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FUTURES
CONTRACTS OUTSTANDING at 11/30/21 (Unaudited) |
| |
|
Number
of contracts |
Notional
amount |
Value |
Expiration
date |
Unrealized
appreciation/
(depreciation) |
|
Amsterdam
Exchange index (Long) |
6 |
$1,057,966 |
$1,057,626 |
Dec-21 |
$(66,667) |
|
Australian
Government Treasury Bond 10 yr (Long) |
78 |
7,750,418 |
7,750,416 |
Dec-21 |
(276,987) |
|
Bloomberg
Commodity Index (Long)## |
911 |
8,727,161 |
8,718,270 |
Dec-21 |
(252,008) |
|
Canadian
Government Bond 10 yr (Long) |
65 |
7,182,590 |
7,182,590 |
Mar-22 |
64,521 |
|
DAX
Index (Long) |
2 |
856,253 |
858,684 |
Dec-21 |
(33,801) |
|
Euro-Bobl
5 yr (Long) |
42 |
6,454,163 |
6,454,166 |
Dec-21 |
(14,823) |
|
Euro-BTP
Italian Government Bond (Long) |
15 |
2,578,943 |
2,578,945 |
Dec-21 |
(45,441) |
|
Euro-Bund
10 yr (Long) |
17 |
3,323,242 |
3,323,244 |
Dec-21 |
(5,228) |
|
Euro-Buxl
30 yr (Long) |
6 |
1,484,219 |
1,484,220 |
Dec-21 |
55,109 |
|
FTSE
100 Index (Long) |
16 |
1,502,194 |
1,506,461 |
Dec-21 |
17,977 |
|
Hang
Seng Index (Long) |
9 |
1,354,689 |
1,354,674 |
Dec-21 |
(67,195) |
|
IBEX
35 Index (Long) |
8 |
747,858 |
756,073 |
Dec-21 |
(63,425) |
|
Japanese
Government Bond 10 yr (Long) |
15 |
20,162,781 |
20,162,781 |
Dec-21 |
17,119 |
|
MSCI
Emerging Markets Index (Long) |
27 |
1,636,767 |
1,636,605 |
Dec-21 |
(113,263) |
|
OMXS
30 Index (Long) |
31 |
765,772 |
771,261 |
Dec-21 |
(48,859) |
|
Russell
2000 Index E-Mini (Long) |
32 |
3,781,742 |
3,515,680 |
Dec-21 |
(77,907) |
|
S&P
500 Index E-Mini (Long) |
39 |
8,905,650 |
8,904,188 |
Dec-21 |
139,906 |
|
S&P/TSX
60 Index (Long) |
9 |
1,751,952 |
1,755,685 |
Dec-21 |
28,529 |
|
SPI
200 Index (Long) |
12 |
1,551,725 |
1,546,385 |
Dec-21 |
(27,821) |
|
Tokyo
Price Index (Long) |
8 |
1,364,781 |
1,341,885 |
Dec-21 |
(89,281) |
|
U.K.
Gilt 10 yr (Long) |
43 |
7,221,682 |
7,221,681 |
Mar-22 |
57,971 |
|
U.S.
Treasury Bond 30 yr (Long) |
42 |
6,809,250 |
6,809,250 |
Mar-22 |
168,881 |
|
U.S.
Treasury Note 2 yr (Long) |
108 |
23,623,313 |
23,623,313 |
Mar-22 |
39,329 |
|
U.S.
Treasury Note 5 yr (Long) |
112 |
13,596,625 |
13,596,625 |
Mar-22 |
105,624 |
|
U.S.
Treasury Note 10 yr (Long) |
99 |
12,950,438 |
12,950,438 |
Mar-22 |
179,985 |
|
|
|
|
|
|
|
|
Unrealized
appreciation |
|
|
|
|
874,951 |
|
|
|
|
|
|
|
|
Unrealized
(depreciation) |
|
|
|
|
(1,182,706) |
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|
|
|
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|
|
Total |
|
|
|
|
$(307,755) |
|
## Held by Putnam PanAgora Risk Parity Ltd., a wholly-owned and controlled subsidiary. |
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Notes
to the fund's consolidated portfolio |
|
Unless
noted otherwise, the notes to the fund's consolidated portfolio are for the close of the fund's reporting period, which ran from September
1, 2021 through November 30, 2021 (the reporting period). Within the following notes to the portfolio, references to "Putnam
Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments,
LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references
to "OTC", if any, represent over-the-counter. |
| (a) |
Percentages
indicated are based on net assets of $37,440,126. |
| (SEG) |
This
security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the
close of the reporting period. Collateral at period end totaled $4,324,308. |
| (P) |
A
portion of these securities were purchased with cash that was pledged to the fund for collateral on certain futures contracts. Collateral
at period end totaled $94,530. |
| (PAN) |
A
portion of this holding is held by Putnam PanAgora Risk Parity Ltd., a wholly-owned and controlled subsidiary, valued at $5,592,351. |
|
Security
valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees.
The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for
valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal
Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of
the fund and reporting to the Pricing Committee. |
|
Investments
for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official
closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of
some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|
Investments
in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities,
are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less
their liabilities and divided by the number of their outstanding shares. |
|
Many
securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before
the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities
taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation
of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be
classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The
number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will
be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the
current exchange rate. Short-term securities with remaining maturities of 60 days or less are valued using an independent pricing service
approved by the Trustees, and are classified as Level 2 securities. |
|
To
the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe
accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies
and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are
also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market
or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates,
U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions.
These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|
To
assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations
on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed
periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect
to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good
faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a
material amount. |
|
Futures
contracts: The fund used futures contracts to provide exposure to equity securities, fixed-income securities and commodities. |
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The
potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures,
there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty
to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|
Futures
contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree
to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known
as “variation margin”. |
|
For
the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|
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ASC
820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency
of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
|
Level
1: Valuations based on quoted prices for identical securities in active markets. |
|
Level
2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly
or indirectly. |
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Level
3: Valuations based on inputs that are unobservable and significant to the fair value measurement. |
|
The
following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|
|
Valuation
inputs |
|
Investments
in securities: |
Level
1 |
Level
2 |
Level
3 |
|
Short-term
investments |
$21,353,976 |
$26,320,724 |
$— |
|
|
|
|
|
|
Totals
by level |
$21,353,976 |
$26,320,724 |
$— |
|
|
Valuation
inputs |
|
|
|
|
|
|
Other
financial instruments: |
Level
1 |
Level
2 |
Level
3 |
|
Futures
contracts |
$(307,755) |
$— |
$— |
|
|
|
|
|
|
Totals
by level |
$(307,755) |
$— |
$— |
|
The
volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was
based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
|
Futures
contracts (number of contracts) |
2,000 |
|
|
|
For
additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities
and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |