Prior to April 30, 2018, the fund was known as Putnam Absolute Return 700 Fund.

Always Vigilant. Always Active.

Multi-Asset Absolute Return Fund (Class M)  (PDMMX)

Seeks positive returns with a similar level of volatility

Highlights

Objective

The fund seeks positive total return.

Strategy and process

  • Targeting positive returns:The fund seeks positive returns with a similar level of volatility over a full market cycle.
  • Global flexibility:The strategy dynamically combines efficient beta and uncorrelated alpha strategies to create a well-diversified portfolio.
  • Diversification potential:Less influenced by traditional market risks, the fund can be an effective choice to improve portfolio efficiency.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $11.11
0.18% | $0.02
$11.79
05/30/18
$10.31
12/24/18
Historical fund price

Fund facts as of 04/30/19

Total net assets
$1,215.33M
Turnover (fiscal year end)
479%
Dividend frequency
Annually
Number of holdings
768
Fiscal year-end
October
CUSIP / Fund code
746764273 / 0661
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PDMMX

Management team

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


Literature


Market volatility returns to "old" normal
Our outlook for stock market volatility sees the levels reached in 2018 continuing, in part because these levels were close to the long-term norm.
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.

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.

5.94%

Best 5-year annualized return

(for period ending 03/31/14)


0.78%

Worst 5-year annualized return

(for period ending 12/31/18)


3.50%

Average 5-year annualized return


  • Total return (%) as of 03/31/19

  • Annual performance as of 03/31/19

Annualized Total return (%) as of 03/31/19

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge -1.83% 2.35% 1.46% 3.68%
After sales charge -5.27% 1.14% 0.74% 3.31%
ICE BofAML U.S. Treasury Bill Index 2.17%1.19%0.76%0.46%

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. 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 Multi-Asset Absolute Return Fund, 4.00% and 3.25% for income funds and 2.25% and 0.75% for Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return 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, which is 3% in the first year, declining to 1% in the fourth 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, N, R, 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). Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. 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 and M shares of Putnam money market funds have no initial sales charge. For a portion of the periods, some funds had expense 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 04/30/19 0.27% -3.24%
YTD as of 05/24/19 6.01% 2.30%

Morningstar Ratings as of 04/30/19

Time period Funds in category Morningstar Rating
Overall 278
3 yrs. 278
5 yrs. 180
10 yrs. 63
Morningstar category: Multialternative

Distributions

Record/Ex dividend date 12/18/18
Payable date 12/20/18
Income $0.33
Extra income --
Short-term cap. gain --
Long-term cap. gain --

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 04/30/19

Net cash 37.64%
Umbs Fn30 Tba 03.5000 06/01/2049 6.55%
Umbs Fn30 Tba 04.0000 06/01/2049 4.13%
Utilities Select Sector Spdr Sedol 2371812 3.15%
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019 1.66%
Technology Select Sect Spdr Sedol 2369709 1.65%
Real Estate Select Sect Spdr Sedol Byz65y9 1.60%
Industrial Select Sect Spdr Sedol 2502139 1.57%
Energy Select Sector Spdr Sedol 2402466 1.56%
Samsung Electronics 1.43%
Top 10 holdings, percent of portfolio 60.94%

