| UNITED STATES SECURITIES AND EXCHANGE COMMISSION | ||
| Washington, D.C. 20549 | ||
FORM N-CSR | ||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES | ||
| Investment Company Act file number: | (811–07237) |
| Exact name of registrant as specified in charter: | Putnam Investment Funds |
| Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
| Name and address of agent for service: | Robert T. Burns, Vice President 100 Federal Street Boston, Massachusetts 02110 |
| Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
| Registrant's telephone number, including area code: | (617) 292–1000 |
| Date of fiscal year end: | August 31, 2019 |
| Date of reporting period: | September 1, 2018 — August 31, 2019 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam PanAgora
Market Neutral
Fund
Annual report
8|31|19
IMPORTANT NOTICE: Delivery of paper fund reports
In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.
If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.
If you already receive these reports electronically, no action is required.
Message from the Trustees
October 14, 2019
Dear Fellow Shareholder:
We believe your mutual fund investment offers a number of advantages, such as investment diversification and daily liquidity. Putnam funds also include a commitment to active investing. Putnam’s portfolio managers and analysts take a research-intensive approach that incorporates risk management strategies designed to serve you through changing conditions.
To support your overall investment program, we believe that the counsel of a financial advisor is prudent. For over 80 years, Putnam has recognized the importance of professional investment advice. Your financial advisor can help in many ways, including defining and planning for goals, determining your appropriate level of risk, and reviewing your investments on a regular basis.
As always, your fund’s Board of Trustees remains committed to protecting the interests of Putnam shareholders like you. We thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares.Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 7–9 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 8/31/19. See above and pages 7–9 for additional fund performance information. Index descriptions can be found on pages 13–14.
| 2 PanAgora Market Neutral Fund | |
Please review global market performance, beginning with equities.
Equity markets experienced the effects of the trade war at the beginning and end of the 12-month reporting period that concluded August 31, 2019. Both developed- and emerging-market equities declined as calendar-year 2018 ended. Equity prices plunged. Concerns about future growth of global GDP [gross domestic product] and the trade conflict between the United States and China contributed to the decline. However, as 2019 began, global equities rebounded and experienced strong performance over the first half of the year, recovering much of the losses of 2018. Performance improved in all regions, reflecting the expectation that the United States and China would reach a favorable trade deal. Dovish signals from the U.S. Federal Reserve also supported the rally.
This tranquility came to an abrupt halt in early August 2019. The U.S.–China trade war escalated, and the U.S. yield curve inverted. Stocks fell after U.S. President Donald Trump suggested an additional 10% tariff on Chinese imports and accused China of manipulating its currency. U.S. equities continued to decline after the 10-year Treasury note traded at a lower yield than the 2-year Treasury note. In
| PanAgora Market Neutral Fund 3 |
The table shows the fund’s long and short exposures in each country or region and the percentage of the fund’s net assets that each represented as of 8/31/19. Allocations will not total 100% because the table reflects the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
previous economic cycles, such an inversion has been an early indicator of an upcoming economic recession.
International developed- and emerging-market equities also declined toward the end of the 12-month reporting period. Weakening economic data in the European Union and political uncertainties in the United Kingdom and Italy weighed on investor sentiment, in our view. In China, economic indicators reported for July 2019 were worse than expected as monthly retail sales and industrial output growth rates slowed. U.S. large-cap equities managed to finish the period in positive territory, and outperformed U.S. small-cap stocks. The S&P 500 and Russell 2000 indices posted returns of 2.92% and –12.89%, respectively, over the 12-month reporting period. International developed markets fared somewhat better than the emerging markets. The MSCI World ex-U.S. Index [ND] returned –2.90% compared with –4.36% for the MSCI Emerging Markets Index [ND] over the 12-month reporting period.
How did fixed-income markets perform?
Bonds rallied at the end of 2018 as risk aversion returned to the marketplace. Heightened fears of a global economic slowdown, falling crude oilprices, and a partial U.S. government shutdown were contributing factors. The demand for safer assets continued well into 2019 despite the rally in global equities. Fixed income assets rallied even more in the late summer as the re-escalation of the U.S.–China trade war and fears of a weakening global economy helped to drive bond prices higher and yields lower. Volatility also impacted U.S. term structure. The yield spread between the 2-year and 10-year notes turned negative for the first time since December 2005. The yield on the 30-year bond hit an all-time low of 1.94% at the end of August 2019. A 2-year/10-year inversion of the yield curve has preceded the past five recessions going back more than 40 years.
Across the Atlantic, yields for developed-market government debt continued to drop, and even set new all-time lows. In addition to the trade war, geopolitical risks contributed to investor risk aversion, in our view. These risks included a no-deal Brexit and the collapse of Italy’s government. The Bloomberg Barclays U.S. Treasury and FTSE World Government Bond Index ex-U.S. [Hedged] indices both posted double-digit positive performance over the 12-month reporting period. These indices gained 10.38% and 12.86%, respectively.
| 4 PanAgora Market Neutral Fund | |
Let’s turn to commodity markets. How did they perform?
Commodity prices plummeted toward the end of 2018. Energy commodities led the decline. However, commodities rebounded at the start of 2019, although the asset class experienced an increase in price volatility during May and August. After reaching a year-to-date peak of $66 per barrel in April 2019, the price of crude oil sank to around $56. Livestock and agricultural commodities also finished the one-year period on the decline. The flight to safer assets toward the end of the period was beneficial for precious metals, including silver, while industrial metals were flat. The S&P GSCI, weighted toward energy, declined 14.52%, while the more balanced Bloomberg Commodity Index declined 5.89% for the reporting period.
Which fund holdings had a large positive or negative impact on returns?
Putnam PanAgora Market Neutral Fund returned –7.08% for the 12-month reporting period. The fund’s long-term portfolio was the largest detractor. Most of the underperformance came from U.S. large-cap stocks. Intermediate-term strategies contributed positively, while short-term strategies detracted.
The long-term portfolio was down due to weaker stock selection within the United States. On a sector basis, consumer discretionary and financials detracted the most. Within the discretionary sector, the alpha model struggled due to poor performance of value and quality metrics. Within financials, industry-specific models (banks and diversified financials) underperformed due to disappointing returns in the top-quintile alpha names. On the other hand, the information technology sector was the top positive contributor due to strong stock selection within the software and services industry group. The alpha model within the tech sector benefited from performance of growth and momentum metrics.
International positions slightly detracted for the reporting period. Positions in Europe detractedmost. The alpha model did not perform well in Europe due to poor performance of value metrics. The top detracting countries were Germany and France. A highlight for the period was solid stock selection in Japan, which was the largest positive international contributor to fund results. The alpha model worked well in Japan driven by good performance of both momentum and quality metrics.
Intermediate strategies also contributed positively. The majority of the positive performance came from U.S. merger and acquisition-related trades within the technology sector.
Short-term strategies detracted from fund performance. Two strategies — index reconstitution and corporate-event-related strategies — were underperformers.
How did the fund use derivatives?
We used total return swaps to take long or short positions in equity securities.
What is your outlook and strategy as the fund’s next annual period begins?
The fund is designed to generate attractive absolute returns under different market conditions and over different horizons. The fund uses a diversified set of strategies that have low correlation to one another. Their combination is expected to result in more stable returns over time than any individual strategy in and of itself.
The majority of the fund’s assets are within the long-term portfolio. This portion utilizes fundamentally based signals applied across a broad universe of stocks and will provide the majority of return over a market cycle, in our view. We believe intermediate- and short-term strategies
| PanAgora Market Neutral Fund 5 |
can provide additional alpha based on the number of corporate and market events.
Thank you, George and Richard, for your time and insights today.
Past performance is not a guarantee of future results.
The opinions expressed in this article represent the current, good-faith views of the author(s) at the time of publication, are provided for limited purposes, are not definitive investment advice, and should not be relied on as such. The information presented in this article has been developed internally and/or obtained from sources believed to be reliable; however, PanAgora Asset Management, Inc. (PanAgora) does not guarantee the accuracy, adequacy or completeness of such information. Predictions, opinions, and other information contained in this article are subject to change continually and without notice of any kind and may no longer be true after the date indicated. As with any investment there is a potential for profit as well as the possibility of loss.
Any forward-looking statements speak only as of the date they are made, and PanAgora assumes no duty to and does not undertake to update forward-looking statements. Forward-looking statements are subject to numerous assumptions, risks, and uncertainties, which change over time. Actual results could differ materially from those anticipated in forward-looking statements. Any investments to which this material relates are available only to or will be engaged in only with investment professionals.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which isderivedfrom an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one purpose: to take long or short positions in equity securities.
For example, the fund’s managers may use derivatives, such as total return swaps, to take long or short positions in equity securities. The fund may also use derivatives as a substitute for a direct investment in the securities of one or more issuers.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. PanAgora monitors the counterparty risks we assume. For example, PanAgora often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
| 6 PanAgora Market Neutral Fund |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended August 31, 2019, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
| Fund performanceTotal return for periods ended 8/31/19 | |||
| Life of fund | Annual average | 1 year | |
| Class A(9/21/17) | |||
| Before sales charge | –13.40% | –7.13% | –7.08% |
| After sales charge | –18.38 | –9.91 | –12.42 |
| Class B(9/21/17) | |||
| Before CDSC | –14.70 | –7.84 | –7.78 |
| After CDSC | –18.11 | –9.76 | –12.39 |
| Class C(9/21/17) | |||
| Before CDSC | –14.70 | –7.84 | –7.78 |
| After CDSC | –14.70 | –7.84 | –8.71 |
| Class M(9/21/17) | |||
| Before sales charge | –14.30 | –7.62 | –7.55 |
| After sales charge | –17.30 | –9.30 | –10.79 |
| Class R(9/21/17) | |||
| Net asset value | –13.80 | –7.35 | –7.31 |
| Class R6(9/21/17) | |||
| Net asset value | –13.00 | –6.91 | –6.85 |
| Class Y(9/21/17) | |||
| Net asset value | –13.00 | –6.91 | –6.85 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter.Class R, R6, and Y shares have no initial sales charge or CDSC.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
| PanAgora Market Neutral Fund 7 |
| Comparative index returnsFor periods ended 8/31/19 | |||
| Life of fund | Annual average | 1 year | |
| ICE BofAML U.S. Treasury Bill Index | 3.89% | 1.98% | 2.44% |
| Lipper Alternative Equity Market Neutral Funds | |||
| category average* | –3.85 | –2.17 | –3.65 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
*Over the 1-year and life-of-fund periods ended 8/31/19, there were 92 and 91 funds, respectively, in this Lipper category.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B shares would have been valued at $8,530 ($8,189 after contingent deferred sales charge). A $10,000 investment in the fund’s class C shares would be valued at $8,530, and no contingent deferred sales charge would apply. A $10,000 investment in the fund’s class M shares ($9,650 after sales charge) would have been valued at $8,270. A $10,000 investment in the fund’s class R, R6, and Y shares would have been valued at $8,620, $8,700, and $8,700, respectively.
| Fund price and distribution informationFor the 12-month period ended 8/31/19 | |||||||||
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |||
| Before | After | Net | Net | Before | After | Net | Net | Net | |
| sales | sales | asset | asset | sales | sales | asset | asset | asset | |
| Share value | charge | charge | value | value | charge | charge | value | value | value |
| 8/31/18 | $9.32 | $9.89 | $9.25 | $9.25 | $9.27 | $9.61 | $9.30 | $9.34 | $9.34 |
| 8/31/19 | 8.66 | 9.19 | 8.53 | 8.53 | 8.57 | 8.88 | 8.62 | 8.70 | 8.70 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
The fund made no distributions during the period.
| 8 PanAgora Market Neutral Fund |
| Fund performance as of most recent calendar quarterTotal return for periods ended 9/30/19 | |||
| Life of fund | Annual average | 1 year | |
| Class A(9/21/17) | |||
| Before sales charge | –13.40% | –6.85% | –6.98% |
| After sales charge | –18.38 | –9.53 | –12.33 |
| Class B(9/21/17) | |||
| Before CDSC | –14.70 | –7.54 | –7.68 |
| After CDSC | –17.26 | –8.92 | –12.30 |
| Class C(9/21/17) | |||
| Before CDSC | –14.70 | –7.54 | –7.68 |
| After CDSC | –14.70 | –7.54 | –8.61 |
| Class M(9/21/17) | |||
| Before sales charge | –14.30 | –7.33 | –7.45 |
| After sales charge | –17.30 | –8.95 | –10.69 |
| Class R(9/21/17) | |||
| Net asset value | –13.80 | –7.06 | –7.11 |
| Class R6(9/21/17) | |||
| Net asset value | –13.00 | –6.64 | –6.75 |
| Class Y(9/21/17) | |||
| Net asset value | –13.00 | –6.64 | –6.75 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
| PanAgora Market Neutral Fund 9 |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
| Expense ratios | |||||||
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Net expenses for the fiscal year | |||||||
| ended 8/31/18*† | 1.82% | 2.57% | 2.57% | 2.32% | 2.07% | 1.58% | 1.57% |
| Total annual operating expenses for the | |||||||
| fiscal year ended 8/31/18* | 3.42% | 4.17% | 4.17% | 3.92% | 3.67% | 3.18% | 3.17% |
| Annualized expense ratio for the | |||||||
| six-month period ended 8/31/19‡ | 1.79% | 2.54% | 2.54% | 2.29% | 2.04% | 1.55% | 1.54% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.03%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
*Other expenses have been annualized.
†Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 12/30/19.
‡Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 3/1/19 to 8/31/19. It also shows how much a $1,000 investment would be worth at the close of the period, assumingactual returnsand expenses.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $8.78 | $12.43 | $12.43 | $11.21 | $10.00 | $7.61 | $7.56 |
| Ending value (after expenses) | $946.40 | $941.50 | $941.50 | $942.80 | $945.20 | $946.70 | $946.70 |
*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/19. The expense ratio may differ for each share class.
†Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
| 10 PanAgora Market Neutral Fund | |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 8/31/19, use the following calculation method. To find the value of your investment on 3/1/19, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming ahypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $9.10 | $12.88 | $12.88 | $11.62 | $10.36 | $7.88 | $7.83 |
| Ending value (after expenses) | $1,016.18 | $1,012.40 | $1,012.40 | $1,013.66 | $1,014.92 | $1,017.39 | $1,017.44 |
*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/19. The expense ratio may differ for each share class.
†Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
| PanAgora Market Neutral Fund 11 |
Consider these risks before investing
There can be no assurance that the fund’s strategies will achieve any particular level of return. The fund’s allocation of assets may hurt performance, and efforts to generate returns under different market conditions and over different time horizons may be unsuccessful. Quantitative models or data may be incorrect or incomplete, and reliance on those models or data may not produce the desired results. 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. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Bond investments in which the fund invests (or has exposure to) are subject to interest-rate risk and credit risk. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives (including “short” derivatives) include losses caused by unexpected market movements (which are potentially unlimited), imperfect correlation between the price of the derivative and the price of the underlying asset, increased investment exposure (which may be considered leverage), the potential inability to terminate or sell derivatives positions, the potential need to sell securities at disadvantageous times to meet margin or segregation requirements, the potential inability to recover margin or other amounts deposited from a counterparty, and the potential failure of the other party to the instrument to meet its obligations. Leveraging can result in volatility in the fund’s performance and losses in excess of the amounts invested. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Exposure to REITs subjects the fund to the risks associated with direct ownership in real estate, including economic downturns that have an adverse effect on real estate markets. By investing in open-end or closed-end investment companies and ETFs, the fund is indirectly exposed to the risks associated with direct ownership of the securities held by those investment companies or ETFs. Certain investments are not as readily traded as conventional securities, and the fund may be unable to sell these investments when it considers it desirable to do so. Frequent trading may cause the fund to experience increased brokerage commissions and other transaction costs, and the fund may be more likely to realize capital gains that must be distributed to shareholders as taxable ordinary income. You can lose money by investing in the fund.
| 12 PanAgora Market Neutral Fund | |
Terms and definitions
Important terms
Total returnshows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales chargeis the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC)is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A sharesare generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B sharesare closed to new investments and are only available by exchange from another Putnam fund or through dividend and/ or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C sharesare not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shareshave a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.
