Putnam Dynamic
Asset Allocation
Balanced Fund

Semiannual report
3 | 31 | 22

 

Message from the Trustees

May 10, 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 Balanced Fund is designed for investors seeking total return. The fund’s target mix of 60% stocks and 40% bonds 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.

 

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 have less volatility than an all-stock allocation in the long run.

 

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 Balanced Blended Benchmark is administered by Putnam Management and comprises 50% Russell 3000 Index, 35% Bloomberg U.S. Aggregate Bond Index, 10% MSCI EAFE Index (ND), and 5% JPMorgan Developed High Yield Index.

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

 

This comparison shows your fund’s performance in the context of broad market indexes for the 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.

 

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.

 

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.

 

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 –1.40%, underperforming its primary benchmark, the Russell 3000 Index, which returned 3.51% for the period. The fund also underperformed its secondary custom benchmark, the Putnam Balanced Blended Benchmark, which returned –0.79% 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.

How did the fund use derivatives for the period?

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

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.

 

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.

 

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

 

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.

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

 

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 Balanced Blended Benchmark is administered by Putnam Management and comprises 50% Russell 3000 Index, 35% Bloomberg U.S. Aggregate Bond Index, 10% MSCI EAFE Index (ND), and 5% JPMorgan Developed High Yield Index.

^† The fund’s secondary benchmark, the Putnam Balanced 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 588, 573, 535, 485, 365, and 29 funds, respectively, in this Lipper category.

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

 

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.

 

Your fund’s expenses

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

Expense ratios

 

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

Expenses are shown as a percentage of average net assets.

^* Includes one time annualized proxy costs 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.

 

^* 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).

 

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.

 

^* 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).

 

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.

 

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

 

(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 Balanced Blended Benchmark is a benchmark administered by Putnam Management, comprising 50% the Russell 3000^® Index, 35% the Bloomberg U.S. Aggregate Bond Index, 10% the MSCI EAFE Index (ND), and 5% the JPMorgan Developed High Yield Index. 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.

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 recommend Putnam Investments, or any of its products or services.

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

Other information for shareholders

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.

 

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.

 

The fund’s portfolio 3/31/22 (Unaudited)

COMMON STOCKS (67.8%)*	Shares	Value
Basic materials (2.9%)
AdvanSix, Inc.	5,177	$264,493
Alcoa Corp.	8,700	783,261
American Vanguard Corp.	2,618	53,198
Andersons, Inc. (The)	2,692	135,300
Anglo American PLC (London Exchange) (United Kingdom)	74,085	3,821,043
Archer-Daniels-Midland Co.	9,200	830,392
Arkema SA (France)	5,675	677,043
Atkore, Inc. †	5,483	539,747
Avery Dennison Corp.	9,900	1,722,303
Axalta Coating Systems, Ltd. †	31,913	784,422
Balchem Corp.	644	88,035
BHP Group, Ltd. (Australian ASE Exchange) (Australia)	50,833	1,979,943
BHP Group, Ltd. (London Exchange) (Australia)	9,855	377,841
BlueScope Steel, Ltd. (Australia)	78,614	1,214,790
Boise Cascade Co.	6,390	443,913
Brenntag SE (Germany)	46,317	3,745,147
Celanese Corp.	5,921	845,933
CF Industries Holdings, Inc.	7,900	814,174
Codexis, Inc. †	15,916	328,188
Compagnie de Saint-Gobain (France)	57,667	3,431,767
Constellium SE (France) †	26,729	481,122
Corteva, Inc.	91,431	5,255,454
Covestro AG (Germany)	20,350	1,028,249
CRH PLC (Ireland)	121,746	4,874,659
Dow, Inc.	12,896	821,733
DuPont de Nemours, Inc.	56,500	4,157,270
Eastman Chemical Co.	33,787	3,786,171
Eiffage SA (France)	11,142	1,142,029
Freeport-McMoRan, Inc. (Indonesia)	145,549	7,239,607
Innospec, Inc.	2,629	243,314
Intrepid Potash, Inc. †	2,318	190,401
James Hardie Industries PLC (CDI) (Australia)	36,824	1,108,174
Linde PLC	7,157	2,306,279
LyondellBasell Industries NV Class A	7,900	812,278
Materion Corp.	1,080	92,599
Minerals Technologies, Inc.	2,876	190,247
Misumi Group, Inc. (Japan)	5,400	160,670
Mueller Industries, Inc.	6,539	354,218
Nitto Denko Corp. (Japan)	4,800	344,003
NV5 Global, Inc. †	712	94,910
Olin Corp.	16,400	857,392
Orion Engineered Carbons SA (Luxembourg)	5,141	82,102
PotlatchDeltic Corp. R	9,489	500,355
PPG Industries, Inc.	18,710	2,452,320
Rio Tinto PLC (United Kingdom)	30,066	2,385,013
Sensient Technologies Corp.	1,060	88,987
Sherwin-Williams Co. (The)	12,242	3,055,849
Shin-Etsu Chemical Co., Ltd. (Japan)	11,700	1,782,908

COMMON STOCKS (67.8%)* cont.	Shares	Value
Basic materials cont.
Simpson Manufacturing Co., Inc.	735	$80,144
South32, Ltd. (Australia)	127,801	475,907
Standex International Corp.	1,287	128,597
Stepan Co.	1,282	126,674
Sterling Construction Co., Inc. †	3,882	104,038
Toyo Suisan Kaisha, Ltd. (Japan)	11,100	396,940
Tronox Holdings PLC Class A (United Kingdom)	26,238	519,250
UFP Industries, Inc.	6,891	531,710
Vat Group AG (Switzerland)	665	253,564
WestRock Co.	18,625	875,934
Weyerhaeuser Co. R	84,693	3,209,865
Zymergen, Inc. †	38,657	111,719
		75,583,588
Capital goods (4.0%)
A.O. Smith Corp.	12,500	798,625
Acuity Brands, Inc.	7,700	1,457,610
Aerojet Rocketdyne Holdings, Inc. †	13,258	521,702
AGCO Corp.	17,700	2,584,731
Albany International Corp. Class A	1,111	93,680
Allegion PLC (Ireland)	17,600	1,932,128
Allison Transmission Holdings, Inc.	20,800	816,608
Altra Industrial Motion Corp.	11,204	436,172
American Axle & Manufacturing Holdings, Inc. †	23,241	180,350
Argan, Inc.	3,073	124,733
Astec Industries, Inc.	2,344	100,792
Axon Enterprise, Inc. †	6,036	831,338
Barnes Group, Inc.	2,007	80,661
CAE, Inc. (Canada) †	46,554	1,211,748
Carrier Global Corp.	18,361	842,219
Casella Waste Systems, Inc. Class A †	1,109	97,204
Caterpillar, Inc.	4,100	913,562
Clean Harbors, Inc. †	8,600	960,104
CNH Industrial NV (United Kingdom)	108,570	1,719,106
Comfort Systems USA, Inc.	2,381	211,933
Crown Holdings, Inc.	6,702	838,353
CTS Corp.	2,586	91,389
Cummins, Inc.	3,912	802,390
Daikin Industries, Ltd. (Japan)	8,200	1,493,014
Deere & Co.	11,694	4,858,389
Donaldson Co., Inc.	13,600	706,248
Dover Corp.	5,400	847,260
Eaton Corp. PLC	24,701	3,748,624
Emerson Electric Co.	15,200	1,490,360
Encore Wire Corp.	1,588	181,143
ESCO Technologies, Inc.	1,207	84,393
Federal Signal Corp.	2,350	79,313
Fortive Corp.	72,240	4,401,583
Franklin Electric Co., Inc.	1,023	84,950
GEA Group AG (Germany)	18,587	767,949

COMMON STOCKS (67.8%)* cont.	Shares	Value
Capital goods cont.
General Dynamics Corp.	25,800	$6,222,444
Gentherm, Inc. †	1,225	89,474
Graco, Inc.	11,536	804,290
GrafTech International, Ltd.	8,855	85,185
HEICO Corp.	5,909	907,268
Hillenbrand, Inc.	9,338	412,459
Honeywell International, Inc.	31,286	6,087,630
Johnson Controls International PLC	160,665	10,534,804
Kaman Corp.	2,982	129,657
Koito Manufacturing Co., Ltd. (Japan)	11,300	457,472
Legrand SA (France)	7,640	726,312
Lockheed Martin Corp.	9,000	3,972,600
Manitowoc Co., Inc. (The) †	5,386	81,221
Mitsubishi Electric Corp. (Japan)	42,000	483,411
Moog, Inc. Class A	3,407	299,135
MRC Global, Inc. †	12,906	153,710
MYR Group, Inc. †	955	89,808
National Presto Industries, Inc.	1,096	84,337
Nordson Corp.	5,900	1,339,772
Northrop Grumman Corp.	16,201	7,245,411
O-I Glass, Inc. †	23,267	306,659
Otis Worldwide Corp.	29,033	2,234,089
Parker Hannifin Corp.	2,804	795,663
Raytheon Technologies Corp.	53,158	5,266,363
Republic Services, Inc.	26,800	3,551,000
Rheinmetall AG (Germany)	7,630	1,619,567
Ryerson Holding Corp.	4,144	145,123
Sandvik AB (Sweden)	72,835	1,546,316
Schneider Electric SE (France)	12,226	2,041,210
Shyft Group, Inc. (The)	2,163	78,106
Sight Sciences, Inc. †	5,618	64,944
Standard Motor Products, Inc.	2,023	87,272
Sturm Ruger & Co., Inc.	3,678	256,062
Terex Corp.	12,280	437,905
Textron, Inc.	30,600	2,276,028
Titan International, Inc. †	8,472	124,793
Titan Machinery, Inc. †	3,776	106,710
Toro Co. (The)	9,800	837,802
Toshiba Corp. (Japan)	4,100	155,577
Vinci SA (France)	4,029	411,915
Waste Connections, Inc.	12,232	1,708,810
Waste Management, Inc.	5,300	840,050
Watts Water Technologies, Inc. Class A	605	84,452
Zurn Water Solutions Corp.	13,095	463,563
		102,036,743
Communication services (1.9%)
American Tower Corp. R	28,110	7,061,795
AT&T, Inc.	319,904	7,559,332
Aviat Networks, Inc. †	3,112	95,756

COMMON STOCKS (67.8%)* cont.	Shares	Value
Communication services cont.
Cambium Networks Corp. †	6,272	$148,270
Charter Communications, Inc. Class A †	6,244	3,406,227
Cogeco Communications, Inc. (Canada)	18,513	1,532,396
Comcast Corp. Class A	152,002	7,116,734
Crown Castle International Corp. R	25,400	4,688,840
EchoStar Corp. Class A †	10,387	252,820
KDDI Corp. (Japan)	61,200	2,010,193
Koninklijke KPN NV (Netherlands)	305,616	1,061,409
Liberty Latin America, Ltd. Class C (Chile) †	32,401	310,726
Nippon Telegraph & Telephone Corp. (Japan)	53,700	1,560,353
Shenandoah Telecommunications Co.	4,365	102,927
SK Telecom Co., Ltd. (South Korea)	21,645	1,013,045
T-Mobile US, Inc. †	16,654	2,137,541
Telesat Corp. (Canada) †	4,337	71,561
Telstra Corp., Ltd. (Australia)	561,252	1,655,191
Verizon Communications, Inc.	110,710	5,639,567
		47,424,683
Communications equipment (0.1%)
Ciena Corp. †	14,296	866,766
Telefonaktiebolaget LM Ericsson Class B (Sweden)	212,831	1,947,400
Viavi Solutions, Inc. †	5,849	94,052
		2,908,218
Computers (4.8%)
A10 Networks, Inc.	21,132	294,791
Agilysys, Inc. †	2,337	93,200
Altair Engineering, Inc. Class A †	1,448	93,251
Apple, Inc.	500,822	87,448,530
Avid Technology, Inc. †	8,394	292,699
Brightcove, Inc. †	6,402	49,936
Cisco Systems, Inc./Delaware	163,300	9,105,608
CommVault Systems, Inc. †	7,431	493,047
Digi International, Inc. †	2,712	58,362
Dropbox, Inc. Class A †	36,923	858,460
Extreme Networks, Inc. †	38,433	469,267
Fortinet, Inc. †	2,700	922,698
NetScout Systems, Inc. †	3,087	99,031
Nutanix, Inc. Class A †	31,000	831,420
OneSpan, Inc. †	4,433	64,013
Outbrain, Inc. †	7,392	79,316
PlayAGS, Inc. †	4,755	31,716
Pure Storage, Inc. Class A †	23,800	840,378
Qualys, Inc. †	2,469	351,610
Roper Technologies, Inc.	1,890	892,515
ServiceNow, Inc. †	5,476	3,049,530
Snowflake, Inc. Class A †	27,783	6,365,919
Sprout Social, Inc. Class A †	7,738	619,969
SS&C Technologies Holdings, Inc.	10,923	819,443
Super Micro Computer, Inc. †	2,197	83,640

COMMON STOCKS (67.8%)* cont.	Shares	Value
Computers cont.
Synopsys, Inc. †	23,200	$7,731,864
Xperi Holding Corp.	18,801	325,633
		122,365,846
Conglomerates (0.4%)
3M Co.	5,528	823,009
AMETEK, Inc.	35,501	4,728,023
General Electric Co.	7,430	679,845
Mitsubishi Corp. (Japan)	70,700	2,663,841
SPX Corp. †	4,215	208,263
		9,102,981
Consumer cyclicals (10.9%)
Abercrombie & Fitch Co. Class A †	12,682	405,697
Amazon.com, Inc. †	15,599	50,851,960
Aramark	67,022	2,520,027
Aristocrat Leisure, Ltd. (Australia)	38,306	1,038,527
Arrowhead Pharmaceuticals, Inc. †	10,681	491,219
AutoZone, Inc. †	3,600	7,360,488
Beazer Homes USA, Inc. †	8,453	128,655
Berkeley Group Holdings PLC (The) (United Kingdom)	7,638	371,772
BJ’s Wholesale Club Holdings, Inc. †	60,007	4,057,073
Bluegreen Vacations Holding Corp. †	2,641	78,094
BlueLinx Holdings, Inc. †	2,194	157,705
Booking Holdings, Inc. †	1,351	3,172,756
Booz Allen Hamilton Holding Corp.	14,505	1,274,119
Boyd Gaming Corp. †	12,000	789,360
Brambles, Ltd. (Australia)	81,471	600,773
Caleres, Inc.	12,254	236,870
CIE Generale Des Etablissements Michelin SCA (France)	3,834	517,946
Cintas Corp.	2,255	959,254
CK Hutchison Holdings, Ltd. (Hong Kong)	380,500	2,789,697
CRA International, Inc.	1,003	84,513
Crocs, Inc. †	1,232	94,125
Daiwa House Industry Co., Ltd. (Japan)	44,300	1,157,371
Dillard’s, Inc. Class A	1,706	457,873
Dolby Laboratories, Inc. Class A	10,805	845,167
Entain PLC (United Kingdom) †	53,144	1,139,859
Entravision Communications Corp. Class A	17,846	114,393
Equifax, Inc.	6,702	1,589,044
Ethan Allen Interiors, Inc.	3,504	91,349
Expedia Group, Inc. †	4,539	888,146
FactSet Research Systems, Inc.	2,035	883,495
FleetCor Technologies, Inc. †	3,415	850,540
Flutter Entertainment PLC (Ireland) †	12,211	1,413,388
Ford Motor Co.	428,642	7,248,336
GAN, Ltd. (United Kingdom) †	19,649	94,708
Gartner, Inc. †	16,700	4,967,582
General Motors Co. †	94,966	4,153,813
Genuine Parts Co.	14,200	1,789,484
GMS, Inc. †	5,081	252,881