Full portfolio holdings as of 03/31/19

CGPUTQL2 R US0003M P 11/26/19 CI 41.89%
MLFCF15 R US0003M P 03/30/20 BA 40.42%
GSGLPWDL R US0001M P 12/15/20 GS 37.65%
US 10YR NOTE (CBT)JUN19 TYM9 34.60%
GSGLPW2L R US0001M P 12/15/20 GS 34.12%
S&P MID 400 EMINI JUN19 FAM9 14.20%
FNMA FN30 TBA 03.5000 04/01/2049 6.23%
FNMA FN30 TBA 04.0000 04/01/2049 4.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 3.58%
XLE US R US0001M P 03/25/20 JP 3.28%
CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 8/27/19 2.81%
CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 12/26/2019 2.34%
BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 12/12/2019 1.63%
REAL ESTATE SELECT SECT SPDR 1.58%
COMM SERV SELECT SECTOR SPDR 1.54%
UTILITIES SELECT SECTOR SPDR 1.54%
ENERGY SELECT SECTOR SPDR 1.53%
HEALTH CARE SELECT SECTOR SPDR 1.51%
INDUSTRIAL SELECT SECT SPDR 1.49%
SAMSUNG ELECTRONICS CO LTD 1.42%
GNMA GII30 TBA 04.5000 04/01/2049 1.26%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X144A NOTE 1.24%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 1.21%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 1.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML 1.06%
TENCENT HOLDINGS LTD 0.88%
S&P GSCI TOTAL RETURN INDEX 3X NOTE 12/5/2019 0.82%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.79%
ALIBABA GROUP HOLDING-SP ADR 0.72%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.64%
CHINA MOBILE LTD 0.61%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.61%
IND & COMM BK OF CHINA-H 0.61%
TAIWAN SEMICONDUCTOR-SP ADR 0.57%
SK HYNIX INC 0.54%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.53%
PING AN INSURANCE GROUP CO-H 0.51%
TATA CONSULTANCY SVS LTD 0.49%
ANHUI CONCH CEMENT CO LTD-H 0.47%
WALMART DE MEXICO SAB DE CV 0.46%
INFOSYS LTD 0.45%
GREE ELECTRIC 144A/REGS WARRANT 08/29/2019 0.44%
CHINA PETROLEUM & CHEMICAL-H 0.43%
PTT PCL/FOREIGN 0.43%
GNMA GII30 TBA 04.0000 04/01/2049 0.42%
BANCO DO BRASIL S.A. 0.41%
HCL TECHNOLOGIES LTD 0.41%
ECOPETROL SA-SPONSORED ADR 0.38%
EVRAZ PLC 0.38%
TECH MAHINDRA LTD 0.38%
BANK OF SHANGHAI 144A REGS WARRANT 12/12/2019 0.37%
SPST 2018-1 A 03.3811 04/24/2019 0.37%
GUANGZHOU AUTOMOBILE GROUP-H 0.36%
SK TELECOM 0.36%
SPST 2018-5 A 03.1811 09/24/2019 0.36%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.35%
BANCO ITAU HOLDING PFD 0.34%
LG UPLUS CORP 0.34%
PTT GLOBAL CHEMICAL PCL-FOR 0.34%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.32%
BANK OF COMMUNICATIONS - H 0.31%
GRUPO FINANCIERO BANORTE-O 0.31%
IRB BRASIL RESSEGUROS SA 0.31%
JO-ANN STORES TL L+500 07.7610 10/16/2023 0.31%
RADIANT OPTO-ELECTRONICS COR 0.31%
S&P GSCI TOTAL RETURN 3X 144A NOTE 01/27/2020 0.31%
SPST 2018-3 A 03.1811 07/24/2019 0.31%
AES CORP/THE 05.5000 04/15/2025 0.30%
FORMOSA PLASTICS CORP 0.30%
NRG ENERGY INC 07.2500 05/15/2026 0.30%
CATCHER TECHNOLOGY CO LTD 0.29%
FORMOSA CHEMICALS & FIBRE 0.29%
CIA SANEAMENTO BASICO DE SP 0.28%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.28%
COUNTRY GARDEN HOLDINGS CO 0.28%
INFOR US INC 06.5000 05/15/2022 0.28%
UNI-PRESIDENT ENTERPRISES CO 0.28%
CAS 2016-C02 1B 14.7355 09/25/2028 0.26%
FNMA FN30 TBA 05.5000 04/01/2049 0.26%
SBERBANK PJSC -SPONSORED ADR 0.26%
BANCO SANTANDER BRASIL-UNIT 0.25%
FNMA FN30 TBA 03.5000 05/01/2049 0.25%
FIRSTRAND LTD 0.24%
HINDUSTAN UNILEVER LTD 0.24%
DAELIM INDUSTRIAL CO LTD 0.23%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.23%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.23%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.23%
CEMEX P/P 144A 05.7000 01/11/2025 0.22%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.22%
GUANGZHOU R&F PROPERTIES - H 0.22%
S&P GSCI EXCESS RETURN INDEX 3X NOTE 1/27/2020 0.22%
ASURION 2NDL L+650 08.9930 08/04/2025 0.21%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.21%
CHINA RAILWAY GROUP LTD-H 0.21%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.21%
FOSUN INTERNATIONAL 0.21%
JPMBB 2014-C18 D P/P 144A 04.8219 02/15/2047 0.21%
SCIENTIFIC GAMES TLB5 L+275 05.3128 08/14/2024 0.21%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.20%
BF0101 03.5000 06/01/2056 0.20%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.20%
MR PRICE GROUP LTD 0.20%
MSBAM 2013-C10 D P/P 144A 04.0851 07/15/2046 0.20%
PRESIDENT CHAIN STORE CORP 0.20%
WEICHAI POWER CO LTD-H 0.20%
YUANTA FINANCIAL HOLDING CO 0.20%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.19%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.19%
GSISXT27 R 0.2 P 12/15/20 GS 0.19%
HANA FINANCIAL GROUP 0.19%
SPST 2017-LD1 A 03.2855 11/25/2050 0.19%
WANT WANT CHINA HOLDINGS LTD 0.19%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.18%
HYPERA SA 0.18%
SMILES FIDELIDADE SA 0.18%
BANCO SANTANDER MEXICO SA IN 0.17%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.17%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.17%
TALBOTS TLB L+700 09.4930 11/28/2022 0.17%
ALLIANT HOLD / CO-IS P/P 144A 08.2500 08/01/2023 0.16%
CDX CDX.NA.HY.32 500.0 06/20/2024 0.16%
GAIL INDIA LTD 0.16%
INDUSTRIAL BANK OF KOREA 0.16%
KOREA INVESTMENT HOLDINGS CO 0.16%
NEIMAN MARCUS TL L+325 05.7631 10/25/2020 0.16%
SINOTRUK HONG KONG LTD 0.16%
VERTIV TLB L+400 06.6289 11/15/2023 0.16%
BAUSCH HLTH COS INC P/P 144A 05.8750 05/15/2023 0.15%
FHR 3852 NT 03.5163 05/15/2041 0.15%
GEELY AUTOMOBILE HOLDINGS LT 0.15%
