Absolute Return 500 Fund  (PJMDX)

Seeking positive results balanced with lower volatility over time

Objective

The fund seeks to earn a positive total return that exceeds the return on U.S. Treasury bills by 500 basis points (or 5.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions.

Strategy and process

  • A wide range of securities for diversification: The fund can invest across multiple asset classes and can adjust dynamically as opportunities change.
  • Ultimate flexibility to be independent of indexes: Freed from the constraints of traditional benchmarks that may carry unwanted risks, the portfolio managers can invest across diverse securities, asset classes, and strategies.
  • Modern investment tools seeking reduced risk: With the ability to hedge and use market neutral strategies, the fund can provide a new type of diversification to traditional portfolios.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $11.00
0.55% | $0.06
$11.62
12/08/17
$10.84
02/08/18
Historical fund price

Fund facts as of 01/31/18

Total net assets
$925.50M
Turnover (fiscal year end)
496%
Dividend frequency
Annually
Number of holdings
834
Fiscal year-end
October
CUSIP / Fund code
746764703 / 0060
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PJMDX

Management team

Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Co-Head of Global Asset Allocation

Literature


Watch the euro as Italy votes
We are watching the referendum in Italy this weekend for yet another existential crisis for the euro.
Italy's bank troubles challenge EU
Troubled banks in Italy pose a new challenge to the EU, one that has been compounded by the U.K.'s vote in favor of Brexit.
Constrained credit threatens growth
Stock market rallies often need to climb a wall of worry, and we see that wall getting higher.

Performance

Consistency of positive performance over five years

Performance represents 5-year returns in rolling quarter-end periods since inception.

Performance shown above does not reflect the effects of any sales charges. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.

5.07%

Best 5-year annualized return

(for period ending 03/31/14)


2.16%

Worst 5-year annualized return

(for period ending 03/31/16)


3.47%

Average 5-year annualized return


  • Total return (%) as of 12/31/17

  • Annual performance as of 12/31/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 7.18% 2.53% 3.20% 3.97%
After sales charge 1.02% 0.52% 1.98% 3.29%
ICE BofAML U.S. Treasury Bill Index 0.81% 0.42% 0.28% --

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. To obtain the most recent month-end performance, visit putnam.com. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Absolute Return 500 Fund and 700 Fund, and 4.00% and 3.25% for income funds (1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, R, T1, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 01/31/18 -0.18 % -5.92 %
YTD as of 02/23/18 -1.70 % -7.35 %

Volatility as of 01/31/18

Standard deviation (3 yrs.) 2.99%

Morningstar ratings as of 01/31/18

Multialternative Rating Funds in category
Overall (293)
3 yrs. (293)
5 yrs. (164)

Distributions

Record/Ex dividend date 12/19/17
Payable date 12/21/17
Income $0.191
Extra income --
Short-term cap. gain --
Long-term cap. gain $0.184

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Top 10 holdings as of 01/31/18

Net cash 54.44%
Fnma Fn30 Tba 03.5000 03/01/2048 4.03%
Utilities Select Sector Spdr Sedol 2371812 2.03%
Djubs Long F3 - Short Djubs F0 3x 144a Note 2/28/2019 1.79%
S&P Gsci Total Return Index 3x 144a Note 12/10/2018 1.56%
Fnma Fn30 Tba 02.5000 03/01/2048 1.53%
Ishares Msci India Etf 1.29%
Consumer Discretionary Selt Sedol 2424341 1.28%
Technology Select Sect Spdr Sedol 2369709 1.24%
Health Care Select Sector Sedol 2371823 1.19%
Top 10 holdings, percent of portfolio 70.38%