COMMON STOCKS (67.8%)* cont.	Shares	Value
Consumer cyclicals cont.
Golden Entertainment, Inc. †	3,795	$220,376
Goodyear Tire & Rubber Co. (The) †	29,108	415,953
Griffon Corp.	6,047	121,121
Group 1 Automotive, Inc.	514	86,265
Hermes International (France)	1,231	1,746,028
Hilton Worldwide Holdings, Inc. †	21,785	3,305,656
Home Depot, Inc. (The)	14,252	4,266,051
ICF International, Inc.	911	85,762
iHeartMedia, Inc. Class A †	22,428	424,562
Industria de Diseno Textil SA (Spain)	39,733	864,544
InterContinental Hotels Group PLC (United Kingdom) †	17,008	1,151,729
International Game Technology PLC	18,010	444,487
Interpublic Group of Cos., Inc. (The)	23,200	822,440
JD Sports Fashion PLC (United Kingdom)	645,777	1,250,547
JELD-WEN Holding, Inc. †	3,634	73,698
John Wiley & Sons, Inc. Class A	1,690	89,621
Kontoor Brands, Inc.	1,923	79,516
La Francaise des Jeux SAEM (France)	11,573	458,721
Laureate Education, Inc.	25,005	296,309
Liberty Media Corp.-SiriusXM Series A †	17,999	822,734
Live Nation Entertainment, Inc. †	23,205	2,729,836
LiveRamp Holdings, Inc. †	8,302	310,412
Lowe’s Cos., Inc.	3,599	727,682
Lululemon Athletica, Inc. (Canada) †	9,105	3,325,419
LVMH Moet Hennessy Louis Vuitton SA (France)	4,580	3,261,278
Macy’s, Inc.	26,886	654,943
MarineMax, Inc. †	1,943	78,225
Marriott International, Inc./MD Class A †	28,100	4,938,575
Masonite International Corp. †	1,327	118,023
Mastercard, Inc. Class A	23,146	8,271,917
MasterCraft Boat Holdings, Inc. †	2,608	64,183
Medifast, Inc.	460	78,559
Modine Manufacturing Co. †	5,636	50,780
Moncler SpA (Italy)	9,878	550,103
Movado Group, Inc.	2,268	88,565
NeoGames SA (Israel) †	2,635	40,658
Network International Holdings PLC (United Arab Emirates) †	360,356	1,319,627
New York Times Co. (The) Class A	18,583	851,845
News Corp. Class A	37,015	819,882
Nike, Inc. Class B	27,104	3,647,114
Nintendo Co., Ltd. (Japan)	4,000	2,018,251
O’Reilly Automotive, Inc. †	20,368	13,951,266
Oxford Industries, Inc.	1,027	92,944
Pandora A/S (Denmark)	11,003	1,040,992
PayPal Holdings, Inc. †	24,535	2,837,473
Pitney Bowes, Inc.	48,833	253,932
Porsche Automobil Holding SE (Preference) (Germany)	14,404	1,395,455
PROG Holdings, Inc. †	3,156	90,798
Publicis Groupe SA (France)	46,303	2,812,744

COMMON STOCKS (67.8%)* cont.	Shares	Value
Consumer cyclicals cont.
PulteGroup, Inc.	80,901	$3,389,752
QuinStreet, Inc. †	8,972	104,075
Quotient Technology, Inc. †	13,068	83,374
RE/MAX Holdings, Inc. Class A	2,800	77,644
Red Rock Resorts, Inc. Class A	11,536	560,188
Rivian Automotive, Inc. Class A †	17,700	889,248
Ross Stores, Inc.	9,600	868,416
Ryohin Keikaku Co., Ltd. (Japan)	7,500	87,468
Scholastic Corp.	2,150	86,602
Signet Jewelers, Ltd.	6,469	470,296
Skyline Champion Corp. †	6,993	383,776
Smith & Wesson Brands, Inc.	25,981	393,093
Sofina SA (Belgium)	607	220,127
Sonos, Inc. †	18,560	523,763
Sony Group Corp. (Japan)	51,300	5,294,723
SP Plus Corp. †	2,076	65,103
Stellantis NV (Italy)	110,112	1,781,877
Steven Madden, Ltd.	2,198	84,931
Tapestry, Inc.	21,700	806,155
Target Corp.	56,055	11,895,993
Terminix Global Holdings, Inc. †	18,300	835,029
Tesla, Inc. †	22,505	24,251,388
Thomson Reuters Corp. (Canada)	16,178	1,756,461
Tilly’s, Inc. Class A	8,617	80,655
TJX Cos., Inc. (The)	54,236	3,285,617
Toll Brothers, Inc.	16,955	797,224
Toyota Motor Corp. (Japan)	16,800	300,947
Travel + Leisure Co.	14,065	814,926
TRI Pointe Homes, Inc. †	19,547	392,504
TuSimple Holdings, Inc. Class A †	32,800	400,160
United Rentals, Inc. †	7,893	2,803,673
Universal Electronics, Inc. †	1,148	35,864
Universal Music Group NV (Netherlands)	205,546	5,456,752
Vail Resorts, Inc.	3,379	879,452
Vectrus, Inc. †	1,229	44,072
Vista Outdoor, Inc. †	10,294	367,393
Visteon Corp. †	4,651	507,564
Volvo AB Class B (Sweden)	31,002	578,234
Walmart, Inc.	150,284	22,380,293
Walt Disney Co. (The) †	6,040	828,446
Wesfarmers, Ltd. (Australia)	51,763	1,944,971
World Fuel Services Corp.	12,272	331,835
Wyndham Hotels & Resorts, Inc.	12,000	1,016,280
Yamaha Motor Co., Ltd. (Japan)	68,700	1,539,635
		279,061,639
Consumer staples (4.4%)
ACCO Brands Corp.	14,465	115,720
Airbnb, Inc. Class A †	8,767	1,505,820
Asahi Group Holdings, Ltd. (Japan)	52,800	1,916,829

COMMON STOCKS (67.8%)* cont.	Shares	Value
Consumer staples cont.
Bloomin’ Brands, Inc.	4,849	$106,387
Cargurus, Inc. †	12,840	545,186
Carlsberg A/S Class B (Denmark)	3,782	461,761
Cars.com, Inc. †	9,864	142,338
ChannelAdvisor Corp. †	4,902	81,226
Chipotle Mexican Grill, Inc. †	1,667	2,637,244
Coca-Cola Co. (The)	135,400	8,394,800
Coca-Cola Consolidated, Inc.	632	314,009
Coca-Cola Europacific Partners PLC (United Kingdom)	47,939	2,330,315
Coca-Cola HBC AG (Italy)	22,738	474,179
Coles Group, Ltd. (Australia)	110,277	1,469,854
Colgate-Palmolive Co.	92,782	7,035,659
Copart, Inc. †	6,800	853,196
CoreCivic, Inc. †	18,991	212,129
Costco Wholesale Corp.	10,498	6,045,274
Diageo PLC (United Kingdom)	104,353	5,274,334
DoorDash, Inc. Class A †	7,200	843,768
Estee Lauder Cos., Inc. (The) Class A	8,918	2,428,550
EverQuote, Inc. Class A †	8,528	137,983
Ferguson PLC (United Kingdom)	12,410	1,684,533
G-III Apparel Group, Ltd. †	3,268	88,399
Heidrick & Struggles International, Inc.	2,813	111,339
Herc Holdings, Inc.	609	101,758
Hershey Co. (The)	4,010	868,686
Hostess Brands, Inc. †	12,467	273,526
Imperial Brands PLC (United Kingdom)	69,123	1,455,457
Ingles Markets, Inc. Class A	1,978	176,141
ITOCHU Corp. (Japan)	26,300	892,150
Itron, Inc. †	10,332	544,290
Jeronimo Martins SGPS SA (Portugal)	100,528	2,408,328
John B. Sanfilippo & Son, Inc.	1,077	89,865
Keurig Dr Pepper, Inc.	87,649	3,321,897
Kforce, Inc.	2,693	199,201
Koninklijke Ahold Delhaize NV (Netherlands)	59,418	1,910,065
Korn Ferry	7,769	504,519
L’Oreal SA (France)	6,563	2,626,944
ManpowerGroup, Inc.	10,400	976,768
McDonald’s Corp.	19,700	4,871,416
McDonald’s Holdings Co. (Japan), Ltd. (Japan)	19,200	799,702
Nestle SA (Switzerland)	16,022	2,079,989
Netflix, Inc. †	2,279	853,691
Nissin Food Products Co., Ltd. (Japan)	6,500	456,446
PepsiCo, Inc.	30,565	5,115,970
Perdoceo Education Corp. †	18,649	214,091
Philip Morris International, Inc.	93,800	8,811,572
Primo Water Corp.	19,498	277,847
Procter & Gamble Co. (The)	83,446	12,750,549
Recruit Holdings Co., Ltd. (Japan)	24,900	1,090,054
Resideo Technologies, Inc. †	3,445	82,094

COMMON STOCKS (67.8%)* cont.	Shares	Value
Consumer staples cont.
Resources Connection, Inc.	3,039	$52,088
Sally Beauty Holdings, Inc. †	25,252	394,689
Simply Good Foods Co. (The) †	7,842	297,604
Starbucks Corp.	28,700	2,610,839
Swedish Match AB (Sweden)	103,063	775,244
TriNet Group, Inc. †	5,478	538,816
TrueCar, Inc. †	23,053	91,059
Tyson Foods, Inc. Class A	10,820	969,797
Uber Technologies, Inc. †	127,505	4,549,379
Udemy, Inc. †	7,265	90,522
Ulta Beauty, Inc. †	2,100	836,262
United Natural Foods, Inc. †	9,831	406,512
USANA Health Sciences, Inc. †	1,039	82,549
Veritiv Corp. †	2,648	353,746
Wendy’s Co. (The)	39,847	875,439
Yakult Honsha Co., Ltd. (Japan)	13,500	720,559
		112,608,952
Electronics (3.2%)
Advanced Micro Devices, Inc. †	35,804	3,914,810
Agilent Technologies, Inc.	23,600	3,122,988
Alpha & Omega Semiconductor, Ltd. †	8,987	491,140
Ambarella, Inc. †	1,034	108,487
CEVA, Inc. †	3,423	139,145
Cirrus Logic, Inc. †	9,682	820,937
Garmin, Ltd.	10,700	1,269,127
Hoya Corp. (Japan)	34,900	3,982,498
Intel Corp.	17,356	860,163
Knowles Corp. †	14,934	321,529
Lattice Semiconductor Corp. †	7,506	457,491
MACOM Technology Solutions Holdings, Inc. †	8,650	517,876
Marvell Technology, Inc.	50,342	3,610,025
Minebea Mitsumi, Inc. (Japan)	27,800	605,592
Monolithic Power Systems, Inc.	1,728	839,255
NVIDIA Corp.	122,501	33,425,623
NXP Semiconductors NV	9,505	1,759,185
Omron Corp. (Japan)	10,200	680,062
Qualcomm, Inc.	112,449	17,184,456
Semtech Corp. †	7,466	517,692
Shimadzu Corp. (Japan)	28,400	977,947
Synaptics, Inc. †	2,142	427,329
Texas Instruments, Inc.	10,796	1,980,850
Thales SA (France)	23,152	2,923,516
Vishay Intertechnology, Inc.	4,502	88,239
Vontier Corp.	63,112	1,602,414
		82,628,376
Energy (2.7%)
Antero Resources Corp. †	24,632	752,015
APA Corp.	25,606	1,058,296
BP PLC (United Kingdom)	392,796	1,919,607

