 72,436
FRB Ser. 11-C2, Class E, 5.124%, 12/15/47 W   411,000 409,192
Citigroup Commercial Mortgage Trust 144A      
FRB Ser. 14-GC19, Class D, 5.091%, 3/10/47 W   266,000 265,367
FRB Ser. 06-C5, Class XC, IO, 0.364%, 10/15/49 W   3,678,852 37
COMM Mortgage Trust      
FRB Ser. 13-CR13, Class C, 4.881%, 11/10/46 W   545,000 543,477
FRB Ser. 14-CR17, Class C, 4.784%, 5/10/47 W   217,000 215,842
FRB Ser. 14-CR18, Class C, 4.746%, 7/15/47 W   246,000 237,568
Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W   233,000 238,110
Ser. 14-LC15, Class B, 4.599%, 4/10/47 W   190,000 190,064
FRB Ser. 15-LC21, Class B, 4.334%, 7/10/48 W   289,000 298,921
FRB Ser. 15-LC19, Class C, 4.231%, 2/10/48 W   433,000 427,980
Ser. 14-LC15, Class AM, 4.198%, 4/10/47   286,000 288,772
Ser. 14-CR21, Class AM, 3.987%, 12/10/47   701,000 699,233
FRB Ser. 14-UBS4, Class XA, IO, 1.094%, 8/10/47 W   4,438,739 85,188
FRB Ser. 13-LC13, Class XA, IO, 0.993%, 8/10/46 W   3,727,283 40,637
FRB Ser. 14-CR18, Class XA, IO, 0.992%, 7/15/47 W   1,119,056 20,266
FRB Ser. 14-CR17, Class XA, IO, 0.957%, 5/10/47 W   2,359,866 37,621
FRB Ser. 14-UBS6, Class XA, IO, 0.858%, 12/10/47 W   3,798,166 67,816
FRB Ser. 14-CR14, Class XA, IO, 0.536%, 2/10/47 W   11,490,952 96,440
COMM Mortgage Trust 144A      
FRB Ser. 10-C1, Class D, 5.754%, 7/10/46 W   601,129 573,608
FRB Ser. 13-CR13, Class D, 4.881%, 11/10/46 W   299,000 288,457
FRB Ser. 13-CR9, Class D, 4.278%, 7/10/45 W   215,000 166,078


68 Dynamic Asset Allocation Conservative Fund



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
CSAIL Commercial Mortgage Trust      
FRB Ser. 15-C1, Class C, 4.261%, 4/15/50 W   $708,000 $646,410
Ser. 16-C7, Class AS, 3.958%, 11/15/49 W   255,000 254,146
Ser. 15-C2, Class AS, 3.849%, 6/15/57 W   264,000 260,897
Ser. 19-C17, Class AS, 3.278%, 9/15/52   277,000 267,420
FRB Ser. 20-C19, Class XA, IO, 1.114%, 3/15/53 W   5,760,207 403,687
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.389%, 8/10/44 W   784,956 780,482
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.758%, 9/25/27 W   4,665,155 165,307
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.472%, 2/10/46 W   5,433,800 43,792
GS Mortgage Securities Trust FRB Ser. 14-GC22, Class C, 4.688%, 6/10/47 W   715,000 700,003
GS Mortgage Securities Trust 144A      
FRB Ser. 10-C1, Class D, 6.525%, 8/10/43 W   435,000 328,040
FRB Ser. 13-GC14, Class B, 4.735%, 8/10/46 W   219,000 221,457
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45 W   373,000 369,923
JPMBB Commercial Mortgage Securities Trust      
FRB Ser. 14-C19, Class C, 4.654%, 4/15/47 W   84,000 82,529
FRB Ser. 14-C22, Class C, 4.554%, 9/15/47 W   204,000 190,828
FRB Ser. 13-C12, Class B, 4.095%, 7/15/45 W   235,000 234,865
FRB Ser. 13-C12, Class C, 4.095%, 7/15/45 W   378,000 376,202
FRB Ser. 14-C25, Class XA, IO, 0.825%, 11/15/47 W   3,119,765 55,298
FRB Ser. 14-C19, Class XA, IO, 0.646%, 4/15/47 W   3,564,487 35,623
JPMorgan Chase Commercial Mortgage Securities Trust      
FRB Ser. 13-C16, Class C, 5.008%, 12/15/46 W   202,000 203,420
Ser. 14-C20, Class AS, 4.043%, 7/15/47   320,000 322,204
FRB Ser. 13-LC11, Class XA, IO, 1.226%, 4/15/46 W   2,663,612 24,272
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.27%, 5/15/45 W   253,000 214,506
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.165%, 4/20/48 W   739,000 718,315
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.704%, 12/15/49 W   10,238
Morgan Stanley Bank of America Merrill Lynch Trust      
FRB Ser. 14-C14, Class C, 5.053%, 2/15/47 W   295,000 302,283
Ser. 14-C15, Class B, 4.565%, 4/15/47 W   215,000 216,608
FRB Ser. 14-C17, Class C, 4.472%, 8/15/47 W   322,000 308,438
FRB Ser. 15-C24, Class B, 4.343%, 5/15/48 W   193,000 193,463
Ser. 13-C8, Class B, 3.52%, 12/15/48 W   294,000 292,941
FRB Ser. 14-C17, Class XA, IO, 1.046%, 8/15/47 W   2,655,902 42,792
Morgan Stanley Bank of America Merrill Lynch Trust 144A      
FRB Ser. 12-C5, Class E, 4.624%, 8/15/45 W   414,000 413,164
FRB Ser. 12-C6, Class D, 4.586%, 11/15/45 W   265,000 262,537
Morgan Stanley Capital I Trust Ser. 16-UB12, Class AS, 3.778%, 12/15/49 W   193,000 188,026


Dynamic Asset Allocation Conservative Fund 69



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
Morgan Stanley Capital I Trust 144A      
FRB Ser. 07-IQ15, Class C, 6.273%, 6/11/49 W   $52,083 $52,901
FRB Ser. 11-C3, Class D, 5.086%, 7/15/49 W   206,000 206,082
PFP, Ltd. 144A REMICs FRB Ser. 21-8, Class AS, 1.681%, 8/9/37 (Cayman Islands)   276,000 271,179
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)   357,873 4
UBS Commercial Mortgage Trust      
FRB Ser. 17-C7, Class XA, IO, 1.01%, 12/15/50 W   3,201,893 135,430
FRB Ser. 18-C8, Class XA, IO, 0.853%, 2/15/51 W   3,960,907 157,063
UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class C, 5.84%, 5/10/45 W   576,000 575,566
UBS-Barclays Commercial Mortgage Trust 144A      
FRB Ser. 12-C2, Class D, 4.947%, 5/10/63 W   319,000 157,841
FRB Ser. 12-C4, Class XA, IO, 1.572%, 12/10/45 W   828,720 2,912
FRB Ser. 12-C2, Class XA, IO, 1.299%, 5/10/63 W   7,862,202 5,825
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 1.568%, 6/16/36   159,729 157,669
Wells Fargo Commercial Mortgage Trust      
FRB Ser. 13-LC12, Class AS, 4.305%, 7/15/46 W   251,000 248,126
FRB Ser. 13-LC12, Class C, 4.305%, 7/15/46 W   409,000 365,988
Ser. 15-NXS3, Class AS, 3.972%, 9/15/57 W   208,000 210,833
FRB Ser. 16-LC25, Class AS, 3.872%, 12/15/59 W   263,000 265,497
Ser. 16-BNK1, Class AS, 2.814%, 8/15/49   216,000 204,485
FRB Ser. 19-C52, Class XA, IO, 1.591%, 8/15/52 W   2,393,261 204,435
FRB Ser. 14-LC16, Class XA, IO, 1.099%, 8/15/50 W   4,347,980 79,359
FRB Ser. 16-LC25, Class XA, IO, 0.833%, 12/15/59 W   4,210,445 130,873
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.305%, 7/15/46 W   401,000 228,453
WF-RBS Commercial Mortgage Trust      
Ser. 13-C18, Class AS, 4.387%, 12/15/46 W   629,000 637,341
FRB Ser. 13-C11, Class C, 4.182%, 3/15/45 W   628,000 628,960
Ser. 13-C11, Class AS, 3.311%, 3/15/45   290,000 289,788
Ser. 12-C10, Class AS, 3.241%, 12/15/45   222,000 222,122
WF-RBS Commercial Mortgage Trust 144A      
FRB Ser. 11-C3, Class D, 5.294%, 3/15/44 W   526,390 254,089
Ser. 11-C4, Class E, 4.888%, 6/15/44 W   123,000 90,393
FRB Ser. 12-C9, Class D, 4.818%, 11/15/45 W   291,000 286,771
FRB Ser. 13-C15, Class D, 4.506%, 8/15/46 W   153,000 99,847
FRB Ser. 12-C10, Class XA, IO, 1.479%, 12/15/45 W   1,974,321 7,212
FRB Ser. 12-C9, Class XB, IO, 0.723%, 11/15/45 W   6,676,000 14,020
24,355,863
Residential mortgage-backed securities (non-agency) (2.4%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.647%, 5/25/47   481,485 285,876
Arroyo Mortgage Trust 144A      
Ser. 19-1, Class A3, 3.996%, 1/25/49 W   72,463 71,423
Ser. 19-3, Class A3, 3.416%, 10/25/48 W   101,146 98,029
Banc of America Funding Trust FRB Ser. 05-B, Class 3M1, (1 Month US LIBOR + 0.68%), 1.124%, 4/20/35   64,859 64,904


70 Dynamic Asset Allocation Conservative Fund



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
BankUnited Trust FRB Ser. 05-1, Class 1A1, (1 Month US LIBOR + 0.60%), 1.057%, 9/25/45   $74,086 $71,989
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (1 Month US LIBOR + 1.95%), 2.407%, 8/25/35   149,229 149,396
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (1 Month US LIBOR + 2.50%), 2.957%, 10/25/29 (Bermuda)   471,000 464,838
BRAVO Residential Funding Trust 144A Ser. 21-C, Class A1, 1.62%, 3/1/61   281,233 264,368
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55 W   250,000 247,625
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB7, Class M2, 2.679%, 10/27/31 W   601,000 582,705
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 2.778%, 5/25/35 W   136,838 137,887
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65 W   23,281 23,069
Countrywide Alternative Loan Trust      
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.107%, 11/20/35   275,490 265,676
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.081%, 6/25/46   275,322 254,597
FRB Ser. 05-65CB, Class 2A1, (1 Month US LIBOR + 0.43%), 0.882%, 12/25/35   365,296 267,416
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   420,490 374,871
FRB Ser. 06-OA19, Class A1, (1 Month US LIBOR + 0.18%), 0.629%, 2/20/47   251,895 204,732
Credit Suisse Mortgage Trust 144A Ser. 21-RPL4, Class A1, 1.796%, 12/27/60 W   175,968 167,169
CSMC Trust 144A Ser. 21-RPL7, Class A1, 1.926%, 7/27/61 W   185,535 172,576
Deephaven Residential Mortgage Trust 144A Ser. 20-2, Class A1, 1.692%, 5/25/65   24,058 23,945
Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.70%), 1.887%, 11/25/28 (Bermuda)   189,271 188,257
Federal Home Loan Mortgage Corporation      
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (1 Month US LIBOR + 6.35%), 6.807%, 9/25/28   439,575 475,996
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 6.007%, 7/25/28   510,659 543,657
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.607%, 11/25/28   304,278 321,314
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (1 Month US LIBOR + 5.00%), 5.457%, 12/25/28   329,335 346,463
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (1 Month US LIBOR + 4.70%), 5.157%, 4/25/28   126,658 132,010
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 5.107%, 10/25/28   1,165,317 1,205,832
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (1 Month US LIBOR + 3.55%), 4.007%, 8/25/29   171,861 175,083
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2, (1 Month US LIBOR + 3.45%), 3.907%, 10/25/29   261,677 271,654


Dynamic Asset Allocation Conservative Fund 71



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A      
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W   $182,000 $181,213
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.107%, 1/25/49   106,943 107,215
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.907%, 3/25/49   10,563 10,563
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (1 Month US LIBOR + 2.40%), 2.857%, 2/25/47   311,000 310,159
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.807%, 2/25/49   95,557 96,358
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 10/25/48   66,200 66,040
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M2, (1 Month US LIBOR + 2.10%), 2.557%, 9/25/48   438,448 440,367
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M2B, (1 Month US LIBOR + 2.10%), 2.557%, 9/25/48   58,000 57,858
Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 2.399%, 8/25/33   440,000 433,732
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (1 Month US LIBOR + 1.90%), 2.357%, 1/25/50   53,124 53,170
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 1.949%, 1/25/42   138,000 130,187
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (1 Month US LIBOR + 1.00%), 1.457%, 2/25/47   1,298,220 1,286,310
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 1.399%, 2/25/42   172,725 171,430
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 0.949%, 9/25/41   79,000 77,005
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (1 Month US LIBOR + 6.95%), 7.407%, 8/25/28   362,566 384,484
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 7.207%, 8/25/28   546,227 583,396
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.457%, 9/25/28   403,777 425,477
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.357%, 10/25/28   23,942 25,199
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.157%, 4/25/28   670,670 717,399
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.007%, 4/25/28   722,205 749,064
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 7/25/25   2,020 2,023
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 11/25/24   13,470 13,615
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 5.357%, 11/25/24   75,020 77,168
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (1 Month US LIBOR + 4.45%), 4.907%, 1/25/29   710,999 735,305


