Putnam PanAgora Managed Futures Strategy | ||||||
The fund's consolidated portfolio | ||||||
11/30/20 (Unaudited) |
SHORT-TERM INVESTMENTS (92.5%)(a) | ||||||
Principal amount/ shares | Value | |||||
State Street Institutional Treasury Plus Money Market Fund, Investor Class 0.01% | Shares | 252,819 | $252,819 | |||
State Street Institutional U.S. Government Money Market Fund, Investor Class 0.01%(PAN) | Shares | 504,224 | 504,224 | |||
U.S. Treasury Bills, 0.09%, 12/22/20(SEG)(PAN) | $7,650,000 | 7,649,671 | ||||
Total short-term investments (cost $8,406,648) | $8,406,714 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $8,406,648) | $8,406,714 |
FORWARD CURRENCY CONTRACTS at 11/30/20 (aggregate face value $20,339,840) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
Bank of New York | |||||||
Czech Koruna | Buy | 1/20/21 | $1,015,344 | $959,524 | $55,820 | ||
Euro | Buy | 1/20/21 | 750,416 | 738,504 | 11,912 | ||
New Zealand Dollar | Sell | 1/20/21 | 1,636,504 | 1,547,871 | (88,633) | ||
Swedish Krona | Buy | 1/20/21 | 906,538 | 882,813 | 23,725 | ||
Brown Brothers Harriman & Co. | |||||||
Canadian Dollar | Sell | 1/20/21 | 669,314 | 655,000 | (14,314) | ||
Euro | Sell | 1/20/21 | 566,747 | 564,000 | (2,747) | ||
Japanese Yen | Sell | 1/20/21 | 499,539 | 503,000 | 3,461 | ||
New Zealand Dollar | Sell | 1/20/21 | 447,310 | 442,000 | (5,310) | ||
South African Rand | Buy | 1/20/21 | 517,998 | 492,000 | 25,998 | ||
Swedish Krona | Buy | 1/20/21 | 453,024 | 452,000 | 1,024 | ||
Swiss Franc | Sell | 1/20/21 | 318,149 | 315,000 | (3,149) | ||
State Street Bank and Trust Co. | |||||||
Australian Dollar | Sell | 1/20/21 | 408,490 | 398,234 | (10,256) | ||
British Pound | Sell | 1/20/21 | 697,177 | 680,949 | (16,228) | ||
Canadian Dollar | Buy | 1/20/21 | 1,176,393 | 1,162,457 | 13,936 | ||
Czech Koruna | Sell | 1/20/21 | 672,407 | 636,000 | (36,407) | ||
Euro | Buy | 1/20/21 | 369,888 | 361,000 | 8,888 | ||
Hungarian Forint | Buy | 1/20/21 | 94,839 | 100,187 | (5,348) | ||
Japanese Yen | Buy | 1/20/21 | 2,890,442 | 2,862,088 | 28,354 | ||
Mexican Peso | Sell | 1/20/21 | 801,018 | 751,370 | (49,648) | ||
New Zealand Dollar | Buy | 1/20/21 | 1,808,987 | 1,742,000 | 66,987 | ||
Norwegian Krone | Sell | 1/20/21 | 409,631 | 401,425 | (8,206) | ||
Polish Zloty | Buy | 1/20/21 | 192,037 | 188,207 | 3,830 | ||
South African Rand | Sell | 1/20/21 | 961,875 | 897,108 | (64,767) | ||
Swedish Krona | Sell | 1/20/21 | 365,962 | 352,000 | (13,962) | ||
Swiss Franc | Buy | 1/20/21 | 1,615,200 | 1,603,277 | 11,923 | ||
Turkish Lira | Buy | 1/20/21 | 596,572 | 651,826 | (55,254) | ||
Unrealized appreciation | 255,858 | ||||||
Unrealized (depreciation) | (374,229) | ||||||
Total | $(118,371) | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
FUTURES CONTRACTS OUTSTANDING at 11/30/20 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
Amsterdam Exchange Index (Short) | 1 | $144,578 | $144,500 | Dec-20 | $(2,224) | |
Australian Government Treasury Bond 10 yr (Long) | 36 | 3,930,257 | 3,930,256 | Dec-20 | 23,759 | |
Brent Crude (Short)## | 2 | 95,760 | 95,760 | Feb-21 | -6,445 | |
Canadian Government Bond 10 yr (Short) | 32 | 3,667,421 | 3,667,421 | Mar-21 | 6,335 | |
Chicago SRW Wheat (Short)## | 3 | 87,750 | 87,750 | Mar-21 | 3,701 | |
Cocoa (Long)## | 5 | 136,950 | 136,950 | Mar-21 | 15,958 | |
Coffee 'C' (Short)## | 3 | 138,713 | 138,713 | Mar-21 | (11,712) | |
Copper (Long)## | 5 | 429,750 | 429,750 | Mar-21 | 25,608 | |
Corn No. 2 Yellow (Short)## | 6 | 127,800 | 127,800 | Mar-21 | 277 | |
Cotton No. 2 (Long)## | 1 | 36,075 | 36,075 | Mar-21 | 1,086 | |
Crude Soybean Oil (Long)## | 6 | 134,964 | 134,964 | Jan-21 | 2,684 | |
Euro-Bobl 5 yr (Short) | 15 | 2,422,678 | 2,422,679 | Dec-20 | (3,319) | |
Euro-Bund 10 yr (Short) | 5 | 1,045,235 | 1,045,235 | Dec-20 | (6,812) | |
Euro-Buxl 30 yr (Long) | 5 | 1,351,022 | 1,351,023 | Dec-20 | 31,417 | |
Euro-CAC 40 Index (Short) | 3 | 197,484 | 197,142 | Dec-20 | (2,582) | |
Euro-Schatz 2 yr (Long) | 16 | 2,143,790 | 2,143,791 | Dec-20 | 681 | |
FTSE 100 Index (Long) | 9 | 751,839 | 754,996 | Dec-20 | 41,858 | |