GUANGZHOU BAIYUNSHAN PHARM-H 0.15%
QUALICORP CONS E CORR SEG SA 0.15%
TENAGA NASIONAL BHD 0.15%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.15%
BANCO SANTANDER-CHILE-ADR 0.14%
BSCMS 2006-PW11 B P/P 144A 05.2509 03/11/2039 0.14%
CAPITEC BANK HOLDINGS LTD 0.14%
CAS 2015-C04 1M2 08.1855 04/25/2028 0.14%
CHINA RAILWAY CONSTRUCTION-H 0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.14%
DONGFENG MOTOR GRP CO LTD-H 0.14%
GRUPO AEROPORTUARIO DEL CENT 0.14%
KUMBA IRON ORE LTD 0.14%
AU OPTRONICS CORP 0.13%
CAS 2016-C01 1B 14.2355 08/25/2028 0.13%
CHINA RESOURCES SANJIU MEDICAL & PHARMA 144A REGS 01/29/2020 0.13%
FHS 315 PO PO 00.0000 09/15/2043 0.13%
GNR 2015-H20 CI IO 01.9544 08/20/2065 0.13%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.13%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.13%
SHINHAN FINANCIAL GROUP LTD 0.13%
SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 0.13%
STACR 2016-DNA1 B 12.4899 07/25/2028 0.13%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.13%
WIPRO LTD 0.13%
ZHONGSHENG GROUP HOLDINGS 0.13%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC 0.12%
ENEL AMERICAS SA-ADR 0.12%
FNR 2017-8 SB IO 03.6145 02/25/2047 0.12%
GNR 2017-H11 NI IO 02.1654 05/20/2067 0.12%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.12%
PPD TL L+250 04.9989 08/18/2022 0.12%
REVLON CONS TLB L+350 06.1275 09/07/2023 0.12%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.12%
AIRASIA GROUP BHD 0.11%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.11%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.11%
FHR 4568 MI IO 04.0000 04/15/2046 0.11%
FNMA FN30 AL6919 05.5000 01/01/2038 0.11%
FNR 2017-74 SA IO 03.2645 10/25/2047 0.11%
GENTING BHD 0.11%
GNR 2015-H10 CI IO 01.8274 04/20/2065 0.11%
GNR 2015-H19 NI IO 01.9245 07/20/2065 0.11%
GNR 2015-H24 HI IO 02.0308 09/20/2065 0.11%
GNR 2015-H25 BI IO 01.8864 10/20/2065 0.11%
GNR 2016-H02 BI IO 01.8733 11/20/2065 0.11%
GSMS 2013-GC10 E P/P 144A 04.3977 02/10/2046 0.11%
LG CORP 0.11%
SINOPEC SHANGHAI PETROCHEM-H 0.11%
SURGUTNEFTEGAS-PREFERENCE 0.11%
TELKOM SA SOC LTD 0.11%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.11%
ACADEMY SPORTS TLB L+400 06.4896 07/02/2022 0.10%
AVAYA HOLDINGS CORP 0.10%
BANK OF CHINA LTD-H 0.10%
CIA CERVECERIAS UNI-SPON ADR 0.10%
FNR 2015-28 IO IO 05.5000 05/25/2045 0.10%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.10%
GNR 2015-H09 BI IO 01.7110 03/20/2065 0.10%
INTER RAO UES PJSC 0.10%
JPMBB 2013-C14 E P/P 144A 04.5639 08/15/2046 0.10%
KANGMEI PHARMACEUTICAL CO 144A REGS 12/12/2019 0.10%
LOTTE CHEMICAL CORP 0.10%
NASPERS LTD-N SHS 0.10%
TRIPOD TECHNOLOGY CORP 0.10%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.09%
ARCELORMITTAL USD 06.1250 06/01/2025 0.09%
CLEAR CHANNEL TLD L+875 11.2430 01/30/2020 0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.09%
DIAMOND RESORTS TLB L+375 06.2489 09/02/2023 0.09%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.09%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.09%
GNR 2015-H16 XI IO 01.9340 07/20/2065 0.09%
GNR 2015-H22 GI IO 02.5742 09/20/2065 0.09%
GNR 2015-H25 AI IO 01.6266 09/20/2065 0.09%
GNR 2016-H03 AI IO 02.1004 01/20/2066 0.09%
GSMS 2014-GC24 D P/P 144A 04.5297 09/10/2047 0.09%
HM SAMPOERNA TBK PT 0.09%
ORTHO-CLINICAL TLB L+325 05.7520 06/01/2025 0.09%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.09%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 0.09%
SAMI 2007-AR1 2A1 02.6655 01/25/2037 0.09%
THAI OIL PCL-FOREIGN 0.09%
BANCO DE CHILE-ADR 0.08%
CAPITAL AUTO 2NDL L+600 08.4930 03/24/2025 0.08%
CHINA ORIENTAL GROUP CO LTD 0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.08%
FIRST DATA TL L+200 04.4899 04/26/2024 0.08%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.08%
FREEDOM MORTGAGE TLB L+475 07.2430 02/23/2022 0.08%
GLOW ENERGY PCL - FOREIGN 0.08%
GNR 2014-H21 AI IO 01.6287 10/20/2064 0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.08%
GNR 2015-H15 JI IO 01.9781 06/20/2065 0.08%
GNR 2015-H25 EI IO 01.8658 10/20/2065 0.08%
GNR 2015-H26 EI IO 01.7465 10/20/2065 0.08%
GNR 2016-150 I IO 05.0000 11/20/2046 0.08%
GNR 2016-H23 NI IO 02.2332 10/20/2066 0.08%
GOLDEN NUGGET TL L+275 05.2688 10/04/2023 0.08%
HAIER ELECTRONICS GROUP CO 0.08%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.08%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.08%
MERCER INTL INC USD 07.7500 12/01/2022 0.08%
SABRE GBL TLB L+200 04.4930 02/22/2024 0.08%
UNIVISION TLC5 L+275 05.2430 03/15/2024 0.08%
WFCM 2013-LC12 D P/P 144A 04.2867 07/15/2046 0.08%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.08%
BMIR 2015-1A B1 08.7855 07/25/2025 0.07%
BSCMS 2005-PWR7 D 05.1421 02/11/2041 0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.07%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.07%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.07%
FHR 4389 IA IO 04.0000 09/15/2044 0.07%
FHR 4530 HI IO 04.0000 11/15/2045 0.07%
FNR 2011-4 CS 07.9290 05/25/2040 0.07%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.07%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.07%
FORD OTOMOTIV 0.07%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.07%
GNR 2015-H09 AI IO 01.6370 04/20/2065 0.07%
GNR 2015-H14 BI IO 01.5917 05/20/2065 0.07%
GNR 2015-H26 GI IO 01.8111 10/20/2065 0.07%