COMMON STOCKS (67.8%)* cont.	Shares	Value
Energy cont.
California Resources Corp.	11,950	$534,524
Cheniere Energy, Inc.	5,800	804,170
Chevron Corp.	34,800	5,666,484
ConocoPhillips	77,713	7,771,300
DCC PLC (Ireland)	13,724	1,063,677
Denbury, Inc. †	7,271	571,282
Enterprise Products Partners LP	76,543	1,975,575
EOG Resources, Inc.	12,909	1,539,140
Equinor ASA (Norway)	54,482	2,044,336
Exxon Mobil Corp.	120,253	9,931,695
Golar LNG, Ltd. (Norway) †	8,109	200,941
Halliburton Co.	76,100	2,881,907
Marathon Oil Corp.	38,907	976,955
Marathon Petroleum Corp.	25,215	2,155,883
NOW, Inc. †	39,265	433,093
Oasis Petroleum, Inc.	6,371	932,077
Occidental Petroleum Corp.	13,700	777,338
Oceaneering International, Inc. †	24,449	370,647
Ovintiv, Inc.	16,970	917,568
Phillips 66	14,400	1,244,016
Schlumberger, Ltd.	19,300	797,283
Shell PLC (London Exchange) (United Kingdom)	266,905	7,324,875
Shell PLC (Euronext Amsterdan Exchange) (United Kingdom)	158,837	4,375,167
SM Energy Co.	14,279	556,167
SunCoke Energy, Inc.	16,522	147,211
Talos Energy, Inc. †	8,383	132,368
Targa Resources Corp.	42,400	3,199,928
Valero Energy Corp.	56,076	5,693,957
Warrior Met Coal, Inc.	4,186	155,342
		68,904,824
Financials (9.8%)
3i Group PLC (United Kingdom)	58,943	1,066,215
AIA Group, Ltd. (Hong Kong)	213,400	2,234,177
Alexander & Baldwin, Inc. R	5,730	132,879
Allianz SE (Germany)	11,199	2,674,259
Allstate Corp. (The)	6,000	831,060
Ally Financial, Inc.	85,700	3,726,236
American Campus Communities, Inc. R	15,036	841,565
American Equity Investment Life Holding Co.	3,462	138,168
American Financial Group, Inc.	6,054	881,583
American International Group, Inc.	68,894	4,324,476
Ameriprise Financial, Inc.	17,800	5,346,408
Ameris Bancorp	1,870	82,056
AMERISAFE, Inc.	1,742	86,525
Apartment Income REIT Corp.	15,832	846,379
Apollo Global Management, Inc.	49,894	3,092,929
Apple Hospitality REIT, Inc.	11,907	213,969
Arch Capital Group, Ltd. †	8,800	426,096
Argo Group International Holdings, Ltd. (Bermuda)	2,997	123,716

COMMON STOCKS (67.8%)* cont.	Shares	Value
Financials cont.
Armada Hoffler Properties, Inc. R	5,653	$82,534
Associated Banc-Corp.	4,144	94,317
Assured Guaranty, Ltd.	67,104	4,271,841
Atlantic Union Bankshares Corp.	4,733	173,654
AvalonBay Communities, Inc. R	3,600	894,132
Aviva PLC (United Kingdom)	236,561	1,396,400
AXA SA (France)	148,132	4,326,034
Axis Capital Holdings, Ltd.	14,400	870,768
Banco Bilbao Vizcaya Argentaria SA (Spain)	315,885	1,806,158
Banco Latinoamericano de Comercio Exterior SA (Panama)	3,147	49,030
Banco Santander SA (Spain)	675,850	2,293,135
Bank Leumi Le-Israel BM (Israel)	168,037	1,803,886
Bank of America Corp.	226,978	9,356,033
Bank of Ireland Group PLC (Ireland) †	405,147	2,573,759
Banner Corp.	3,137	183,609
Berkshire Hathaway, Inc. Class B †	6,789	2,395,906
BGC Partners, Inc. Class A	59,136	260,198
BlackRock, Inc.	1,099	839,823
Blackstone, Inc.	6,796	862,684
Blucora, Inc. †	5,615	109,773
BNP Paribas SA (France)	45,135	2,569,862
BOC Hong Kong Holdings, Ltd. (Hong Kong)	240,000	903,077
Boston Properties, Inc. R	24,516	3,157,661
BrightSpire Capital, Inc. R	9,578	88,597
Brixmor Property Group, Inc. R	33,107	854,492
Brookline Bancorp, Inc.	5,927	93,765
Byline Bancorp, Inc.	1,929	51,466
Capital One Financial Corp.	22,864	3,001,815
Carlyle Group, Inc. (The)	17,671	864,289
Cathay General Bancorp	10,352	463,252
CBRE Group, Inc. Class A †	37,900	3,468,608
Central Pacific Financial Corp.	3,019	84,230
Charles Schwab Corp. (The)	19,407	1,636,204
Chubb, Ltd.	4,036	863,300
Citigroup, Inc.	277,256	14,805,470
City Office REIT, Inc. (Canada)	6,022	106,349
CK Asset Holdings, Ltd. (Hong Kong)	193,159	1,320,188
CNO Financial Group, Inc.	20,442	512,890
ConnectOne Bancorp, Inc.	2,773	88,764
Corporate Office Properties Trust R	3,389	96,722
Cowen, Inc. Class A	3,327	90,162
CubeSmart R	52,200	2,715,966
Cushman & Wakefield PLC †	22,409	459,609
Customers Bancorp, Inc. †	7,374	384,480
Dai-ichi Life Holdings, Inc. (Japan)	50,700	1,031,441
DBS Group Holdings, Ltd. (Singapore)	176,400	4,637,616
Deutsche Boerse AG (Germany)	17,300	3,107,750
Dexus (Australia) R	73,302	596,547
Discover Financial Services	7,492	825,543