Full portfolio holdings as of 12/31/17

GSGLPWDL R US0001M P 12/15/20 GS 20.62%
FNMA FN30 TBA 03.5000 02/01/2048 3.74%
UTILITIES SELECT SECTOR SPDR 2.08%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 01/29/2018 1.80%
FNMA FN30 TBA 02.5000 01/01/2048 1.55%
S&P GSCI TOTAL RETURN INDEX 3X 144A NOTE 12/10/2018 1.42%
MLFCF12 R US0003M P 11/16/18 BA 1.33%
ISHARES MSCI INDIA ETF 1.26%
CONSUMER DISCRETIONARY SELT 1.16%
TECHNOLOGY SELECT SECT SPDR 1.15%
CONSUMER STAPLES SPDR 1.10%
HEALTH CARE SELECT SECTOR 1.10%
SPAIN LETRAS DEL TESORO 00.0000 03/09/2018 1.09%
SAMSUNG ELECTRONICS CO LTD 1.05%
BILHETES DO TESOURO 00.0000 05/18/2018 0.96%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.88%
DISH NETWORK CORP-A 0.87%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 01/07/2019 0.77%
GNMA GII30 TBA 04.5000 01/01/2048 0.68%
FNMA FN30 TBA 04.0000 02/01/2048 0.56%
BUONI ORDINARI DEL TES 00.0000 03/29/2018 0.55%
CERT DI CREDITO DEL TES 00.0000 03/28/2018 0.55%
CGPUTQL2 R US0003M P 11/27/18 CI 0.54%
SKANDINAVISKA ENSKILDA BANKEN 01.5300 02/13/2018 0.51%
BAML MLCXP2KS 3X BOFA 144A WARRANT 10/11/2018 0.48%
TENCENT HOLDINGS LTD 0.48%
CITI COMMODITIES F3 VS F0 - 4X NOTE 5/29/2018 0.47%
CHINA CONSTRUCTION BANK-H 0.44%
IND & COMM BK OF CHINA-H 0.41%
S&P GSCI TOTAL RETURN INDEX 3X NOTE 11/5/2018 -DB 0.37%
HON HAI PRECISION INDUSTRY 0.35%
FNMA FN30 TBA 03.5000 01/01/2048 0.33%
TAIWAN SEMICONDUCTOR-SP ADR 0.29%
INDUSTRIAL BANK OF KOREA 0.28%
YY INC-ADR 0.28%
PTT GLOBAL CHEMICAL PCL-FOR 0.27%
TENAGA NASIONAL BHD 0.27%
DBCT15LP R USL3M P 03/07/18 DE 0.26%
SMILES FIDELIDADE SA 0.26%
ALIBABA GROUP HOLDING-SP ADR 0.25%
OLD MUTUAL PLC 0.25%
TELEKOMUNIKASI INDONESIA PER 0.25%
AGRICULTURAL BANK OF CHINA-H 0.24%
FNMA FN30 TBA 05.5000 01/01/2048 0.24%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.23%
CIA SANEAMENTO BASICO DE SP 0.23%
SIAM CEMENT PUB CO-FOR REG 0.23%
SK TELECOM 0.23%
GNMA GII30 TBA 04.0000 01/01/2048 0.22%
QUALICORP SA 0.21%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.20%
FHS 315 PO PO 00.0000 09/15/2043 0.20%
JO-ANN STORES TL L+500 06.5507 10/21/2023 0.20%
LOTTE CHEMICAL CORP 0.20%
PTT PCL/FOREIGN 0.20%
SK INNOVATION CO LTD 0.20%
AES CORP/VA 05.5000 04/15/2025 0.19%
CHINA RAILWAY GROUP LTD-H 0.19%
SK HYNIX INC 0.19%
UNITED TRACTORS TBK PT 0.19%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.18%
REVLON CONS TLB L+350 05.0690 09/07/2023 0.18%
ANHUI CONCH CEMENT CO LTD-H 0.17%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.17%
BANK OF COMMUNICATIONS - H 0.17%
PPDI TL L+275 04.3849 08/18/2022 0.17%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.17%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.16%
CHINA HUARONG ASSET 0.16%
CHINA STATE CONSTRUCTION -A 144A REGS WARRANT 01/22/2018 0.16%
DISH DBS CORP 04.2500 04/01/2018 0.16%
GENTING BHD 0.16%
LG UPLUS CORP 0.16%
CHAILEASE HOLDING CO LTD 0.15%
INFOR US INC 06.5000 05/15/2022 0.15%
PEOPLES INSURANCE CO 0.15%
SINOPEC SHANGHAI PETROCHEM-H 0.15%
ACADEMY SPORTS TLB L+400 05.5463 07/02/2022 0.14%
BANK OF CHINA LTD-H 0.14%
CAS 2016-C02 1B 13.8021 09/25/2028 0.14%
CHINA CINDA ASSET MANAGEME-H 0.14%
CHINA RAILWAY CONSTRUCTION-H 0.14%
CHINA SHENHUA ENERGY CO-H 0.14%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.14%
HANWHA CORPORATION 0.14%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.14%
SAPPI LIMITED 0.14%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.13%
FHR 3852 NT 04.5230 05/15/2041 0.13%
INDOFOOD SUKSES MAKMUR TBK P 0.13%
KOC HLDG 0.13%
MONDI LTD 0.13%
RADIANT OPTO-ELECTRONICS COR 0.13%
SCIENTIFIC GAMES TLB4 L+325 04.7035 08/14/2024 0.13%
TURKIYE GARANTI BANKASI 0.13%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.13%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.12%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.12%
CHANGYOU.COM LTD-ADR 0.12%
CIA DE TRANSMISSAO DE ENE-PF 0.12%
DONGFENG MOTOR GRP CO LTD-H 0.12%
FORD OTOMOTIV 0.12%
GOLDEN NUGGET INC TLB L+325 04.7703 10/04/2023 0.12%
GUANGZHOU R&F PROPERTIES - H 0.12%
ICAHN ENTER/FIN 04.8750 03/15/2019 0.12%
ISBANK-C 0.12%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.12%
STACR 2016-DNA1 B 11.5521 07/25/2028 0.12%
UNIVISION TLC5 L+275 04.3190 03/15/2024 0.12%
AMAYA GAMING TLB L+350 05.1934 08/01/2021 0.11%
CAS 2016-C01 1B 13.3021 08/25/2028 0.11%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.11%
FIRST DATA TL L+225 03.8021 04/26/2024 0.11%
IMPERIAL HOLDINGS LTD 0.11%
NEIMAN MARCUS TL L+325 04.6418 10/25/2020 0.11%
NRG ENERGY INC 07.2500 05/15/2026 0.11%
PEGATRON CORP 0.11%