GNR 2016-H04 KI IO 01.7606 02/20/2066 0.07%
GNR 2016-H08 GI IO 01.4403 04/20/2066 0.07%
GNR 2017-H14 DI IO 01.7196 06/20/2067 0.07%
GNR 2018-91 SJ IO 03.7623 07/20/2048 0.07%
GREEKTOWN TLB L+300 05.2724 04/25/2024 0.07%
IMPERIAL LOGISTICS LTD 0.07%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.07%
MANILA ELECTRIC COMPANY 0.07%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.07%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.07%
TRANSDIGM INC TLF L+250 04.9930 06/09/2023 0.07%
WBCMT 2005-C21 E P/P 144A 05.2380 10/15/2044 0.07%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.07%
ASURION TLB4 L+300 05.4930 08/04/2022 0.06%
BSCMS 2007-T26 AJ 05.4599 01/12/2045 0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.06%
CMLTI 2007-AMC3 A2D 02.8355 03/25/2037 0.06%
EL PUERTO DE LIVERPOOL-C1 0.06%
FNR 2017-48 LI IO 04.0000 05/25/2047 0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048 0.06%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.06%
GNR 2015-H24 BI IO 01.6291 08/20/2065 0.06%
GNR 2017-H02 BI IO 02.3379 01/20/2067 0.06%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.06%
INDOFOOD SUKSES MAKMUR TBK P 0.06%
JASTRZEBSKA SPOLKA WEGLOWA S 0.06%
JPMCC 2012-C6 F P/P 144A 05.1568 05/15/2045 0.06%
MSC 2011-C3 G P/P 144A 05.1547 07/15/2049 0.06%
SAO MARTINHO SA 0.06%
TIANNENG POWER INTL LTD 0.06%
TRIBUNE MEDIA TLB L+300 05.4930 01/27/2024 0.06%
WAMU 2005-AR14 1A2 04.1928 12/25/2035 0.06%
WELBILT TLB L+250 04.9930 10/23/2025 0.06%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.05%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.05%
CWALT 2005-27 1A6 03.3055 08/25/2035 0.05%
DELTA ELECTRONICS THAI-FORGN 0.05%
FHLMC FH30G V80357 03.5000 08/01/2043 0.05%
FHR 4158 TI IO 03.0000 12/15/2042 0.05%
FNMA FN30 AB7936 03.0000 02/01/2043 0.05%
FNMA FN30 AU1625 03.5000 07/01/2043 0.05%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.05%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.05%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.05%
GNR 2015-187 JI IO 04.0000 03/20/2045 0.05%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.05%
GNR 2015-H10 EI IO 01.6383 04/20/2065 0.05%
GNR 2015-H26 DI IO 01.8910 10/20/2065 0.05%
GNR 2016-49 IO IO 04.5000 11/16/2045 0.05%
GNR 2016-H07 HI IO 01.8464 02/20/2066 0.05%
GNR 2016-H16 DI IO 02.1339 06/20/2066 0.05%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.05%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.05%
INFOR TLB6 L+275 05.2430 02/01/2022 0.05%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.05%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.05%
KT CORP 0.05%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.05%
MSBAM 2013-C11 E P/P 144A 04.3652 08/15/2046 0.05%
MSBAM 2013-C11 F P/P 144A 04.3652 08/15/2046 0.05%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.05%
PETRONAS DAGANGAN BHD 0.05%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.05%
TEKFEN HOLDING AS 0.05%
UBSBB 2012-C2 F P/P 144A 04.8925 05/10/2063 0.05%
UNITED TRACTORS TBK PT 0.05%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.05%
AMERICAN AXLE & MFG INC 07.7500 11/15/2019 0.04%
BSCMS 2005-PWR7 C 05.1421 02/11/2041 0.04%
CHEMOURS CO 06.6250 05/15/2023 0.04%
CHINA CONSTRUCTION BANK-H 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.04%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.04%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.04%
FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 0.04%
FHLMC FH30G V80012 03.0000 03/01/2043 0.04%
FHR 3747 SA IO 04.0163 10/15/2040 0.04%
FHR 4134 PI IO 03.0000 11/15/2042 0.04%
FHR 4355 DI IO 04.0000 03/15/2044 0.04%
FNMA FN30 AO5471 03.5000 06/01/2042 0.04%
FNMA FN30 AR6852 03.0000 02/01/2043 0.04%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.04%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.04%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.04%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.04%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.04%
GNR 2015-H18 IA IO 01.8349 06/20/2065 0.04%
GNR 2016-H04 HI IO 02.3680 07/20/2065 0.04%
GNR 2016-H11 HI IO 02.0902 01/20/2066 0.04%
GNR 2017-99 AI IO 04.0000 01/20/2047 0.04%
HANNSTAR DISPLAY CORP 0.04%
IVORY COAST REGS 06.1250 06/15/2033 0.04%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.04%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.04%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.04%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.04%
RACKSPACE HOSTING INC L+300 05.7375 11/03/2023 0.04%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.04%
WFRBS 2012-C10 E P/P 144A 04.4419 12/15/2045 0.04%
WFRBS 2013-C15 D P/P 144A 04.4721 08/15/2046 0.04%
AIR MEDICAL TLB L+325 05.7386 04/28/2022 0.03%
ASTRAL FOODS LTD 0.03%
BACM 2005-1 C 05.5068 11/10/2042 0.03%
BACM 2008-1 C P/P 144A 06.1331 02/10/2051 0.03%
CAS 2015-C03 1M2 07.4855 07/25/2025 0.03%
CAS 2017-C03 1B1 07.3355 10/25/2029 0.03%
CAS 2017-C05 1B1 06.0855 01/25/2030 0.03%
CHINA SHINEWAY PHARMACEUTICA 0.03%
CHUCK E CHEESE'S TLB L+325 05.7430 02/14/2021 0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.03%
CPG INTL TL L+375 06.6330 05/05/2024 0.03%
CWALT 2006-OA10 1A1 03.3565 08/25/2046 0.03%
CWHL 2005-3 1A1 03.1055 04/25/2035 0.03%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.03%