72 Dynamic Asset Allocation Conservative Fund



MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (1 Month US LIBOR + 4.35%), 4.807%, 5/25/29   $441,825 $459,993
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.757%, 2/25/25   26,735 27,163
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 4.707%, 4/25/29   300,893 314,036
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 4.707%, 1/25/29   803,482 822,329
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/25   33,580 33,975
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (1 Month US LIBOR + 3.65%), 4.107%, 9/25/29   27,000 27,700
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 4.007%, 7/25/29   612,456 625,255
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2C, (1 Month US LIBOR + 3.55%), 4.007%, 7/25/29   80,000 82,403
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 3.357%, 7/25/24   56,720 56,842
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 3.257%, 2/25/30   216,914 220,606
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1ED5, (1 Month US LIBOR + 2.25%), 2.707%, 7/25/30   16,578 16,594
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (1 Month US LIBOR + 1.25%), 1.707%, 7/25/29   128,497 127,594
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (1 Month US LIBOR + 0.65%), 1.107%, 1/25/31   61,635 60,942
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (1 Month US LIBOR + 0.60%), 1.057%, 11/25/29   75,161 73,846
Federal National Mortgage Association 144A      
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.907%, 7/25/31   19,618 19,673
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 2.607%, 11/25/39   154,058 151,540
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (1 Month US LIBOR + 2.05%), 2.507%, 1/25/40   287,666 287,307
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 1.299%, 1/25/42   102,211 101,445
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 0.999%, 11/25/41   67,990 67,270
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 0.849%, 10/25/41   47,032 46,694
FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49 W   473,861 471,821
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 2.057%, 10/25/28 (Bermuda)   84,046 83,277
Legacy Mortgage Asset Trust 144A      
Ser. 20-GS5, Class A1, 3.25%, 6/25/60   372,321 370,460
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59   251,294 250,038
FRB Ser. 20-GS1, Class A1, 2.882%, 10/25/59   232,898 229,637


Dynamic Asset Allocation Conservative Fund 73




MORTGAGE-BACKED SECURITIES (7.0%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (1 Month US LIBOR + 0.80%), 1.257%, 2/25/34   $335,959 $330,784
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.813%, 2/25/35 W   76,017 74,024
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (1 Month US LIBOR + 0.83%), 1.282%, 8/25/34   113,606 111,737
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 1.013%, 8/26/47 W   95,822 89,787
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (1 Month US LIBOR + 1.05%), 1.507%, 10/25/34   238,261 235,352
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60 W   209,000 204,119
RMF Buyout Issuance Trust 144A Ser. 20-HB1, Class A1, 1.719%, 10/25/50 W   167,963 158,070
Starwood Mortgage Residential Trust 144A      
Ser. 20-2, Class M1E, 3.00%, 4/25/60   493,000 490,526
Ser. 20-3, Class A3, 2.591%, 4/25/65 W   403,000 397,069
Structured Asset Mortgage Investments II Trust      
FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 1.307%, 5/25/47   383,482 337,693
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 0.637%, 1/25/37   91,033 86,211
Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56 W   174,000 169,211
Triangle Re, Ltd. 144A FRB Ser. 21-2, Class M1A, (1 Month US LIBOR + 2.05%), 2.507%, 10/25/33 (Bermuda)   164,000 162,532
WaMu Mortgage Pass-Through Certificates Trust      
FRB Ser. 05-AR12, Class 1A8, 2.849%, 10/25/35 W   248,590 239,265
FRB Ser. 04-AR3, Class A2, 2.61%, 6/25/34 W   126,638 126,006
FRB Ser. 05-AR9, Class A1C3, (1 Month US LIBOR + 0.96%), 1.417%, 7/25/45   117,997 111,484
FRB Ser. 04-AR13, Class A2B, (1 Month US LIBOR + 0.88%), 1.337%, 11/25/34   140,237 136,221
FRB Ser. 05-AR11, Class A1B3, (1 Month US LIBOR + 0.80%), 1.257%, 8/25/45   139,992 138,360
23,614,985
Total mortgage-backed securities (cost $71,341,216) $69,332,341

COLLATERALIZED LOAN OBLIGATIONS (1.8%)* Principal
amount
Value
522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (BBA LIBOR USD 3 Month + 1.07%), 1.329%, 4/23/34 (Cayman Islands)   $250,000 $247,863
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 1.341%, 4/15/34 (Cayman Islands)   500,000 493,992
AGL CLO 13, Ltd. 144A FRB Ser. 21-13A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 1.32%, 10/20/34 (Cayman Islands)   600,000 594,852
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (BBA LIBOR USD 3 Month + 1.20%), 1.454%, 7/20/34 (Cayman Islands)   100,000 99,330
Aimco CLO 14, Ltd. 144A FRB Ser. 21-14A, Class A, (BBA LIBOR USD 3 Month + 0.99%), 1.244%, 4/20/34 (Cayman Islands)   250,000 246,479


74 Dynamic Asset Allocation Conservative Fund



COLLATERALIZED LOAN OBLIGATIONS (1.8%)* cont. Principal
amount
Value
Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (BBA LIBOR USD 3 Month + 1.15%), 1.408%, 10/25/32 (Cayman Islands)   $200,000 $198,420
Apidos CLO XII 144A FRB Ser. 18-12A, Class BR, (BBA LIBOR USD 3 Month + 1.40%), 1.641%, 4/15/31 (Cayman Islands)   500,000 493,057
Apidos CLO XXIII 144A FRB Ser. 20-23A, Class AR, (BBA LIBOR USD 3 Month + 1.22%), 1.461%, 4/15/33   600,000 596,235
Apidos CLO XXXV 144A FRB Ser. 21-35A, Class A, (BBA LIBOR USD 3 Month + 1.05%), 1.304%, 4/20/34 (Cayman Islands)   250,000 247,859
Apidos CLO XXXVII 144A FRB Ser. 21-37A, Class A, (BBA LIBOR USD 3 Month + 1.13%), 1.259%, 10/22/34 (Cayman Islands)   150,000 149,035
Ares LX CLO, Ltd. 144A FRB Ser. 21-60A, Class A, (BBA LIBOR USD 3 Month + 1.12%), 1.361%, 7/18/34 (Cayman Islands)   250,000 247,773
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (BBA LIBOR USD 3 Month + 1.07%), 1.311%, 4/15/34 (Cayman Islands)   500,000 496,305
Ballyrock CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (BBA LIBOR USD 3 Month + 1.15%), 1.286%, 10/20/34 (Cayman Islands)   300,000 297,926
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (BBA LIBOR USD 3 Month + 1.09%), 1.344%, 4/20/31   250,000 248,593
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (BBA LIBOR USD 3 Month + 1.25%), 1.452%, 11/22/34 (Cayman Islands)   400,000 395,034
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (BBA LIBOR USD 3 Month + 1.17%), 1.411%, 10/15/34 (Cayman Islands)   250,000 247,326
Cedar Funding XIV CLO, Ltd. 144A FRB Ser. 21-14A, Class B, (BBA LIBOR USD 3 Month + 1.60%), 1.841%, 7/15/33 (Cayman Islands)   250,000 246,806
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 1.424%, 10/20/34   500,000 495,109
Elevation CLO, Ltd. 144A FRB Ser. 17-2A, Class A1R, (BBA LIBOR USD 3 Month + 1.23%), 1.471%, 10/15/29   441,378 440,544
Elmwood CLO II, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 1.404%, 4/20/34   265,000 262,076
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (BBA LIBOR USD 3 Month + 1.24%), 1.481%, 4/15/33 (Cayman Islands)   350,000 348,541
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 1.404%, 10/20/34 (Cayman Islands)   250,000 247,952
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class BR, (BBA LIBOR USD 3 Month + 1.65%), 1.904%, 10/20/34 (Cayman Islands)   100,000 99,580
Elmwood CLO VI, Ltd. 144A FRB Ser. 21-3A, Class BR, (BBA LIBOR USD 3 Month + 1.65%), 1.904%, 10/20/34 (Cayman Islands)   250,000 247,752
Elmwood CLO VIII, Ltd. 144A FRB Ser. 21-1A, Class B1, (BBA LIBOR USD 3 Month + 1.55%), 1.804%, 1/20/34 (Cayman Islands)   810,000 800,233
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (BBA LIBOR USD 3 Month + 1.20%), 1.441%, 4/16/34 (Cayman Islands)   350,000 347,345
GoldenTree Loan Management US CLO 5, Ltd. 144A FRB Ser. 21-5A, Class BR, (BBA LIBOR USD 3 Month + 1.55%), 1.804%, 10/20/32   500,000 496,000
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (BBA LIBOR USD 3 Month + 1.23%), 1.471%, 10/15/31 (Cayman Islands)   249,053 248,632
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (BBA LIBOR USD 3 Month + 1.35%), 1.604%, 1/20/33 (Cayman Islands)   550,000 545,263
HalseyPoint CLO II, Ltd. 144A FRB Ser. 20-2A, Class B, (BBA LIBOR USD 3 Month + 1.64%), 1.894%, 7/20/31 (Cayman Islands)   375,000 371,768
ICG US CLO, Ltd. 144A FRB Ser. 20-2RA, Class A2, (BBA LIBOR USD 3 Month + 1.80%), 2.041%, 1/16/33 (Cayman Islands)   314,000 310,108


Dynamic Asset Allocation Conservative Fund 75




COLLATERALIZED LOAN OBLIGATIONS (1.8%)* cont. Principal
amount
Value
ICG US CLO, Ltd. 144A FRB Ser. 21-3A, Class B1R, (BBA LIBOR USD 3 Month + 1.45%), 1.709%, 1/24/32 (Cayman Islands)   $632,000 $622,286
Jamestown CLO VI, Ltd. 144A FRB Ser. 18-6RA, Class A2B, (BBA LIBOR USD 3 Month + 1.78%), 2.038%, 4/25/30 (Cayman Islands)   323,000 319,991
Logan CLO I, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 1.414%, 7/20/34 (Cayman Islands)   500,000 495,581
Magnetite CLO XXVI, Ltd. 144A FRB Ser. 21-26A, Class A1R, (BBA LIBOR USD 3 Month + 1.12%), 1.378%, 7/25/34   250,000 247,159
Magnetite XXI CLO, Ltd. 144A FRB Ser. 21-21A, Class BR, (BBA LIBOR USD 3 Month + 1.35%), 1.604%, 4/20/34 (Cayman Islands)   250,000 243,839
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (BBA LIBOR USD 3 Month + 1.32%), 1.561%, 4/15/32 (Cayman Islands)   220,000 218,922
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.29%), 1.51%, 1/15/35 (Cayman Islands)   250,000 245,313
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (BBA LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands)   250,000 247,638
Neuberger Berman Loan Advisers CLO 47, Ltd. 144A FRB Ser. 22-47A, Class A, (CME TERM SOFR 3 Month + 1.30%), 1.548%, 4/14/35 (Cayman Islands)   250,000 249,134
Oak Hill Credit Partners XVI 144A FRB Ser. 21-16A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 1.314%, 10/18/34 (Cayman Islands)   250,000 248,517
Oaktree CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 1.401%, 7/15/34 (Cayman Islands)   258,000 255,973
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 1.404%, 10/20/34 (Cayman Islands)   250,000 247,560
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 1.391%, 7/15/34 (Cayman Islands)   372,000 368,521
Palmer Square CLO, Ltd. 144A FRB Ser. 21-3A, Class B, (BBA LIBOR USD 3 Month + 1.65%), 1.882%, 1/15/35 (Cayman Islands)   323,000 320,254
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (BBA LIBOR USD 3 Month + 1.00%), 1.254%, 10/20/31 (Cayman Islands)   250,000 248,442
Regatta XVIII Funding, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.10%), 1.341%, 1/15/34   274,000 272,139
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 1.401%, 10/15/34 (Cayman Islands)   218,000 215,883
RR, Ltd. 144A FRB Ser. 22-7A, Class A2B, (CME TERM SOFR 3 Month + 1.85%), 2.03%, 1/15/37 (Cayman Islands)   250,000 245,369
Sixth Street CLO XVI, Ltd. 144A FRB Ser. 20-16A, Class B, (BBA LIBOR USD 3 Month + 1.85%), 2.104%, 10/20/32 (Cayman Islands)   500,000 497,654
Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 1.411%, 7/15/34 (Cayman Islands)   250,000 246,721
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 1.424%, 7/20/34 (Cayman Islands)   508,000 502,407
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (BBA LIBOR USD 3 Month + 1.49%), 1.731%, 7/15/32   468,000 465,407
Total collateralized loan obligations (cost $17,987,960) $17,832,498


76 Dynamic Asset Allocation Conservative Fund




FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (1.0%)*
Principal
amount
Value
Bahrain (Kingdom of) sr. unsec. bonds Ser. REGS, 5.25%, 1/25/33 (Bahrain)   $300,000 $276,386
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile)   650,000 667,271
Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia)   390,000 374,294
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’Ivoire)   1,005,000 968,569
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)   233,000 210,574
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.40%, 6/5/49 (Dominican Republic)   250,000 234,375
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic)   258,000 265,095
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic)   320,000 312,323
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia)   800,000 849,992
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)   825,000 876,563
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan)   240,000 275,993
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan)   470,000 459,430
Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan)   290,000 301,550
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico)   862,000 936,968
Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama)   420,000 401,058
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay)   200,000 209,500
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay)   200,000 208,000
Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania)   620,000 601,546
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal)   585,000 549,900
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa)   300,000 300,755
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico)   243,000 221,179
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay)   210,000 297,688
Total foreign government and agency bonds and notes (cost $9,958,149) $9,799,009

ASSET-BACKED SECURITIES (0.7%)* Principal
amount
Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24   $443,000 $441,893
Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26   198,646 186,305