Class R sharesare not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 sharesare not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y sharesare not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Indexis an unmanaged index of U.S. investment-grade fixed-income securities.
Bloomberg Barclays U.S. Treasury Indexis an unmanaged index of U.S.-dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury.
Bloomberg Commodity Indexis a broadly diversified index that measures the prices of commodities.
FTSE World Government Bond Index (WGBI) ex-U.S. (Hedged)is an unmanaged index that represents the world bond market, excluding the United States.
ICE BofAML (Intercontinental Exchange Bank of America Merrill Lynch) U.S. Treasury Bill Indexis 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.
| PanAgora Market Neutral Fund 13 |
MSCI Emerging Markets Index (ND)is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
MSCI World ex-U.S. Index (ND)is an unmanaged index of equity securities from developed countries, excluding the United States. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
Russell 2000 Indexis an unmanaged index of 2,000 small companies in the Russell 3000 Index.
S&P 500 Indexis an unmanaged index of common stock performance.
S&P GSCIis a composite index of commodity sector returns that represents a broadlydiversified, unleveraged, long-only position in commodity futures.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
ICE Data Indices, LLC (“ICE BofAML”), used with permission. ICE BofAML permits use of the ICE BofAML indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Lipperis a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
| 14 PanAgora Market Neutral Fund | |
Other information for shareholders
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2019, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the firstand third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of August 31, 2019, Putnam employees had approximately $470,000,000 and the Trustees had approximately $72,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
| PanAgora Market Neutral Fund 15 |
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized accessto our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
| 16 PanAgora Market Neutral Fund | |
Trustee approval of management contract
General conclusions
The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-advisory contract with respect to your fund between Putnam Management and its affiliate, PanAgora Asset Management, Inc. (“PanAgora”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel discussed with representatives of Putnam Management the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review, identifying possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and PanAgora furnish specified information, together with any additional information that Putnam Management and PanAgora considered relevant, to the Contract Committee. Over the course of several months ending in June 2019, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management and PanAgora provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.
In May 2019, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2019 meeting, the Contract Committee met inexecutive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management contract (as well as the management and sub-advisory contracts of its wholly-owned subsidiary) and the approval of an amended and restated sub-advisory contract with respect to your fund between Putnam Management and PanAgora, effective July 1, 2019. In considering whether to approve the amended and restated sub-advisory contract, the Trustees noted that the amended and restated sub-advisory contract differed in substance from the existing sub-advisory contract only in that the amended and restated sub-advisory contract provided that PanAgora may voluntarily waive all or a portion of its sub-advisory fees on written notice to Putnam Management.
The Independent Trustees’ approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management and PanAgora in providing services to the fund, and the application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management and PanAgora of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors.
| PanAgora Market Neutral Fund 17 |
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.)
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee structure for your fund would be appropriate at this time.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee rates as assets under management of all open-end funds sponsored by Putnam Management for which PanAgora acts as sub-adviser increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders, Putnam Management and PanAgora.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2018. These expense limitations were: (i) a contractual expense limitation applicable to all open-end funds of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes,brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2018. However, in the case of your fund, the second of the expense limitations was operative during its fiscal year ending in 2018. Putnam Management and PSERV have agreed to maintain these expense limitations until at least December 30, 2020. The support of Putnam Management and PSERV for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management contract and the approval of your fund’s amended and restated sub-advisory contract.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the third quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the fourth quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2018. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2018 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and PanAgora from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management,
| 18 PanAgora Market Neutral Fund | |
distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees also reviewed the costs incurred by PanAgora in providing its services under the sub-advisory contract and the resulting profitability to it in respect of your fund. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders, Putnam Management and PanAgora of such economies of scale as may exist in the management of the fund at that time.
The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding fees charged by Putnam Management and its affiliates (including PanAgora) to institutional clients, including defined benefit pension and profit-sharing plans and sub-advised mutual funds. This information included, in cases where an institutional product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, and the Trustees also considered differences between the services that Putnam Management and PanAgora provide to the Putnam funds and those that they provide to their other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management, and the quality of services provided by Putnam Management with respectto your fund, represented major factors in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officers and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period. With respect to its review of PanAgora’s investment process and your fund’s investment performance, the Contract Committee, along with other members of the Board, met with a portfolio manager of your fund to review, among other items, the fund’s investment strategy, performance attribution, risks and outlook.
The Trustees considered that, after a strong start to the year, 2018 was a mixed year for The Putnam Funds, with the Putnam open-end Funds’ performance, on an asset-weighted basis, ranking in the 54th percentile of their Lipper Inc. (“Lipper”) peers (excluding those Putnam funds that are evaluated based on their total returns versus selected investment benchmarks). The Trustees also noted that The Putnam Funds were ranked by the Barron’s/Lipper Fund Families survey as the 41st-best performing mutual fund complex out of 57 complexes for the one-year period ended December 31, 2018 and the 29th-best performing mutual fund complex out of 55 complexes for the five-year period ended December 31, 2018. The Trustees observed that The Putnam Funds’ performance over the longer-term continued to be strong, ranking 6th out of 49 mutual fund complexes in the survey over the ten-year period ended 2018. In addition, the Trustees noted that 22 of the funds were four- or five-star rated by Morningstar Inc. at the end of 2018. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2018 and considered information
| PanAgora Market Neutral Fund 19 |
provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds, including the effectiveness of any efforts Putnam Management has undertaken to address underperformance and whether additional actions to address areas of underperformance are warranted.
For purposes of the Trustees’ evaluation of the Putnam Funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the fourth quartile of its Lipper peer group (Lipper Alternative Equity Market Neutral Funds) for the one-year period ended December 31, 2018 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds). Over the one-year period ended December 31, 2018, there were 97 funds in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.) The Trustees expressed concern about your fund’s fourth quartile performance over the one-year period ended December 31, 2018 and considered the circumstances that may have contributed to this disappointing performance. The Trustees noted Putnam Management’s observation that the fund’s diversified, quantitative strategy, which is based on the view that companies with strong fundamentals will outperform over time, performed less favorably in the recent later stage market, in which strong returns were concentrated in fewer securities and driven to a lesser extent by a company’s fundamentals.
The Trustees considered that Putnam Management remained confident in the fund’s portfolio managers. The Trustees also noted that the fund was launched in September 2017, that itsperformance track record was somewhat limited, and that the portfolio managers sought to deliver strong performance over a full economic cycle. The Trustees considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires in 2018 to strengthen its investment team. The Trustees will continue to closely monitor your fund and its investment performance in the coming year.
As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance concerns that may arise from time to time. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on Putnam Management’s willingness to take appropriate measures to address fund performance issues and Putnam Management’s responsiveness to Trustee concerns about investment performance, the Trustees concluded that it continued to be advisable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund, with all the attendant risks and disruptions, would not likely provide any greater assurance of improved investment performance.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management and PanAgora may receive in connection with the services they provide under the management and sub-advisory contracts with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to PanAgora in managing the assets of the fund and of other clients. Subject to policies approved by the Trustees, soft dollars generated by these means are used predominantly to
| 20 PanAgora Market Neutral Fund | |
acquire brokerage and research services (including third-party research and market data) that enhance PanAgora’s investment capabilities and supplement PanAgora’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. The Trustees also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual reviewof your fund’s management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.
| PanAgora Market Neutral Fund 21 |
Audited financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited financial statements.
The fund’s portfoliolists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilitiesshows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operationsshows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operatingexpenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.
Statement of changes in net assetsshows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.
Financial highlightsprovide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| 22 PanAgora Market Neutral Fund | |
Report of Independent Registered Public Accounting Firm
To the Trustees of Putnam Investment Funds and Shareholders
of Putnam PanAgora Market Neutral Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam PanAgora Market Neutral Fund (one of the funds constituting Putnam Investment Funds, referred to hereafter as the “Fund”) as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, and the statement of changes in net assets and the financial highlights for the year ended August 31, 2019 and for the period September 21, 2017 (commencement of operations) through August 31, 2018 including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations for the year ended August 31, 2019, and the changes in its net assets and the financial highlights for the year ended August 31, 2019 and for the period September 21, 2017 (commencement of operations) through August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and the broker; when replies were not received from the broker, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 14, 2019
We have served as the auditor of one or more investment companies in the Putnam Investments family of mutual funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.
| PanAgora Market Neutral Fund 23 |
| The fund’s portfolio8/31/19 | ||
| INVESTMENT COMPANIES (1.7%)* | Shares | Value |
| State Street Institutional U.S. Government Money Market Fund | 172,790 | $172,790 |
| Total investment companies (cost $172,790) | $172,790 | |
| SHORT-TERM INVESTMENTS (97.6%)* | Principal amount | Value |
| U.S. Treasury Bills with effective yields ranging from 2.474% | ||
| to 2.577%, 9/12/19 Δ | $4,850,000 | $4,847,727 |
| U.S. Treasury Bills with an effective yield of 2.358%, 11/21/19 | 4,850,000 | 4,829,370 |
| Total short-term investments (cost $9,670,910) | $9,677,097 | |
| TOTAL INVESTMENTS | ||
| Total investments (cost $9,843,700) | $9,849,887 | |
| Key to holding’s abbreviations | |
| ADR/Adr | American Depository Receipts: represents ownership of foreign securities on deposit with a |
| custodian bank | |
| ETF/Etf | Exchange Traded Fund |
| GDR/Gdr | Global Depository Receipts: represents ownership of foreign securities on deposit with a |
| custodian bank | |
| NVDR/Nvdr | Non-voting Depository Receipts |
| OTC | Over-the-counter |
| PJSC/Pjsc | Public Joint Stock Company |
| SPDR/Spdr | S&P Depository Receipts |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from September 1, 2018 through August 31, 2019 (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 and references to “ASC 820” represent Accounting Standards Codification 820Fair Value Measurements and Disclosures.
*Percentages indicated are based on net assets of $9,911,284.