POU CHEN 0.11%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.11%
SABRE GLBL TLB L+225 03.8190 02/22/2024 0.11%
SHINHAN FINANCIAL GROUP LTD 0.11%
SPST 2017-LD1 A 02.3521 11/25/2050 0.11%
UFC 1STL L+325 04.8100 08/18/2023 0.11%
ACER INC 0.10%
BF0101 03.5000 06/01/2056 0.10%
CHONGQING RURAL COMMERCIAL-H 0.10%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.10%
DYNEGY TLC L+275 04.2511 02/07/2024 0.10%
GNR 2015-H20 CI IO 02.2033 08/20/2065 0.10%
HUB INTL TLB L+300 04.4129 10/02/2020 0.10%
ICAHN ENTERPRISES/FI P/P 144A 06.2500 02/01/2022 0.10%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.10%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.10%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.10%
SYNIVERSE HLDG TLB L+300 04.2500 04/23/2019 0.10%
VERTIV TLB L+400 05.3498 11/30/2023 0.10%
AIRASIA BHD 0.09%
ASURION TLB4 L+275 04.3190 08/04/2022 0.09%
CAS 2015-C04 1M2 07.2521 04/25/2028 0.09%
CGCMT 2013-GC11 E P/P 144A 04.4200 04/10/2046 0.09%
CPFL ENERGIA SA 0.09%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.09%
GNR 2016-H02 BI IO 02.0217 11/20/2065 0.09%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.09%
JPMBB 2014-C18 D P/P 144A 04.8136 02/15/2047 0.09%
MISC BHD 0.09%
PRESIDENT CHAIN STORE CORP 0.09%
WELBILT TLB L+300 03.9811 03/03/2023 0.09%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.09%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.08%
CHINA LESSO GROUP HOLDINGS L 0.08%
CITYCENTER TLB L+250 04.0690 04/18/2024 0.08%
GNR 2015-H25 BI IO 02.0896 10/20/2065 0.08%
HENGAN INTL GROUP CO LTD 0.08%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.08%
TRANSDIGM TLF L+275 04.3613 06/09/2023 0.08%
TRIBUNE MEDIA TLB L+300 04.5690 01/27/2024 0.08%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.08%
YUANTA FINANCIAL HOLDING CO 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
CEMEX SAB DE CV P/P 144A 06.1092 10/15/2018 0.07%
CHINA TELECOM CORP LTD-H 0.07%
FHLMC FH30G V80357 03.5000 08/01/2043 0.07%
FNMA FN30 AL6919 05.5000 01/01/2038 0.07%
FNMA FN30 AU1625 03.5000 07/01/2043 0.07%
GNR 2015-H09 BI IO 01.6918 03/20/2065 0.07%
GNR 2015-H19 NI IO 01.9107 07/20/2065 0.07%
GNR 2015-H22 GI IO 02.5693 09/20/2065 0.07%
GNR 2015-H24 HI IO 02.0310 09/20/2065 0.07%
GNR 2015-H25 AI IO 01.6145 09/20/2065 0.07%
GNR 2016-H03 AI IO 01.9366 01/20/2066 0.07%
GSMS 2013-GC10 E P/P 144A 04.4123 02/10/2046 0.07%
HCA INC 06.5000 02/15/2020 0.07%
INFOR TLB6 L+275 03.7500 02/01/2022 0.07%
REP OF INDONESIA P/P 144A 05.2500 01/17/2042 0.07%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.07%
TALBOTS INC 1STL L+450 06.0690 03/19/2020 0.07%
TRAVELPORT TLB L+275 04.1659 09/02/2021 0.07%
BACM 2008-1 C P/P 144A 06.1838 02/10/2051 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.06%
DIAMOND RESORTS TLB L+450 06.0690 09/02/2023 0.06%
FHLMC FH30G V80012 03.0000 03/01/2043 0.06%
GNR 2011-H08 GI IO 01.2612 03/20/2061 0.06%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.06%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.06%
GNR 2014-H21 AI IO 01.8106 10/20/2064 0.06%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.06%
GNR 2015-H10 CI IO 01.8076 04/20/2065 0.06%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.06%
GNR 2016-150 I IO 05.0000 11/20/2046 0.06%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.06%
JPMBB 2013-C12 E P/P 144A 04.0912 07/15/2045 0.06%
JPMBB 2013-C14 E P/P 144A 04.5688 08/15/2046 0.06%
MSBAM 2013-C11 F P/P 144A 04.3690 08/15/2046 0.06%
ORTHO-CLINICAL TLB L+375 05.4434 06/30/2021 0.06%
SAMI 2007-AR1 2A1 01.7321 01/25/2037 0.06%
TRIPOD TECHNOLOGY CORP 0.06%
UBSBB 2012-C2 F P/P 144A 04.8942 05/10/2063 0.06%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.06%
WFRBS 2013-C15 D P/P 144A 04.4811 08/15/2046 0.06%
BCAP 2012-RR5 4A8 01.4975 06/26/2035 0.05%
BSCMS 2007-T26 AJ 05.5355 01/12/2045 0.05%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.05%
CHINA MOBILE LTD 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.05%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.05%
FHR 4568 MI IO 04.0000 04/15/2046 0.05%
FNR 2011-4 CS 09.7957 05/25/2040 0.05%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.05%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.05%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.05%
GNR 2015-H09 AI IO 01.9456 04/20/2065 0.05%
GNR 2015-H16 XI IO 02.2281 07/20/2065 0.05%
GNR 2015-H24 BI IO 01.6128 08/20/2065 0.05%
GNR 2015-H25 EI IO 01.8419 10/20/2065 0.05%
GNR 2015-H26 GI IO 01.7934 10/20/2065 0.05%
GNR 2016-H04 KI IO 01.7303 02/20/2066 0.05%
GNR 2016-H08 GI IO 01.4319 04/20/2066 0.05%