Dynamic Asset Allocation Conservative Fund 77




ASSET-BACKED SECURITIES (0.7%)* cont. Principal
amount
Value
Mello Warehouse Securitization Trust 144A      
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 1.257%, 11/25/53   $210,000 $210,000
FRB Ser. 21-2, Class A, (1 Month US LIBOR + 0.75%), 1.207%, 4/25/55   505,000 505,000
MRA Issuance Trust 144A      
FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.70%), 2.097%, 4/22/22   498,000 498,001
FRB Ser. 21-EBO1, Class A2X, (1 Month US LIBOR + 1.75%), 1.981%, 4/15/22   594,000 591,032
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), 1.431%, 8/15/22   783,000 783,001
FRB Ser. 21-8, Class A2X, (1 Month US LIBOR + 1.15%), 1.381%, 5/15/22   777,000 777,003
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.75%), 1.207%, 5/25/55   341,000 338,982
Provident Funding Mortgage Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%), 0.887%, 2/25/55   133,889 133,889
Station Place Securitization Trust 144A      
FRB Ser. 21-6, Class A, (1 Month US LIBOR + 0.80%), 1.255%, 4/25/22   574,000 574,000
FRB Ser. 21-14, Class A1, (1 Month US LIBOR + 0.70%), 1.155%, 12/8/22   218,000 218,000
FRB Ser. 21-16, Class A1, (1 Month US LIBOR + 0.62%), 0.729%, 11/7/22   630,000 630,000
FRB Ser. 21-10, Class A, (1 Month US LIBOR + 0.75%), zero %, 8/8/22   574,000 574,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 1.057%, 1/25/46   284,444 283,513
Total asset-backed securities (cost $6,761,071) $6,744,619

COMMODITY LINKED NOTES (0.5%)*††† Principal
amount
Value
Goldman Sachs International 144A notes zero %, 2022 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) $4,963,000 $5,377,996
Total commodity Linked Notes (cost $4,963,000) $5,377,996

SENIOR LOANS (0.4%)*c Principal
amount
Value
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 4/1/28   $79,400 $78,011
AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.352%, 4/22/26   98,841 87,927
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28   50,000 50,578
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.25%, 10/19/27   83,938 82,853
Arches Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 12/6/27   148,125 145,453
Ascend Learning, LLC bank term loan FRN (1 Month US LIBOR + 5.75%), 6.25%, 11/18/29   80,000 79,400


78 Dynamic Asset Allocation Conservative Fund



SENIOR LOANS (0.4%)*c cont. Principal
amount
Value
Asurion, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.25%), 5.707%, 1/30/29   $65,000 $63,456
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 7/31/27   44,662 43,699
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24   181,199 172,567
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.705%, 4/3/24   68,036 66,987
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.75%), 4.25%, 11/23/27   177,233 171,945
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24   41,744 41,348
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 6/4/28   129,025 128,239
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27   105,050 104,818
Epicor Software Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.75%), 8.75%, 7/30/28   50,000 50,938
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27   477,725 473,373
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25   217,250 215,416
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.545%, 12/1/27   84,150 83,940
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25   14,924 14,816
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26   66,870 66,411
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.00%), 3.75%, 12/15/27   39,500 39,237
Jazz Financing Lux SARL bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28   114,138 113,610
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26   69,300 62,933
MajorDrive Holdings IV, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.563%, 6/1/28   133,851 131,593
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27   124,063 114,758
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25   86,996 86,588
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.758%, 12/17/28   194,513 192,429
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28   129,350 128,283
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.75%), 8.748%, 4/29/25   161,039 141,715
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26   75,000 56,250
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25   52,372 47,023
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25   59,550 58,657


Dynamic Asset Allocation Conservative Fund 79




SENIOR LOANS (0.4%)*c cont. Principal
amount
Value
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25   $66,312 $65,234
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/17/26   403,855 397,228
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25   138,909 135,685
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27   54,725 54,144
UKG, Inc. bank term loan FRN (1 Month US LIBOR + 5.25%), 5.75%, 5/3/27   70,000 69,355
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28   103,950 102,564
Vertiv Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.991%, 3/2/27   174,633 170,049
Total senior loans (cost $4,470,350) $4,389,510

CONVERTIBLE PREFERRED STOCKS (0.1%)* Shares Value
Danaher Corp. 5.00% cv. pfd. 302 $474,291
T-Mobile US, Inc. 144A 5.25% cv. pfd. 487 543,005
Total convertible preferred stocks (cost $804,013) $1,017,296

CONVERTIBLE BONDS AND NOTES (—%)* Principal
amount
Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26   $55,000 $49,473
Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24   130,000 122,200
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23   49,000 45,947
Total convertible bonds and notes (cost $197,890) $217,620

WARRANTS (—%)* Expiration
date
Strike
price
Warrants Value
Occidental Petroleum Corp. 8/3/27 $22.00 401 $14,127
Total warrants (cost $1,987) $14,127

SHORT-TERM INVESTMENTS (6.4%)* Principal amount/
shares
Value
Putnam Short Term Investment Fund Class P 0.39% L Shares 42,290,598 $42,290,598
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% P Shares 550,000 550,000
U.S. Treasury Bills 0.404%, 6/9/22 # ∆ § Φ $5,700,000 5,695,902
U.S. Treasury Bills 0.288%, 5/3/22 # § 200,000 199,976
U.S. Treasury Bills 0.053%, 4/7/22 # § Φ 1,400,000 1,399,965
U.S. Treasury Bills 0.050%, 5/19/22 § 1,406,000 1,405,534
U.S. Treasury Bills 0.040%, 4/21/22 # § Φ 11,200,000 11,199,239
Total short-term investments (cost $62,741,843) $62,741,214

TOTAL INVESTMENTS
Total investments (cost $1,189,485,349) $1,308,845,082


80 Dynamic Asset Allocation Conservative Fund




Key to holding’s currency abbreviations
EUR Euro

Key to holding’s abbreviations
ADR American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank.
BKNT Bank Note
bp Basis Points
DAC Designated Activity Company
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
MTN Medium Term Notes
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2021 through March 31, 2022 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $984,440,697.
This security is non-income-producing.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to the change in the underlying index.
# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $12,586,535 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $120,903 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
Φ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $2,974,461 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $3,437,270 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).


Dynamic Asset Allocation Conservative Fund 81




c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $277,669,320 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $23,584,178) (Unaudited)
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
British Pound Sell 6/15/22 $60,279 $61,420 $1,141
Barclays Bank PLC
Swedish Krona Buy 6/15/22 1,070,315 1,036,876 33,439
Citibank, N.A.
Danish Krone Sell 6/15/22 329,060 330,302 1,242
HSBC Bank USA, National Association
Hong Kong Dollar Buy 5/18/22 878,050 882,458 (4,408)
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 4/20/22 237,872 233,487 (4,385)
Norwegian Krone Sell 6/15/22 371,250 366,771 (4,479)
Singapore Dollar Buy 5/18/22 178,680 180,130 (1,450)
South Korean Won Sell 5/18/22 1,566,742 1,582,890 16,148
Morgan Stanley & Co. International PLC
Canadian Dollar Sell 4/20/22 2,295,055 2,252,677 (42,378)
Euro Sell 6/15/22 2,931,050 2,919,809 (11,241)
NatWest Markets PLC
British Pound Sell 6/15/22 3,321,388 3,384,416 63,028
Euro Sell 6/15/22 1,633,020 1,617,377 (15,643)


82 Dynamic Asset Allocation Conservative Fund




FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $23,584,178) (Unaudited) cont.
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
NatWest Markets PLC cont.
Japanese Yen Buy 5/18/22 $1,021,827 $1,088,207 $(66,380)
Swiss Franc Buy 6/15/22 763,275 767,221 (3,946)
State Street Bank and Trust Co.
Australian Dollar Buy 4/20/22 637,819 610,461 27,358
Chinese Yuan (Offshore) Buy 5/18/22 587,484 584,708 2,776
Swiss Franc Buy 6/15/22 2,543,489 2,520,569 22,920
UBS AG
Australian Dollar Buy 4/20/22 618,958 592,761 26,197
WestPac Banking Corp.
Japanese Yen Buy 5/18/22 2,414,742 2,571,638 (156,896)
Unrealized appreciation 194,249
Unrealized (depreciation) (311,206)
Total $(116,957)
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Number of
contracts
Notional
amount
Value Expiration
date
Unrealized
appreciation/
(depreciation)
MSCI EAFE Index (Short) 384 $41,887,315 $41,172,480 Jun-22 $(2,585,714)
Russell 2000 Index E-Mini (Long) 22 2,277,138 2,273,040 Jun-22 56,087
S&P 500 Index E-Mini (Long) 6 1,359,123 1,359,225 Jun-22 7,222
S&P 500 Index E-Mini (Short) 612 138,630,546 138,640,950 Jun-22 (7,687,257)
S&P Mid Cap 400 Index E-Mini (Long) 1 269,366 268,920 Jun-22 45
S&P Mid Cap 400 Index E-Mini (Short) 64 17,239,424 17,210,880 Jun-22 (675,366)
U.S. Treasury Bond 30 yr (Long) 135 20,258,438 20,258,438 Jun-22 (742,905)
U.S. Treasury Bond Ultra 30 yr (Long) 233 41,270,125 41,270,125 Jun-22 (1,524,126)
U.S. Treasury Bond Ultra 30 yr (Short) 3 531,375 531,375 Jun-22 18,931
U.S. Treasury Note 2 yr (Long) 392 83,073,375 83,073,375 Jun-22 (1,049,756)
U.S. Treasury Note 5 yr (Long) 721 82,689,688 82,689,688 Jun-22 (1,971,802)
U.S. Treasury Note 5 yr (Short) 390 44,728,125 44,728,126 Jun-22 1,059,435
U.S. Treasury Note 10 yr (Long) 314 38,582,750 38,582,750 Jun-22 (1,051,144)
U.S. Treasury Note Ultra 10 yr (Short) 25 3,386,719 3,386,719 Jun-22 124,358
Unrealized appreciation 1,266,078
Unrealized (depreciation) (17,288,070)
Total $(16,021,992)

TBA SALE COMMITMENTS OUTSTANDING at 3/31/22 (proceeds receivable $198,383,379) (Unaudited)
Agency Principal
amount
Settlement
date
Value
Uniform Mortgage-Backed Securities, 4.50%, 4/1/52 $1,000,000 4/13/22 $1,037,344
Uniform Mortgage-Backed Securities, 4.00%, 4/1/52 22,000,000 4/13/22 22,452,043
Uniform Mortgage-Backed Securities, 3.50%, 5/1/52 2,000,000 5/12/22 1,996,094
Uniform Mortgage-Backed Securities, 3.50%, 4/1/52 54,000,000 4/13/22 54,097,032


Dynamic Asset Allocation Conservative Fund 83




TBA SALE COMMITMENTS OUTSTANDING at 3/31/22 (proceeds receivable $198,383,379) (Unaudited) cont.
Agency Principal
amount
Settlement
date
Value
Uniform Mortgage-Backed Securities, 3.00%, 4/1/52 $32,000,000 4/13/22 $31,307,501
Uniform Mortgage-Backed Securities, 2.50%, 5/1/52 5,000,000 5/12/22 4,761,328
Uniform Mortgage-Backed Securities, 2.50%, 4/1/52 50,000,000 4/13/22 47,710,940
Uniform Mortgage-Backed Securities, 2.00%, 5/1/52 12,000,000 5/12/22 11,117,531
Uniform Mortgage-Backed Securities, 2.00%, 4/1/52 24,000,000 4/13/22 22,275,374
Total $196,755,187

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $12,161,000 $848,716 $(161) 1/3/32 1.3265% — Annually Secured Overnight Financing Rate — Annually $811,267
  64,257,000 854,618 E (933,582) 6/15/24 1.80% — Annually Secured Overnight Financing Rate — Annually (78,963)
  44,369,000 590,108 E 644,554 6/15/24 Secured Overnight Financing Rate — Annually 1.80% — Annually 54,446
  37,130,000 785,671 E (870,148) 6/15/27 1.85% — Annually Secured Overnight Financing Rate — Annually (84,477)
  5,847,000 105,889 E (155,160) 6/15/32 1.95% — Annually Secured Overnight Financing Rate — Annually (49,271)
  20,200,000 365,822 E 535,504 6/15/32 Secured Overnight Financing Rate — Annually 1.95% — Annually 169,682
  10,853,000 140,873 E 168,143 6/15/52 Secured Overnight Financing Rate — Annually 2.05% — Annually 306,455
  1,269,500 17,176 (17) 3/30/32 2.2655% — Annually Secured Overnight Financing Rate — Annually (17,343)
  1,269,500 16,554 (17) 3/30/32 2.26% — Annually Secured Overnight Financing Rate — Annually (16,721)
  1,402,500 6,802 (11) 3/31/27 Secured Overnight Financing Rate — Annually 2.3365% — Annually 6,882


84 Dynamic Asset Allocation Conservative Fund




CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $13,540,000 $16,248 $(51) 3/31/24 2.307% — Annually Secured Overnight Financing Rate — Annually $(17,167)
  8,890,000 22,670 (72) 3/31/27 Secured Overnight Financing Rate — Annually 2.288% — Annually 23,163
  2,111,000 5,636 (17) 4/1/27 2.2915% — Annually Secured Overnight Financing Rate — Annually (5,653)
  3,047,000 1,706 (25) 4/1/27 2.247% — Annually Secured Overnight Financing Rate — Annually (1,731)
  2,454,000 2,918 (33) 4/4/32 Secured Overnight Financing Rate — Annually 2.113% — Annually 2,885
  194,000 22 (1) 4/4/24 Secured Overnight Financing Rate — Annually 2.243% — Annually 21
  248,000 52 (3) 4/4/32 Secured Overnight Financing Rate — Annually 2.0975% — Annually (55)
Total $(611,097) $1,103,420
E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Swap counterparty/
Notional amount
Value Upfront
premium
received
(paid)
Termination
date
Payments
received (paid)
by fund
Total return
received by
or paid by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International
  $21,538,658 $22,188,199 $— 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* $706,472
  21,167,048 21,811,468 12/15/25 Secured Overnight Financing Rate minus 0.25% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* (706,208)


Dynamic Asset Allocation Conservative Fund 85




OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Swap counterparty/
Notional amount
Value Upfront
premium
received
(paid)
Termination
date
Payments
received (paid)
by fund
Total return
received by
or paid by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
  $8,366 $8,401 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly Evraz PLC — Monthly $33
Upfront premium received Unrealized appreciation 706,505
Upfront premium (paid) Unrealized (depreciation) (706,208)
Total $— Total $297
*The 50 largest components, and any individual component greater than 1% of basket value, are shown below.