ΔThis security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $3,789,194 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
The dates shown on debt obligations are the original maturity dates.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19 | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC | ||||||
| $81,002 | $80,597 | $— | 1/29/20 | (Federal Funds | Abbvie Inc — | $(420) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 38,909 | 38,965 | — | 1/29/20 | (Federal Funds | Acacia | 48 |
| Effective Rate US | Communications | |||||
| plus 0.25%) — | Inc — Monthly | |||||
| Monthly | ||||||
| 24 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $34,869 | $35,465 | $— | 1/29/20 | (Federal Funds | Acs Actividades | $589 |
| Effective Rate US | De Construccion | |||||
| plus 0.25%) — | Y Servicios Sa — | |||||
| Monthly | Monthly | |||||
| 52,292 | 52,867 | — | 1/29/20 | (Federal Funds | Adidas Ag — | 565 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 64,140 | 64,699 | — | 1/29/20 | (Federal Funds | Advance Auto Parts | 545 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 86,521 | 86,334 | — | 1/29/20 | (Federal Funds | Advanced Disposal | (203) |
| Effective Rate US | Services Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 8,240 | 8,339 | — | 1/27/20 | (Federal Funds | Advanced Info | 96 |
| Effective Rate US | Service Pcl Nvdr — | |||||
| plus 0.75%) — | Monthly | |||||
| Monthly | ||||||
| 39,492 | 40,345 | — | 1/29/20 | (Federal Funds | Aflac Inc — Monthly | 845 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 82,210 | 84,534 | — | 1/29/20 | (Federal Funds | Agco Corp — | 2,307 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 161,631 | 164,335 | — | 1/29/20 | (Federal Funds | Agilent | 2,672 |
| Effective Rate US | Technologies Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 13,341 | 12,537 | — | 8/01/24 | (Federal Funds | Agility Public | (826) |
| Effective Rate US | Warehousing Co | |||||
| plus 1.20%) — | Kscp — Monthly | |||||
| Monthly | ||||||
| 6,119 | 6,415 | — | 1/29/20 | (Federal Funds | Aguas Andinas Sa — | 295 |
| Effective Rate US | Monthly | |||||
| plus 1.25%) — | ||||||
| Monthly | ||||||
| 112,001 | 113,195 | — | 1/29/20 | (Federal Funds | Akamai | 1,172 |
| Effective Rate US | Technologies Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 4,936 | 4,936 | — | 7/09/24 | (Federal Funds | Al Rajhi Bank — | (1) |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 25 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $12,550 | $13,309 | $— | 1/29/20 | (Federal Funds | Alfa Sab De Cv — | $756 |
| Effective Rate US | Monthly | |||||
| plus 0.90%) — | ||||||
| Monthly | ||||||
| 27,961 | 28,005 | — | 1/27/20 | (Federal Funds | Alfresa Holdings | 37 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 41,595 | 41,527 | — | 1/29/20 | (Federal Funds | Allergan Plc — | (76) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 159,425 | 164,880 | — | 1/29/20 | (Federal Funds | Allison Transmission | 5,423 |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 110,333 | 111,910 | — | 1/29/20 | (Federal Funds | Alphabet Inc — | 1,555 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 122,777 | 124,502 | — | 1/29/20 | (Federal Funds | Altice Usa Inc — | 1,701 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 50,937 | 52,146 | — | 1/27/20 | (Federal Funds | Amada Holdings Co | 1,196 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 165,840 | 166,971 | — | 1/29/20 | (Federal Funds | Amazon.Com Inc — | 1,099 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 141,959 | 145,489 | — | 1/29/20 | (Federal Funds | Ameriprise Financial | 3,502 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 82,848 | 84,641 | — | 1/29/20 | (Federal Funds | Ametek Inc — | 1,776 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,704 | 18,676 | — | 1/28/20 | (Federal Funds | Ammb Holdings | 966 |
| Effective Rate US | Bhd — Monthly | |||||
| plus 0.75%) — | ||||||
| Monthly | ||||||
| 64,645 | 65,685 | — | 1/29/20 | (Federal Funds | Anaplan Inc — | 1,027 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 26 PanAgora Market Neutral Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $5,653 | $5,635 | $— | 1/29/20 | (Federal Funds | Anhui Conch | $(20) |
| Effective Rate US | Cement Co Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 38,378 | 38,833 | — | 1/29/20 | (Federal Funds | Ansys Inc — Monthly | 447 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,179 | 16,190 | — | 1/27/20 | (Federal Funds | Aozora Bank Ltd — | 7 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,726 | 39,844 | — | 1/29/20 | (Federal Funds | Aptargroup Inc — | 110 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 44,160 | 44,127 | — | 1/29/20 | (Federal Funds | Aquantia Corp — | (42) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 8,265 | 8,373 | — | 1/29/20 | (Federal Funds | Arca Continental Sa | 106 |
| Effective Rate US | De Cv — Monthly | |||||
| plus 0.90%) — | ||||||
| Monthly | ||||||
| 18,673 | 18,942 | — | 1/29/20 | (Federal Funds | Aristocrat Leisure | 265 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 41,705 | 42,022 | — | 1/27/20 | (Federal Funds | Asahi Group | 306 |
| Effective Rate US | Holdings Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 59,118 | 62,727 | — | 1/29/20 | (Federal Funds | Ashtead Group | 3,597 |
| Effective Rate US | Plc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 47,967 | 48,740 | — | 1/29/20 | (Federal Funds | Asm International | 763 |
| Effective Rate US | Nv — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,808 | 8,095 | — | 1/27/20 | (Federal Funds | Atacadao Sa — | 284 |
| Effective Rate US | Monthly | |||||
| plus 0.65%) — | ||||||
| Monthly | ||||||
| 39,517 | 39,661 | — | 1/29/20 | (Federal Funds | Autozone Inc — | 136 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 27 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $30,590 | $30,860 | $— | 1/29/20 | (Federal Funds | Avista Corp — | $264 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,617 | 17,586 | — | 1/29/20 | (Federal Funds | Aviva Plc — Monthly | (34) |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 51,401 | 52,487 | — | 1/29/20 | (Federal Funds | Avon Products Inc —�� | 1,076 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 32,717 | 35,441 | — | 1/27/20 | (Federal Funds | Banco Btg Pactual | 2,714 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.65%) — | ||||||
| Monthly | ||||||
| 4,260 | 4,476 | — | 1/27/20 | (Federal Funds | Banco Do Brasil | 214 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.65%) — | ||||||
| Monthly | ||||||
| 4,651 | 4,849 | — | 1/29/20 | (Federal Funds | Bank Millennium | 197 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.70%) — | ||||||
| Monthly | ||||||
| 51,042 | 52,297 | — | 1/29/20 | (Federal Funds | Bank Of America | 1,245 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 20,112 | 20,296 | — | 1/29/20 | (Federal Funds | Bank Of | 181 |
| Effective Rate US | Communications Co | |||||
| plus 0.25%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 55,535 | 55,999 | — | 1/29/20 | (Federal Funds | Barratt | 454 |
| Effective Rate US | Developments Plc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 4,773 | 4,767 | — | 1/29/20 | (Federal Funds | Beijing Enterprises | (7) |
| Effective Rate US | Holdings — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,028 | 40,357 | — | 1/29/20 | (Federal Funds | Berkeley Group | 1,321 |
| Effective Rate US | Holdings Plc /The — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 137,172 | 126,536 | — | 1/29/20 | (Federal Funds | Best Buy Co Inc — | (10,663) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 28 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $17,511 | $18,073 | $— | 1/29/20 | (Federal Funds | Bhp Group Plc — | $558 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 47,375 | 47,083 | — | 1/29/20 | (Federal Funds | Bluescope Steel | (301) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,587 | 17,850 | — | 1/29/20 | (Federal Funds | Bnp Paribas Sa — | 260 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 73,794 | 74,638 | — | 1/29/20 | (Federal Funds | Boeing Co/The — | 830 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,440 | 19,583 | — | 1/29/20 | (Federal Funds | Boliden Ab — | 1,139 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 57,340 | 58,799 | — | 1/29/20 | (Federal Funds | Borgwarner Inc — | 1,755 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 10,986 | 10,417 | — | 8/01/24 | (Federal Funds | Boubyan Bank | (588) |
| Effective Rate US | Kscp — Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 9,689 | 9,150 | — | 8/01/24 | (Federal Funds | Boubyan | (557) |
| Effective Rate US | Petrochemicals Co | |||||
| plus 1.20%) — | Kscp — Monthly | |||||
| Monthly | ||||||
| 15,114 | 15,273 | — | 1/27/20 | (Federal Funds | Bridgestone Corp — | 155 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 86,907 | 85,853 | — | 1/29/20 | (Federal Funds | Bristol-Myers | (1,071) |
| Effective Rate US | Squibb Co — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 114,056 | 116,429 | — | 1/29/20 | (Federal Funds | Bruker Corp — | 2,458 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,228 | 43,123 | — | 1/29/20 | (Federal Funds | Buckeye Partners | (114) |
| Effective Rate US | Lp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 29 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $152,817 | $156,614 | $— | 1/29/20 | (Federal Funds | Cadence Design | $3,766 |
| Effective Rate US | Systems Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 41,571 | 41,862 | — | 1/29/20 | (Federal Funds | Caesars | 283 |
| Effective Rate US | Entertainment | |||||
| plus 0.25%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 32,975 | 33,577 | — | 1/27/20 | (Federal Funds | Calbee Inc — | 593 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,224 | 39,614 | — | 1/29/20 | (Federal Funds | Cambrex Corp — | 382 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 72,692 | 77,940 | — | 1/29/20 | (Federal Funds | Campbell Soup | 5,234 |
| Effective Rate US | Co — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 15,553 | 15,607 | — | 1/27/20 | (Federal Funds | Canon Inc — | 50 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 102,946 | 105,417 | — | 1/29/20 | (Federal Funds | Capital One | 2,451 |
| Effective Rate US | Financial Corp — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 30,686 | 31,326 | — | 1/29/20 | (Federal Funds | Carnival Plc — | 633 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 30,356 | 30,690 | — | 1/29/20 | (Federal Funds | Carrizo Oil & Gas | 327 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 142,344 | 147,147 | — | 1/29/20 | (Federal Funds | Cdw Corp/De — | 4,774 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,773 | 43,463 | — | 1/29/20 | (Federal Funds | Celgene Corp — | (318) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 28,240 | 28,080 | — | 1/30/20 | (Federal Funds | Chicony Electronics | (166) |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 30 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $4,879 | $5,008 | $— | 1/29/20 | (Federal Funds | China Everbright | $128 |
| Effective Rate US | Bank Co Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 15,593 | 15,720 | — | 1/30/20 | (Federal Funds | China Life Insurance | 124 |
| Effective Rate US | Co Ltd/Taiwan — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 7,441 | 7,489 | — | 1/29/20 | (Federal Funds | China Medical | 207 |
| Effective Rate US | System Holdings | |||||
| plus 0.25%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 17,275 | 17,045 | — | 1/29/20 | (Federal Funds | China Resources | (233) |
| Effective Rate US | Pharmaceutical | |||||
| plus 0.25%) — | Group Ltd — | |||||
| Monthly | Monthly | |||||
| 4,088 | 4,172 | — | 1/29/20 | (Federal Funds | Cia De Saneamento | 83 |
| Effective Rate US | Basico Do Estado | |||||
| plus 0.25%) — | De Sao Paulo Adr — | |||||
| Monthly | Monthly | |||||
| 4,634 | 4,743 | — | 1/29/20 | (Federal Funds | Citic Ltd — Monthly | 107 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 136,798 | 138,075 | — | 1/29/20 | (Federal Funds | Citrix Systems Inc — | 1,249 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 10,515 | 10,194 | — | 1/29/20 | (Federal Funds | Ck Asset Holdings | (323) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 26,212 | 26,151 | — | 1/29/20 | (Federal Funds | Ck Hutchison | (66) |
| Effective Rate US | Holdings Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 18,445 | 18,801 | — | 1/29/20 | (Federal Funds | Clariant Ag — | 352 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 111,018 | 110,104 | — | 1/29/20 | (Federal Funds | Clean Harbors Inc — | (936) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 49,250 | 54,109 | — | 1/29/20 | (Federal Funds | Cnh Industrial Nv — | 4,849 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 31 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $17,366 | $17,447 | $— | 1/29/20 | (Federal Funds | Cnp Assurances — | $77 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 13,028 | 13,216 | — | 1/29/20 | (Federal Funds | Coca-Cola Femsa | 186 |
| Effective Rate US | Sab De Cv Adr — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 18,081 | 18,220 | — | 1/29/20 | (Federal Funds | Coca-Cola Hbc Ag — | 135 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 12,379 | 13,026 | — | 1/29/20 | (Federal Funds | Colbun Sa — | 644 |
| Effective Rate US | Monthly | |||||
| plus 1.25%) — | ||||||
| Monthly | ||||||
| 117,977 | 121,081 | — | 1/29/20 | (Federal Funds | Comerica Inc — | 3,079 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,358 | 17,661 | — | 1/28/20 | (Federal Funds | Comfortdelgro Corp | 298 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.55%) — | ||||||
| Monthly | ||||||
| 15,505 | 15,818 | — | 1/27/20 | (Federal Funds | Concordia Financial | 309 |
| Effective Rate US | Group Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 127,996 | 128,508 | — | 1/29/20 | (Federal Funds | Costar Group Inc — | 487 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 70,852 | 70,160 | — | 1/29/20 | (Federal Funds | Coupa Software | (706) |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,695 | 19,369 | — | 1/29/20 | (Federal Funds | Covestro Ag — | 671 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 8,587 | 8,758 | — | 1/29/20 | (Federal Funds | Covetrus Inc — | 170 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 40,507 | 40,519 | — | 1/29/20 | (Federal Funds | Cray Inc — Monthly | 4 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 32 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $47,430 | $46,778 | $— | 1/29/20 | (Federal Funds | Crown Resorts | $(661) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 55,647 | 57,034 | — | 1/29/20 | (Federal Funds | Csx Corp — Monthly | 1,580 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 144,435 | 148,076 | — | 1/29/20 | (Federal Funds | Cummins Inc — | 3,611 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 44,345 | 44,616 | — | 1/29/20 | (Federal Funds | Cypress | 476 |
| Effective Rate US | Semiconductor | |||||
| plus 0.25%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 25,860 | 25,776 | — | 1/27/20 | (Federal Funds | Daito Trust | (91) |
| Effective Rate US | Construction Co | |||||
| plus 0.25%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 104,093 | 104,769 | — | 1/29/20 | (Federal Funds | Darden Restaurants | 655 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 20,270 | 21,375 | — | 1/29/20 | (Federal Funds | Dassault Aviation | 1,101 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,927 | 41,319 | — | 1/29/20 | (Federal Funds | Davita Inc — | 1,387 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 85,753 | 97,546 | — | 1/29/20 | (Federal Funds | Dell Technologies | 11,776 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 48,291 | 49,758 | — | 1/29/20 | (Federal Funds | Delphi Technologies | 1,458 |