GNR 2017-H11 NI IO 02.1966 05/20/2067 0.05%
GSMS 2013-GC16 D P/P 144A 05.3271 11/10/2046 0.05%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.05%
MSBAM 2013-C11 E P/P 144A 04.3690 08/15/2046 0.05%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.05%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.05%
REYNOLDS GROUP TL L+300 04.3190 02/05/2023 0.05%
SPST 2017-1 A 02.4521 02/25/2049 0.05%
TALBOTS INC 2NDL L+850 10.0690 03/19/2021 0.05%
THAI OIL PCL-FOREIGN 0.05%
TRANSDIGM TLE L+283 04.1774 05/14/2022 0.05%
VNESHECONOMBANK P/P 144A 05.9420 11/21/2023 0.05%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.05%
2.45 R ISWP FWD US0003M P 03/21/2028 0.04%
AIR MEDICAL TLB L+350 04.9434 04/28/2022 0.04%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.04%
ARAB REPUBLIC OF EGYPT REGS 08.5000 01/31/2047 0.04%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.04%
ASURION 2NDL L+600 07.3000 08/04/2025 0.04%
AVAYA HOLDINGS CORP 0.04%
BANCO SANTANDER BRASIL-UNIT 0.04%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.04%
CAS 2015-C03 2M2 06.5521 07/25/2025 0.04%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.04%
CHUCK E CHEESE'S TLB L+325 04.8190 02/14/2021 0.04%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.04%
CPG INTL TL L+375 05.0828 05/05/2024 0.04%
FHR 4389 IA IO 04.0000 09/15/2044 0.04%
FHR 4501 BI IO 03.5000 10/15/2043 0.04%
FHR 4530 HI IO 04.0000 11/15/2045 0.04%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.04%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.04%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.04%
GNR 2015-H14 BI IO 01.5833 05/20/2065 0.04%
GNR 2015-H26 EI IO 01.7177 10/20/2065 0.04%
MERCER INTL INC USD 07.7500 12/01/2022 0.04%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.04%
PROVINCIA DE BUENOS P/P 144A 26.9550 05/31/2022 0.04%
RALI 2006-QO10 A1 01.7121 01/25/2037 0.04%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.04%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.04%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.04%
SPY 20181221 P 235.00JPMCB 0.04%
USD/MXN CALL 21.50 20180531 BCAP-FX 0.04%
WBCMT 2005-C21 E P/P 144A 05.2911 10/15/2044 0.04%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.04%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.04%
AMER ENERGY MARC 1STL L+425 05.7095 08/04/2020 0.03%
CHINA DONGXIANG GROUP CO 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
CWALT 2005-27 1A6 02.3721 08/25/2035 0.03%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.03%
FHR 4073 AS IO 04.5730 08/15/2038 0.03%
FHR 4158 TI IO 03.0000 12/15/2042 0.03%
FHR 4193 PI IO 04.0000 03/15/2043 0.03%
FHR 4355 DI IO 04.0000 03/15/2044 0.03%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.03%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.03%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.03%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.03%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.03%
GNR 2015-118 EI IO 03.5000 07/20/2039 0.03%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.03%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.03%
GNR 2015-H10 EI IO 01.6337 04/20/2065 0.03%
GNR 2016-H04 HI IO 02.3636 07/20/2065 0.03%
GNR 2016-H11 HI IO 02.0832 01/20/2066 0.03%
GNR 2017-132 IB IO 05.5000 09/20/2047 0.03%
GNR 2017-99 AI IO 04.0000 01/20/2047 0.03%
GNR 2017-H02 BI IO 02.3626 01/20/2067 0.03%
GRUMA S.A.B.-B 0.03%
GUANGZHOU BAIYUNSHAN PHARM-H 0.03%
HAIER ELECTRONICS GROUP CO 0.03%
HYUNDAI MARINE 0.03%
JPMCC 2012-C6 F P/P 144A 05.1358 05/15/2045 0.03%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.03%
NASPERS LTD-N SHS 0.03%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.03%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.03%
SPY 20181019 P 225.00BANKAM 0.03%
SPY 20181116 P 225.00JPMCB 0.03%
TAIWAN DOLLAR CALL ACCOUNT 0.03%
TURKIYE HALK BANKASI 0.03%
VANTAGE DRILLING INT-UNIT 0.03%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.03%
WFMBS 2006-AR6 7A2 03.6333 03/25/2036 0.03%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.03%
WFRBS 2011-C4 E P/P 144A 05.2468 06/15/2044 0.03%
WFRBS 2012-C10 E P/P 144A 04.4476 12/15/2045 0.03%
1.40 R ISWP FWD NOKOIB6M P 03/21/2023 0.02%
2.40 R ISWP FWD AUDBB6M P 03/21/2023 0.02%
AEROFLOT PJSC 0.02%
BALTA 2004-3 B 04.4771 04/25/2034 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
DOMINICAN REPUBLIC P/P 144A 05.9500 01/25/2027 0.02%
FHR 3747 SA IO 05.0230 10/15/2040 0.02%
FHR 4097 PI IO 03.5000 11/15/2040 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4136 IW IO 03.5000 10/15/2042 0.02%