COMMON STOCKS (67.8%)* cont.	Shares	Value
Financials cont.
Eagle Bancorp, Inc.	2,328	$132,719
East West Bancorp, Inc.	20,900	1,651,518
EastGroup Properties, Inc. R	3,309	672,654
Employers Holdings, Inc.	2,328	95,495
Enterprise Financial Services Corp.	3,633	171,877
Equitable Holdings, Inc.	121,465	3,754,483
Equity Lifestyle Properties, Inc. R	11,300	864,224
Essent Group, Ltd.	12,584	518,587
Essential Properties Realty Trust, Inc. R	15,713	397,539
Evercore, Inc. Class A	7,378	821,319
Everest Re Group, Ltd.	2,800	843,864
Exor NV (Netherlands)	8,851	675,084
Extra Space Storage, Inc. R	4,200	863,520
Fidelity National Financial, Inc.	38,300	1,870,572
First BanCorp/Puerto Rico (Puerto Rico)	35,050	459,856
First Busey Corp.	3,898	98,775
First Commonwealth Financial Corp.	6,049	91,703
First Financial Corp./IN	2,467	106,772
First Foundation, Inc.	3,588	87,153
First Industrial Realty Trust, Inc. R	14,307	885,746
Flushing Financial Corp.	2,136	47,740
Four Corners Property Trust, Inc. R	3,319	89,746
Fulton Financial Corp.	16,438	273,200
Gaming and Leisure Properties, Inc. R	101,978	4,785,828
Genworth Financial, Inc. Class A †	127,078	480,355
Gjensidige Forsikring ASA (Norway)	12,112	300,476
Goldman Sachs Group, Inc. (The)	45,655	15,070,716
Goodman Group (Australia) R	111,995	1,902,209
Granite Point Mortgage Trust, Inc. R	7,665	85,235
Great Southern Bancorp, Inc.	1,265	74,648
Hana Financial Group, Inc. (South Korea)	52,689	2,103,421
Hancock Whitney Corp.	10,385	541,578
Hanmi Financial Corp.	3,567	87,784
Heartland Financial USA, Inc.	3,131	149,756
Hilltop Holdings, Inc.	7,694	226,204
HomeStreet, Inc.	3,549	168,152
Hope Bancorp, Inc.	20,867	335,541
Horace Mann Educators Corp.	8,064	337,317
Horizon Bancorp, Inc./IN	4,433	82,764
Iida Group Holdings Co., Ltd. (Japan)	20,500	354,852
Independent Bank Corp./MI	2,210	48,620
Industrial Logistics Properties Trust R	12,369	280,405
International Bancshares Corp.	2,172	91,680
Investor AB Class B (Sweden)	77,044	1,673,089
Invitation Homes, Inc. R	21,100	847,798
Israel Discount Bank, Ltd. Class A (Israel)	114,538	711,676
Jones Lang LaSalle, Inc. †	7,800	1,867,788
JPMorgan Chase & Co.	182,044	24,816,238
Kennedy-Wilson Holdings, Inc.	4,931	120,267

COMMON STOCKS (67.8%)* cont.	Shares	Value
Financials cont.
KeyCorp	63,829	$1,428,493
Lamar Advertising Co. Class A R	7,500	871,350
LendingClub Corp. †	18,227	287,622
Life Storage, Inc. R	18,100	2,541,783
Link REIT (The) (Hong Kong)	14,400	122,737
London Stock Exchange Group PLC (United Kingdom)	14,498	1,514,689
LPL Financial Holdings, Inc.	4,327	790,456
Marsh & McLennan Cos., Inc.	5,566	948,558
Meta Financial Group, Inc.	6,783	372,522
MetLife, Inc.	111,900	7,864,332
MFA Financial, Inc. R	75,229	303,173
MGIC Investment Corp.	59,159	801,604
Midland States Bancorp, Inc.	2,238	64,589
Mitsubishi UFJ Financial Group, Inc. (Japan)	462,300	2,869,577
Mizrahi Tefahot Bank, Ltd. (Israel)	4,181	162,640
Moelis & Co. Class A	1,932	90,707
Mr. Cooper Group, Inc. †	10,752	491,044
National Bank Holdings Corp. Class A	3,043	122,572
National Health Investors, Inc. R	1,679	99,078
National Storage Affiliates Trust R	8,888	557,811
Navient Corp.	25,839	440,297
NBT Bancorp, Inc.	3,955	142,894
New Residential Investment Corp. R	78,428	861,139
New York Mortgage Trust, Inc. R	24,371	88,954
Nicolet Bankshares, Inc. †	540	50,528
NN Group NV (Netherlands)	3,107	156,595
OceanFirst Financial Corp.	6,194	124,499
OFG Bancorp (Puerto Rico)	5,467	145,641
Old Republic International Corp.	31,393	812,137
OneMain Holdings, Inc.	17,442	826,925
Oportun Financial Corp. †	3,135	45,019
Orion Office REIT, Inc. †	25,360	355,040
Outfront Media, Inc. R	19,877	565,103
Partners Group Holding AG (Switzerland)	1,383	1,718,194
PennyMac Financial Services, Inc.	7,415	394,478
Peoples Bancorp, Inc./OH	1,634	51,161
Piedmont Office Realty Trust, Inc. Class A R	16,667	287,006
Piper Sandler Cos.	1,541	202,256
PNC Financial Services Group, Inc. (The)	25,294	4,665,478
Popular, Inc. (Puerto Rico)	10,016	818,708
Preferred Bank	1,387	102,763
ProAssurance Corp.	4,428	119,025
Prologis, Inc. R	5,650	912,362
Prudential PLC (United Kingdom)	118,351	1,748,254
PS Business Parks, Inc. R	1,752	294,476
Public Storage R	2,900	1,131,812
QCR Holdings, Inc.	1,457	82,452
Radian Group, Inc.	4,396	97,635
Realogy Holdings Corp. †	23,590	369,891

COMMON STOCKS (67.8%)* cont.	Shares	Value
Financials cont.
Redwood Trust, Inc. R	25,303	$266,441
Reinsurance Group of America, Inc.	8,027	878,635
Retail Opportunity Investments Corp. R	20,113	389,991
RMR Group, Inc. (The) Class A	1,837	57,131
RPT Realty R	11,609	159,856
S&T Bancorp, Inc.	1,666	49,280
Safety Insurance Group, Inc.	879	79,857
Sculptor Capital Management, Inc.	7,137	99,418
SEI Investments Co.	13,914	837,762
Selective Insurance Group, Inc.	1,182	105,624
Simon Property Group, Inc. R	6,087	800,806
SITE Centers Corp. R	5,904	98,656
SLM Corp.	57,500	1,055,700
Starwood Property Trust, Inc. R	34,067	823,399
State Street Corp.	22,761	1,982,938
Stewart Information Services Corp.	3,898	236,258
Sumitomo Mitsui Financial Group, Inc. (Japan)	26,500	845,727
Sumitomo Realty & Development Co., Ltd. (Japan)	9,000	248,769
Sunstone Hotel Investors, Inc. † R	43,628	513,938
SVB Financial Group †	1,425	797,216
Synchrony Financial	22,367	778,595
Terreno Realty Corp. R	1,196	88,564
TPG RE Finance Trust, Inc. R	9,190	108,534
UBS Group AG (Switzerland)	128,624	2,512,928
UMB Financial Corp.	3,701	359,589
United Fire Group, Inc.	2,406	74,754
United Overseas Bank, Ltd. (Singapore)	79,400	1,862,410
Universal Insurance Holdings, Inc.	6,772	91,354
Unum Group	35,073	1,105,150
Urban Edge Properties R	5,175	98,843
Virtu Financial, Inc. Class A	23,400	870,948
Virtus Investment Partners, Inc.	1,137	272,869
Visa, Inc. Class A	32,602	7,230,146
W.R. Berkley Corp.	13,741	915,013
Washington Federal, Inc.	5,872	192,719
Wells Fargo & Co.	15,848	767,994
WesBanco, Inc.	5,439	186,884
Zurich Insurance Group AG (Switzerland)	1,415	697,635
		252,069,418
Government (—%)
Poste Italiane SpA (Italy)	25,893	293,735
		293,735
Health care (9.0%)
Abbott Laboratories	93,000	11,007,480
AbbVie, Inc.	92,619	15,014,466
Abcam PLC (United Kingdom) †	42,763	772,578
ABIOMED, Inc. †	2,877	952,977
Accuray, Inc. †	25,689	85,031
Agenus, Inc. †	106,664	262,393

COMMON STOCKS (67.8%)* cont.	Shares	Value
Health care cont.
Alector, Inc. †	21,862	$311,534
Align Technology, Inc. †	1,969	858,484
Alkermes PLC †	15,967	420,092
Allakos, Inc. †	25,377	144,649
AmerisourceBergen Corp.	5,862	906,910
Amgen, Inc.	3,626	876,839
AMN Healthcare Services, Inc. †	5,262	548,984
AnaptysBio, Inc. †	3,063	75,779
AngioDynamics, Inc. †	4,088	88,056
Anthem, Inc.	13,755	6,756,731
Arbutus Biopharma Corp. †	28,233	84,134
Arvinas, Inc. †	696	46,841
AstraZeneca PLC (United Kingdom)	28,932	3,836,706
AstraZeneca PLC ADR (United Kingdom)	71,979	4,775,087
AtriCure, Inc. †	2,313	151,895
Avanos Medical, Inc. †	3,051	102,209
Baxter International, Inc.	10,681	828,205
Bio-Rad Laboratories, Inc. Class A †	1,446	814,431
BioCryst Pharmaceuticals, Inc. †	8,392	136,454
Bluebird Bio, Inc. †	51,631	250,410
Boston Scientific Corp. †	19,260	853,025
Bristol-Myers Squibb Co.	40,072	2,926,458
Brookdale Senior Living, Inc. †	17,748	125,123
Cara Therapeutics, Inc. †	16,316	198,239
Cardinal Health, Inc.	15,784	894,953
Chimerix, Inc. †	15,509	71,031
Chinook Therapeutics, Inc. †	6,664	109,023
Cigna Corp.	3,610	864,992
Computer Programs and Systems, Inc. †	3,119	107,450
Crinetics Pharmaceuticals, Inc. †	5,077	111,440
CVS Health Corp.	8,014	811,097
Danaher Corp.	24,404	7,158,426
DexCom, Inc. †	6,845	3,501,902
Eagle Pharmaceuticals, Inc./DE †	1,788	88,488
Edwards Lifesciences Corp. †	45,321	5,335,188
Eli Lilly and Co.	22,256	6,373,451
Enanta Pharmaceuticals, Inc. †	5,277	375,617
Eurofins Scientific (Luxembourg)	9,320	923,918
Exelixis, Inc. †	38,600	875,062
FibroGen, Inc. †	23,529	282,819
Fisher & Paykel Healthcare Corp., Ltd. (New Zealand)	13,251	222,662
Fulgent Genetics, Inc. †	6,989	436,183
Getinge AB Class B (Sweden)	20,959	834,273
Glaukos Corp. †	2,263	130,847
GlaxoSmithKline PLC (United Kingdom)	77,792	1,677,502
HCA Healthcare, Inc.	16,696	4,184,352
Hologic, Inc. †	25,700	1,974,274
ICON PLC (Ireland) †	7,286	1,772,101
IDEXX Laboratories, Inc. †	5,656	3,094,171