| Effective Rate US | Plc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 23,003 | 23,321 | — | 1/30/20 | (Federal Funds | Delta Electronics | 313 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 36,849 | 36,312 | — | 1/29/20 | (Federal Funds | Direct Line | (544) |
| Effective Rate US | Insurance Group | |||||
| plus 0.25%) — | Plc — Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 33 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $20,089 | $20,334 | $— | 1/29/20 | (Federal Funds | Doosan Bobcat | $240 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 39,218 | 39,774 | — | 1/29/20 | (Federal Funds | Dropbox Inc — | 556 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,378 | 39,264 | — | 1/29/20 | (Federal Funds | Dryships Inc — | (122) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 71,341 | 73,963 | — | 1/29/20 | (Federal Funds | E*Trade Financial | 2,609 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 108,161 | 112,120 | — | 1/29/20 | (Federal Funds | Eaton Corp Plc — | 3,937 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 133,019 | 133,682 | — | 1/29/20 | (Federal Funds | Ebay Inc — Monthly | 1,102 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 20,099 | 20,463 | — | 1/27/20 | (Federal Funds | Eisai Co Ltd — | 358 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,160 | 43,355 | — | 1/29/20 | (Federal Funds | El Paso Electric Co — | 186 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 50,935 | 51,853 | — | 1/29/20 | (Federal Funds | Eli Lilly & Co — | 908 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 8,907 | 8,817 | — | 1/29/20 | (Federal Funds | Emaar Properties | (92) |
| Effective Rate US | Pjsc — Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 43,875 | 43,949 | — | 1/29/20 | (Federal Funds | Entegra Financial | 64 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 52,821 | 54,030 | — | 1/29/20 | (Federal Funds | Essity Ab — Monthly | 1,199 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 34 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $101,343 | $105,044 | $— | 1/29/20 | (Federal Funds | Evercore Inc — | $4,444 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,085 | 17,957 | — | 1/29/20 | (Federal Funds | Evraz Plc — Monthly | (131) |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 75,558 | 75,978 | — | 1/29/20 | (Federal Funds | Expedia Group Inc — | 406 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,042 | 19,305 | — | 1/29/20 | (Federal Funds | Faurecia Se — | 1,259 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,837 | 7,954 | — | 1/29/20 | (Federal Funds | Financiere De Tubize | 115 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 79,691 | 80,582 | — | 1/29/20 | (Federal Funds | Finisar Corp — | 876 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 128,854 | 133,100 | — | 1/29/20 | (Federal Funds | First Hawaiian Inc — | 4,222 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 23,098 | 22,971 | — | 1/29/20 | (Federal Funds | Ford Otomotiv | (135) |
| Effective Rate US | Sanayi As — Monthly | |||||
| plus 0.70%) — | ||||||
| Monthly | ||||||
| 10,793 | 10,840 | — | 1/30/20 | (Federal Funds | Formosa Taffeta Co | 45 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 122,979 | 117,107 | — | 1/29/20 | (Federal Funds | Fortinet Inc — | (5,896) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 15,345 | 15,434 | — | 1/29/20 | (Federal Funds | Fresenius Medical | 86 |
| Effective Rate US | Care Ag & Co Kgaa — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 129,874 | 133,381 | — | 1/29/20 | (Federal Funds | Frontdoor Inc — | 3,481 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 35 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $8,348 | $8,338 | $— | 1/30/20 | (Federal Funds | Fubon Financial | $(12) |
| Effective Rate US | Holding Co — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 38,168 | 38,240 | — | 1/29/20 | (Federal Funds | Gannett Co Inc — | 65 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 110,160 | 111,832 | — | 1/29/20 | (Federal Funds | Garmin Ltd — | 1,650 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 68,179 | 69,468 | — | 1/29/20 | (Federal Funds | Genpact Ltd — | 1,277 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 79,014 | 75,837 | — | 1/29/20 | (Federal Funds | Gentex Corp — | (3,193) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,050 | 17,259 | — | 1/28/20 | (Federal Funds | Genting Singapore | 204 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.55%) — | ||||||
| Monthly | ||||||
| 7,612 | 7,625 | — | 1/27/20 | (Federal Funds | Glow Energy Pcl | 10 |
| Effective Rate US | Nvdr — Monthly | |||||
| plus 0.75%) — | ||||||
| Monthly | ||||||
| 15,612 | 16,178 | — | 1/29/20 | (Federal Funds | Gmexico | 562 |
| Effective Rate US | Transportes Sab De | |||||
| plus 0.90%) — | Cv — Monthly | |||||
| Monthly | ||||||
| 16,068 | 16,023 | — | 1/29/20 | (Federal Funds | Gn Store Nord As — | (48) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 19,426 | 20,055 | — | 1/29/20 | (Federal Funds | Grupo Aval Acciones | 707 |
| Effective Rate US | Y Valores Sa — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 12,566 | 12,582 | — | 1/29/20 | (Federal Funds | Guangzhou | 14 |
| Effective Rate US | Baiyunshan | |||||
| plus 0.25%) — | Pharmaceutical | |||||
| Monthly | Holdings Co Ltd — | |||||
| Monthly | ||||||
| 15,684 | 14,693 | — | 1/27/20 | (Federal Funds | Gudang Garam Tbk | (996) |
| Effective Rate US | Pt — Monthly | |||||
| plus 0.75%) — | ||||||
| Monthly | ||||||
| 36 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $13,097 | $12,347 | $— | 8/01/24 | (Federal Funds | Gulf Bank Kscp — | $(772) |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 7,953 | 8,110 | — | 1/29/20 | (Federal Funds | Hankook Tire & | 155 |
| Effective Rate US | Technology Co | |||||
| plus 0.35%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 54,531 | 55,524 | — | 1/29/20 | (Federal Funds | Hanover Insurance | 982 |
| Effective Rate US | Group Inc/The — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 11,748 | 12,514 | — | 1/27/20 | (Federal Funds | Hapvida | 762 |
| Effective Rate US | Participacoes E | |||||
| plus 0.65%) — | Investimentos Sa — | |||||
| Monthly | Monthly | |||||
| 157,882 | 157,531 | — | 1/29/20 | (Federal Funds | Hartford Financial | 429 |
| Effective Rate US | Services Group Inc/ | |||||
| plus 0.25%) — | The — Monthly | |||||
| Monthly | ||||||
| 110,900 | 113,228 | — | 1/29/20 | (Federal Funds | Hd Supply Holdings | 2,306 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,864 | 7,880 | — | 1/30/20 | (Federal Funds | Highwealth | 14 |
| Effective Rate US | Construction | |||||
| plus 0.35%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 33,328 | 33,704 | — | 1/29/20 | (Federal Funds | Hill-Rom Holdings | 369 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 36,488 | 36,671 | — | 1/29/20 | (Federal Funds | Hilton Worldwide | 175 |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 43,582 | 43,262 | — | 1/27/20 | (Federal Funds | Hitachi High- | (332) |
| Effective Rate US | Technologies | |||||
| plus 0.25%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 16,820 | 17,095 | — | 1/27/20 | (Federal Funds | Hitachi Ltd — | 270 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 30,855 | 31,056 | — | 1/29/20 | (Federal Funds | Hochtief Ag — | 195 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 37 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $12,903 | $13,410 | $— | 1/27/20 | (Federal Funds | Home Product | $503 |
| Effective Rate US | Center Pcl Nvdr — | |||||
| plus 0.75%) — | Monthly | |||||
| Monthly | ||||||
| 16,986 | 17,628 | — | 1/28/20 | (Federal Funds | Hong Leong | 637 |
| Effective Rate US | Financial Group | |||||
| plus 0.75%) — | Bhd — Monthly | |||||
| Monthly | ||||||
| 17,786 | 17,804 | — | 1/29/20 | (Federal Funds | Hugo Boss Ag — | 15 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,621 | 16,209 | — | 1/29/20 | (Federal Funds | Hysan Development | (415) |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 36,425 | 36,668 | — | 1/29/20 | (Federal Funds | Iac/Interactive | 236 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,783 | 17,141 | — | 1/27/20 | (Federal Funds | Iida Group Holdings | 353 |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 99,654 | 100,230 | — | 1/29/20 | (Federal Funds | Incyte Corp — | 556 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 8,243 | 8,495 | — | 1/27/20 | (Federal Funds | Indofood Cbp | 250 |
| Effective Rate US | Sukses Makmur Tbk | |||||
| plus 0.75%) — | Pt — Monthly | |||||
| Monthly | ||||||
| 33,816 | 34,750 | — | 1/27/20 | (Federal Funds | Indofood Sukses | 1,666 |
| Effective Rate US | Makmur Tbk Pt — | |||||
| plus 0.75%) — | Monthly | |||||
| Monthly | ||||||
| 11,288 | 11,399 | — | 1/29/20 | (Federal Funds | Inter Rao Ues Pjsc — | 109 |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 18,666 | 18,791 | — | 1/29/20 | (Federal Funds | Intesa Sanpaolo | 122 |
| Effective Rate US | Spa — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 21,902 | 22,776 | — | 1/27/20 | (Federal Funds | Investec Ltd — | 868 |
| Effective Rate US | Monthly | |||||
| plus 0.60%) — | ||||||
| Monthly | ||||||
| 38 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $15,722 | $15,967 | $— | 1/27/20 | (Federal Funds | Itochu Corp — | $241 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 30,170 | 30,343 | — | 1/27/20 | (Federal Funds | Itochu Techno- | 165 |
| Effective Rate US | Solutions Corp — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 97,749 | 101,716 | — | 1/29/20 | (Federal Funds | Itt Inc — Monthly | 3,948 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 22,928 | 22,774 | — | 1/29/20 | (Federal Funds | J Alexander’s | (159) |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 60,985 | 62,168 | — | 1/28/20 | (Federal Funds | Jardine Cycle & | 1,165 |
| Effective Rate US | Carriage Ltd — | |||||
| plus 0.55%) — | Monthly | |||||
| Monthly | ||||||
| 42,723 | 45,849 | — | 1/27/20 | (Federal Funds | Jbs Sa — Monthly | 3,113 |
| Effective Rate US | ||||||
| plus 0.65%) — | ||||||
| Monthly | ||||||
| 25,359 | 25,581 | — | 1/27/20 | (Federal Funds | Kajima Corp — | 215 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 25,461 | 22,759 | — | 1/29/20 | (Federal Funds | Keycorp — Monthly | (2,454) |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 120,977 | 121,947 | — | 1/29/20 | (Federal Funds | Keysight | 946 |
| Effective Rate US | Technologies Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 3,353 | 3,515 | — | 1/29/20 | (Federal Funds | Kingboard Holdings | 161 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 8,948 | 9,480 | — | 1/29/20 | (Federal Funds | Kingboard | 531 |
| Effective Rate US | Laminates Holdings | |||||
| plus 0.25%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 41,345 | 42,595 | — | 1/29/20 | (Federal Funds | Kla Corp — Monthly | 1,242 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 39 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $7,666 | $7,706 | $— | 1/29/20 | (Federal Funds | Koc Holding As — | $38 |
| Effective Rate US | Monthly | |||||
| plus 0.70%) — | ||||||
| Monthly | ||||||
| 27,273 | 27,642 | — | 1/27/20 | (Federal Funds | Komatsu Ltd — | 362 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 98,930 | 100,324 | — | 1/29/20 | (Federal Funds | Koninklijke Ahold | 1,374 |
| Effective Rate US | Delhaize Nv — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 11,276 | 11,640 | — | 1/29/20 | (Federal Funds | Korea Investment | 361 |
| Effective Rate US | Holdings Co Ltd — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 6,390 | 6,464 | — | 1/29/20 | (Federal Funds | Korea Zinc Co Ltd — | 73 |
| Effective Rate US | Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 2,830 | 3,002 | — | 1/27/20 | (Federal Funds | Kumba Iron Ore | 171 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.60%) — | ||||||
| Monthly | ||||||
| 12,642 | 12,653 | — | 1/29/20 | (Federal Funds | Kumho | 9 |
| Effective Rate US | Petrochemical Co | |||||
| plus 0.35%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 14,137 | 13,533 | — | 8/01/24 | (Federal Funds | Kuwait Finance | (625) |
| Effective Rate US | House Kscp — | |||||
| plus 1.20%) — | Monthly | |||||
| Monthly | ||||||
| 24,021 | 23,791 | — | 1/29/20 | (Federal Funds | L Brands Inc — | (235) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 131,302 | 130,863 | — | 1/29/20 | (Federal Funds | L3Harris | (465) |
| Effective Rate US | Technologies Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 117,597 | 120,367 | — | 1/29/20 | (Federal Funds | Lamb Weston | 2,747 |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 33,571 | 34,938 | — | 1/29/20 | (Federal Funds | Lanxess Ag — | 1,361 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 40 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $16,879 | $17,417 | $— | 1/29/20 | (Federal Funds | Leonardo Spa — | $534 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 6,358 | 6,478 | — | 1/29/20 | (Federal Funds | Lg Electronics Inc — | 119 |
| Effective Rate US | Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 5,659 | 5,840 | — | 1/29/20 | (Federal Funds | Lg Household & | 180 |
| Effective Rate US | Health Care Ltd — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 103,243 | 104,094 | — | 1/29/20 | (Federal Funds | Lockheed Martin | 1,427 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 30,606 | 30,321 | — | 1/29/20 | (Federal Funds | Longfor Group | (291) |
| Effective Rate US | Holdings Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 130,068 | 135,285 | — | 1/29/20 | (Federal Funds | Lpl Financial | 5,191 |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 13,048 | 13,434 | — | 1/29/20 | (Federal Funds | Ls Corp — Monthly | 384 |
| Effective Rate US | ||||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 6,657 | 6,866 | — | 1/29/20 | (Federal Funds | Ls Industrial | 208 |
| Effective Rate US | Systems Co Ltd — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 8,319 | 7,510 | — | 1/29/20 | (Federal Funds | Lsc | (811) |
| Effective Rate US | Communications | |||||
| plus 0.25%) — | Inc — Monthly | |||||
| Monthly | ||||||
| 11,652 | 10,965 | — | 8/01/24 | (Federal Funds | Mabanee Co Sak — | (705) |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 124,062 | 126,263 | — | 1/29/20 | (Federal Funds | Masco Corp — | 2,176 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 185,308 | 187,392 | — | 1/29/20 | (Federal Funds | Mastercard Inc — | 2,048 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 41 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $69,020 | $68,858 | $— | 1/29/20 | (Federal Funds | Match Group Inc — | $(176) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 36,892 | 37,618 | — | 1/29/20 | (Federal Funds | Mbt Financial | 719 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,010 | 43,043 | — | 1/29/20 | (Federal Funds | Medidata Solutions | 24 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 12,597 | 11,915 | — | 1/29/20 | (Federal Funds | Medy-Tox Inc — | (685) |
| Effective Rate US | Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 39,258 | 39,394 | — | 1/29/20 | (Federal Funds | Mellanox�� | 128 |
| Effective Rate US | Technologies Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 69,116 | 70,460 | — | 1/29/20 | (Federal Funds | Mercury General | 1,330 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 94,287 | 98,218 | — | 1/29/20 | (Federal Funds | Metso Oyj — | 3,912 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 56,706 | 57,615 | — | 1/29/20 | (Federal Funds | Milacron Holdings | 898 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 25,383 | 26,488 | — | 1/27/20 | (Federal Funds | Mitsubishi Gas | 1,099 |