FHR 4150 DI IO 03.0000 01/15/2043 0.02%
FHR 4206 IP IO 03.0000 12/15/2041 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.02%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.02%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.02%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.02%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.02%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.02%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.02%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.02%
GNR 2013-6 AI IO 03.5000 08/20/2039 0.02%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.02%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.02%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.02%
GNR 2015-124 NI IO 03.5000 06/20/2039 0.02%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.02%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.02%
GNR 2015-H18 IA IO 01.8250 06/20/2065 0.02%
GNR 2015-H26 CI IO 00.6165 08/20/2065 0.02%
GNR 2016-H16 DI IO 02.2592 06/20/2066 0.02%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.02%
KB FINANCIAL GROUP INC 0.02%
MHL 2004-1 M2 02.5571 11/25/2034 0.02%
SAMI 2007-AR7 1A1 02.4021 05/25/2047 0.02%
SPY 20180921 P 215.00JPMCB 0.02%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.02%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.02%
TRANSNEFT PJSC 0.02%
VALEANT PHARMA TLB1 L+350 04.7635 04/01/2022 0.02%
WBCMT 2006-C26 AJ 06.0270 06/15/2045 0.02%
WFCM 2013-LC12 D P/P 144A 04.2910 07/15/2046 0.02%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.02%
-0.15 R ISWP FWD CHL6M P 03/21/2023 0.01%
2.10 R ISWP FWD US0003M P 03/21/2020 0.01%
2.25 R ISWP FWD US0003M P 03/21/2023 0.01%
AUD/USD 01/17/2018 UBS 0.01%
BACM 2005-1 C 05.5044 11/10/2042 0.01%
BACM 2005-3 AJ 04.7670 07/10/2043 0.01%
BANK NEGARA INDONESIA PERSER 0.01%
BSCMS 2006-PW11 C P/P 144A 05.2790 03/11/2039 0.01%
CAD/USD 01/17/2018 JPMCB 0.01%
CAESARS ENTERTAINMENT CORP 0.01%
CAS 2015-C01 2M2 06.1021 02/25/2025 0.01%
CAS 2015-C02 1M2 05.5521 05/25/2025 0.01%
CAS 2015-C02 2M2 05.5521 05/25/2025 0.01%
CAS 2017-C02 2M2 05.2021 09/25/2029 0.01%
CAS 2017-C05 1B1 05.1521 01/25/2030 0.01%
CAS 2017-C06 2M2 04.3521 02/25/2030 0.01%
CERN US P R 07/05/22 CI 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CSFB 2005-C3 B 04.8820 07/15/2037 0.01%
EUR/USD 03/21/2018 SSBT 0.01%
FHR 2990 LB 13.1705 06/15/2034 0.01%
FHR 4183 MI IO 03.0000 02/15/2042 0.01%
FHR 4213 GI IO 04.0000 11/15/2041 0.01%
FNR 2005-74 NK 19.7394 05/25/2035 0.01%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.01%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.01%
GE US P R 07/05/22 CI 0.01%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.01%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-129 SN IO 04.6489 09/20/2043 0.01%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.01%
GNR 2013-37 LI IO 03.5000 01/20/2042 0.01%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.01%
GNR 2013-99 VS IO 04.6092 07/16/2043 0.01%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.01%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.01%
GSMS 2006-GG8 X IO P/P 144A 00.8660 11/10/2039 0.01%
GSVIVV69 R 0.3 P 12/15/20 GS 0.01%
ITAUSA-INVESTIMENTOS ITAU-PR 0.01%
JPMCC 2006-LDP7 B 05.9459 04/17/2045 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.01%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.01%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.01%
OSIS US P R 07/05/22 CI 0.01%
Q US P R 07/05/22 CI 0.01%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.01%
SEK/USD 03/21/2018 BANKAM 0.01%
SPY 20180720 P 215.00CITI 0.01%
SPY 20180817 P 215.00CITI 0.01%
TRIBUNE MEDIA TLB L+300 04.5690 12/27/2020 0.01%
0.25 R ISWP FWD CHL6M P 03/21/2028 0.00%
0.40 R ISWP FWD SES3M P 03/21/2023 0.00%
1.10 R ISWP FWD GBL6M P 03/21/2023 0.00%
1.35 R ISWP FWD GBL6M P 03/21/2028 0.00%
2.30 R ISWP FWD CDOR03 P 03/21/2028 0.00%
2.30 R ISWP FWD US0003M P 03/21/2023 0.00%
2.40 R ISWP FWD US0003M P 03/21/2028 0.00%
2.4685 R ISWP US0003M P 12/27/2027 0.00%
2.48 R ISWP FWD US0003M P 02/26/2028 0.00%
2.48875 R ISWP FWD US0003M P 01/30/2028 0.00%
2.55 R ISWP FWD US0003M P 03/21/2048 0.00%
2.70 R ISWP FWD NFIX3MID P 03/21/2023 0.00%
2.75 R ISWP FWD AUDBB6M P 03/21/2028 0.00%
3.20 R ISWP FWD NFIX3MID P 03/21/2028 0.00%
ACIW US P R 07/05/22 CI 0.00%
AUD/USD 01/17/2018 BCAP-FX 0.00%
AUD/USD 01/17/2018 GSFX 0.00%
AUD/USD 01/17/2018 JPMCB 0.00%
AUD/USD 01/17/2018 RBSF 0.00%
BACM 2004-4 XC IO P/P 144A 00.0510 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4115 01/15/2049 0.00%