A BASKET (GSGLPWDL) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
Diageo PLC (United Kingdom) Consumer staples 2,952 $150,171 0.68%
Exxon Mobil Corp. Energy 1,773 146,393 0.66%
ConocoPhillips Energy 1,460 146,041 0.66%
PepsiCo, Inc. Consumer staples 864 144,558 0.65%
Verisk Analytics, Inc. Consumer cyclicals 673 144,418 0.65%
MSCI, Inc. Technology 285 143,472 0.65%
FactSet Research Systems, Inc. Consumer cyclicals 330 143,258 0.65%
SEI Investments Co. Financials 2,367 142,513 0.64%
Eiffage SA (France) Basic materials 1,369 142,041 0.64%
Keysight Technologies, Inc. Technology 892 140,870 0.63%
Secom Co., Ltd. (Japan) Consumer cyclicals 1,905 139,206 0.63%
Exor NV (Netherlands) Financials 1,776 137,340 0.62%
Hershey Co. (The) Consumer staples 625 135,417 0.61%
GlaxoSmithKline PLC (United Kingdom) Health care 5,825 126,331 0.57%
Colgate-Palmolive Co. Consumer staples 1,612 122,225 0.55%
Baloise Holding AG (Switzerland) Financials 662 118,699 0.53%
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 4,259 117,384 0.53%
AT&T, Inc. Communication services 4,921 116,280 0.52%
Textron, Inc. Capital goods 1,516 112,780 0.51%
Marubeni Corp. (Japan) Conglomerates 9,591 112,682 0.51%
IA Financial Corp., Inc. (Canada) Financials 1,838 111,863 0.50%
Fortive Corp. Capital goods 1,826 111,272 0.50%
Osaka Gas Co., Ltd. (Japan) Utilities and power 6,454 111,235 0.50%
Avery Dennison Corp. Basic materials 630 109,656 0.49%
Dover Corp. Capital goods 696 109,182 0.49%
Bank Hapoalim MB (Israel) Financials 10,944 108,887 0.49%
Toronto-Dominion Bank (Canada) Financials 1,362 108,179 0.49%
Weyerhaeuser Co. Basic materials 2,851 108,042 0.49%
Chevron Corp. Energy 662 107,776 0.49%
3M Co. Conglomerates 705 105,002 0.47%
Brenntag SE (Germany) Basic materials 1,286 104,976 0.47%


86 Dynamic Asset Allocation Conservative Fund




A BASKET (GSGLPWDL) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
Bank Leumi Le-Israel BM (Israel) Financials 9,671 $104,676 0.47%
Zebra Technologies Corp. Class A Technology 251 104,032 0.47%
Cummins, Inc. Capital goods 504 103,278 0.47%
Synopsys, Inc. Technology 307 102,388 0.46%
Tokyo Gas Co., Ltd. (Japan) Utilities and power 5,537 101,816 0.46%
MetLife, Inc. Financials 1,444 101,500 0.46%
Canadian Imperial Bank of Commerce (Canada) Financials 829 100,698 0.45%
Edenred (France) Consumer cyclicals 1,993 99,623 0.45%
Cadence Design Systems, Inc. Technology 606 99,583 0.45%
Hologic, Inc. Health care 1,296 99,561 0.45%
Sumitomo Corp. (Japan) Consumer staples 5,702 99,550 0.45%
VeriSign, Inc. Technology 447 99,402 0.45%
Fidelity National Financial, Inc. Financials 2,035 99,386 0.45%
AMETEK, Inc. Conglomerates 737 98,172 0.44%
Telefonica SA (Spain) Communication services 20,008 97,696 0.44%
George weston, Ltd. (Canada) Consumer staples 780 96,164 0.43%
Fairfax Financial Holdings, Ltd. (Canada) Financials 175 95,562 0.43%
Repsol SA (Spain) Energy 7,154 94,912 0.43%
Sonic Healthcare, Ltd. (Australia) Health care 3,557 94,765 0.43%

A BASKET (GSGLPWDS) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage
value
Assicurazioni Generali SpA (Italy) Financials 6,630 $152,331 0.70%
Air Liquide SA (France) Basic materials 831 146,081 0.67%
AXA SA (France) Financials 4,919 144,559 0.66%
S&P Global, Inc. Consumer cyclicals 349 143,128 0.66%
Allianz SE (Germany) Financials 589 141,111 0.65%
STERIS PLC Health care 581 140,583 0.64%
Berkshire Hathaway, Inc. Class B Financials 396 139,633 0.64%
BHP Group, Ltd. (Australia) Basic materials 3,507 135,802 0.62%
Visa, Inc. Class A Financials 593 131,503 0.60%
Waste Management, Inc. Capital goods 824 130,634 0.60%
Heineken NV (Netherlands) Consumer staples 1,307 125,230 0.57%
Ceridian HCM Holding, Inc. Technology 1,780 121,702 0.56%
Kimco Realty Corp. Financials 4,885 120,670 0.55%
Pioneer Natural Resources Co. Energy 471 117,645 0.54%
SoftBank Corp. Communication services 9,732 114,151 0.52%
Bouygues SA (France) Conglomerates 3,246 113,594 0.52%
Tokio Marine Holdings, Inc. (Japan) Financials 1,932 113,092 0.52%
BNP Paribas SA (France) Financials 1,965 112,905 0.52%
Atmos Energy Corp. Utilities and power 945 112,889 0.52%
Imperial Brands PLC (United Kingdom) Consumer staples 5,288 111,879 0.51%
Toyota Motor Corp. (Japan) Consumer cyclicals 6,121 111,750 0.51%


Dynamic Asset Allocation Conservative Fund 87




A BASKET (GSGLPWDS) OF COMMON STOCKS cont.
Common stocks Sector Shares Value Percentage
value
Alexandria Real Estate Equities, Inc. Financials 550 $110,660 0.51%
Cooper Cos., Inc. (The) Health care 263 109,681 0.50%
TOTO, Ltd. Basic materials 2,654 107,683 0.49%
TransCanada Corp. (Canada) Energy 1,840 103,791 0.48%
Waste Connections, Inc. Capital goods 742 103,672 0.48%
Trend Micro, Inc. (Japan) Technology 1,757 103,313 0.47%
Enbridge, Inc. (Canada) Utilities and power 2,244 103,310 0.47%
Dollar General Corp. Consumer cyclicals 463 103,005 0.47%
Fastenal Co. Consumer staples 1,720 102,185 0.47%
ORIX Corp. (Japan) Financials 5,061 101,749 0.47%
Saputo, Inc. (Canada) Consumer staples 4,283 101,453 0.47%
Avantor, Inc. Health care 2,990 101,107 0.46%
Mitsubishi UFJ Financial Group, Inc. (Japan) Financials 16,169 100,981 0.46%
Orange SA (France) Communication services 8,504 100,701 0.46%
Molson Coors Beverage Co. Class B Consumer staples 1,886 100,690 0.46%
Naturgy Energy Group SA (Spain) Utilities and power 3,325 99,915 0.46%
Reed Elsevier (United Kingdom) Consumer cyclicals 3,052 95,527 0.44%
Rollins, Inc. Consumer cyclicals 2,709 94,943 0.44%
Hang Seng Bank, Ltd. (Hong Kong) Financials 4,867 93,946 0.43%
International Paper Co. Basic materials 2,030 93,665 0.43%
Moody’s Corp. Consumer cyclicals 276 93,228 0.43%
ONEOK, Inc. Energy 1,310 92,495 0.42%
Venture Corp., Ltd. (Singapore) Technology 7,094 91,963 0.42%
Bunzl PLC (United Kingdom) Consumer staples 2,358 91,933 0.42%
CGI Group, Inc. Class A (Canada) Technology 1,148 91,470 0.42%
Telus Corp. (Canada) Communication services 3,498 91,380 0.42%
Enel SpA (Italy) Utilities and power 13,488 90,544 0.42%
MTR Corp. (Hong Kong) Transportation 16,612 89,809 0.41%
Swisscom AG (Switzerland) Communication services 149 89,256 0.41%

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
received (paid)
by fund
Total return
received by
or paid by fund
Unrealized
appreciation/
(depreciation)
  $10,937,000 $882,615 $35,388 1/15/32 2.78% — At maturity USA Non-revised Consumer Price Index-Urban (CPI-U) — At maturity $(847,227)
  34,577,000 2,133,055 3,682 9/13/26 2.7375% — At maturity USA Non-revised Consumer Price Index-Urban (CPI-U) — At maturity (2,129,374)
Total $39,070 $(2,976,601)


88 Dynamic Asset Allocation Conservative Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited)
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB−.6 Index B+/P $957   $13,391 $3,269 5/11/63 300 bp — Monthly $(2,304)
CMBX NA BBB−.6 Index B+/P 1,868   29,651 7,238 5/11/63 300 bp — Monthly (5,352)
CMBX NA BBB−.6 Index B+/P 3,828   59,302 14,476 5/11/63 300 bp — Monthly (10,613)
Citigroup Global Markets, Inc.
CMBX NA BB.11 Index BB−/P 23,165   41,000 4,371 11/18/54 500 bp — Monthly 18,834
CMBX NA BB.6 Index CCC+/P 27,399   181,662 76,462 5/11/63 500 bp — Monthly (48,886)
CMBX NA BB.7 Index B/P 21,179   415,000 128,986 1/17/47 500 bp — Monthly (105,382)
CMBX NA BB.9 Index B/P 814   4,000 947 9/17/58 500 bp — Monthly (129)
CMBX NA BB.9 Index B/P 8,577   42,000 9,946 9/17/58 500 bp — Monthly (1,327)
CMBX NA BBB−.10 Index BB+/P 2,978   24,000 2,674 11/17/59 300 bp — Monthly 318
CMBX NA BBB−.10 Index BB+/P 4,255   39,000 4,345 11/17/59 300 bp — Monthly (67)
CMBX NA BBB−.12 Index BBB−/P 626   15,000 1,341 8/17/61 300 bp — Monthly (707)
CMBX NA BBB−.12 Index BBB−/P 6,600   112,000 10,013 8/17/61 300 bp — Monthly (3,347)
Credit Suisse International
CMBX NA BB.7 Index B/P 9,898   74,000 22,999 1/17/47 500 bp — Monthly (13,029)
CMBX NA BBB−.7 Index BB−/P 11,936   151,000 27,150 1/17/47 300 bp — Monthly (15,126)
Goldman Sachs International
CMBX NA A.14 Index A-/P (34)   2,000 6 12/16/72 200 bp — Monthly (39)
CMBX NA A.14 Index A-/P (153)   9,000 25 12/16/72 200 bp — Monthly (174)
CMBX NA A.6 Index BBB+/P 1,900   14,851 1,203 5/11/63 200 bp — Monthly 703
CMBX NA A.6 Index BBB+/P 927   16,707 1,353 5/11/63 200 bp — Monthly (420)
CMBX NA A.6 Index BBB+/P 2,674   21,348 1,729 5/11/63 200 bp — Monthly 953
CMBX NA A.6 Index BBB+/P (65)   33,415 2,707 5/11/63 200 bp — Monthly (2,759)
CMBX NA A.6 Index BBB+/P 3,768   40,840 3,308 5/11/63 200 bp — Monthly 475
CMBX NA A.6 Index BBB+/P 3,021   42,696 3,458 5/11/63 200 bp — Monthly (421)


Dynamic Asset Allocation Conservative Fund 89



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA A.6 Index BBB+/P $(378)   $43,624 $3,534 5/11/63 200 bp — Monthly $(3,894)
CMBX NA A.6 Index BBB+/P 1,462   44,553 3,609 5/11/63 200 bp — Monthly (2,129)
CMBX NA A.6 Index BBB+/P 5,625   44,553 3,609 5/11/63 200 bp — Monthly 2,034
CMBX NA A.6 Index BBB+/P 2,767   51,978 4,210 5/11/63 200 bp — Monthly (1,424)
CMBX NA A.6 Index BBB+/P (113)   54,763 4,436 5/11/63 200 bp — Monthly (4,527)
CMBX NA A.6 Index BBB+/P 1,851   54,763 4,436 5/11/63 200 bp — Monthly (2,564)
CMBX NA A.6 Index BBB+/P 444   54,763 4,436 5/11/63 200 bp — Monthly (3,970)
CMBX NA A.6 Index BBB+/P 2,384   95,603 7,744 5/11/63 200 bp — Monthly (5,323)
CMBX NA A.7 Index BBB+/P 1,462   29,000 1,233 1/17/47 200 bp — Monthly 241
CMBX NA BB.9 Index B/P 213   1,000 237 9/17/58 500 bp — Monthly (23)
CMBX NA BBB−.14 Index BBB−/P 270   6,000 581 12/16/72 300 bp — Monthly (308)
CMBX NA BBB−.6 Index B+/P 545   7,652 1,868 5/11/63 300 bp — Monthly (1,318)
CMBX NA BBB−.6 Index B+/P 678   12,434 3,035 5/11/63 300 bp — Monthly (2,350)
CMBX NA BBB−.6 Index B+/P 1,727   19,130 4,670 5/11/63 300 bp — Monthly (2,931)
CMBX NA BBB−.6 Index B+/P 1,064   21,043 5,136 5/11/63 300 bp — Monthly (4,060)
CMBX NA BBB−.6 Index B+/P 4,641   52,606 12,841 5/11/63 300 bp — Monthly (8,169)
CMBX NA BBB−.6 Index B+/P 5,992   67,910 16,577 5/11/63 300 bp — Monthly (10,546)
CMBX NA BBB−.6 Index B+/P 18,758   191,296 46,695 5/11/63 300 bp — Monthly (27,826)
CMBX NA BBB−.6 Index B+/P 15,560   197,991 48,330 5/11/63 300 bp — Monthly (32,654)
CMBX NA BBB−.7 Index BB−/P 5,300   62,000 11,148 1/17/47 300 bp — Monthly (5,812)
CMBX NA BBB−.7 Index BB−/P 5,793   68,000 12,226 1/17/47 300 bp — Monthly (6,394)
CMBX NA BBB−.7 Index BB−/P 19,769   251,000 45,130 1/17/47 300 bp — Monthly (25,215)