| Effective Rate US | Chemical Co Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 17,988 | 18,405 | — | 1/27/20 | (Federal Funds | Mitsubishi Motors | 412 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 25,186 | 25,674 | — | 1/27/20 | (Federal Funds | Mitsui Chemicals | 481 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 13,670 | 13,333 | — | 8/01/24 | (Federal Funds | Mobile Telecommu- | (360) |
| Effective Rate US | nications Co Ksc — | |||||
| plus 1.20%) — | Monthly | |||||
| Monthly | ||||||
| 42 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $15,081 | $15,134 | $— | 1/27/20 | (Federal Funds | Mondi Plc — | $50 |
| Effective Rate US | Monthly | |||||
| plus 0.60%) — | ||||||
| Monthly | ||||||
| 27,558 | 27,974 | — | 1/29/20 | (Federal Funds | Moneta Money Bank | 410 |
| Effective Rate US | As — Monthly | |||||
| plus 0.70%) — | ||||||
| Monthly | ||||||
| 15,744 | 15,907 | — | 1/27/20 | (Federal Funds | Ms&Ad Insurance | 160 |
| Effective Rate US | Group Holdings | |||||
| plus 0.25%) — | Inc — Monthly | |||||
| Monthly | ||||||
| 71,999 | 72,031 | — | 1/29/20 | (Federal Funds | Msci Inc — Monthly | 18 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 27,896 | 28,303 | — | 1/27/20 | (Federal Funds | Multiplan | 399 |
| Effective Rate US | Empreendimentos | |||||
| plus 0.65%) — | Imobiliarios Sa — | |||||
| Monthly | Monthly | |||||
| 13,011 | 12,913 | — | 8/01/24 | (Federal Funds | National Bank Of | (120) |
| Effective Rate US | Kuwait Sakp — | |||||
| plus 1.20%) — | Monthly | |||||
| Monthly | ||||||
| 142,210 | 144,690 | — | 1/29/20 | (Federal Funds | National | 2,453 |
| Effective Rate US | Instruments Corp — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 22,294 | 22,695 | — | 1/29/20 | (Federal Funds | Netease Inc Adr — | 397 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 12,401 | 11,455 | — | 1/29/20 | (Federal Funds | New China Life | (948) |
| Effective Rate US | Insurance Co Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 41,425 | 42,298 | — | 1/29/20 | (Federal Funds | New Oriental | 865 |
| Effective Rate US | Education & | |||||
| plus 0.25%) — | Technology Group | |||||
| Monthly | Inc Adr — Monthly | |||||
| 44,118 | 44,334 | — | 1/27/20 | (Federal Funds | Ngk Insulators Ltd — | 204 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,782 | 16,941 | — | 1/27/20 | (Federal Funds | Nisshin Seifun | 154 |
| Effective Rate US | Group Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 43 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $23,912 | $25,487 | $— | 1/30/20 | (Federal Funds | Novatek | $1,570 |
| Effective Rate US | Microelectronics | |||||
| plus 0.35%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 45,160 | 46,385 | — | 1/29/20 | (Federal Funds | Nrc Group Holdings | 1,216 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 119,086 | 118,767 | — | 1/29/20 | (Federal Funds | Nvr Inc — Monthly | (341) |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,351 | 18,692 | — | 1/29/20 | (Federal Funds | Nxp | 337 |
| Effective Rate US | Semiconductors | |||||
| plus 0.25%) — | Nv — Monthly | |||||
| Monthly | ||||||
| 16,502 | 16,602 | — | 1/27/20 | (Federal Funds | Obayashi Corp — | 96 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 55,656 | 56,601 | — | 1/29/20 | (Federal Funds | Old Republic | 934 |
| Effective Rate US | International | |||||
| plus 0.25%) — | Corp — Monthly | |||||
| Monthly | ||||||
| 57,480 | 57,600 | — | 1/29/20 | (Federal Funds | Omv Ag — Monthly | 108 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,609 | 18,489 | — | 1/27/20 | (Federal Funds | Ono Pharmaceutical | (125) |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 28,643 | 29,486 | — | 1/26/20 | (Federal Funds | Ooredoo Qpsc — | 832 |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 6,626 | 6,897 | — | 1/29/20 | (Federal Funds | Orange Life | 269 |
| Effective Rate US | Insurance Ltd — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 18,620 | 19,216 | — | 1/27/20 | (Federal Funds | Orix Corp — Monthly | 592 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,945 | 7,990 | — | 7/09/24 | (Federal Funds | Otp Bank Nyrt — | 43 |
| Effective Rate US | Monthly | |||||
| plus 0.70%) — | ||||||
| Monthly | ||||||
| 44 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $54,959 | $54,762 | $— | 1/29/20 | (Federal Funds | Pacific Biosciences | $(208) |
| Effective Rate US | Of California Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 145,263 | 151,182 | — | 1/29/20 | (Federal Funds | Parker Hannifin | 5,890 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 68,996 | 70,010 | — | 1/29/20 | (Federal Funds | Paypal Holdings | 1,000 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 89,294 | 91,686 | — | 1/29/20 | (Federal Funds | Pegasystems Inc — | 2,373 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,743 | 18,953 | — | 1/29/20 | (Federal Funds | Persimmon Plc — | 206 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 21,496 | 22,303 | — | 1/27/20 | (Federal Funds | Petrobras | 800 |
| Effective Rate US | Distribuidora Sa — | |||||
| plus 0.65%) — | Monthly | |||||
| Monthly | ||||||
| 7,201 | 7,251 | — | 1/28/20 | (Federal Funds | Petronas Chemicals | 47 |
| Effective Rate US | Group Bhd — | |||||
| plus 0.75%) — | Monthly | |||||
| Monthly | ||||||
| 31,501 | 32,463 | — | 1/29/20 | (Federal Funds | Peugeot Sa — | 956 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 38,889 | 39,947 | — | 1/29/20 | (Federal Funds | Pilgrim’s Pride | 1,050 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 29,844 | 30,225 | — | 1/29/20 | (Federal Funds | Porsche Automobil | 375 |
| Effective Rate US | Holding Se — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 7,910 | 8,151 | — | 1/29/20 | (Federal Funds | Posco International | 238 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 23,005 | 24,326 | — | 1/29/20 | (Federal Funds | Powszechna Kasa | 1,317 |
| Effective Rate US | Oszczednosci Bank | |||||
| plus 0.70%) — | Polski Sa — Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 45 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $23,030 | $23,675 | $— | 1/29/20 | (Federal Funds | Powszechny Zaklad | $639 |
| Effective Rate US | Ubezpieczen Sa — | |||||
| plus 0.70%) — | Monthly | |||||
| Monthly | ||||||
| 107,925 | 106,884 | — | 1/29/20 | (Federal Funds | Procter & Gamble | (1,062) |
| Effective Rate US | Co/The — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 119,177 | 120,674 | — | 1/29/20 | (Federal Funds | Progressive Corp/ | 1,473 |
| Effective Rate US | The — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 124,122 | 125,533 | — | 1/29/20 | (Federal Funds | PulteGroup Inc — | 1,386 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 87,596 | 87,688 | — | 1/29/20 | (Federal Funds | Qantas Airways | 75 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,282 | 7,448 | — | 1/26/20 | (Federal Funds | Qatar Insurance Co | 164 |
| Effective Rate US | Saq — Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 115,625 | 118,717 | — | 1/29/20 | (Federal Funds | Qorvo Inc — | 3,068 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 93,546 | 96,332 | — | 1/29/20 | (Federal Funds | Raymond James | 2,767 |
| Effective Rate US | Financial Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 122,170 | 125,178 | — | 1/29/20 | (Federal Funds | Reinsurance Group | 2,984 |
| Effective Rate US | Of America Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 38,363 | 39,086 | — | 1/29/20 | (Federal Funds | Reliance Steel & | 716 |
| Effective Rate US | Aluminum Co — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 35,377 | 35,706 | — | 1/29/20 | (Federal Funds | Ringcentral Inc — | 322 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 17,648 | 17,997 | — | 1/29/20 | (Federal Funds | Rio Tinto Ltd — | 346 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 46 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $3,918 | $3,918 | $— | 7/09/24 | (Federal Funds | Riyad Bank — | $(1) |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 16,493 | 17,237 | — | 1/27/20 | (Federal Funds | Rmb Holdings Ltd — | 739 |
| Effective Rate US | Monthly | |||||
| plus 0.60%) — | ||||||
| Monthly | ||||||
| 134,682 | 135,493 | — | 1/29/20 | (Federal Funds | Robert Half | 784 |
| Effective Rate US | International Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 139,017 | 143,623 | — | 1/29/20 | (Federal Funds | Rockwell | 4,578 |
| Effective Rate US | Automation Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 33,899 | 33,402 | — | 1/29/20 | (Federal Funds | Royal Unibrew As — | (504) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 71,864 | 72,780 | — | 1/29/20 | (Federal Funds | Sage Group Plc/ | 902 |
| Effective Rate US | The — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 7,055 | 7,047 | — | 1/29/20 | (Federal Funds | Samsung | (9) |
| Effective Rate US | Electronics Co Ltd — | |||||
| plus 0.35%) — | Monthly | |||||
| Monthly | ||||||
| 21,418 | 21,522 | — | 1/29/20 | (Federal Funds | Samsung Sds Co | 99 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 18,105 | 18,558 | — | 1/29/20 | (Federal Funds | Sandvik Ab — | 449 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 41,297 | 41,547 | — | 1/27/20 | (Federal Funds | Sankyo Co Ltd — | 239 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 58,884 | 59,661 | — | 1/29/20 | (Federal Funds | Santander | 765 |
| Effective Rate US | Consumer Usa | |||||
| plus 0.25%) — | Holdings Inc — | |||||
| Monthly | Monthly | |||||
| 57,231 | 58,662 | — | 1/29/20 | (Federal Funds | Santos Ltd — | 1,419 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 47 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $5,438 | $5,437 | $— | 7/09/24 | (Federal Funds | Saudi Telecom Co — | $(2) |
| Effective Rate US | Monthly | |||||
| plus 1.20%) — | ||||||
| Monthly | ||||||
| 18,129 | 18,382 | — | 1/29/20 | (Federal Funds | Sbm Offshore Nv — | 249 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 32,229 | 32,331 | — | 1/29/20 | (Federal Funds | Scor Se — Monthly | 95 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,795 | 42,377 | — | 1/29/20 | (Federal Funds | Seagate Technology | 2,575 |
| Effective Rate US | Plc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 13,351 | 13,233 | — | 1/29/20 | (Federal Funds | Sears Hometown | (122) |
| Effective Rate US | And Outlet Stores | |||||
| plus 0.25%) — | Inc — Monthly | |||||
| Monthly | ||||||
| 19,375 | 19,540 | — | 1/27/20 | (Federal Funds | Sekisui House Ltd — | 160 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 51,804 | 52,106 | — | 1/29/20 | (Federal Funds | Servicenow Inc — | 292 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 12,513 | 13,081 | — | 1/29/20 | (Federal Funds | Severstal Pjsc Gdr — | 566 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 6,575 | 6,796 | — | 1/27/20 | (Federal Funds | Siam Cement Pcl | 219 |
| Effective Rate US | Nvdr/The — Monthly | |||||
| plus 0.75%) — | ||||||
| Monthly | ||||||
| 4,160 | 4,288 | — | 1/29/20 | (Federal Funds | Sihuan | 127 |
| Effective Rate US | Pharmaceutical | |||||
| plus 0.25%) — | Holdings Group | |||||
| Monthly | Ltd — Monthly | |||||
| 17,763 | 18,468 | — | 1/29/20 | (Federal Funds | Simcorp As — | 701 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 13,282 | 13,784 | — | 1/29/20 | (Federal Funds | Sinopec | 500 |
| Effective Rate US | Engineering Group | |||||
| plus 0.25%) — | Co Ltd — Monthly | |||||
| Monthly | ||||||
| 48 PanAgora Market Neutral Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $7,192 | $6,949 | $— | 1/29/20 | (Federal Funds | Sinotruk Hong Kong | $(245) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,184 | 19,166 | — | 1/29/20 | (Federal Funds | Skf Ab — Monthly | 979 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,036 | 18,560 | — | 1/29/20 | (Federal Funds | Societe Generale | 520 |
| Effective Rate US | Sa — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 38,744 | 38,825 | — | 1/29/20 | (Federal Funds | Software Ag — | 73 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,904 | 17,035 | — | 1/29/20 | (Federal Funds | Sonae Sgps Sa — | 128 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 74,473 | 74,288 | — | 1/29/20 | (Federal Funds | Sonova Holding | (200) |
| Effective Rate US | Ag — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 44,072 | 44,179 | — | 1/29/20 | (Federal Funds | Sotheby’s — | 98 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 46,128 | 45,309 | — | 1/29/20 | (Federal Funds | Southwest Airlines | (672) |
| Effective Rate US | Co — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 16,987 | 17,825 | — | 1/27/20 | (Federal Funds | Spar Group Ltd/ | 833 |
| Effective Rate US | The — Monthly | |||||
| plus 0.60%) — | ||||||
| Monthly | ||||||
| 77,249 | 75,688 | — | 1/29/20 | (Federal Funds | Spark Therapeutics | (1,578) |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 5,744 | 6,094 | — | 1/27/20 | (Federal Funds | Standard Bank | 348 |
| Effective Rate US | Group Ltd — | |||||
| plus 0.60%) — | Monthly | |||||
| Monthly | ||||||
| 43,096 | 43,068 | — | 1/29/20 | (Federal Funds | Stewardship | (36) |
| Effective Rate US | Financial Corp — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 49 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $43,093 | $43,897 | $— | 1/29/20 | (Federal Funds | Straumann Holding | $795 |
| Effective Rate US | Ag — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,994 | 18,769 | — | 1/27/20 | (Federal Funds | Subaru Corp — | (231) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 26,810 | 27,161 | — | 1/27/20 | (Federal Funds | Sumitomo Chemical | 344 |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 19,086 | 19,504 | — | 1/27/20 | (Federal Funds | Sumitomo Corp — | 413 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 31,126 | 31,822 | — | 1/27/20 | (Federal Funds | Sumitomo Electric | 687 |
| Effective Rate US | Industries Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 34,377 | 34,250 | — | 1/27/20 | (Federal Funds | Sundrug Co Ltd — | (135) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,433 | 45,152 | — | 1/29/20 | (Federal Funds | Svb Financial | 1,711 |
| Effective Rate US | Group — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 85,911 | 88,489 | — | 1/29/20 | (Federal Funds | Swedish Match Ab — | 2,561 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 157,552 | 159,611 | — | 1/29/20 | (Federal Funds | Symantec Corp — | 2,028 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 98,851 | 99,099 | — | 1/29/20 | (Federal Funds | Synchrony | 228 |
| Effective Rate US | Financial — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 55,034 | 55,863 | — | 1/29/20 | (Federal Funds | T Rowe Price Group | 818 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 64,892 | 65,399 | — | 1/29/20 | (Federal Funds | Tapestry Inc — | 494 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 50 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $143,784 | $143,803 | $— | 1/29/20 | (Federal Funds | Teledyne | $(10) |
| Effective Rate US | Technologies Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 15,003 | 15,296 | — | 1/29/20 | (Federal Funds | Tencent Holdings | 290 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 68,612 | 69,176 | — | 1/29/20 | (Federal Funds | Texas Instruments | 551 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 43,122 | 42,792 | — | 1/27/20 | (Federal Funds | Tokyo Electron | (341) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 15,106 | 15,545 | — | 1/27/20 | (Federal Funds | Toshiba Corp — | 434 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 47,427 | 48,185 | — | 1/29/20 | (Federal Funds | Total System | 748 |