BGS US P R 07/05/22 CI 0.00%
BRL/USD 01/03/2018 CITI 0.00%
BRL/USD 04/03/2018 GSFX 0.00%
CAC40 10 EURO FUT JAN18 CFF8 0.00%
CAD/USD 01/17/2018 BCAP-FX 0.00%
CAD/USD 01/17/2018 GSFX 0.00%
CAD/USD 01/17/2018 SSBT 0.00%
CAD/USD 01/17/2018 UBS 0.00%
CANADIAN DOLLAR ACCOUNT 0.00%
CAS 2015-C04 2M2 07.1021 04/25/2028 0.00%
CAS 2016-C06 1M2 05.8021 04/25/2029 0.00%
CGCMT 2006-C4 B 06.1884 03/15/2049 0.00%
CHF/USD 03/21/2018 BCAP-FX 0.00%
CHF/USD 03/21/2018 JPMCB 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.0512 05/15/2038 0.00%
CSOD US P R 07/05/22 CI 0.00%
CTB US P R 07/05/22 CI 0.00%
DAX INDEX FUTURE MAR18 GXH8 0.00%
DBD US P R 07/05/22 CI 0.00%
DY US P R 07/05/22 CI 0.00%
EBIX US P R 07/05/22 CI 0.00%
EFII US P R 07/05/22 CI 0.00%
ENR US P R 07/05/22 CI 0.00%
EUR/USD 03/21/2018 CSI-FX 0.00%
EUR/USD 03/21/2018 HSBCB 0.00%
EUR/USD 03/21/2018 JPMCB 0.00%
EUR/USD 03/21/2018 RBSF 0.00%
EUR/USD 03/21/2018 UBS 0.00%
EVH US P R 07/05/22 CI 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FLIR US P R 07/05/22 CI 0.00%
FNS 397 2 IO 05.0000 09/25/2039 0.00%
FNW 1998-W2 X IO 00.3254 06/25/2028 0.00%
FNW 1998-W5 X IO 00.9110 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2762 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4559 11/15/2028 0.00%
FTSE 100 IDX FUT MAR18 Z H8 0.00%
GBP/USD 03/21/2018 BANKAM 0.00%
GBP/USD 03/21/2018 BCAP-FX 0.00%
GBP/USD 03/21/2018 CITI 0.00%
GBP/USD 03/21/2018 GSFX 0.00%
GBP/USD 03/21/2018 JPMCB 0.00%
GBP/USD 03/21/2018 SSBT 0.00%
GMED US P R 07/05/22 CI 0.00%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.00%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
GSVICUB3 R 0.45 P 12/15/20 GS 0.00%
GSVICUI3 R 0.45 P 12/15/20 GS 0.00%
GSVIVVOL R 0.3 P 12/15/20 GS 0.00%
HBI US P R 07/05/22 CI 0.00%
HLS US P R 07/05/22 CI 0.00%
ICLR US P R 07/05/22 CI 0.00%
INGN US P R 07/05/22 CI 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.14 P US0001M R 01/12/45 JP 0.00%
IOS.FN30.400.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
JAPANESE YEN CALL ACCOUNT 0.00%
JPY/USD 02/22/2018 BANKAM 0.00%
JPY/USD 02/22/2018 BCAP-FX 0.00%
JPY/USD 02/22/2018 CITI 0.00%
JPY/USD 02/22/2018 CSI-FX 0.00%
JPY/USD 02/22/2018 GSFX 0.00%
JPY/USD 02/22/2018 HSBCB 0.00%
JPY/USD 02/22/2018 JPMCB 0.00%
JPY/USD 02/22/2018 RBSF 0.00%
JPY/USD 02/22/2018 SSBT 0.00%
JPY/USD 02/22/2018 WPAC 0.00%
K US P R 07/05/22 CI 0.00%
LBUBS 2006-C6 D 05.5020 09/15/2039 0.00%
LBUBS 2007-C2 XW IO 00.2596 02/15/2040 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MDR US P R 07/05/22 CI 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0027 06/12/2043 0.00%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.00%
MXN/USD 01/17/2018 HSBCB 0.00%
NOK/USD 03/21/2018 BANKAM 0.00%
NOK/USD 03/21/2018 BCAP-FX 0.00%
NOK/USD 03/21/2018 CITI 0.00%
NOK/USD 03/21/2018 CSI-FX 0.00%
NOK/USD 03/21/2018 GSFX 0.00%
NOK/USD 03/21/2018 JPMCB 0.00%
NOK/USD 03/21/2018 SSBT 0.00%
NOK/USD 03/21/2018 UBS 0.00%
NTCT US P R 07/05/22 CI 0.00%
OLLI US P R 07/05/22 CI 0.00%
PAYC US P R 07/05/22 CI 0.00%
PCTY US P R 07/05/22 CI 0.00%
PDCO US P R 07/05/22 CI 0.00%
PEGA US P R 07/05/22 CI 0.00%
PLT US P R 07/05/22 CI 0.00%
PNFP US P R 07/05/22 CI 0.00%
PTC US P R 07/05/22 CI 0.00%
RUB/USD 03/21/2018 BANKAM 0.00%
S&P MID 400 EMINI MAR18 FAH8 0.00%
S&P500 EMINI FUT MAR18 ESH8 0.00%
SABR US P R 07/05/22 CI 0.00%
SEK/USD 03/21/2018 BCAP-FX 0.00%
SEK/USD 03/21/2018 CSI-FX 0.00%
SEK/USD 03/21/2018 SSBT 0.00%
SEK/USD 03/21/2018 UBS 0.00%
SMCI US P R 07/05/22 CI 0.00%
SNA US P R 07/05/22 CI 0.00%
SOUTH AFRICAN RAND CALL ACCOUNT 0.00%
SPI 200 FUTURES MAR18 XPH8 0.00%
SPY 20180131 C 274.00CITI 0.00%
SWISS FRANC CALL ACCOUNT 0.00%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 13WX10Y P 2.4115 USD 01/08/2018 JP 0.00%
SWPTN 13WX10Y R 2.3205 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y P 1.964 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y R 1.964 USD 01/08/2018 JP 0.00%
SWPTN 1MX10Y P 2.398 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y P 2.478 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y R 2.318 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y R 2.398 USD 01/11/2018 CI 0.00%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 2MX10Y P 2.412 USD 01/30/2018 CI 0.00%
SWPTN 2MX10Y P 2.526 USD 01/30/2018 CI 0.00%
SWPTN 2MX10Y P 2.675 USD 02/22/2018 CI 0.00%
SWPTN 2MX10Y R 2.28 USD 02/22/2018 CI 0.00%
SWPTN 2MX10Y R 2.298 USD 01/30/2018 CI 0.00%