FTSE/MIB Index (Long) | 3 | 394,732 | 394,625 | Dec-20 | 43,357 | |
Gasoline RBOB (Long)## | 3 | 156,442 | 156,442 | Jan-21 | 6,689 | |
Hang Seng Index (Long) | 3 | 509,766 | 511,518 | Dec-20 | (1,463) | |
IBEX 35 Index (Long) | 3 | 289,036 | 288,535 | Dec-20 | 8,325 | |
LME Primary Aluminum (Long)## | 6 | 306,338 | 306,338 | Dec-20 | 26,509 | |
LME Primary Aluminum (Short)## | 2 | 102,200 | 102,200 | Jan-21 | (6,484) | |
LME Primary Aluminum (Short)## | 6 | 306,338 | 306,338 | Dec-20 | (39,816) | |
LME Zinc (Long)## | 9 | 626,389 | 626,389 | Jan-21 | 38,085 | |
LME Zinc (Long)## | 1 | 69,443 | 69,443 | Dec-20 | 9,063 | |
LME Zinc (Short)## | 4 | 278,395 | 278,395 | Jan-21 | (5,614) | |
LME Zinc (Short)## | 1 | 69,443 | 69,443 | Dec-20 | (6,335) | |
Low Sulphur Gas Oil (Long)## | 3 | 117,000 | 117,000 | Jan-21 | 4,642 | |
Natural Gas (Short)## | 4 | 115,280 | 115,280 | Jan-21 | 22,067 | |
OMXS 30 Index (Short) | 22 | 491,855 | 490,626 | Dec-20 | 1,515 | |
S&P 500 Index E-Mini (Short) | 3 | 543,245 | 543,480 | Dec-20 | (40,305) | |
S&P/TSX 60 Index (Long) | 7 | 1,103,358 | 1,101,717 | Dec-20 | 48,269 | |
SGX MSCI Singapore Index (Long) | 39 | 932,367 | 933,598 | Dec-20 | (15,669) | |
Soybean (Long)## | 8 | 467,400 | 467,400 | Jan-21 | 10,032 | |
Soybean Meal (Long)## | 15 | 585,750 | 585,750 | Jan-21 | (10,707) | |
SPI 200 Index (Short) | 7 | 837,269 | 838,707 | Dec-20 | (88,009) | |
Sugar No. 11 (Short)## | 3 | 48,754 | 48,754 | Mar-21 | (3,607) | |
Tokyo Price Index (Short) | 2 | 336,192 | 336,303 | Dec-20 | (23,296) | |
U.K. Gilt 10 yr (Long) | 11 | 1,967,849 | 1,967,850 | Mar-21 | 2,547 | |
U.S. Treasury Bond 30 yr (Long) | 5 | 874,531 | 874,531 | Mar-21 | (676) | |
U.S. Treasury Note 10 yr (Long) | 28 | 3,868,813 | 3,868,813 | Mar-21 | 6,282 | |
U.S. Treasury Note 2 yr (Long) | 1 | 220,852 | 220,852 | Mar-21 | 84 | |
U.S. Treasury Note 5 yr (Short) | 109 | 13,737,406 | 13,737,406 | Mar-21 | (16,914) | |
WTI Crude (Long)## | 2 | 90,680 | 90,680 | Jan-21 | 14,173 | |
Unrealized appreciation | 395,003 | |||||
Unrealized (depreciation) | (291,989) | |||||
Total | $103,014 | |||||
## Held by Putnam PanAgora Managed Futures Ltd., a wholly-owned and controlled subsidiary. |
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, 2020 through November 30, 2020 (the reporting period). Within the following notes to the consolidated 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 $9,085,602. | |||||
(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 $1,649,934. | |||||
(PAN) | A portion of these holdings are held by Putnam PanAgora Managed Futures Ltd., a wholly-owned and controlled subsidiary, valued at $1,054,200. | |||||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
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. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other 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 uses futures contracts to gain exposure to equity securities, fixed-income securities and commodities. | ||||||
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. | ||||||
At the close of the reporting period, the fund has deposited cash valued at $717,126 in a segregated account to cover margin requirements on open futures contracts. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to provide exposure to developed and emerging market currencies. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s consolidated portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s consolidated portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund had a net liability position of $126,158 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
Valuation inputs | ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Short-term investments | $757,043 | $7,649,671 | $— | |
Totals by level | $757,043 | $7,649,671 | $— | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $(118,371) | $— | |
Futures contracts | 103,014 | — | — | |
Totals by level | $103,014 | $(118,371) | $— | |
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) | 600 | |||
Forward currency contracts (contract amount) | $28,100,000 | |||
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 |