| Effective Rate US | Services Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 36,411 | 36,672 | — | 1/27/20 | (Federal Funds | Toyo Suisan Kaisha | 251 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 5,645 | 5,817 | — | 1/27/20 | (Federal Funds | Truworths | 170 |
| Effective Rate US | International Ltd — | |||||
| plus 0.60%) — | Monthly | |||||
| Monthly | ||||||
| 6,454 | 6,568 | — | 1/29/20 | (Federal Funds | Turkiye Sise Ve Cam | 112 |
| Effective Rate US | Fabrikalari As — | |||||
| plus 0.70%) — | Monthly | |||||
| Monthly | ||||||
| 60,561 | 61,970 | — | 1/29/20 | (Federal Funds | Twitter Inc — | 1,397 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 49,703 | 50,129 | — | 1/29/20 | (Federal Funds | Ucb Sa — Monthly | 415 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 152,222 | 155,644 | — | 1/29/20 | (Federal Funds | Union Pacific | 4,323 |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 51 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $36,738 | $36,520 | $— | 1/29/20 | (Federal Funds | Urban Outfitters | $(226) |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 167,567 | 163,748 | — | 1/29/20 | (Federal Funds | Veeva Systems Inc — | (3,851) |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 52,966 | 53,158 | — | 1/29/20 | (Federal Funds | Verizon | 181 |
| Effective Rate US | Communications | |||||
| plus 0.25%) — | Inc — Monthly | |||||
| Monthly | ||||||
| 86,071 | 86,320 | — | 1/29/20 | (Federal Funds | Versum Materials | 231 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 170,094 | 172,141 | — | 1/29/20 | (Federal Funds | Visa Inc — Monthly | 2,014 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 40,539 | 41,028 | — | 1/29/20 | (Federal Funds | Volkswagen Ag — | 480 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 58,551 | 59,480 | — | 1/29/20 | (Federal Funds | Voya Financial Inc — | 917 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 104,857 | 105,473 | — | 1/29/20 | (Federal Funds | Wabco Holdings | 596 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 13,054 | 13,784 | — | 1/29/20 | (Federal Funds | Weichai Power Co | 727 |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 18,536 | 18,441 | — | 1/29/20 | (Federal Funds | Wesfarmers Ltd — | 268 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 142,682 | 148,106 | — | 1/29/20 | (Federal Funds | Western Alliance | 5,395 |
| Effective Rate US | Bancorp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 39,612 | 39,882 | — | 1/29/20 | (Federal Funds | Western Union Co/ | 266 |
| Effective Rate US | The — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 52 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $17,762 | $18,141 | $— | 1/29/20 | (Federal Funds | Woodside | $376 |
| Effective Rate US | Petroleum Ltd — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 90,444 | 92,220 | — | 1/29/20 | (Federal Funds | Ww Grainger Inc — | 1,758 |
| Effective Rate US | Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 46,684 | 48,180 | — | 1/29/20 | (Federal Funds | Xilinx Inc — Monthly | 1,486 |
| Effective Rate US | ||||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 27,404 | 27,274 | — | 1/27/20 | (Federal Funds | Yokogawa Electric | (137) |
| Effective Rate US | Corp — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 5,292 | 5,177 | — | 1/29/20 | (Federal Funds | Yuexiu Property Co | (117) |
| Effective Rate US | Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 23,249 | 24,253 | — | 1/29/20 | (Federal Funds | Yuhan Corp — | 1,000 |
| Effective Rate US | Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 4,939 | 4,938 | — | 1/30/20 | (Federal Funds | Yulon Nissan Motor | (1) |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.35%) — | ||||||
| Monthly | ||||||
| 123,660 | 127,159 | — | 1/29/20 | (Federal Funds | Yum China Holdings | 3,475 |
| Effective Rate US | Inc — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 88,286 | 87,920 | — | 1/29/20 | (Federal Funds | Zayo Group | (383) |
| Effective Rate US | Holdings Inc — | |||||
| plus 0.25%) — | Monthly | |||||
| Monthly | ||||||
| 3,426 | 3,349 | — | 1/29/20 | (Federal Funds | Zhejiang | (78) |
| Effective Rate US | Expressway Co | |||||
| plus 0.25%) — | Ltd — Monthly | |||||
| Monthly | ||||||
| 27,995 | 28,420 | — | 1/29/20 | (Federal Funds | Zijin Mining Group | 419 |
| Effective Rate US | Co Ltd — Monthly | |||||
| plus 0.25%) — | ||||||
| Monthly | ||||||
| 42,135 | 43,699 | — | 1/29/20 | Federal Funds | 2U Inc — Monthly | (1,559) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 53 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $51,627 | $52,301 | $— | 1/29/20 | Federal Funds | Abbott | $(667) |
| Effective Rate US | Laboratories — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 16,431 | 16,840 | — | 1/29/20 | Federal Funds | Airbus Se — Monthly | (407) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 70,323 | 63,680 | — | 1/29/20 | Federal Funds | Alexion | 6,653 |
| Effective Rate US | Pharmaceuticals | |||||
| minus 0.23% — | Inc — Monthly | |||||
| Monthly | ||||||
| 11,509 | 11,525 | — | 1/29/20 | Federal Funds | Alibaba Pictures | (14) |
| Effective Rate US | Group Ltd — | |||||
| minus 0.88% — | Monthly | |||||
| Monthly | ||||||
| 6,879 | 7,079 | — | 1/29/20 | Federal Funds | Alior Bank Sa — | (199) |
| Effective Rate US | Monthly | |||||
| minus 0.75% — | ||||||
| Monthly | ||||||
| 15,715 | 16,400 | — | 1/29/20 | Federal Funds | Alsea Sab De Cv — | (683) |
| Effective Rate US | Monthly | |||||
| minus 0.50% — | ||||||
| Monthly | ||||||
| 15,869 | 15,784 | — | 1/29/20 | Federal Funds | Amarin Corp Plc | 87 |
| Effective Rate US | Adr — Monthly | |||||
| minus 0.87% — | ||||||
| Monthly | ||||||
| 34,154 | 37,521 | — | 1/29/20 | Federal Funds | Ambu As — Monthly | (3,361) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 157,554 | 158,932 | — | 1/29/20 | Federal Funds | Amerco — Monthly | (1,354) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 104,585 | 103,768 | — | 1/29/20 | Federal Funds | American | 838 |
| Effective Rate US | International Group | |||||
| minus 0.23% — | Inc — Monthly | |||||
| Monthly | ||||||
| 12,004 | 12,665 | — | 1/29/20 | Federal Funds | Amorepacific | (659) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 51,742 | 51,730 | — | 1/29/20 | Federal Funds | Analog Devices | (234) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 54 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $146,673 | $148,547 | $— | 1/29/20 | Federal Funds | Archer-Daniels- | $(1,851) |
| Effective Rate US | Midland Co — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 60,679 | 60,467 | — | 1/29/20 | Federal Funds | Argenx Se Adr — | 221 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 26,455 | 26,839 | — | 1/27/20 | Federal Funds | Asahi Intecc Co | (379) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.63% — | ||||||
| Monthly | ||||||
| 16,106 | 16,251 | — | 1/29/20 | Federal Funds | Aselsan Elektronik | (148) |
| Effective Rate US | Sanayi Ve Ticaret | |||||
| minus 4.00% — | As — Monthly | |||||
| Monthly | ||||||
| 125,271 | 125,863 | — | 1/29/20 | Federal Funds | Assured Guaranty | (573) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,420 | 9,560 | — | 1/30/20 | Federal Funds | Asustek Computer | (139) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 25,303 | 24,615 | — | 1/29/20 | Federal Funds | Atlassian Corp Plc — | 692 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 7,662 | 8,334 | — | 1/30/20 | Federal Funds | Au Optronics | (672) |
| Effective Rate US | Corp — Monthly | |||||
| minus 2.25% — | ||||||
| Monthly | ||||||
| 4,896 | 4,923 | — | 1/28/20 | Federal Funds | Axiata Group Bhd — | (28) |
| Effective Rate US | Monthly | |||||
| minus 3.00% — | ||||||
| Monthly | ||||||
| 11,479 | 11,372 | — | 1/27/20 | Federal Funds | Ayala Corp — | 106 |
| Effective Rate US | Monthly | |||||
| minus 2.50% — | ||||||
| Monthly | ||||||
| 22,013 | 22,267 | — | 1/29/20 | Federal Funds | Bachem Holding | (251) |
| Effective Rate US | Ag — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 24,391 | 24,287 | — | 1/29/20 | Federal Funds | Bakkafrost P/F — | 108 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 55 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $10,220 | $10,675 | $— | 1/29/20 | Federal Funds | Banco Bradesco | $(453) |
| Effective Rate US | Adr — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 20,432 | 21,009 | — | 1/27/20 | Federal Funds | Bdo Unibank Inc — | (578) |
| Effective Rate US | Monthly | |||||
| minus 2.50% — | ||||||
| Monthly | ||||||
| 16,139 | 15,911 | — | 1/29/20 | Federal Funds | Banco Santander | 231 |
| Effective Rate US | Sa — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 16,474 | 16,652 | — | 1/29/20 | Federal Funds | Bank Hapoalim | (176) |
| Effective Rate US | Bm — Monthly | |||||
| minus 0.75% — | ||||||
| Monthly | ||||||
| 71,908 | 73,254 | — | 1/29/20 | Federal Funds | Bank Of Hawaii | (1,908) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 29,424 | 30,191 | — | 1/27/20 | Federal Funds | Bank Of Kyoto Ltd/ | (762) |
| Effective Rate US | The — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 11,964 | 12,130 | — | 1/27/20 | Federal Funds | Bank Of The | (166) |
| Effective Rate US | Philippine Islands — | |||||
| minus 2.50% — | Monthly | |||||
| Monthly | ||||||
| 7,757 | 7,891 | — | 1/29/20 | Federal Funds | Bank Polska Kasa | (133) |
| Effective Rate US | Opieki Sa — Monthly | |||||
| minus 0.75% — | ||||||
| Monthly | ||||||
| 4,331 | 4,145 | — | 1/27/20 | Federal Funds | Bank Tabungan | 185 |
| Effective Rate US | Negara Persero Tbk | |||||
| minus 4.00% — | Pt — Monthly | |||||
| Monthly | ||||||
| 6,998 | 7,926 | — | 1/27/20 | Federal Funds | Banpu Pcl — | (928) |
| Effective Rate US | Monthly | |||||
| minus 1.63% — | ||||||
| Monthly | ||||||
| 4,466 | 4,642 | — | 1/27/20 | Federal Funds | Barito Pacific Tbk | (177) |
| Effective Rate US | Pt — Monthly | |||||
| minus 4.00% — | ||||||
| Monthly | ||||||
| 145,260 | 146,964 | — | 1/29/20 | Federal Funds | Baxter International | (2,051) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 56 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $16,948 | $17,394 | $— | 1/27/20 | Federal Funds | Bb Seguridade | $(441) |
| Effective Rate US | Participacoes Sa — | |||||
| minus 1.00% — | Monthly | |||||
| Monthly | ||||||
| 122,724 | 125,462 | — | 1/29/20 | Federal Funds | Bb&T Corp — | (2,721) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 121,192 | 121,628 | — | 1/29/20 | Federal Funds | Becton Dickinson | (417) |
| Effective Rate US | And Co — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 67,745 | 68,825 | — | 1/29/20 | Federal Funds | Bgc Partners Inc — | (1,069) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 105,758 | 106,355 | — | 1/29/20 | Federal Funds | Boston Scientific | (581) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 16,831 | 16,886 | — | 1/29/20 | Federal Funds | Bp Plc Adr — | (52) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 10,324 | 10,631 | — | 1/29/20 | Federal Funds | Brilliance China | (306) |
| Effective Rate US | Automotive | |||||
| minus 0.40% — | Holdings Ltd — | |||||
| Monthly | Monthly | |||||
| 77,945 | 80,678 | — | 1/29/20 | Federal Funds | Brown & Brown | (2,721) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 111,435 | 113,496 | — | 1/29/20 | Federal Funds | Bunge Ltd — | (2,044) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 179,379 | 186,302 | — | 1/29/20 | Federal Funds | Bwx Technologies | (6,894) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 31,950 | 31,191 | — | 1/29/20 | Federal Funds | Callon Petroleum | 764 |
| Effective Rate US | Co — Monthly | |||||
| minus 0.52% — | ||||||
| Monthly | ||||||
| 137,685 | 141,756 | — | 1/29/20 | Federal Funds | Cantel Medical | (4,051) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 57 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $101,249 | $102,316 | $— | 1/29/20 | Federal Funds | Catalent Inc — | $(1,051) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 20,799 | 20,902 | — | 1/30/20 | Federal Funds | Cathay Financial | (101) |
| Effective Rate US | Holding Co Ltd — | |||||
| minus 0.46% — | Monthly | |||||
| Monthly | ||||||
| 45,057 | 45,652 | — | 1/29/20 | Federal Funds | Cathay Pacific | (603) |
| Effective Rate US | Airways Ltd — | |||||
| minus 4.00% — | Monthly | |||||
| Monthly | ||||||
| 65,490 | 65,992 | — | 1/29/20 | Federal Funds | Cbs Corp — Monthly | (493) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,852 | 9,841 | — | 1/29/20 | Federal Funds | Ccc Sa — Monthly | 13 |
| Effective Rate US | ||||||
| minus 0.75% — | ||||||
| Monthly | ||||||
| 13,420 | 14,018 | — | 1/29/20 | Federal Funds | Celltrion Healthcare | (614) |
| Effective Rate US | Co Ltd — Monthly | |||||
| minus 5.50% — | ||||||
| Monthly | ||||||
| 184,306 | 186,077 | — | 1/29/20 | Federal Funds | Ceridian Hcm | (1,743) |
| Effective Rate US | Holding Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 79,396 | 80,557 | — | 1/29/20 | Federal Funds | Charles River | (1,148) |
| Effective Rate US | Laboratories | |||||
| minus 0.23% — | International Inc — | |||||
| Monthly | Monthly | |||||
| 120,951 | 123,696 | — | 1/29/20 | Federal Funds | Charter | (2,726) |
| Effective Rate US | Communications | |||||
| minus 0.23% — | Inc — Monthly | |||||
| Monthly | ||||||
| 17,797 | 18,211 | — | 1/30/20 | Federal Funds | Cheng Shin Rubber | (414) |
| Effective Rate US | Industry Co Ltd — | |||||
| minus 1.74% — | Monthly | |||||
| Monthly | ||||||
| 16,461 | 16,483 | — | 1/29/20 | Federal Funds | China Everbright | (19) |
| Effective Rate US | International Ltd — | |||||
| minus 0.40% — | Monthly | |||||
| Monthly | ||||||
| 7,824 | 7,855 | — | 1/29/20 | Federal Funds | China Unicom Hong | (29) |
| Effective Rate US | Kong Ltd — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 58 PanAgora Market Neutral Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $18,114 | $18,381 | $— | 1/29/20 | Federal Funds | Chongqing Rural | $(264) |
| Effective Rate US | Commercial Bank | |||||
| minus 0.40% — | Co Ltd — Monthly | |||||
| Monthly | ||||||
| 41,628 | 43,104 | — | 1/29/20 | Federal Funds | Chr Hansen Holding | (1,469) |
| Effective Rate US | As — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 69,551 | 69,232 | — | 1/29/20 | Federal Funds | Chubb Ltd — | 333 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,910 | 10,001 | — | 1/30/20 | Federal Funds | Chunghwa Telecom | (90) |
| Effective Rate US | Co Ltd — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 17,097 | 17,956 | — | 1/28/20 | Federal Funds | City Developments | (856) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 1.00% — | ||||||
| Monthly | ||||||
| 4,926 | 5,094 | — | 1/29/20 | Federal Funds | Cj Cheiljedang | (167) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 7,242 | 7,469 | — | 1/29/20 | Federal Funds | Cj Corp — Monthly | (226) |
| Effective Rate US | ||||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 10,992 | 11,334 | — | 1/29/20 | Federal Funds | Cj Logistics Corp — | (340) |
| Effective Rate US | Monthly | |||||
| minus 1.50% — | ||||||
| Monthly | ||||||
| 25,877 | 26,115 | — | 1/27/20 | Federal Funds | Coca-Cola Bottlers | (233) |
| Effective Rate US | Japan Holdings | |||||
| minus 0.30% — | Inc — Monthly | |||||
| Monthly | ||||||
| 80,901 | 80,799 | — | 1/29/20 | Federal Funds | Coca-Cola Co/ | 115 |
| Effective Rate US | The — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 115,480 | 117,685 | — | 1/29/20 | Federal Funds | Cognizant | (2,186) |
| Effective Rate US | Technology | |||||
| minus 0.23% — | Solutions Corp — | |||||
| Monthly | Monthly | |||||
| 10,920 | 11,255 | — | 1/29/20 | Federal Funds | Coles Group Ltd — | (334) |
| Effective Rate US | Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 59 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $16,397 | $16,350 | $— | 1/29/20 | Federal Funds | Coloplast As — | $50 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 124,031 | 117,393 | — | 1/29/20 | Federal Funds | Commerce | 6,658 |