90 Dynamic Asset Allocation Conservative Fund




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
JPMorgan Securities LLC
CMBX NA A.13 Index A-/P $(473)   $90,000 $414 12/16/72 200 bp — Monthly $(852)
CMBX NA A.14 Index A-/P (450)   68,000 190 12/16/72 200 bp — Monthly (614)
CMBX NA A.7 Index BBB+/P 11,139   254,000 10,795 1/17/47 200 bp — Monthly 442
CMBX NA BB.10 Index B+/P 4,092   51,000 14,229 5/11/63 500 bp — Monthly (10,087)
CMBX NA BB.7 Index B/P 112,621   230,000 71,484 1/17/47 500 bp — Monthly 41,360
CMBX NA BBB−.12 Index BBB−/P 1,184   22,000 1,967 8/17/61 300 bp — Monthly (770)
Merrill Lynch International
CMBX NA BB.9 Index B/P 4,456   21,000 4,973 9/17/58 500 bp — Monthly (496)
Morgan Stanley & Co. International PLC
CMBX NA A.13 Index A-/P (418)   50,000 230 12/16/72 200 bp — Monthly (628)
CMBX NA A.13 Index A-/P (10,349)   694,000 3,192 12/16/72 200 bp — Monthly (13,271)
CMBX NA A.14 Index A-/P (25)   2,000 6 12/16/72 200 bp — Monthly (30)
CMBX NA A.14 Index A-/P (96)   6,000 17 12/16/72 200 bp — Monthly (110)
CMBX NA A.6 Index BBB+/P 2,840   29,702 2,406 5/11/63 200 bp — Monthly 446
CMBX NA BB.6 Index CCC+/P 16,453   63,724 26,822 5/11/63 500 bp — Monthly (10,306)
CMBX NA BB.6 Index CCC+/P 33,019   127,449 53,643 5/11/63 500 bp — Monthly (20,500)
CMBX NA BB.9 Index B/P 1,047   5,000 1,184 9/17/58 500 bp — Monthly (132)
CMBX NA BBB−.12 Index BBB−/P 2,711   46,000 4,112 8/17/61 300 bp — Monthly (1,375)
CMBX NA BBB−.12 Index BBB−/P 2,576   60,000 5,364 8/17/61 300 bp — Monthly (2,753)
Upfront premium received 424,813 Unrealized appreciation 65,806
Upfront premium (paid) (12,554) Unrealized (depreciation) (423,443)
Total $412,259 Total $(357,637)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2022. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.


Dynamic Asset Allocation Conservative Fund 91



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited)
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index   $(3,985)   $38,055 $3,082 5/11/63 (200 bp) — Monthly $(917)
CMBX NA A.7 Index   (1,357)   183,000 7,778 1/17/47 (200 bp) — Monthly 6,350
CMBX NA BB.10 Index   (30,138)   125,000 34,875 11/17/59 (500 bp) — Monthly 4,616
CMBX NA BB.10 Index   (13,515)   53,000 14,787 11/17/59 (500 bp) — Monthly 1,220
CMBX NA BB.10 Index   (4,696)   45,000 12,555 11/17/59 (500 bp) — Monthly 7,815
CMBX NA BB.10 Index   (4,167)   38,000 10,602 11/17/59 (500 bp) — Monthly 6,398
CMBX NA BB.11 Index   (1,787)   26,000 2,772 11/18/54 (500 bp) — Monthly 959
CMBX NA BB.11 Index   (1,296)   10,000 1,066 11/18/54 (500 bp) — Monthly (239)
CMBX NA BB.11 Index   (259)   5,000 533 11/18/54 (500 bp) — Monthly 269
CMBX NA BB.8 Index   (12,404)   34,787 12,249 10/17/57 (500 bp) — Monthly (189)
CMBX NA BB.8 Index   (3,725)   28,989 10,207 10/17/57 (500 bp) — Monthly 6,454
CMBX NA BB.9 Index   (4,232)   41,000 9,709 9/17/58 (500 bp) — Monthly 5,437
CMBX NA BB.9 Index   (1,492)   37,000 8,762 9/17/58 (500 bp) — Monthly 7,234
CMBX NA BBB−.10 Index   (16,982)   57,000 6,350 11/17/59 (300 bp) — Monthly (10,665)
CMBX NA BBB−.10 Index   (4,183)   17,000 1,894 11/17/59 (300 bp) — Monthly (2,299)
CMBX NA BBB−.10 Index   (3,579)   15,000 1,671 11/17/59 (300 bp) — Monthly (1,916)
CMBX NA BBB−.12 Index   (61,189)   194,000 17,344 8/17/61 (300 bp) — Monthly (43,959)
CMBX NA BBB−.12 Index   (14,363)   43,000 3,844 8/17/61 (300 bp) — Monthly (10,544)
CMBX NA BBB−.12 Index   (13,709)   39,000 3,487 8/17/61 (300 bp) — Monthly (10,245)
CMBX NA BBB−.12 Index   (13,039)   37,000 3,308 8/17/61 (300 bp) — Monthly (9,753)
CMBX NA BBB−.12 Index   (6,849)   36,000 3,218 8/17/61 (300 bp) — Monthly (3,652)
CMBX NA BBB−.12 Index   (5,415)   24,000 2,146 8/17/61 (300 bp) — Monthly (3,284)
CMBX NA BBB−.12 Index   (847)   5,000 447 8/17/61 (300 bp) — Monthly (403)


92 Dynamic Asset Allocation Conservative Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.14 Index   $(112)   $1,000 $97 12/16/72 (300 bp) — Monthly $(16)
CMBX NA BBB−.8 Index   (17,500)   112,000 14,560 10/17/57 (300 bp) — Monthly (3,005)
CMBX NA BBB−.8 Index   (6,789)   51,000 6,630 10/17/57 (300 bp) — Monthly (189)
CMBX NA BBB−.8 Index   (8,061)   51,000 6,630 10/17/57 (300 bp) — Monthly (1,461)
CMBX NA BBB−.8 Index   (8,093)   51,000 6,630 10/17/57 (300 bp) — Monthly (1,493)
CMBX NA BBB−.8 Index   (6,660)   48,000 6,240 10/17/57 (300 bp) — Monthly (448)
CMBX NA BBB−.8 Index   (3,330)   24,000 3,120 10/17/57 (300 bp) — Monthly (224)
CMBX NA BBB−.8 Index   (3,292)   23,000 2,990 10/17/57 (300 bp) — Monthly (315)
CMBX NA BBB−.9 Index   (4,495)   19,000 1,940 9/17/58 (300 bp) — Monthly (2,566)
Credit Suisse International
CMBX NA BB.10 Index   (11,178)   94,000 26,226 11/17/59 (500 bp) — Monthly 14,956
CMBX NA BB.10 Index   (12,542)   94,000 26,226 11/17/59 (500 bp) — Monthly 13,593
CMBX NA BB.10 Index   (6,091)   49,000 13,671 11/17/59 (500 bp) — Monthly 7,533
CMBX NA BB.7 Index   (53,129)   323,000 100,388 1/17/47 (500 bp) — Monthly 46,945
CMBX NA BB.7 Index   (31,728)   172,000 53,458 1/17/47 (500 bp) — Monthly 21,562
CMBX NA BB.7 Index   (2,136)   115,085 48,439 5/11/63 (500 bp) — Monthly 46,191
CMBX NA BB.8 Index   (2,804)   15,461 5,444 10/17/57 (500 bp) — Monthly 2,625
Goldman Sachs International
CMBX NA A.6 Index   (193)   1,856 150 5/11/63 (200 bp) — Monthly (43)
CMBX NA BB.10 Index   (2,036)   9,000 2,511 11/17/59 (500 bp) — Monthly 466
CMBX NA BB.6 Index   (18,117)   117,938 49,640 5/11/63 (500 bp) — Monthly 31,408
CMBX NA BB.6 Index   (8,695)   80,844 34,027 5/11/63 (500 bp) — Monthly 25,253
CMBX NA BB.7 Index   (35,843)   212,000 65,890 1/17/47 (500 bp) — Monthly 29,841
CMBX NA BB.7 Index   (18,478)   91,000 28,283 1/17/47 (500 bp) — Monthly 9,717


Dynamic Asset Allocation Conservative Fund 93



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BB.7 Index   $(2,949)   $18,000 $5,594 1/17/47 (500 bp) — Monthly $2,628
CMBX NA BB.8 Index   (25,420)   66,676 23,476 10/17/57 (500 bp) — Monthly (2,008)
CMBX NA BB.8 Index   (17,998)   48,316 17,012 10/17/57 (500 bp) — Monthly (1,033)
CMBX NA BB.8 Index   (13,670)   37,686 13,269 10/17/57 (500 bp) — Monthly (438)
CMBX NA BB.8 Index   (13,694)   37,686 13,269 10/17/57 (500 bp) — Monthly (461)
CMBX NA BB.8 Index   (11,909)   33,821 11,908 10/17/57 (500 bp) — Monthly (34)
CMBX NA BB.8 Index   (1,699)   14,495 5,104 10/17/57 (500 bp) — Monthly 3,390
CMBX NA BBB−.12 Index   (1,351)   4,000 358 8/17/61 (300 bp) — Monthly (996)
CMBX NA BBB−.6 Index   (41,148)   144,428 35,255 5/11/63 (300 bp) — Monthly (5,977)
CMBX NA BBB−.6 Index   (6,354)   121,473 29,652 5/11/63 (300 bp) — Monthly 23,227
CMBX NA BBB−.8 Index   (3,881)   30,000 3,900 10/17/57 (300 bp) — Monthly 1
JPMorgan Securities LLC
CMBX NA BB.11 Index   (26,255)   48,507 20,416 5/11/63 (500 bp) — Monthly (5,885)
CMBX NA BB.8 Index   (3,965)   7,731 2,722 10/17/57 (500 bp) — Monthly (1,251)
CMBX NA BBB−.10 Index   (18,860)   166,000 18,492 11/17/59 (300 bp) — Monthly (465)
CMBX NA BBB−.10 Index   (11,539)   110,000 12,254 11/17/59 (300 bp) — Monthly 651
CMBX NA BBB−.10 Index   (13,804)   49,000 5,459 11/17/59 (300 bp) — Monthly (8,374)
CMBX NA BBB−.10 Index   (13,109)   44,000 4,902 11/17/59 (300 bp) — Monthly (8,233)
CMBX NA BBB−.10 Index   (4,123)   25,000 2,785 11/17/59 (300 bp) — Monthly (1,353)
CMBX NA BBB−.14 Index   (61)   1,000 97 12/16/72 (300 bp) — Monthly 35
CMBX NA BBB−.6 Index   (63,940)   191,296 46,695 5/11/63 (300 bp) — Monthly (17,357)
CMBX NA BBB−.7 Index   (98,131)   418,000 75,156 1/17/47 (300 bp) — Monthly (23,218)
CMBX NA BBB−.8 Index   (9,851)   71,000 9,230 10/17/57 (300 bp) — Monthly (663)


94 Dynamic Asset Allocation Conservative Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Merrill Lynch International
CMBX NA BB.10 Index   $(5,121)   $90,000 $25,110 11/17/59 (500 bp) — Monthly $19,902
CMBX NA BBB−.10 Index   (10,400)   48,000 5,347 11/17/59 (300 bp) — Monthly (5,081)
CMBX NA BBB−.7 Index   (2,376)   29,000 5,214 1/17/47 (300 bp) — Monthly 2,821
CMBX NA BBB−.9 Index   (2,964)   16,000 1,634 9/17/58 (300 bp) — Monthly (1,340)
CMBX NA BBB−.9 Index   (185)   1,000 102 9/17/58 (300 bp) — Monthly (84)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index   (2,993)   28,774 2,331 5/11/63 (200 bp) — Monthly (674)
CMBX NA A.6 Index   (670)   7,425 601 5/11/63 (200 bp) — Monthly (71)
CMBX NA BB.10 Index   (4,719)   45,000 12,555 11/17/59 (500 bp) — Monthly 7,792
CMBX NA BB.10 Index   (8,924)   38,000 10,602 11/17/59 (500 bp) — Monthly 1,641
CMBX NA BB.7 Index   (5,206)   27,000 8,392 1/17/47 (500 bp) — Monthly 3,159
CMBX NA BB.8 Index   (9,059)   24,158 8,506 10/17/57 (500 bp) — Monthly (577)
CMBX NA BB.8 Index   (8,320)   23,192 8,166 10/17/57 (500 bp) — Monthly (177)
CMBX NA BB.8 Index   (6,671)   18,360 6,465 10/17/57 (500 bp) — Monthly (225)
CMBX NA BB.8 Index   (5,875)   15,461 5,444 10/17/57 (500 bp) — Monthly (446)
CMBX NA BB.8 Index   (5,291)   14,495 5,104 10/17/57 (500 bp) — Monthly (201)
CMBX NA BB.8 Index   (4,944)   9,663 3,402 10/17/57 (500 bp) — Monthly (1,551)
CMBX NA BB.8 Index   (2,469)   6,764 2,382 10/17/57 (500 bp) — Monthly (94)
CMBX NA BBB−.10 Index   (6,722)   53,000 5,904 11/17/59 (300 bp) — Monthly (848)
CMBX NA BBB−.10 Index   (3,637)   42,000 4,679 11/17/59 (300 bp) — Monthly 1,017
CMBX NA BBB−.10 Index   (8,045)   33,000 3,676 11/17/59 (300 bp) — Monthly (4,388)
CMBX NA BBB−.10 Index   (2,727)   26,000 2,896 11/17/59 (300 bp) — Monthly 154
CMBX NA BBB−.10 Index   (3,903)   18,000 2,005 11/17/59 (300 bp) — Monthly (1,908)
CMBX NA BBB−.10 Index   (4,021)   17,000 1,894 11/17/59 (300 bp) — Monthly (2,137)