FHR 4073 AS IO 03.5663 08/15/2038 0.03%
FHR 4097 PI IO 03.5000 11/15/2040 0.03%
FHR 4136 IW IO 03.5000 10/15/2042 0.03%
FHR 4150 DI IO 03.0000 01/15/2043 0.03%
FHR 4193 PI IO 04.0000 03/15/2043 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.03%
FNR 2015-73 PI IO 03.5000 10/25/2045 0.03%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.03%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.03%
GNR 2011-H08 GI IO 01.2813 03/20/2061 0.03%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.03%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.03%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.03%
GNR 2013-6 AI IO 03.5000 08/20/2039 0.03%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.03%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.03%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.03%
ITAUSA-INVESTIMENTOS ITAU-PR 0.03%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 0.03%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.03%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.03%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.03%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.03%
POU CHEN 0.03%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.03%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.03%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.03%
REYNOLDS GROUP TL L+300 05.2430 02/05/2023 0.03%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.03%
WPX ENERGY INC 06.0000 01/15/2022 0.03%
AHM 2007-1 GA1C 02.6799 05/25/2047 0.02%
ATACADAO DISTRIBUICAO COMERC 0.02%
BALTA 2004-3 B 05.4105 04/25/2034 0.02%
CAS 2015-C02 2M2 06.4855 05/25/2025 0.02%
CAS 2015-C03 2M2 07.4855 07/25/2025 0.02%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC 0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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 GS 0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.02%
COMM 2014-CR17 D P/P 144A 04.8260 05/10/2047 0.02%
ESTACIO PARTICIPACOES SA 0.02%
EUR/USD 06/19/2019 JPMCB 0.02%
FHR 2990 LB 10.5974 06/15/2034 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4183 MI IO 03.0000 02/15/2042 0.02%
FHR 4213 GI IO 04.0000 11/15/2041 0.02%
FHR 4369 IA IO 03.5000 07/15/2044 0.02%
FHR 4501 BI IO 03.5000 10/15/2043 0.02%
FHR 4663 KI IO 03.5000 11/15/2042 0.02%
FNR 2012-104 QI IO 04.5000 05/25/2042 0.02%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 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 2013-6 BI IO 03.0000 12/25/2042 0.02%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.02%
FNR 2017-113 IO IO 05.0000 01/25/2038 0.02%
FRAC TECH INTL TLB L+475 07.2430 04/16/2021 0.02%
GBP/USD CALL 1.37 20190726 BANKAM 0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.02%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.02%
GNR 2011-17 S IO 03.5623 02/20/2041 0.02%
GNR 2011-H15 AI IO 01.5423 06/20/2061 0.02%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.02%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.02%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.02%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.02%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.02%
GNR 2015-118 EI IO 03.5000 07/20/2039 0.02%
GNR 2015-124 NI IO 03.5000 06/20/2039 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 2015-36 GI IO 03.5000 06/16/2041 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
GNR 2015-H26 CI IO 00.6227 08/20/2065 0.02%
GNR 2017-132 IB IO 05.5000 09/20/2047 0.02%
GNR 2017-160 AI IO 04.5000 10/20/2047 0.02%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.02%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.02%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.02%
JPY/USD 05/15/2019 CITI 0.02%
KB FINANCIAL GROUP INC 0.02%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.02%
MHL 2004-1 M2 03.4905 11/25/2034 0.02%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.02%
PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.02%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.02%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.02%
PROVINCIA DE BUENOS P/P 144A 45.6716 05/31/2022 0.02%
RALI 2006-QO10 A1 02.6455 01/25/2037 0.02%
RALI 2006-QO5 1A1 02.7005 05/25/2046 0.02%
REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.02%
TRANSDIGM INC TLE 04.9930 05/30/2025 0.02%
TURK SISE CAM 0.02%
WFMBS 2006-AR6 7A2 04.8095 03/25/2036 0.02%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.02%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.02%
ADVANZ PHARMA CORP 0.01%
ARGENTINE REPUBLIC USD 06.6250 07/06/2028 0.01%
ARGENTINE REPUBLIC USD 06.8750 01/26/2027 0.01%
ASCENT RESOURCES TLB L+650 08.9927 03/30/2023 0.01%
ASTRO MALAYSIA 0.01%
AUD/USD 04/17/2019 RBSF 0.01%
BSCMS 2006-PW11 C P/P 144A 05.2509 03/11/2039 0.01%
CAD/USD 04/17/2019 BCAP-FX 0.01%
CAD/USD 04/17/2019 CITI 0.01%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.01%
CAS 2015-C01 2M2 07.0355 02/25/2025 0.01%
CAS 2015-C02 1M2 06.4855 05/25/2025 0.01%
CAS 2015-C04 2M2 08.0355 04/25/2028 0.01%
CAS 2016-C06 1M2 06.7355 04/25/2029 0.01%
CAS 2017-C02 2M2 06.1355 09/25/2029 0.01%
CAS 2017-C06 2M2 05.2855 02/25/2030 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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%