| Effective Rate US | Bancshares Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 12,680 | 13,237 | — | 1/26/20 | Federal Funds | Commercial | (558) |
| Effective Rate US | Bank Psqc/The — | |||||
| minus 3.50% — | Monthly | |||||
| Monthly | ||||||
| 33,285 | 33,949 | — | 1/29/20 | Federal Funds | Commscope | (659) |
| Effective Rate US | Holding Co Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 151,978 | 153,876 | — | 1/29/20 | Federal Funds | Constellation | (1,874) |
| Effective Rate US | Brands Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 47,815 | 47,365 | — | 1/29/20 | Federal Funds | Convatec Group | (234) |
| Effective Rate US | Plc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 90,240 | 91,718 | — | 1/29/20 | Federal Funds | Corelogic Inc — | (1,464) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 69,107 | 70,293 | — | 1/29/20 | Federal Funds | Corning Inc — | (1,681) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 10,483 | 10,770 | — | 1/29/20 | Federal Funds | Credicorp Ltd — | (285) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 50,116 | 50,274 | — | 1/29/20 | Federal Funds | Davide Campari- | (150) |
| Effective Rate US | Milano Spa — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 16,244 | 16,956 | — | 1/29/20 | Federal Funds | Delivery Hero Se — | (709) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 10,954 | 12,045 | — | 1/27/20 | Federal Funds | Discovery Ltd — | (1,089) |
| Effective Rate US | Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 60 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $25,997 | $25,963 | $— | 1/29/20 | Federal Funds | Domino’s Pizza | $38 |
| Effective Rate US | Enterprises Ltd — | |||||
| minus 0.45% — | Monthly | |||||
| Monthly | ||||||
| 48,106 | 48,317 | — | 1/29/20 | Federal Funds | Domino’s Pizza | (203) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 143,766 | 145,145 | — | 1/29/20 | Federal Funds | Dr Horton Inc — | (1,357) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 21,723 | 22,488 | — | 1/29/20 | Federal Funds | Ds Smith Plc — | (762) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 16,245 | 16,525 | — | 1/29/20 | Federal Funds | Elbit Systems Ltd — | (278) |
| Effective Rate US | Monthly | |||||
| minus 0.75% — | ||||||
| Monthly | ||||||
| 12,459 | 12,593 | — | 1/29/20 | Federal Funds | Eldorado Resorts | (132) |
| Effective Rate US | Inc — Monthly | |||||
| minus 1.77% — | ||||||
| Monthly | ||||||
| 1,213 | 1,198 | — | 1/29/20 | Federal Funds | Emaar Development | 14 |
| Effective Rate US | Pjsc — Monthly | |||||
| minus 3.50% — | ||||||
| Monthly | ||||||
| 20,815 | 21,264 | — | 1/29/20 | Federal Funds | Embraer Sa Adr — | (446) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 11,982 | 12,170 | — | 1/29/20 | Federal Funds | Emirates Telecom- | (189) |
| Effective Rate US | munications Group | |||||
| minus 3.50% — | Co Pjsc — Monthly | |||||
| Monthly | ||||||
| 18,989 | 19,558 | — | 1/29/20 | Federal Funds | Epiroc Ab — Monthly | (566) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 139,819 | 141,257 | — | 1/29/20 | Federal Funds | Equifax Inc — | (1,415) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 17,971 | 18,037 | — | 1/29/20 | Federal Funds | Essilorluxottica | (63) |
| Effective Rate US | Sa — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 61 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $15,955 | $16,257 | $— | 1/29/20 | Federal Funds | Everbright | $(304) |
| Effective Rate US | Securities Co Ltd — | |||||
| minus 3.38% — | Monthly | |||||
| Monthly | ||||||
| 106,221 | 105,390 | — | 1/29/20 | Federal Funds | Exact Sciences | 848 |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 26,396 | 26,221 | — | 1/27/20 | Federal Funds | Familymart Co | (32) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 15,852 | 16,183 | — | 1/30/20 | Federal Funds | Far Eastone Tele- | (330) |
| Effective Rate US | communications Co | |||||
| minus 0.60% — | Ltd — Monthly | |||||
| Monthly | ||||||
| 128,824 | 133,391 | — | 1/29/20 | Federal Funds | Fedex Corp — | (4,546) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 17,017 | 16,894 | — | 1/29/20 | Federal Funds | Ferrovial Sa — | 126 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 37,100 | 37,542 | — | 1/29/20 | Federal Funds | First Merchants | (707) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 83,696 | 84,965 | — | 1/29/20 | Federal Funds | First Republic Bank/ | (1,257) |
| Effective Rate US | Ca — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 141,040 | 141,085 | — | 1/29/20 | Federal Funds | First Solar Inc — | (23) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 13,554 | 13,846 | — | 1/29/20 | Federal Funds | Fletcher Building | (290) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 34,745 | 35,514 | — | 1/29/20 | Federal Funds | Fletcher Building | (763) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 16,618 | 17,394 | — | 1/29/20 | Federal Funds | Fortescue Metals | (773) |
| Effective Rate US | Group Ltd — | |||||
| minus 0.45% — | Monthly | |||||
| Monthly | ||||||
| 62 PanAgora Market Neutral Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $18,425 | $18,674 | $— | 1/29/20 | Federal Funds | Fresnillo Plc — | $(247) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 16,910 | 17,222 | — | 1/27/20 | Federal Funds | Fukuoka Financial | (309) |
| Effective Rate US | Group Inc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 131,374 | 134,338 | — | 1/29/20 | Federal Funds | Gartner Inc — | (2,946) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 156,298 | 159,397 | — | 1/29/20 | Federal Funds | Gci Liberty Inc — | (3,076) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 18,283 | 18,113 | — | 1/29/20 | Federal Funds | Gds Holdings Ltd | 173 |
| Effective Rate US | Adr — Monthly | |||||
| minus 0.67% — | ||||||
| Monthly | ||||||
| 118,311 | 122,030 | — | 1/29/20 | Federal Funds | General Dynamics | (3,701) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 18,425 | 18,093 | — | 1/28/20 | Federal Funds | Genting Plantations | 323 |
| Effective Rate US | Bhd — Monthly | |||||
| minus 5.38% — | ||||||
| Monthly | ||||||
| 46,869 | 47,763 | — | 1/29/20 | Federal Funds | Genuine Parts Co — | (887) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 47,558 | 48,300 | — | 1/29/20 | Federal Funds | Global Payments | (735) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 122,522 | 125,589 | — | 1/29/20 | Federal Funds | Globe Life Inc — | (3,048) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 15,276 | 15,507 | — | 1/27/20 | Federal Funds | Gmo Payment | (228) |
| Effective Rate US | Gateway Inc — | |||||
| minus 0.75% — | Monthly | |||||
| Monthly | ||||||
| 9,114 | 9,023 | — | 1/29/20 | Federal Funds | Gold Fields Ltd | 93 |
| Effective Rate US | Adr — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 63 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $20,253 | $20,569 | $— | 1/29/20 | Federal Funds | Gome Retail | $(319) |
| Effective Rate US | Holdings Ltd — | |||||
| minus 4.00% — | Monthly | |||||
| Monthly | ||||||
| 98,780 | 101,385 | — | 1/29/20 | Federal Funds | Graham Holdings | (2,589) |
| Effective Rate US | Co — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,029 | 9,302 | — | 1/29/20 | Federal Funds | Gruma Sab De Cv — | (271) |
| Effective Rate US | Monthly | |||||
| minus 0.50% — | ||||||
| Monthly | ||||||
| 8,869 | 9,258 | — | 1/29/20 | Federal Funds | Grupo Financiero | (388) |
| Effective Rate US | Inbursa Sab De Cv — | |||||
| minus 0.50% — | Monthly | |||||
| Monthly | ||||||
| 6,521 | 7,134 | — | 1/29/20 | Federal Funds | Grupo Televisa Sab | (612) |
| Effective Rate US | Adr — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 2,498 | 2,669 | — | 1/27/20 | Federal Funds | Gt Capital Holdings | (171) |
| Effective Rate US | Inc — Monthly | |||||
| minus 2.50% — | ||||||
| Monthly | ||||||
| 49,630 | 50,698 | — | 1/29/20 | Federal Funds | Gw Pharmaceuticals | (1,060) |
| Effective Rate US | Plc Adr — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 100,246 | 104,013 | — | 1/29/20 | Federal Funds | Hain Celestial Group | (3,752) |
| Effective Rate US | Inc/The — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 22,891 | 22,474 | — | 1/27/20 | Federal Funds | Hamamatsu | 422 |
| Effective Rate US | Photonics Kk — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 52,035 | 52,329 | — | 1/29/20 | Federal Funds | Hargreaves | (285) |
| Effective Rate US | Lansdown Plc — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 12,228 | 12,442 | — | 1/28/20 | Federal Funds | Hartalega Holdings | (216) |
| Effective Rate US | Bhd — Monthly | |||||
| minus 4.00% — | ||||||
| Monthly | ||||||
| 39,567 | 37,328 | — | 1/29/20 | Federal Funds | Harvey Norman | 2,238 |
| Effective Rate US | Holdings Ltd — | |||||
| minus 2.50% — | Monthly | |||||
| Monthly | ||||||
| 64 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $15,693 | $16,080 | $— | 1/29/20 | Federal Funds | Hillenbrand Inc — | $(384) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 54,585 | 57,105 | — | 1/29/20 | Federal Funds | Hilton Grand | (2,511) |
| Effective Rate US | Vacations Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 16,142 | 16,204 | — | 1/27/20 | Federal Funds | Hisamitsu | (219) |
| Effective Rate US | Pharmaceutical Co | |||||
| minus 0.30% — | Inc — Monthly | |||||
| Monthly | ||||||
| 10,926 | 11,162 | — | 1/29/20 | Federal Funds | Hlb Inc — Monthly | (242) |
| Effective Rate US | ||||||
| minus 13.83% — | ||||||
| Monthly | ||||||
| 55,969 | 54,452 | — | 1/27/20 | Federal Funds | Hulic Co Ltd — | 1,532 |
| Effective Rate US | Monthly | |||||
| minus 0.33% — | ||||||
| Monthly | ||||||
| 84,581 | 86,735 | — | 1/29/20 | Federal Funds | Huntington Ingalls | (2,497) |
| Effective Rate US | Industries Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 20,325 | 20,618 | — | 1/29/20 | Federal Funds | Husqvarna Ab — | (290) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 27,314 | 29,192 | — | 1/29/20 | Federal Funds | Idorsia Ltd — | (1,877) |
| Effective Rate US | Monthly | |||||
| minus 1.50% — | ||||||
| Monthly | ||||||
| 29,065 | 29,820 | — | 1/29/20 | Federal Funds | Ii-Vi Inc — Monthly | (751) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 47,417 | 48,123 | — | 1/29/20 | Federal Funds | Industria De Diseno | (699) |
| Effective Rate US | Textil Sa — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 9,756 | 10,104 | — | 1/29/20 | Federal Funds | Industrial Bank Of | (346) |
| Effective Rate US | Korea — Monthly | |||||
| minus 0.05% — | ||||||
| Monthly | ||||||
| 11,993 | 10,972 | — | 1/29/20 | Federal Funds | Industrias Penoles | 1,023 |
| Effective Rate US | Sab De Cv — | |||||
| minus 0.50% — | Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 65 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $7,421 | $7,822 | $— | 1/30/20 | Federal Funds | Innolux Corp — | $(400) |
| Effective Rate US | Monthly | |||||
| minus 1.38% — | ||||||
| Monthly | ||||||
| 79,523 | 81,182 | — | 1/29/20 | Federal Funds | International | (1,647) |
| Effective Rate US | Business Machines | |||||
| minus 0.23% — | Corp — Monthly | |||||
| Monthly | ||||||
| 25,719 | 25,982 | — | 1/29/20 | Federal Funds | Interxion Holding | (259) |
| Effective Rate US | Nv — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 59,148 | 60,338 | — | 1/29/20 | Federal Funds | Intuitive Surgical | (1,181) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 51,088 | 52,043 | — | 1/29/20 | Federal Funds | Investment Ab | (966) |
| Effective Rate US | Latour — Monthly | |||||
| minus 1.88% — | ||||||
| Monthly | ||||||
| 117,075 | 122,864 | — | 1/29/20 | Federal Funds | Ipg Photonics | (5,771) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 25,908 | 26,544 | — | 1/27/20 | Federal Funds | Isetan Mitsukoshi | (631) |
| Effective Rate US | Holdings Ltd — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 93,817 | 92,354 | — | 1/29/20 | Federal Funds | Ishares Msci Saudi | 1,476 |
| Effective Rate US | Arabia Etf — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 8,972 | 9,348 | — | 1/27/20 | Federal Funds | Itausa — | (373) |
| Effective Rate US | Investimentos Itau | |||||
| minus 1.00% — | Sa — Monthly | |||||
| Monthly | ||||||
| 23,107 | 22,893 | — | 1/29/20 | Federal Funds | J Sainsbury Plc — | 217 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 73,173 | 80,524 | — | 1/29/20 | Federal Funds | Jabil Inc — Monthly | (7,340) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 116,366 | 120,938 | — | 1/29/20 | Federal Funds | Jacobs Engineering | (4,554) |
| Effective Rate US | Group Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 66 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $39,003 | $39,259 | $— | 1/29/20 | Federal Funds | James Hardies | $(250) |
| Effective Rate US | Industries Plc — | |||||
| minus 0.50% — | Monthly | |||||
| Monthly | ||||||
| 36,255 | 37,733 | — | 1/28/20 | Federal Funds | Jardine Matheson | (1,471) |
| Effective Rate US | Holdings Ltd — | |||||
| minus 0.35% — | Monthly | |||||
| Monthly | ||||||
| 61,184 | 62,416 | — | 1/29/20 | Federal Funds | Jeronimo Martins | (1,223) |
| Effective Rate US | Sgps Sa — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 11,019 | 10,721 | — | 1/29/20 | Federal Funds | Jiangxi Bank Co | 297 |
| Effective Rate US | Ltd — Monthly | |||||
| minus 12.63% — | ||||||
| Monthly | ||||||
| 30,546 | 31,442 | — | 1/29/20 | Federal Funds | John Wood Group | (1,672) |
| Effective Rate US | Plc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 30,427 | 31,078 | — | 1/27/20 | Federal Funds | Kansai Paint Co | (645) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 35,224 | 34,781 | — | 1/27/20 | Federal Funds | Keio Corp — | 450 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 66,317 | 66,431 | — | 1/29/20 | Federal Funds | Kerry Group Plc — | (103) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 132,084 | 134,299 | — | 1/29/20 | Federal Funds | Keurig Dr Pepper | (2,194) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 13,158 | 13,403 | — | 1/29/20 | Federal Funds | Kimberly-Clark De | (243) |
| Effective Rate US | Mexico Sab De Cv — | |||||
| minus 0.59% — | Monthly | |||||
| Monthly | ||||||
| 142,011 | 143,868 | — | 1/29/20 | Federal Funds | Kirby Corp — | (1,835) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 7,561 | 8,018 | — | 1/27/20 | Federal Funds | Klabin Sa — Monthly | (456) |
| Effective Rate US | ||||||
| minus 1.00% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 67 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $104,531 | $103,751 | $— | 1/29/20 | Federal Funds | Knight-Swift | $614 |
| Effective Rate US | Transportation | |||||
| minus 0.23% — | Holdings Inc — | |||||
| Monthly | Monthly | |||||
| 41,475 | 43,345 | — | 1/27/20 | Federal Funds | Kobayashi | (1,862) |
| Effective Rate US | Pharmaceutical Co | |||||
| minus 0.30% — | Ltd — Monthly | |||||
| Monthly | ||||||
| 9,146 | 9,239 | — | 1/29/20 | Federal Funds | Korea Electric | (91) |
| Effective Rate US | Power Corp — | |||||
| minus 2.13% — | Monthly | |||||
| Monthly | ||||||
| 23,515 | 23,979 | — | 1/27/20 | Federal Funds | Kuraray Co Ltd — | (459) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 16,640 | 16,700 | — | 1/29/20 | Federal Funds | L’Oreal Sa — | (57) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 90,574 | 91,934 | — | 1/29/20 | Federal Funds | Leggett & Platt Inc — | (1,346) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 6,806 | 7,463 | — | 1/29/20 | Federal Funds | Lg Display Co Ltd — | (656) |