SWPTN 2MX10Y R 2.412 USD 01/30/2018 CI 0.00%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP 0.00%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA 0.00%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP 0.00%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA 0.00%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.00%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI 0.00%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 3WX10Y P 2.428 USD 01/17/2018 CI 0.00%
SWPTN 3WX10Y P 2.493 USD 01/17/2018 CI 0.00%
SWPTN 3WX10Y R 2.363 USD 01/17/2018 CI 0.00%
SWPTN 3WX10Y R 2.428 USD 01/17/2018 CI 0.00%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.00%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.00%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.00%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.00%
SWPTN 5WX10Y P 2.42 USD 02/01/2018 MS 0.00%
SWPTN 5WX10Y P 2.5012 USD 02/01/2018 MS 0.00%
SWPTN 5WX10Y P 2.505 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y P 2.63625 USD 01/26/2018 CS 0.00%
SWPTN 5WX10Y R 2.205 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y R 2.33875 USD 01/26/2018 CS 0.00%
SWPTN 5WX10Y R 2.3388 USD 02/01/2018 MS 0.00%
SWPTN 5WX10Y R 2.42 USD 02/01/2018 MS 0.00%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS 0.00%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.00%
SWPTN 6WX10Y P 2.555 USD 12/29/2017 MS 0.00%
SWPTN 6WX10Y R 2.165 USD 12/29/2017 MS 0.00%
SWPTN 7WX10Y R 2.218 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.2875 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.357 USD 01/12/2018 GS 0.00%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.00%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.00%
SWPTN 8WX10Y P 2.68675 USD 01/26/2018 GS 0.00%
SWPTN 8WX10Y R 2.10125 USD 01/26/2018 GS 0.00%
TGI US P R 07/05/22 CI 0.00%
THE EURO EUR CALL ACCOUNT 0.00%
TOPIX INDX FUTR MAR18 TPH8 0.00%
TSLA US P R 07/05/22 CI 0.00%
TURKISH LIRA-NEW CALL ACCOUNT 0.00%
TXU TCEH RIGHTS 0.00%
UA US P R 07/05/22 CI 0.00%
US 10YR NOTE (CBT)MAR18 TYH8 0.00%
US 10YR ULTRA FUT MAR18 UXYH8 0.00%
US 2YR NOTE (CBT) MAR18 TUH8 0.00%
US 5YR NOTE (CBT) MAR18 FVH8 0.00%
US LONG BOND(CBT) MAR18 USH8 0.00%
US ULTRA BOND CBT MAR18 WNH8 0.00%
USD/JPY PUT 103.00 20180109 JPMCB 0.00%
USD/JPY PUT 107.00 20180109 JPMCB 0.00%
VAR US P R 07/05/22 CI 0.00%
VICI PROP 1 / VICI FC 08.0000 10/15/2023 0.00%
VRNS US P R 07/05/22 CI 0.00%
VRX US P R 07/05/22 CI 0.00%
WBCMT 2006-C29 IO IO 00.2005 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.1708 04/15/2047 0.00%
WST US P R 07/05/22 CI 0.00%
0.25 R ISWP FWD EUR006M P 03/21/2023 -0.01%
1.90 R ISWP FWD NOKOIB6M P 03/21/2028 -0.01%
AUD/USD 01/17/2018 SSBT -0.01%
BRL/USD 04/03/2018 CITI -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
EUR/USD 03/21/2018 BCAP-FX -0.01%
FLR USL3M 6.00 03/07/2018 JP -0.01%
HUBS US P R 07/05/22 CI -0.01%
JPY/USD 02/22/2018 UBS -0.01%
KBR US P R 07/05/22 CI -0.01%
NTGR US P R 07/05/22 CI -0.01%
NZD/USD 01/17/2018 CITI -0.01%
NZD/USD 01/17/2018 GSFX -0.01%
NZD/USD 01/17/2018 JPMCB -0.01%
NZD/USD 01/17/2018 RBSF -0.01%
NZD/USD 01/17/2018 UBS -0.01%
SEK/USD 03/21/2018 GSFX -0.01%
SEK/USD 03/21/2018 JPMCB -0.01%
SEK/USD 03/21/2018 RBSF -0.01%
SIG US P R 07/05/22 CI -0.01%
TPR US P R 07/05/22 CI -0.01%
UBNT US P R 07/05/22 CI -0.01%
ULTI US P R 07/05/22 CI -0.01%
1.15 R ISWP FWD SES3M P 03/21/2028 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
EUR/USD 03/21/2018 BANKAM -0.02%
EUR/USD 03/21/2018 GSFX -0.02%
MYL US P R 07/05/22 CI -0.02%
NKE US P R 07/05/22 CI -0.02%
NZD/USD 01/17/2018 SSBT -0.02%
2.10 R ISWP FWD CDOR03 P 03/21/2023 -0.03%
ESRX US P R 07/05/22 CI -0.03%
USD/MXN CALL 22.00 20180531 BCAP-FX -0.03%
XPO US P R 07/05/22 CI -0.03%
BURL US P R 07/05/22 CI -0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.05%
0.85 R ISWP FWD EUR006M P 03/21/2028 -0.06%
JPCMPTSH P US0001M R 12/12/18 JP -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.08%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.08%
GSCBPUR1 R US0001M P 12/15/20 GS -0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.11%
DBCT15SP P USL3M R 03/07/18 DE -0.14%
FHLMC FH30G TBA 04.5000 01/01/2048 -0.23%
RU10INTR P US0003M R 07/26/18 CS -0.25%
RU10INTR P US0003M R 11/27/18 CI -0.30%
FNMA FN30 TBA 04.5000 01/01/2048 -0.34%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.45%
NDUEEGF P US0001M R 12/12/18 GS -0.58%
FNMA FN30 TBA 03.0000 01/01/2048 -1.07%
RU10INTR P US0003M R 11/16/18 BA -1.23%
NDUEEGF P US0003M R 09/20/18 CI -1.48%
NDUEEGF P USL3M R 03/19/18 CI -2.46%
NDUEEGF P US0001M R 08/21/18 UB -10.07%
GSGLPWDS P US0001M R 12/15/20 GS -19.32%