Dynamic Asset Allocation Conservative Fund 95




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.10 Index   $(3,460)   $16,000 $1,782 11/17/59 (300 bp) — Monthly $(1,687)
CMBX NA BBB−.10 Index   (2,296)   10,000 1,114 11/17/59 (300 bp) — Monthly (1,188)
CMBX NA BBB−.12 Index   (1,994)   6,000 536 8/17/61 (300 bp) — Monthly (1,461)
CMBX NA BBB−.12 Index   (626)   3,000 268 8/17/61 (300 bp) — Monthly (360)
CMBX NA BBB−.6 Index   (55,778)   219,990 53,700 5/11/63 (300 bp) — Monthly (2,202)
CMBX NA BBB−.7 Index   (7,030)   69,000 12,406 1/17/47 (300 bp) — Monthly 5,336
CMBX NA BBB−.8 Index   (7,204)   51,000 6,630 10/17/57 (300 bp) — Monthly (604)
CMBX NA BBB−.8 Index   (6,344)   50,000 6,500 10/17/57 (300 bp) — Monthly 127
CMBX NA BBB−.8 Index   (6,359)   50,000 6,500 10/17/57 (300 bp) — Monthly 111
CMBX NA BBB−.8 Index   (7,282)   47,000 6,110 10/17/57 (300 bp) — Monthly (1,200)
CMBX NA BBB−.8 Index   (7,188)   46,000 5,980 10/17/57 (300 bp) — Monthly (1,234)
CMBX NA BBB−.8 Index   (6,103)   45,000 5,850 10/17/57 (300 bp) — Monthly (279)
CMBX NA BBB−.8 Index   (6,131)   45,000 5,850 10/17/57 (300 bp) — Monthly (308)
CMBX NA BBB−.8 Index   (5,725)   40,000 5,200 10/17/57 (300 bp) — Monthly (548)
CMBX NA BBB−.8 Index   (3,969)   29,000 3,770 10/17/57 (300 bp) — Monthly (216)
CMBX NA BBB−.8 Index   (3,640)   26,000 3,380 10/17/57 (300 bp) — Monthly (275)
Upfront premium received Unrealized appreciation 368,834
Upfront premium (paid) (1,134,592) Unrealized (depreciation) (216,935)
Total $(1,134,592) Total $151,899
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.


96 Dynamic Asset Allocation Conservative Fund




CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22
(Unaudited)
Referenced debt* Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
NA HY Series 37 Index BB−/P $(493,165)   $5,220,000 $329,262 12/20/26 500 bp — Quarterly $(155,928)
NA IG Series 38 Index BBB+/P (640,118)   44,600,000 710,924 6/20/27 100 bp — Quarterly 80,717
Total $(1,133,283) $(75,211)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2022. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $11,646,996 $9,647,228 $—
Capital goods 24,861,330 3,557,222
Communication services 11,055,537 2,275,937
Conglomerates 1,894,878 825,150
Consumer cyclicals 63,621,750 13,547,506
Consumer staples 23,683,119 8,251,515
Energy 14,104,311 4,964,544
Financials 53,073,074 17,481,745
Government 91,706
Health care 53,354,895 10,489,620
Technology 124,650,098 9,014,534
Transportation 7,220,067 2,212,482
Utilities and power 12,356,252 1,215,453
Total common stocks 401,522,307 83,574,642


Dynamic Asset Allocation Conservative Fund 97




Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $6,744,619 $—
Collateralized loan obligations 17,832,498
Commodity linked notes 5,377,996
Convertible bonds and notes 217,620
Convertible preferred stocks 1,017,296
Corporate bonds and notes 228,490,769
Foreign government and agency bonds and notes 9,799,009
Mortgage-backed securities 69,332,341
Senior loans 4,389,510
U.S. government and agency mortgage obligations 417,676,190
U.S. treasury obligations 114,944
Warrants 14,127
Short-term investments 550,000 62,191,214
Totals by level $402,086,434 $906,758,648 $—
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(116,957) $—
Futures contracts (16,021,992)
TBA sale commitments (196,755,187)
Interest rate swap contracts 1,714,517
Total return swap contracts (3,015,374)
Credit default contracts 1,574,667
Totals by level $(16,021,992) $(196,598,334) $—
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.


The accompanying notes are an integral part of these financial statements.


98 Dynamic Asset Allocation Conservative Fund



Statement of assets and liabilities 3/31/22 (Unaudited)

ASSETS   
Investment in securities, at value, (Notes 1 and 9):   
Unaffiliated issuers (identified cost $1,147,194,751)  $1,266,554,484 
Affiliated issuers (identified cost $42,290,598) (Note 5)  42,290,598 
Cash  7,783 
Foreign currency (cost $49,857) (Note 1)  49,944 
Dividends, interest and other receivables  4,364,187 
Foreign tax reclaim  243,783 
Receivable for shares of the fund sold  11,540,756 
Receivable for investments sold  1,609,186 
Receivable for sales of TBA securities (Note 1)  126,172,465 
Receivable for variation margin on futures contracts (Note 1)  3,534,250 
Receivable for variation margin on centrally cleared swap contracts (Note 1)  1,816,798 
Unrealized appreciation on forward currency contracts (Note 1)  194,249 
Unrealized appreciation on OTC swap contracts (Note 1)  1,141,145 
Premium paid on OTC swap contracts (Note 1)  1,147,146 
Deposits with broker (Note 1)  29,069 
Prepaid assets  66,384 
Total assets  1,460,762,227 
 
LIABILITIES   
Payable for investments purchased  6,387,402 
Payable for purchases of TBA securities (Note 1)  263,964,474 
Payable for shares of the fund repurchased  2,978,556 
Payable for compensation of Manager (Note 2)  425,390 
Payable for custodian fees (Note 2)  65,268 
Payable for investor servicing fees (Note 2)  178,888 
Payable for Trustee compensation and expenses (Note 2)  180,499 
Payable for administrative services (Note 2)  3,024 
Payable for distribution fees (Note 2)  362,463 
Payable for variation margin on futures contracts (Note 1)  361,834 
Payable for variation margin on centrally cleared swap contracts (Note 1)  1,748,113 
Unrealized depreciation on OTC swap contracts (Note 1)  1,346,586 
Premium received on OTC swap contracts (Note 1)  424,813 
Unrealized depreciation on forward currency contracts (Note 1)  311,206 
TBA sale commitments, at value (proceeds receivable $198,383,379) (Note 1)  196,755,187 
Collateral on certain derivative contracts, at value (Notes 1 and 9)  664,944 
Other accrued expenses  162,883 
Total liabilities  476,321,530 
 
Net assets  $984,440,697 

 

(Continued on next page)

Dynamic Asset Allocation Conservative Fund 99 

 


 

Statement of assets and liabilities cont.

REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $862,900,843 
Total distributable earnings (Note 1)  121,539,854 
Total — Representing net assets applicable to capital shares outstanding  $984,440,697 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($434,074,228 divided by 39,624,229 shares)  $10.95 
Offering price per class A share (100/94.25 of $10.95)*  $11.62 
Net asset value and offering price per class B share ($5,569,407 divided by 513,236 shares)**  $10.85 
Net asset value and offering price per class C share ($89,355,304 divided by 8,282,395 shares)**  $10.79 
Net asset value, offering price and redemption price per class P share   
($181,368,627 divided by 16,493,540 shares)  $11.00 
Net asset value, offering price and redemption price per class R share   
($5,928,180 divided by 523,493 shares)  $11.32 
Net asset value, offering price and redemption price per class R5 share   
($4,742,127 divided by 431,090 shares)  $11.00 
Net asset value, offering price and redemption price per class R6 share   
($99,083,774 divided by 8,995,856 shares)  $11.01 
Net asset value, offering price and redemption price per class Y share   
($164,319,050 divided by 14,925,508 shares)  $11.01 

 

* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

The accompanying notes are an integral part of these financial statements.

100 Dynamic Asset Allocation Conservative Fund 

 


 

Statement of operations Six months ended 3/31/22 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $17,049 from investments in affiliated issuers) (Note 5)  $7,339,707 
Dividends (net of foreign tax of $81,675)  4,246,230 
Securities lending (net of expenses) (Notes 1 and 5)  2,843 
Total investment income  11,588,780 
 
EXPENSES   
Compensation of Manager (Note 2)  2,658,650 
Investor servicing fees (Note 2)  558,200 
Custodian fees (Note 2)  104,057 
Trustee compensation and expenses (Note 2)  20,044 
Distribution fees (Note 2)  1,102,000 
Administrative services (Note 2)  17,277 
Other  265,369 
Total expenses  4,725,597 
Expense reduction (Note 2)  (444) 
Net expenses  4,725,153 
 
Net investment income  6,863,627 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain (loss) on:   
Securities from unaffiliated issuers (net of foreign tax of $4,996) (Notes 1 and 3)  57,104,216 
Foreign currency transactions (Note 1)  (11,921) 
Forward currency contracts (Note 1)  (1,194,587) 
Futures contracts (Note 1)  6,469,899 
Swap contracts (Note 1)  (5,163,974) 
Written options (Note 1)  85,069 
Total net realized gain  57,288,702 
Change in net unrealized appreciation (depreciation) on:   
Securities from unaffiliated issuers and TBA sale commitments  (76,680,661) 
Assets and liabilities in foreign currencies  (7,748) 
Forward currency contracts  595,777 
Futures contracts  (28,143,379) 
Swap contracts  (549,603) 
Written options  12,336 
Total change in net unrealized depreciation  (104,773,278) 
 
Net loss on investments  (47,484,576) 
 
Net decrease in net assets resulting from operations  $(40,620,949) 

 

The accompanying notes are an integral part of these financial statements.

Dynamic Asset Allocation Conservative Fund 101 

 


 

Statement of changes in net assets

DECREASE IN NET ASSETS  Six months ended 3/31/22*  Year ended 9/30/21 
Operations     
Net investment income  $6,863,627  $14,293,702 
Net realized gain on investments     
and foreign currency transactions  57,288,702  3,492,764 
Change in net unrealized appreciation (depreciation)     
of investments and assets and liabilities     
in foreign currencies  (104,773,278)  80,460,894 
Net increase (decrease) in net assets resulting     
from operations  (40,620,949)  98,247,360 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (3,066,137)  (6,273,433) 
Class B  (19,303)  (51,945) 
Class C  (299,751)  (649,536) 
Class P  (1,538,970)  (3,080,291) 
Class R  (39,068)  (93,570) 
Class R5  (39,217)  (79,114) 
Class R6  (898,572)  (2,043,634) 
Class Y  (1,465,889)  (3,667,006) 
Net realized short-term gain on investments     
Class A  (7,969,407)  (4,238,205) 
Class B  (114,591)  (84,218) 
Class C  (1,768,946)  (1,006,425) 
Class P  (3,092,516)  (1,628,221) 
Class R  (136,122)  (86,443) 
Class R5  (83,726)  (44,063) 
Class R6  (1,914,873)  (1,152,922) 
Class Y  (3,288,409)  (2,412,103) 
From net realized long-term gain on investments     
Class A  (5,481,397)  (5,008,786) 
Class B  (78,816)  (99,530) 
Class C  (1,216,690)  (1,189,411) 
Class P  (2,127,048)  (1,924,261) 
Class R  (93,625)  (102,159) 
Class R5  (57,587)  (52,075) 
Class R6  (1,317,059)  (1,362,544) 
Class Y  (2,261,783)  (2,850,668) 
Decrease from capital share transactions (Note 4)  (29,830,260)  (64,881,948) 
Total decrease in net assets  (108,820,711)  (5,815,151) 
 
NET ASSETS     
Beginning of period  1,093,261,408  1,099,076,559 
End of period  $984,440,697  $1,093,261,408 

 

* Unaudited.

The accompanying notes are an integral part of these financial statements.

102 Dynamic Asset Allocation Conservative Fund 

 


 

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Dynamic Asset Allocation Conservative Fund 103 

 


 

Financial highlights
(For a common share outstanding throughout the period)