DIGICEL LTD P/P 144A 06.7500 03/01/2023 0.01%
EUR/USD 06/19/2019 BANKAM 0.01%
EUR/USD 06/19/2019 BCAP-FX 0.01%
EUR/USD 06/19/2019 CITI 0.01%
EUR/USD 06/19/2019 GSFX 0.01%
EUR/USD 06/19/2019 HSBCB 0.01%
EUR/USD 06/19/2019 RBSF 0.01%
EUR/USD 06/19/2019 SSBT 0.01%
FHR 3996 IK IO 04.0000 03/15/2039 0.01%
FNR 2005-122 SE 14.4008 11/25/2035 0.01%
FNR 2005-74 NK 15.0725 05/25/2035 0.01%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.01%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.01%
GNR 2010-134 ES IO 03.5123 11/20/2039 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 2012-106 QI IO 04.0000 07/20/2042 0.01%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-129 SN IO 03.6623 09/20/2043 0.01%
GNR 2013-157 IA IO 03.5000 04/20/2040 0.01%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2013-34 PI IO 04.5000 08/20/2039 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 03.6183 07/16/2043 0.01%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.01%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.01%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.01%
GSAA 2007-6 1A1 02.6055 05/25/2047 0.01%
GSMS 2006-GG8 X IO P/P 144A 00.8707 11/10/2039 0.01%
GSVIVV69 R 0.3 P 12/15/20 GS 0.01%
INNOLUX CORP 0.01%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.01%
JPY/USD 05/15/2019 BANKAM 0.01%
JPY/USD 05/15/2019 GSFX 0.01%
JPY/USD 05/15/2019 JPMCB 0.01%
JPY/USD 05/15/2019 SSBT 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.01%
SAMI 2007-AR7 1A1 03.3355 05/25/2047 0.01%
STACR 2019-DNA1 M2 05.1355 01/25/2049 0.01%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.01%
WFRBS 2011-C4 E P/P 144A 05.2316 06/15/2044 0.01%
-0.30 R ISWP FWD CHL6M P 06/19/2024 0.00%
0.12 R ISWP FWD EUR006M P 06/19/2024 0.00%
0.20 R ISWP FWD CHL6M P 06/19/2029 0.00%
0.45 R ISWP FWD SES3M P 06/19/2024 0.00%
0.60 R ISWP FWD EUR006M P 06/19/2029 0.00%
0.95 R ISWP FWD SES3M P 06/19/2029 0.00%
1.20 R ISWP FWD GBL6M P 06/19/2024 0.00%
1.35 R ISWP FWD GBL6M P 06/19/2029 0.00%
1.80 R ISWP FWD NOKOIB6M P 06/19/2024 0.00%
1.90 R ISWP FWD AUDBB6M P 06/19/2024 0.00%
2.00 R ISWP FWD CDOR03 P 06/19/2024 0.00%
2.00 R ISWP FWD NFIX3MID P 06/19/2024 0.00%
2.00 R ISWP FWD NOKOIB6M P 06/19/2029 0.00%
2.25 R ISWP FWD AUDBB6M P 06/19/2029 0.00%
2.25 R ISWP FWD CDOR03 P 06/19/2029 0.00%
2.33973 R ISWP US0003M P 03/29/2029 0.00%
2.40 R ISWP FWD NFIX3MID P 06/19/2029 0.00%
2.40 R ISWP FWD US0003M P 06/19/2024 0.00%
2.50 R ISWP FWD US0003M P 06/19/2024 0.00%
2.55 R ISWP FWD US0003M P 06/19/2021 0.00%
2.55 R ISWP FWD US0003M P 06/19/2029 0.00%
2.65 R ISWP FWD US0003M P 06/19/2029 0.00%
2.67 R ISWP FWD US0003M P 03/28/2052 0.00%
2.80 R ISWP FWD US0003M P 06/19/2049 0.00%
3.312 R ISWP US0003M P 11/08/2048 0.00%
AUD/USD 04/17/2019 BANKAM 0.00%
AUD/USD 04/17/2019 BCAP-FX 0.00%
AUD/USD 04/17/2019 CITI 0.00%
AUD/USD 04/17/2019 GSFX 0.00%
AUD/USD 04/17/2019 HSBCB 0.00%
AUD/USD 04/17/2019 SSBT 0.00%
AUD/USD 04/17/2019 UBS 0.00%
AUD/USD 04/17/2019 WPAC 0.00%
AVAYA INC ESCROW P/P 144A 07.0000 04/01/2020 0.00%
BACM 2004-4 XC IO P/P 144A 00.3283 07/10/2042 0.00%
BACM 2007-1 XW IO 00.0000 01/15/2049 0.00%
BCAP 2012-RR5 4A8 02.6599 06/26/2035 0.00%
CAD/USD 04/17/2019 GSFX 0.00%
CAD/USD 04/17/2019 HSBCB 0.00%
CAD/USD 04/17/2019 JPMCB 0.00%
CAD/USD 04/17/2019 RBSF 0.00%
CHC GROUP LLC P/P 0.00%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.00%
CHF/USD 06/19/2019 JPMCB 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 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 CG 0.00%
CNH/USD 05/15/2019 HSBCB 0.00%
CSFB 2003-C3 AX IO P/P 144A 01.5924 05/15/2038 0.00%
EUR/USD 06/19/2019 UBS 0.00%
EUR/USD 06/19/2019 WPAC 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036 0.00%
FNS 397 2 IO 05.0000 09/25/2039 0.00%
FNW 1998-W2 X IO 00.3666 06/25/2028 0.00%
FNW 1998-W5 X IO 19.8574 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2795 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4288 11/15/2028 0.00%
GBP/USD 06/19/2019 GSFX 0.00%
GBP/USD 06/19/2019 SSBT 0.00%
GBP/USD CALL 1.47 20190726 BANKAM 0.00%
GMACC 2004-C3 B 04.9650 12/10/2041 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-81 SB IO 04.2233 11/16/2036 0.00%
GNR 2014-162 DI IO 04.0000 11/20/2038 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%
GSVIVVOL R 0.3 P 12/15/20 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 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.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
JPMCC 2007-LDPX X IO 00.0069 01/15/2049 0.00%
JPY/USD 05/15/2019 BCAP-FX 0.00%
JPY/USD 05/15/2019 CSI-FX 0.00%
JPY/USD 05/15/2019 HSBCB 0.00%
JPY/USD 05/15/2019 RBSF 0.00%
JPY/USD 05/15/2019 UBS 0.00%
LBUBS 2007-C2 XW IO 00.3298 02/15/2040 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.2423 12/12/2049 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 0.00%
NOK/USD 06/19/2019 BANKAM 0.00%
NOK/USD 06/19/2019 BCAP-FX 0.00%
NOK/USD 06/19/2019 HSBCB 0.00%
NOK/USD 06/19/2019 RBSF 0.00%
NZD/USD 04/17/2019 GSFX 0.00%
NZD/USD 04/17/2019 SSBT 0.00%
SEK/USD 06/19/2019 BCAP-FX 0.00%
SEK/USD 06/19/2019 SSBT 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 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 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%
TRIBUNE MEDIA TLB L+300 05.4930 12/27/2020 0.00%
TXU TCEH RIGHTS 0.00%