Prior top 10 holdings

Top 10 holdings as of 01/31/18
Net cash
Fnma Fn30 Tba 03.5000 03/01/2048
Utilities Select Sector Spdr Sedol 2371812
Djubs Long F3 - Short Djubs F0 3x 144a Note 2/28/2019
S&P Gsci Total Return Index 3x 144a Note 12/10/2018
Fnma Fn30 Tba 02.5000 03/01/2048
Ishares Msci India Etf
Consumer Discretionary Selt Sedol 2424341
Technology Select Sect Spdr Sedol 2369709
Health Care Select Sector Sedol 2371823
Holdings represent 70.38% of portfolio
Top 10 holdings as of 12/31/17
Net cash
Fnma Fn30 Tba 03.5000 02/01/2048
Utilities Select Sector Spdr Sedol 2371812
Djubs Long F3 - Short Djubs 3x 144a Note 01/29/2018
Fnma Fn30 Tba 02.5000 01/01/2048
S&P Gsci Total Return Index 3x 144a Note 12/10/2018
Ishares Msci India Etf
Consumer Discretionary Selt Sedol 2424341
Technology Select Sect Spdr Sedol 2369709
Health Care Select Sector Sedol 2371823
Holdings represent 68.95% of portfolio
Top 10 holdings as of 11/30/17
Net cash
Fnma Fn30 Tba 03.5000 01/01/2048
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 01/01/2048
S&P Gsci Total Return Index 3x 144a Note 12/10/2018
Ishares Msci India Etf
Financial Select Sector Spdr Sedol 2364038
Technology Select Sect Spdr Sedol 2369709
Consumer Discretionary Selt Sedol 2424341
Health Care Select Sector Sedol 2371823
Holdings represent 71.19% of portfolio
Top 10 holdings as of 10/31/17
Net cash
Fnma Fn30 Tba 03.5000 12/01/2047
S&P Gsci Total Return Index 3x Note 11/5/2018
Utilities Select Sector Spdr Sedol 2371812
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 11/01/2047
S&P Gsci 3x 144a Note 10/11/2018
Ishares Msci India Etf
Financial Select Sector Spdr Sedol 2364038
Technology Select Sect Spdr Sedol 2369709
Holdings represent 70.80% of portfolio

Portfolio composition as of 01/31/18

Net cash 54.44%
U.S. stocks 25.00%
U.S. Treasury/agency 16.41%
Commodities 10.72%
Commercial MBS 5.89%
Agency pass-through 5.57%
Agency CMO 4.15%
Bank loans 3.50%
International stocks 2.69%
Emerging-market bonds 1.41%
International Treasury/agency 1.00%
Residential MBS (non-agency) 0.83%
Investment-grade corporate bonds 0.34%
Asset-backed securities (ABS) 0.16%
Emerging-market stocks -0.05%
High-yield corporate bonds -3.43%

Fixed income statistics as of 01/31/18

Average effective maturity 2.69 yrs.
Average effective duration 2.45 yrs.
Average price $94.59

Maturity detail as of 01/31/18

0 - 1 yr. 80.84%
1 - 5 yrs. -1.79%
5 - 10 yrs. 20.47%
10 - 15 yrs. 0.10%
Over 15 yrs. 0.38%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of stocks and bonds in the fund's portfolio may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

The Absolute Return funds are not intended to outperform stocks and bonds during strong market rallies.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 1.10% 1.85% 1.85% 1.60% 1.35% 0.77% 0.85%
What you pay† 1.07% 1.82% 1.82% 1.57% 1.32% 0.74% 0.82%

† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 02/28/18

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 5.75% 0.00% 0.00% 3.50% -- -- --
$50,000-$99,999 4.50% 0.00% 0.00% 2.50% -- -- --
$100,000-$249,999 3.50% -- 0.00% 1.50% -- -- --
$250,000-$499,999 2.50% -- 0.00% 1.00% -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R6 Class Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- -- --
9 to 12 mts. 0.00% 5.00% 1.00% -- -- -- --
2 yrs. -- 4.00% 0.00% -- -- -- --
3 yrs. -- 3.00% 0.00% -- -- -- --
4 yrs. -- 3.00% 0.00% -- -- -- --
5 yrs. -- 2.00% 0.00% -- -- -- --
6 yrs. -- 1.00% 0.00% -- -- -- --
7+ yrs. -- 0.00% 0.00% -- -- -- --

The ICE BofAML U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. You cannot invest directly in an index.

Each fund seeks to earn a positive total return that exceeds the rate of inflation by a targeted amount over a reasonable period of time regardless of market conditions. There can be no assurance that a fund will meet its objective. The fund is not intended to outperform stocks and bonds during strong market rallies. Consult your financial advisor to determine which fund fits into your investment goals and time horizon.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of stocks and bonds in the fund's portfolio may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

The Absolute Return funds are not intended to outperform stocks and bonds during strong market rallies.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.