  INVESTMENT OPERATIONS      LESS DISTRIBUTIONS        RATIOS AND SUPPLEMENTAL DATA   
                        Ratio of net   
  Net asset    Net realized                Ratio  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class A­                           
March 31, 2022**  $11.83­  .07­  (.52)  (.45)  (.08)  (.35)  (.43)  $10.95­  (4.02)*  $434,074­  .49*  .62*  194* 
September 30, 2021­  11.22­  .14­  .87­  1.01­  (.16)  (.24)  (.40)  11.83­  9.14­  461,749­  .97­  1.21­  380­ 
September 30, 2020  10.76­  .16­  .55­  .71­  (.22)  (.03)  (.25)  11.22­  6.70­  447,803­  .98­  1.47­  395­ 
September 30, 2019  10.86­  .22­  .18­  .40­  (.22)  (.28)  (.50)  10.76­  3.98­  472,811­  1.00­  2.07­  173­ 
September 30, 2018  10.79­  .21­  .13­  .34­  (.19)  (.08)  (.27)  10.86­  3.17­  485,387­  .99­  1.95­  166­ 
September 30, 2017  10.32­  .18­  .52­  .70­  (.17)  (.06)  (.23)  10.79­  6.82­  490,389­  1.01­  1.74­  327­ 
Class B                           
March 31, 2022**   $11.72­  .03­  (.51)  (.48)  (.04)  (.35)  (.39)  $10.85­  (4.33)*  $5,569­  .86*  .22*  194* 
September 30, 2021­  11.12­  .05­  .86­  .91­  (.07)  (.24)  (.31)  11.72­  8.31­  6,997­  1.72­  .45­  380­ 
September 30, 2020  10.67­  .08­  .54­  .62­  (.14)  (.03)  (.17)  11.12­  5.87­  9,047­  1.73­  .72­  395­ 
September 30, 2019  10.77­  .14­  .18­  .32­  (.14)  (.28)  (.42)  10.67­  3.24­  11,609­  1.75­  1.31­  173­ 
September 30, 2018  10.71­  .13­  .12­  .25­  (.11)  (.08)  (.19)  10.77­  2.33­  15,589­  1.74­  1.18­  166­ 
September 30, 2017  10.23­  .10­  .53­  .63­  (.09)  (.06)  (.15)  10.71­  6.17­  19,195­  1.76­  .98­  327­ 
Class C                           
March 31, 2022**   $11.66­  .03­  (.51)  (.48)  (.04)  (.35)  (.39)  $10.79­  (4.35)*  $89,355­  .86*  .25*  194* 
September 30, 2021­  11.06­  .05­  .86­  .91­  (.07)  (.24)  (.31)  11.66­  8.36­  99,034­  1.72­  .47­  380­ 
September 30, 2020  10.61­  .08­  .54­  .62­  (.14)  (.03)  (.17)  11.06­  5.92­  101,750­  1.73­  .73­  395­ 
September 30, 2019  10.71­  .14­  .18­  .32­  (.14)  (.28)  (.42)  10.61­  3.27­  108,582­  1.75­  1.32­  173­ 
September 30, 2018  10.66­  .13­  .11­  .24­  (.11)  (.08)  (.19)  10.71­  2.25­  117,639­  1.74­  1.19­  166­ 
September 30, 2017  10.19­  .10­  .52­  .62­  (.09)  (.06)  (.15)  10.66­  6.12­  133,084­  1.76­  1.00­  327­ 
Class P                           
March 31, 2022**   $11.88­  .09­  (.52)  (.43)  (.10)  (.35)  (.45)  $11.00­  (3.82)*  $181,369­  .30*  .82*  194* 
September 30, 2021­  11.26­  .19­  .87­  1.06­  (.20)  (.24)  (.44)  11.88­  9.61­  180,544­  .59­  1.60­  380­ 
September 30, 2020  10.80­  .20­  .55­  .75­  (.26)  (.03)  (.29)  11.26­  7.10­  170,539­  .59­  1.86­  395­ 
September 30, 2019  10.89­  .26­  .19­  .45­  (.26)  (.28)  (.54)  10.80­  4.48­  144,175­  .60­  2.47­  173­ 
September 30, 2018  10.83­  .25­  .13­  .38­  (.24)  (.08)  (.32)  10.89­  3.47­  120,496­  .60­  2.35­  166­ 
September 30, 2017  10.35­  .23­  .52­  .75­  (.21)  (.06)  (.27)  10.83­  7.31­  102,483­  .61­  2.19­  327­ 
Class R                           
March 31, 2022**   $12.21­  .06­  (.54)  (.48)  (.06)  (.35)  (.41)  $11.32­  (4.11)*  $5,928­  .61*  .50*  194* 
September 30, 2021­  11.57­  .12­  .89­  1.01­  (.13)  (.24)  (.37)  12.21­  8.82­  8,115­  1.22­  .97­  380­ 
September 30, 2020  11.08­  .14­  .57­  .71­  (.19)  (.03)  (.22)  11.57­  6.51­  9,223­  1.23­  1.23­  395­ 
September 30, 2019  11.17­  .20­  .18­  .38­  (.19)  (.28)  (.47)  11.08­  3.69­  10,451­  1.25­  1.82­  173­ 
September 30, 2018  11.09­  .19­  .14­  .33­  (.17)  (.08)  (.25)  11.17­  2.91­  10,407­  1.24­  1.69­  166­ 
September 30, 2017  10.60­  .16­  .53­  .69­  (.14)  (.06)  (.20)  11.09­  6.57­  12,207­  1.26­  1.52­  327­ 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

104 Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund 105 

 


 

Financial highlights cont.

  INVESTMENT OPERATIONS      LESS DISTRIBUTIONS        RATIOS AND SUPPLEMENTAL DATA   
                        Ratio of net   
  Net asset    Net realized                Ratio  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class R5                           
March 31, 2022**   $11.88­  .09­  (.53)  (.44)  (.09)  (.35)  (.44)  $11.00­  (3.87)*  $4,742­  .35*  .76*  194* 
September 30, 2021­  11.26­  .17­  .88­  1.05­  (.19)  (.24)  (.43)  11.88­  9.49­  4,959­  .70­  1.49­  380­ 
September 30, 2020  10.80­  .19­  .55­  .74­  (.25)  (.03)  (.28)  11.26­  6.99­  4,664­  .70­  1.77­  395­ 
September 30, 2019  10.90­  .25­  .18­  .43­  (.25)  (.28)  (.53)  10.80­  4.26­  5,781­  .71­  2.36­  173­ 
September 30, 2018  10.83­  .24­  .14­  .38­  (.23)  (.08)  (.31)  10.90­  3.45­  5,651­  .71­  2.24­  166­ 
September 30, 2017  10.35­  .19­  .54­  .73­  (.19)  (.06)  (.25)  10.83­  7.17­  105­  .72­  1.84­  327­ 
Class R6                           
March 31, 2022**   $11.89­  .09­  (.52)  (.43)  (.10)  (.35)  (.45)  $11.01­  (3.84)*  $99,084­  .32*  .80*  194* 
September 30, 2021­  11.27­  .18­  .88­  1.06­  (.20)  (.24)  (.44)  11.89­  9.54­  112,853­  .63­  1.57­  380­ 
September 30, 2020  10.81­  .20­  .55­  .75­  (.26)  (.03)  (.29)  11.27­  7.04­  119,654­  .63­  1.84­  395­ 
September 30, 2019  10.90­  .26­  .19­  .45­  (.26)  (.28)  (.54)  10.81­  4.42­  116,456­  .64­  2.43­  173­ 
September 30, 2018  10.84­  .25­  .12­  .37­  (.23)  (.08)  (.31)  10.90­  3.40­  106,430­  .64­  2.31­  166­ 
September 30, 2017  10.35­  .23­  .52­  .75­  (.20)  (.06)  (.26)  10.84­  7.36­  113,578­  .65­  2.16­  327­ 
Class Y                           
March 31, 2022**   $11.89­  .09­  (.53)  (.44)  (.09)  (.35)  (.44)  $11.01­  (3.88)*  $164,319­  .36*  .75*  194* 
September 30, 2021­  11.27­  .17­  .88­  1.05­  (.19)  (.24)  (.43)  11.89­  9.45­  219,011­  .72­  1.46­  380­ 
September 30, 2020  10.80­  .19­  .55­  .74­  (.24)  (.03)  (.27)  11.27­  7.02­  236,396­  .73­  1.73­  395­ 
September 30, 2019  10.90­  .24­  .18­  .42­  (.24)  (.28)  (.52)  10.80­  4.20­  224,159­  .75­  2.32­  173­ 
September 30, 2018  10.83­  .24­  .13­  .37­  (.22)  (.08)  (.30)  10.90­  3.39­  230,196­  .74­  2.20­  166­ 
September 30, 2017  10.35­  .21­  .52­  .73­  (.19)  (.06)  (.25)  10.83­  7.14­  244,376­  .76­  2.04­  327­ 

 

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and/or brokerage service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

d Portfolio turnover includes TBA purchase and sale commitments.

The accompanying notes are an integral part of these financial statements.

106 Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund 107 

 


 

Notes to financial statements 3/31/22 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2021 through March 31, 2022.

Putnam Dynamic Asset Allocation Conservative Fund (the fund) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek total return consistent with preservation of capital. Total return is composed of capital appreciation and income. The fund is one of three Putnam Dynamic Asset Allocation Funds, each of which has a unique strategic, or typical, allocation between equity and fixed-income investments. Using qualitative analysis and quantitative techniques, Putnam Management adjusts portfolio allocations from time to time within a certain range for the fund to try to optimize the fund’s performance consistent with its goal. The fund invests mainly in fixed-income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell fixed-income investments. The fund also invests, to a lesser extent, in equity securities (growth or value stocks or both) of U.S. and foreign companies of any size. Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments. Putnam Management may also select other investments that do not fall within these asset classes. The fund typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes.

The fund offers class A, class B, class C, class P, class R, class R5, class R6 and class Y shares. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class A shares generally are not subject to a contingent deferred sales charge, and class P, class R, class R5, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately eight years. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class P, class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C and class R shares, but do not bear a distribution fee, and in the case of class P, class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class P shares are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates. Class R5, class R6 and class Y shares are not available to all investors.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

108 Dynamic Asset Allocation Conservative Fund 

 


 

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.

Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.

Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other

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multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge against changes in values of securities it owns, owned or expects to own.

The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

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Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.

Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.

An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.

The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a

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clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

At close of the reporting period, the fund has deposited cash valued at $29,069 in a segregated account to cover margin requirements on open swap contracts.

OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.

To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.

In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

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In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.

The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

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With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund had a net liability position of $223,802 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $120,903 and may include amounts related to unsettled agreements.

Securities lending The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending, net of expenses, is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund had no securities out on loan.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

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Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $1,038,271,806, resulting in gross unrealized appreciation and depreciation of $115,140,167 and $57,187,217, respectively, or net unrealized appreciation of $57,952,950.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:

0.680%  of the first $5 billion,  0.480%  of the next $50 billion, 
0.630%  of the next $5 billion,  0.460%  of the next $50 billion, 
0.580%  of the next $10 billion,  0.450%  of the next $100 billion and 
0.530%  of the next $10 billion,  0.445%  of any excess thereafter. 

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.255% of the fund’s average net assets.

Putnam Management has contractually agreed, through January 30, 2023, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.

The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

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Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.

Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%.

Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%.

Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.

During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $314,121  Class R5  2,907 
Class B  4,408  Class R6  26,912 
Class C  67,333  Class Y  128,300 
Class P  8,917  Total  $558,200 
Class R  5,302     

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $444 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $733, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

116 Dynamic Asset Allocation Conservative Fund 

 


 

  Maximum %  Approved %  Amount 
Class A  0.35%  0.25%  $565,707 
Class B  1.00%  1.00%  31,800 
Class C  1.00%  1.00%  485,436 
Class R  1.00%  0.50%  19,057 
Total      $1,102,000 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $23,506 from the sale of class A shares and received $136 and $1,263 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $90 on class A redemptions.

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA commitments (Long-term)  $2,131,212,278  $2,746,291,689 
U.S. government securities (Long-term)     
Total  $2,131,212,278  $2,746,291,689 

 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

Note 4: Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:

  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class A  Shares  Amount  Shares  Amount 
Shares sold  2,892,341  $33,123,483  5,553,212  $64,472,706 
Shares issued in connection with         
reinvestment of distributions  1,376,205  15,877,974  1,296,126  14,920,438 
  4,268,546  49,001,457  6,849,338  79,393,144 
Shares repurchased  (3,672,932)  (42,118,882)  (7,735,673)  (89,529,313) 
Net increase (decrease)  595,614  $6,882,575  (886,335)  $(10,136,169) 
 
  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class B  Shares  Amount  Shares  Amount 
Shares sold  3,479  $40,284  50,778  $577,845 
Shares issued in connection with         
reinvestment of distributions  15,674  179,312  17,980  204,364 
  19,153  219,596  68,758  782,209 
Shares repurchased  (102,728)  (1,170,544)  (285,458)  (3,292,754) 
Net decrease  (83,575)  $(950,948)  (216,700)  $(2,510,545) 

 

Dynamic Asset Allocation Conservative Fund 117 

 


 

  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,003,513  $11,503,943  1,472,043  $16,876,257 
Shares issued in connection with         
reinvestment of distributions  283,138  3,221,437  245,648  2,776,537 
  1,286,651  14,725,380  1,717,691  19,652,794 
Shares repurchased  (1,499,722)  (16,776,384)  (2,422,920)  (27,717,478) 
Net decrease  (213,071)  $(2,051,004)  (705,229)  $(8,064,684) 
 
  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class P  Shares  Amount  Shares  Amount 
Shares sold  3,691,737  $42,101,907  25,009,573  $285,742,261 
Shares issued in connection with         
reinvestment of distributions  583,504  6,753,312  573,458  6,632,773 
  4,275,241  48,855,219  25,583,031  292,375,034 
Shares repurchased  (2,983,393)  (34,405,064)  (25,526,022)  (291,740,978) 
Net increase  1,291,848  $14,450,155  57,009  $634,056 
 
  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class R  Shares  Amount  Shares  Amount 
Shares sold  39,456  $469,887  95,286  $1,145,646 
Shares issued in connection with         
reinvestment of distributions  21,818  260,391  23,201  275,018 
  61,274  730,278  118,487  1,420,664 
Shares repurchased  (202,211)  (2,343,856)  (251,499)  (3,014,990) 
Net decrease  (140,937)  $(1,613,578)  (133,012)  $(1,594,326) 
 
  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class R5  Shares  Amount  Shares  Amount 
Shares sold  15,992  $182,749  31,132  $363,017 
Shares issued in connection with         
reinvestment of distributions  15,588  180,530  15,152  175,252 
  31,580  363,279  46,284  538,269 
Shares repurchased  (17,937)  (212,390)  (42,919)  (494,533) 
Net increase  13,643  $150,889  3,365  $43,736 
 
  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  685,935  $7,901,580  2,010,460  $23,339,093 
Shares issued in connection with         
reinvestment of distributions  356,239  4,130,504  394,022  4,559,100 
  1,042,174  12,032,084  2,404,482  27,898,193 
Shares repurchased  (1,535,567)  (17,711,002)  (3,528,758)  (41,347,746) 
Net decrease  (493,393)  $(5,678,918)  (1,124,276)  $(13,449,553) 

 

118 Dynamic Asset Allocation Conservative Fund 

 


 

  SIX MONTHS ENDED 3/31/22  YEAR ENDED 9/30/21 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  1,417,139  $16,526,931  5,155,735  $59,844,904 
Shares issued in connection with         
reinvestment of distributions  547,464  6,349,218  719,057  8,311,041 
  1,964,603  22,876,149  5,874,792  68,155,945 
Shares repurchased  (5,463,899)  (63,895,580)  (8,426,724)  (97,960,408) 
Net decrease  (3,499,296)  $(41,019,431)  (2,551,932)  $(29,804,463) 

 

At the close of the reporting period, the Putnam RetirementReady Funds owned 16.4% of the outstanding shares of the fund.

Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

          Shares 
          outstanding 
          and fair 
  Fair value as  Purchase  Sale  Investment  value as 
Name of affiliate  of 9/30/21  cost  proceeds  income  of 3/31/22 
Short-term investments           
Putnam Cash Collateral           
Pool, LLC*  $4,673,015  $15,213,580  $19,886,595  $1,134  $— 
Putnam Short Term           
Investment Fund**  4,239,484  255,626,750  217,575,636  17,049  42,290,598 
Total Short-term           
investments  $8,912,499  $270,840,330  $237,462,231  $18,183  $42,290,598 

 

* No management fees are charged to Putnam Cash Collateral Pool, LLC (Note 1).Investment income shown is included in securities lending income on the Statement of operations. There were no realized or unrealized gains or losses during the period.

** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing

Dynamic Asset Allocation Conservative Fund 119 

 


 

arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.

Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: Summary of derivative activity

The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:

Purchased equity option contracts (contract amount)  $—* 
Purchased currency option contracts (contract amount)  $9,400,000 
Written equity option contracts (contract amount)  $—* 
Written currency option contracts (contract amount)  $9,400,000 
Futures contracts (number of contracts)  4,000 
Forward currency contracts (contract amount)  $346,400,000 
Centrally cleared interest rate swap contracts (notional)  $193,600,000 
OTC total return swap contracts (notional)  $49,100,000 
Centrally cleared total return swap contracts (notional)  $71,500,000 
OTC credit default contracts (notional)  $10,600,000 
Centrally cleared credit default contracts (notional)  $65,900,000 
Warrants (number of warrants)  400 

 

* For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.

 

120 Dynamic Asset Allocation Conservative Fund 

 


 

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period   
  ASSET DERIVATIVES  LIABILITY DERIVATIVES 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
  Receivables, Net       
  assets — Unrealized       
Credit contracts  appreciation  $2,344,563*  Payables  $769,896 
Foreign exchange         
contracts  Receivables  194,249  Payables  311,206 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  783,986*  Unrealized depreciation  11,654,545* 
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  3,931,711*  Unrealized depreciation  10,369,874* 
Total    $7,254,509    $23,105,521 

 

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments   
Derivatives not             
accounted for as             
hedging        Forward     
instruments under        currency     
ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $(603,815)  $(603,815) 
Foreign exchange             
contracts    (197,101)    (1,194,587)    $(1,391,688) 
Equity contracts    (43,660)  11,272,371    16,639  $11,245,350 
Interest rate             
contracts      (4,802,472)    (4,576,798)  $(9,379,270) 
Total  $—  $(240,761)  $6,469,899  $(1,194,587)  $(5,163,974)  $(129,423) 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) 
on investments             
Derivatives not             
accounted for as             
hedging        Forward     
instruments under        currency     
ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $65,493  $65,493 
Foreign exchange             
contracts    (8,212)    595,777    $587,565 
Equity contracts  9,375    (24,762,519)    998,784  $(23,754,360) 
Interest rate             
contracts      (3,380,860)    (1,613,880)  $(4,994,740) 
Total  $9,375  $(8,212)  $(28,143,379)  $595,777  $(549,603)  $(28,096,042) 

 

Dynamic Asset Allocation Conservative Fund 121 

 


 

Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  Bank of
America N.A.
Barclays Bank
 PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A. Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Goldman
Sachs
International
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
 N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
 Bank and
 Trust Co.
UBS AG WestPac
Banking Corp.
Total
Assets:                                     
Centrally cleared interest rate swap                                     
contracts§  $—  $—  $ 1,765,129  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $1,765,129 
OTC Total return swap contracts*#                706,505                    706,505 
Centrally cleared total return swap                                     
contracts§      51,669                              51,669 
OTC Credit default contracts —                                     
protection sold*#                                     
OTC Credit default contracts —                                     
protection purchased*#            220,510  273,013  338,376      197,525  37,264  219,803          1,286,491 
Centrally cleared credit default contracts§                                     
Futures contracts§        2,958,080              576,170              3,534,250 
Forward currency contracts#  1,141  33,439      1,242          16,148        63,028  53,054  26,197    194,249 
Total Assets  $1,141  $33,439  $1,816,798  $2,958,080  $1,242  $220,510  $273,013  $1,044,881  $—  $16,148  $773,695  $37,264  $219,803  $63,028  $53,054  $26,197  $—  $7,538,293 
Liabilities:                                     
Centrally cleared interest rate                                     
swap contracts§      1,712,468                              1,712,468 
OTC Total return swap contracts*#                706,208                    706,208 
Centrally cleared total return                                     
swap contracts§      14,094                              14,094 
OTC Credit default contracts —                                     
protection sold*#  24,922          236,286  49,989  258,696      98,634  4,952  96,417          769,896 
OTC Credit default contracts —                                     
protection purchased*#                                     
Centrally cleared credit default contracts§      21,551                              21,551 
Futures contracts§        293,647              68,187              361,834 
Forward currency contracts#                  4,408  10,314      53,619  85,969      156,896  311,206 
Total Liabilities  $24,922  $—  $1,748,113  $293,647  $—  $236,286  $49,989  $964,904  $4,408  $10,314  $166,821  $4,952  $150,036  $85,969  $—  $—  $156,896  $3,897,257 
Total Financial and Derivative                                     
Net Assets  $(23,781)  $33,439  $68,685  $2,664,433  $1,242  $(15,776)  $223,024  $79,977  $(4,408)  $5,834  $606,874  $32,312  $69,767  $(22,941)  $53,054  $26,197  $(156,896)  $3,641,036 
Total collateral received (pledged)†##  $(23,781)  $—  $—  $—  $—  $—  $210,000  $79,977  $—  $—  $110,000  $32,312  $69,767  $—  $—  $—  $—   
Net amount  $—  $33,439  $68,685  $2,664,433  $1,242  $(15,776)  $13,024  $—  $(4,408)  $5,834  $496,874  $—  $—  $(22,941)  $53,054  $26,197  $(156,896)   

 

122 Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund 123 

 


 

  Bank of
 America N.A.
Barclays Bank
PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A. Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Goldman
SachsI
nternational
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
Bank and
Trust Co.
UBS AG WestPac
Banking Corp.
Total
Controlled collateral received (including                                     
TBA commitments)**  $—  $—  $—  $—  $—  $—  $210,000  $150,000  $—  $—  $110,000  $114,944  $80,000  $—  $—  $—  $—  $664,944 
Uncontrolled collateral received  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $— 
Collateral (pledged) (including TBA                                     
commitments)**  $(120,903)  $—  $—  $(495,959)  $—  $—  $—  $—  $—  $—  $(2,478,502)  $—  $—  $—  $—  $—  $—  $(3,095,364) 

 

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.

** Included with Investments in securities on the Statement of assets and liabilities.

Additional collateral may be required from certain brokers based on individual agreements.

# Covered by master netting agreement (Note 1).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $12,586,535 and $3,466,339 respectively.

Note 10: New accounting pronouncements

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management expects that the adoption of the guidance will not have a material impact on the fund’s financial statements.

124 Dynamic Asset Allocation Conservative Fund  Dynamic Asset Allocation Conservative Fund 125 

 


 

Putnam family of funds

The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.

Blend  Income 
Emerging Markets Equity Fund  Convertible Securities Fund 
Focused Equity Fund  Diversified Income Trust 
Focused International Equity Fund  Floating Rate Income Fund 
International Capital Opportunities Fund  Global Income Trust 
International Equity Fund  Government Money Market Fund* 
Multi-Cap Core Fund  High Yield Fund 
Research Fund  Income Fund 
  Money Market Fund 
Global Sector  Mortgage Opportunities Fund 
Global Health Care Fund  Mortgage Securities Fund 
Global Technology Fund  Short Duration Bond Fund 
  Ultra Short Duration Income Fund 
Growth   
Growth Opportunities Fund  Tax-free Income 
Small Cap Growth Fund  Intermediate-Term Municipal Income Fund 
Sustainable Future Fund  Short-Term Municipal Income Fund 
Sustainable Leaders Fund  Strategic Intermediate Municipal Fund 
  Tax Exempt Income Fund 
Value  Tax-Free High Yield Fund 
International Value Fund   
Large Cap Value Fund  State tax-free income funds: 
Small Cap Value Fund  California, Massachusetts, Minnesota, 
  New Jersey, New York, Ohio, and Pennsylvania 

 

126 Dynamic Asset Allocation Conservative Fund 

 


 

Absolute Return  Asset Allocation (cont.) 
Fixed Income Absolute Return Fund  Putnam Retirement Advantage Maturity Fund 
Multi-Asset Absolute Return Fund  Putnam Retirement Advantage 2065 Fund 
  Putnam Retirement Advantage 2060 Fund 
Putnam PanAgora§  Putnam Retirement Advantage 2055 Fund 
Putnam PanAgora Risk Parity Fund  Putnam Retirement Advantage 2050 Fund 
  Putnam Retirement Advantage 2045 Fund 
Asset Allocation  Putnam Retirement Advantage 2040 Fund 
Dynamic Risk Allocation Fund  Putnam Retirement Advantage 2035 Fund 
George Putnam Balanced Fund  Putnam Retirement Advantage 2030 Fund 
  Putnam Retirement Advantage 2025 Fund 
Dynamic Asset Allocation Balanced Fund   
Dynamic Asset Allocation Conservative Fund  RetirementReady® Maturity Fund 
Dynamic Asset Allocation Growth Fund  RetirementReady® 2065 Fund 
  RetirementReady® 2060 Fund 
  RetirementReady® 2055 Fund 
  RetirementReady® 2050 Fund 
  RetirementReady® 2045 Fund 
  RetirementReady® 2040 Fund 
  RetirementReady® 2035 Fund 
  RetirementReady® 2030 Fund 
  RetirementReady® 2025 Fund 

 

* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

Not available in all states.

§ Sub-advised by PanAgora Asset Management.

Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.

Dynamic Asset Allocation Conservative Fund 127 

 


 

Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

128 Dynamic Asset Allocation Conservative Fund 

 


 

Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Richard T. Kircher 
Putnam Investment  Kenneth R. Leibler, Chair  Vice President and 
Management, LLC  Liaquat Ahamed  BSA Compliance Officer 
100 Federal Street  Ravi Akhoury   
Boston, MA 02110  Barbara M. Baumann  Martin Lemaire 
  Katinka Domotorffy  Vice President and 
Investment Sub-Advisors  Catharine Bond Hill  Derivatives Risk Manager 
Putnam Investments Limited  Paul L. Joskow   
16 St James’s Street  George Putnam, III  Susan G. Malloy 
London, England SW1A 1ER  Robert L. Reynolds  Vice President and 
  Manoj P. Singh  Assistant Treasurer 
The Putnam Advisory Company, LLC  Mona K. Sutphen   
100 Federal Street    Alan G. McCormack 
Boston, MA 02110  Officers  Vice President and 
  Robert L. Reynolds  Derivatives Risk Manager 
Marketing Services  President   
Putnam Retail Management    Denere P. Poulack 
Limited Partnership  James F. Clark  Assistant Vice President, 
100 Federal Street  Vice President, Chief Compliance  Assistant Clerk, and 
Boston, MA 02110  Officer, and Chief Risk Officer  Assistant Treasurer 
     
Custodian  Nancy E. Florek  Janet C. Smith 
State Street Bank  Vice President, Director of  Vice President, 
and Trust Company  Proxy Voting and Corporate  Principal Financial Officer, 
  Governance, Assistant Clerk,  Principal Accounting Officer, 
Legal Counsel  and Assistant Treasurer  and Assistant Treasurer 
Ropes & Gray LLP     
  Michael J. Higgins  Stephen J. Tate 
  Vice President, Treasurer,  Vice President and 
  and Clerk  Chief Legal Officer 
     
  Jonathan S. Horwitz  Mark C. Trenchard 
  Executive Vice President,  Vice President 
Principal Executive Officer,   
  and Compliance Liaison   

 

This report is for the information of shareholders of Putnam Dynamic Asset Allocation Conservative Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.


 


Item 2. Code of Ethics:
Not applicable

Item 3. Audit Committee Financial Expert:
Not applicable

Item 4. Principal Accountant Fees and Services:
Not applicable

Item 5. Audit Committee of Listed Registrants
Not applicable

Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable

Item 13. Exhibits:
(a)(1) Not applicable

(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Asset Allocation Funds
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: May 23, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: May 23, 2022
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: May 23, 2022

b_264certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the registrant’s report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

Date: May 23, 2022

/s/ Jonathan S. Horwitz
_______________________
Jonathan S. Horwitz
Principal Executive Officer














Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the registrant’s report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

Date: May 23, 2022

/s/ Janet C. Smith
_______________________
Janet C. Smith
Principal Financial Officer















Attachment A

Period (s) ended March 31, 2022

               Putnam California Tax Exempt Income Fund
               Putnam Diversified Income Trust
               Putnam Dynamic Asset Allocation Balanced Fund
               Putnam Dynamic Asset Allocation Growth Fund
               Putnam Dynamic Asset Allocation Conservative Fund
               Putnam Government Money Market Fund
               Putnam Master Intermediate Income Trust
               Putnam Money Market Fund
               Putnam Mortgage Securities Fund
               Putnam Tax Exempt Income Fund

c_264noscertification.htm

Section 906 Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: May 23, 2022

/s/ Jonathan S. Horwitz
______________________
Jonathan S. Horwitz
Principal Executive Officer














Section 906 Certifications

I, Janet C. Smith, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: May 23, 2022

/s/ Janet C. Smith
______________________
Janet C. Smith
Principal Financial Officer















Attachment A

Period (s) ended March 31, 2022

               Putnam California Tax Exempt Income Fund
               Putnam Diversified Income Trust
               Putnam Dynamic Asset Allocation Balanced Fund
               Putnam Dynamic Asset Allocation Growth Fund
               Putnam Dynamic Asset Allocation Conservative Fund
               Putnam Government Money Market Fund
               Putnam Master Intermediate Income Trust
               Putnam Money Market Fund
               Putnam Mortgage Securities Fund
               Putnam Tax Exempt Income Fund