USD/CNH CALL 7.00 20190404 GSFX 0.00%
USD/CNH CALL 7.20 20190404 GSFX 0.00%
WBCMT 2006-C29 IO IO 00.0509 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.0000 04/15/2047 0.00%
AUD/USD 04/17/2019 CSI-FX -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -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.9 2058-09-17 500.0 09/17/2058 CG -0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS -0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS -0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS -0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML -0.01%
GBP/USD 06/19/2019 HSBCB -0.01%
GBP/USD 06/19/2019 JPMCB -0.01%
GSVICUB3 R 0.45 P 12/15/20 GS -0.01%
GSVIUS85 R 0.45 P 12/15/20 GS -0.01%
IOS.FN30.350.14 P USL1M R 01/12/45 JP -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
NOK/USD 06/19/2019 GSFX -0.01%
NOK/USD 06/19/2019 JPMCB -0.01%
NOK/USD 06/19/2019 SSBT -0.01%
CAD/USD 04/17/2019 SSBT -0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML -0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS -0.02%
IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.02%
IOS.FN30.400.13 P USL1M R 01/12/44 JP -0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS -0.03%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS -0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS -0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG -0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG -0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG -0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG -0.03%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.03%
JW/A US P US0001M R 07/05/22 CI -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.03%
UA US P R 07/05/22 CI -0.03%
AIR US P US0001M R 07/05/22 CI -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML -0.04%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG -0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG -0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS -0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML -0.04%
GTT US P US0001M R 07/05/22 CI -0.04%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.04%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.04%
IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS -0.05%
KLIC US P US0001M R 07/05/22 CI -0.05%
HOMB US P US0001M R 07/05/22 CI -0.06%
BCPC US P US0001M R 07/05/22 CI -0.07%
EBIX US P R 07/05/22 CI -0.07%
INGN US P R 07/05/22 CI -0.07%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.07%
DBD US P R 07/05/22 CI -0.08%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.08%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.09%
OMCL US P US0001M R 07/05/22 CI -0.09%
BRKR US P US0001M R 07/05/22 CI -0.10%
IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.10%
RH US P US0001M R 07/05/22 CI -0.10%
MDRX US P US0001M R 07/05/22 CI -0.11%
PBH US P US0001M R 07/05/22 CI -0.11%
ACIW US P R 07/05/22 CI -0.12%
BGS US P R 07/05/22 CI -0.12%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS -0.12%
CTLT US P US0001M R 07/05/22 CI -0.12%
MDSO US P R 07/05/22 CI -0.12%
PCTY US P R 07/05/22 CI -0.12%
AJRD US P R 07/05/22 CI -0.13%
HUBS US P R 07/05/22 CI -0.13%
TREX US P US0001M R 07/05/22 CI -0.13%
PTC US P R 07/05/22 CI -0.15%
EPC US P US0001M R 07/05/22 CI -0.16%
INST US P US0001M R 07/05/22 CI -0.16%
JBL US P US0001M R 07/05/22 CI -0.17%
SPY 20190418 C 293.00CITI -0.18%
SPY 20191220 P 215.00JPMCB -0.18%
TKR US P US0001M R 07/05/22 CI -0.18%
MTZ US P US0001M R 07/05/22 CI -0.22%
COTY US P US0001M R 07/05/22 CI -0.23%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.24%
TGI US P R 07/05/22 CI -0.25%
PKI US P US0001M R 07/05/22 CI -0.26%
PODD US P US0001M R 07/05/22 CI -0.26%
SIG US P R 07/05/22 CI -0.26%
OSK US P US0001M R 07/05/22 CI -0.27%
ICLR US P R 07/05/22 CI -0.28%
SPY 20200117 P 230.00CITI -0.31%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP -0.32%
HBI US P R 07/05/22 CI -0.32%
SPY 20190429 C 292.50CITI -0.32%
SPY 20191018 P 240.00BANKAM -0.32%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS -0.33%
SPY 20191115 P 240.00BANKAM -0.34%
ALLY US P US0001M R 07/05/22 CI -0.41%
CERN US P R 07/05/22 CI -0.41%
HAS US P US0001M R 07/05/22 CI -0.41%
SPY 20200221 P 240.00CITI -0.45%
KMX US P US0001M R 07/05/22 CI -0.47%
DPZ US P US0001M R 07/05/22 CI -0.49%
TXT US P US0001M R 07/05/22 CI -0.51%
VAR US P R 07/05/22 CI -0.52%
SPY 20200320 P 250.00JPMCB -0.55%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS -0.56%
IQV US P R 07/05/22 CI -0.69%
RL US P US0001M R 07/05/22 CI -0.78%
NTAP US P US0001M R 07/05/22 CI -0.83%
FNMA FN30 TBA 04.5000 04/01/2049 -0.84%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.88%
CTXS US P US0001M R 07/05/22 CI -0.90%
K US P R 07/05/22 CI -0.92%
TSLA US P R 07/05/22 CI -0.95%
NDUEEGF P US0001M R 12/12/19 GS -1.13%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -1.30%
FNMA FN30 TBA 03.0000 04/01/2049 -1.85%
NDUEEGF P US0003M R 09/20/19 CI -2.66%
NDUEEGF P US0003M R 03/19/20 CI -5.96%
RU10INTR P US0003M R 07/26/19 BC -9.41%
S&P500 EMINI FUT JUN19 ESM9 -9.61%
RU10INTR P US0003M R 11/26/19 CI -13.29%
NDUEEGF P US0001M R 08/21/19 UB -15.85%
GSGLPW2S P US0001M R 12/15/20 GS -33.92%
GSGLPWDS P US0001M R 12/15/20 GS -35.22%
RU10INTR P US0003M R 03/30/20 BA -40.43%

Prior top 10 holdings

Top 10 holdings as of 04/30/19
Net cash
Umbs Fn30 Tba 03.5000 06/01/2049
Umbs Fn30 Tba 04.0000 06/01/2049
Utilities Select Sector Spdr Sedol 2371812
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Technology Select Sect Spdr Sedol 2369709
Real Estate Select Sect Spdr Sedol Byz65y9
Industrial Select Sect Spdr Sedol 2502139
Energy Select Sector Spdr Sedol 2402466
Samsung Electronics
Holdings represent 60.94% of portfolio
Top 10 holdings as of 03/31/19
Net cash
Fnma Fn30 Tba 03.5000 04/01/2049
Fnma Fn30 Tba 04.0000 04/01/2049
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Real Estate Select Sect Spdr Sedol Byz65y9
Utilities Select Sector Spdr Sedol 2371812
Comm Serv Select Sector Spdr Sedol Bfxhc51
Energy Select Sector Spdr Sedol 2402466
Health Care Select Sector Sedol 2371823
Industrial Select Sect Spdr Sedol 2502139
Holdings represent 60.41% of portfolio
Top 10 holdings as of 02/28/19
Net cash
Fnma Fn30 Tba 03.5000 03/01/2049
Fnma Fn30 Tba 04.0000 03/01/2049
Industrial Select Sect Spdr Sedol 2502139
Technology Select Sect Spdr Sedol 2369709
Consumer Discretionary Selt Sedol 2424341
Utilities Select Sector Spdr Sedol 2371812
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Financial Select Sector Spdr Sedol 2364038
Real Estate Select Sect Spdr Sedol Byz65y9
Holdings represent 60.47% of portfolio
Top 10 holdings as of 01/31/19
Net cash
Fnma Fn30 Tba 04.0000 02/01/2049
Technology Select Sect Spdr Sedol 2369709
Fnma Fn30 Tba 03.5000 03/01/2049
Fnma Fn30 Tba 03.5000 02/01/2049
S&P Gsci Excess Return Index 3x Note 1/27/2020
Comm Serv Select Sector Spdr Sedol Bfxhc51
Consumer Discretionary Selt Sedol 2424341
Industrial Select Sect Spdr Sedol 2502139
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Holdings represent 58.59% of portfolio

Portfolio composition as of 04/30/19

Net cash 37.64%
U.S. Treasury/agency 34.47%
U.S. stocks 19.58%
Commodities 11.19%
Agency pass-through 11.11%
Commercial MBS 11.09%
Agency CMO 6.96%
High-yield corporate bonds 3.96%
Bank loans 3.11%
International stocks 1.95%
Emerging-market bonds 1.57%
Residential MBS (non-agency) 1.33%
Asset-backed securities (ABS) 0.97%
Investment-grade corporate bonds 0.24%
Emerging-market stocks -0.30%

Fixed income statistics as of 04/30/19

Average effective maturity 8.12 yrs.
Average effective duration 1.83 yrs.
Average price $89.47

Maturity detail as of 04/30/19

0 - 1 yr. 39.44%
1 - 5 yrs. 18.50%
5 - 10 yrs. 40.99%
10 - 15 yrs. 0.64%
Over 15 yrs. 0.43%

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 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. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. 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, 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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.

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 1.04% 1.79% 1.79% 1.54% 1.29% 0.69% 0.79%
What you pay† 1.01% 1.76% 1.76% 1.51% 1.26% 0.66% 0.76%

† 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 02/28/20

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. 1.00% 5.00% 1.00% -- -- -- --
2 yrs. 0.00% 4.00% 0.00% -- -- -- --
3 yrs. 0.00% 3.00% 0.00% -- -- -- --
4 yrs. 0.00% 3.00% 0.00% -- -- -- --
5 yrs. 0.00% 2.00% 0.00% -- -- -- --
6 yrs. 0.00% 1.00% 0.00% -- -- -- --
7+ yrs. 0.00% 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 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. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. 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, 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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.

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.