| Effective Rate US | Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 99,239 | 101,289 | — | 1/29/20 | Federal Funds | Littelfuse Inc — | (2,037) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 29,231 | 29,524 | — | 1/27/20 | Federal Funds | Lixil Group Corp — | (287) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 10,577 | 11,785 | — | 1/27/20 | Federal Funds | Lojas Americanas | (1,206) |
| Effective Rate US | Sa — Monthly | |||||
| minus 1.00% — | ||||||
| Monthly | ||||||
| 16,536 | 16,393 | — | 1/29/20 | Federal Funds | Lotte Shopping Co | 146 |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 140,372 | 123,986 | — | 1/29/20 | Federal Funds | M&T Bank Corp — | 15,558 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 68 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $127,832 | $128,688 | $— | 1/29/20 | Federal Funds | Madison Square | $(837) |
| Effective Rate US | Garden Co/The — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 9,215 | 9,600 | — | 1/29/20 | Federal Funds | Magnit Pjsc Gdr — | (384) |
| Effective Rate US | Monthly | |||||
| minus 0.50% — | ||||||
| Monthly | ||||||
| 152,163 | 153,037 | — | 1/29/20 | Federal Funds | Marriott | (850) |
| Effective Rate US | International Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 17,386 | 17,533 | — | 1/29/20 | Federal Funds | Mediobanca | (144) |
| Effective Rate US | Banca Di Credito | |||||
| minus 0.30% — | Finanziario Spa — | |||||
| Monthly | Monthly | |||||
| 68,069 | 71,993 | — | 1/29/20 | Federal Funds | Melrose Industries | (3,913) |
| Effective Rate US | Plc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 16,789 | 16,388 | — | 1/27/20 | Federal Funds | Mercari Inc — | 401 |
| Effective Rate US | Monthly | |||||
| minus 4.00% — | ||||||
| Monthly | ||||||
| 39,829 | 40,155 | — | 1/29/20 | Federal Funds | Mgm China Holdings | (324) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 75,883 | 77,179 | — | 1/29/20 | Federal Funds | Microchip | (1,284) |
| Effective Rate US | Technology Inc — | |||||
| minus 0.23% — | Monthly | |||||
| Monthly | ||||||
| 122,318 | 122,710 | — | 1/29/20 | Federal Funds | Middleby Corp/ | (372) |
| Effective Rate US | The — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 16,933 | 17,684 | — | 1/29/20 | Federal Funds | Mirae Asset Daewoo | (748) |
| Effective Rate US | Co Ltd — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 25,464 | 26,316 | — | 1/27/20 | Federal Funds | Misumi Group Inc — | (847) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 92,311 | 97,941 | — | 1/29/20 | Federal Funds | Mks Instruments | (5,615) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 69 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $58,854 | $61,823 | $— | 1/29/20 | Federal Funds | Mohawk Industries | $(2,961) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 30,755 | 31,634 | — | 1/27/20 | Federal Funds | Monotaro Co Ltd — | (874) |
| Effective Rate US | Monthly | |||||
| minus 0.88% — | ||||||
| Monthly | ||||||
| 60,873 | 60,304 | — | 1/29/20 | Federal Funds | Mowi Asa — Monthly | (141) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 17,731 | 17,891 | — | 1/27/20 | Federal Funds | Nagoya Railroad Co | (156) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 22,829 | 23,159 | — | 1/29/20 | Federal Funds | Natixis Sa — Monthly | (327) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 55,071 | 58,121 | — | 1/27/20 | Federal Funds | Natura Cosmeticos | (3,039) |
| Effective Rate US | Sa — Monthly | |||||
| minus 6.63% — | ||||||
| Monthly | ||||||
| 12,608 | 13,525 | — | 1/27/20 | Federal Funds | Netcare Ltd — | (915) |
| Effective Rate US | Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 15,051 | 15,165 | — | 1/29/20 | Federal Funds | Netmarble Corp — | (125) |
| Effective Rate US | Monthly | |||||
| minus 9.00% — | ||||||
| Monthly | ||||||
| 16,692 | 17,323 | — | 1/29/20 | Federal Funds | New Media | (629) |
| Effective Rate US | Investment Group | |||||
| minus 1.12% — | Inc — Monthly | |||||
| Monthly | ||||||
| 16,879 | 17,076 | — | 1/29/20 | Federal Funds | Newcrest Mining | (195) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 29,233 | 29,500 | — | 1/27/20 | Federal Funds | Nidec Corp — | (261) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 17,420 | 17,916 | — | 1/27/20 | Federal Funds | Nomura Research | (493) |
| Effective Rate US | Institute Ltd — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 70 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $24,971 | $26,253 | $— | 1/29/20 | Federal Funds | Ocado Group Plc — | $(1,278) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 15,875 | 15,893 | — | 1/27/20 | Federal Funds | Odakyu Electric | (15) |
| Effective Rate US | Railway Co Ltd — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 12,538 | 13,082 | — | 1/27/20 | Federal Funds | Old Mutual Ltd — | (542) |
| Effective Rate US | Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 102,423 | 73,028 | — | 1/29/20 | Federal Funds | Ollie’s Bargain | 29,773 |
| Effective Rate US | Outlet Holdings | |||||
| minus 0.23% — | Inc — Monthly | |||||
| Monthly | ||||||
| 81,623 | 83,500 | — | 1/29/20 | Federal Funds | On Semiconductor | (1,864) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 67,483 | 67,626 | — | 1/29/20 | Federal Funds | Oracle Corp — | (133) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 17,316 | 17,241 | — | 1/27/20 | Federal Funds | Oracle Corp | 79 |
| Effective Rate US | Japan — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 58,584 | 59,170 | — | 1/29/20 | Federal Funds | Origin Energy Ltd — | (578) |
| Effective Rate US | Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 11,615 | 11,785 | — | 1/29/20 | Federal Funds | Ottogi Corp — | (170) |
| Effective Rate US | Monthly | |||||
| minus 0.88% — | ||||||
| Monthly | ||||||
| 23,290 | 23,804 | — | 1/29/20 | Federal Funds | Owens Corning — | (511) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 52,941 | 54,331 | — | 1/27/20 | Federal Funds | Pan Pacific | (1,379) |
| Effective Rate US | International | |||||
| minus 0.37% — | Holdings Corp — | |||||
| Monthly | Monthly | |||||
| 43,304 | 39,661 | — | 1/27/20 | Federal Funds | Park24 Co Ltd — | 3,652 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 71 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $15,492 | $16,557 | $— | 1/29/20 | Federal Funds | Pearl Abyss Corp — | $(1,071) |
| Effective Rate US | Monthly | |||||
| minus 9.25% — | ||||||
| Monthly | ||||||
| 135,444 | 127,399 | — | 1/29/20 | Federal Funds | Penske Automotive | 7,502 |
| Effective Rate US | Group Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 14,724 | 14,889 | — | 1/29/20 | Federal Funds | People’s Insurance | (162) |
| Effective Rate US | Co Group Of China | |||||
| minus 0.40% — | Ltd/The — Monthly | |||||
| Monthly | ||||||
| 14,044 | 14,960 | — | 1/27/20 | Federal Funds | Pepkor Holdings | (916) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 1.63% — | ||||||
| Monthly | ||||||
| 51,414 | 51,458 | — | 1/29/20 | Federal Funds | Perrigo Co Plc — | (268) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 10,945 | 11,225 | — | 1/29/20 | Federal Funds | Posco Chemical Co | (292) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 15.00% — | ||||||
| Monthly | ||||||
| 15,211 | 15,662 | — | 1/29/20 | Federal Funds | Postal Savings Bank | (449) |
| Effective Rate US | Of China Co Ltd — | |||||
| minus 0.40% — | Monthly | |||||
| �� | Monthly | |||||
| 19,908 | 20,484 | — | 1/28/20 | Federal Funds | Press Metal | (583) |
| Effective Rate US | Aluminium Holdings | |||||
| minus 4.63% — | Bhd — Monthly | |||||
| Monthly | ||||||
| 149,969 | 151,996 | — | 1/29/20 | Federal Funds | Principal Financial | (2,004) |
| Effective Rate US | Group Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 24,726 | 25,756 | — | 1/29/20 | Federal Funds | Prysmian Spa — | (1,027) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 10,521 | 10,725 | — | 1/26/20 | Federal Funds | Qatar Islamic Bank | (205) |
| Effective Rate US | Qpsc — Monthly | |||||
| minus 3.50% — | ||||||
| Monthly | ||||||
| 22,552 | 22,424 | — | 1/29/20 | Federal Funds | Raiffeisen Bank | 132 |
| Effective Rate US | International Ag — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 72 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $52,426 | $52,525 | $— | 1/29/20 | Federal Funds | Reckitt Benckiser | $(92) |
| Effective Rate US | Group Plc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 19,359 | 19,811 | — | 1/27/20 | Federal Funds | Reinet Investments | (700) |
| Effective Rate US | Sca — Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 98,622 | 100,820 | — | 1/29/20 | Federal Funds | Ryder System Inc — | (2,182) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 13,612 | 14,610 | — | 1/29/20 | Federal Funds | S-Oil Corp — | (995) |
| Effective Rate US | Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 81,999 | 83,775 | — | 1/29/20 | Federal Funds | Sage Therapeutics | (1,765) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 11,065 | 11,985 | — | 1/27/20 | Federal Funds | Sasol Ltd — Monthly | (919) |
| Effective Rate US | ||||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 27,528 | 27,507 | — | 1/27/20 | Federal Funds | Sbi Holdings Inc — | 26 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 35,186 | 35,216 | — | 1/28/20 | Federal Funds | Sembcorp | (24) |
| Effective Rate US | Industries Ltd — | |||||
| minus 0.75% — | Monthly | |||||
| Monthly | ||||||
| 12,036 | 12,423 | — | 1/27/20 | Federal Funds | Semen Indonesia | (390) |
| Effective Rate US | Persero Tbk Pt — | |||||
| minus 4.00% — | Monthly | |||||
| Monthly | ||||||
| 12,582 | 12,939 | — | 1/30/20 | Federal Funds | Shanghai | (358) |
| Effective Rate US | Commercial & | |||||
| minus 0.88% — | Savings Bank Ltd/ | |||||
| Monthly | The — Monthly | |||||
| 25,563 | 25,814 | — | 1/27/20 | Federal Funds | Sharp Corp — | (249) |
| Effective Rate US | Monthly | |||||
| minus 0.88% — | ||||||
| Monthly | ||||||
| 10,222 | 10,463 | — | 1/29/20 | Federal Funds | Shinhan Financial | (240) |
| Effective Rate US | Group Co Ltd — | |||||
| minus 0.05% — | Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 73 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $14,632 | $15,114 | $— | 1/27/20 | Federal Funds | Shoprite Holdings | $(480) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 42,321 | 42,039 | — | 1/29/20 | Federal Funds | Siemens | 288 |
| Effective Rate US | Healthineers Ag — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 1,799 | 1,829 | — | 1/29/20 | Federal Funds | Sillajen Inc — | (31) |
| Effective Rate US | Monthly | |||||
| minus 19.00% — | ||||||
| Monthly | ||||||
| 8,208 | 8,219 | — | 1/29/20 | Federal Funds | Sino-Ocean Group | (10) |
| Effective Rate US | Holding Ltd — | |||||
| minus 0.40% — | Monthly | |||||
| Monthly | ||||||
| 14,857 | 15,176 | — | 1/29/20 | Federal Funds | Sinotrans Ltd — | (318) |
| Effective Rate US | Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 19,093 | 18,914 | — | 1/29/20 | Federal Funds | Sjm Holdings Ltd — | 182 |
| Effective Rate US | Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 7,084 | 7,466 | — | 1/29/20 | Federal Funds | Sociedad Quimica | (381) |
| Effective Rate US | Y Minera De Chile Sa | |||||
| minus 2.12% — | Adr — Monthly | |||||
| Monthly | ||||||
| 14,468 | 14,000 | — | 1/29/20 | Federal Funds | Soho China Ltd — | 470 |
| Effective Rate US | Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 15,954 | 16,184 | — | 1/27/20 | Federal Funds | Sony Financial | (226) |
| Effective Rate US | Holdings Inc — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 21,547 | 22,404 | — | 1/29/20 | Federal Funds | Southern Copper | (854) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 585,869 | 593,089 | — | 1/29/20 | Federal Funds | Spdr S&P 500 Etf | (7,111) |
| Effective Rate US | Trust — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 16,623 | 16,341 | — | 1/29/20 | Federal Funds | St James’s Place | (46) |
| Effective Rate US | Plc — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 74 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $121,526 | $120,799 | $— | 1/29/20 | Federal Funds | Stericycle Inc — | $746 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 151,121 | 154,276 | — | 1/29/20 | Federal Funds | Sterling Bancorp/ | (3,132) |
| Effective Rate US | De — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 51,361 | 51,634 | — | 1/29/20 | Federal Funds | Stryker Corp — | (264) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 23,603 | 22,697 | — | 1/29/20 | Federal Funds | Suedzucker Ag — | 895 |
| Effective Rate US | Monthly | |||||
| minus 7.75% — | ||||||
| Monthly | ||||||
| 13,005 | 13,371 | — | 1/27/20 | Federal Funds | Suzano Sa — | (363) |
| Effective Rate US | Monthly | |||||
| minus 1.00% — | ||||||
| Monthly | ||||||
| 167,917 | 169,051 | — | 1/29/20 | Federal Funds | Switch Inc — | (1,113) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 99,272 | 102,919 | — | 1/29/20 | Federal Funds | Synnex Corp — | (3,631) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 20,197 | 20,336 | — | 1/30/20 | Federal Funds | Taimed Biologics | (140) |
| Effective Rate US | Inc — Monthly | |||||
| minus 6.25% — | ||||||
| Monthly | ||||||
| 15,741 | 15,873 | — | 1/27/20 | Federal Funds | Taiyo Nippon Sanso | (129) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 66,622 | 69,562 | — | 1/29/20 | Federal Funds | Tcf Financial Corp — | (2,930) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 6,517 | 6,204 | — | 1/29/20 | Federal Funds | Telecom Argentina | 314 |
| Effective Rate US | Sa Adr — Monthly | |||||
| minus 4.12% — | ||||||
| Monthly | ||||||
| 17,386 | 17,236 | — | 1/29/20 | Federal Funds | Teva | 152 |
| Effective Rate US | Pharmaceutical | |||||
| minus 0.23% — | Industries Ltd Adr — | |||||
| Monthly | Monthly | |||||
| PanAgora Market Neutral Fund 75 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $72,224 | $71,970 | $— | 1/29/20 | Federal Funds | Tiffany & Co — | $265 |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 8,548 | 8,792 | — | 1/27/20 | Federal Funds | Tiger Brands Ltd — | (243) |
| Effective Rate US | Monthly | |||||
| minus 0.90% — | ||||||
| Monthly | ||||||
| 15,106 | 15,356 | — | 1/27/20 | Federal Funds | Tobu Railway Co | (247) |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 22,943 | 24,193 | — | 1/27/20 | Federal Funds | Tokyo Century | (1,246) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 11,578 | 11,747 | — | 1/28/20 | Federal Funds | Top Glove Corp | (176) |
| Effective Rate US | Bhd — Monthly | |||||
| minus 5.13% — | ||||||
| Monthly | ||||||
| 163,657 | 169,032 | — | 1/29/20 | Federal Funds | Transdigm Group | (5,343) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,688 | 9,670 | — | 1/29/20 | Federal Funds | Transurban Group — | 20 |
| Effective Rate US | Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 128,821 | 135,655 | — | 1/29/20 | Federal Funds | Trinity Industries | (6,812) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 18,058 | 16,919 | — | 1/29/20 | Federal Funds | Tullow Oil Plc — | 982 |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 8,520 | 8,353 | — | 1/29/20 | Federal Funds | Turk Hava Yollari | 168 |
| Effective Rate US | Ao — Monthly | |||||
| minus 0.88% — | ||||||
| Monthly | ||||||
| 70,917 | 70,584 | — | 1/29/20 | Federal Funds | Twilio Inc — Monthly | 344 |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 71,006 | 71,575 | — | 1/29/20 | Federal Funds | Tyler Technologies | (558) |
| Effective Rate US | Inc — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 76 PanAgora Market Neutral Fund | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $16,643 | $17,962 | $— | 1/29/20 | Federal Funds | Umicore Sa — | $(1,316) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 22,170 | 23,022 | — | 1/27/20 | Federal Funds | Unilever Indonesia | (1,216) |
| Effective Rate US | Tbk Pt — Monthly | |||||
| minus 4.00% — | ||||||
| Monthly | ||||||
| 9,826 | 10,067 | — | 1/28/20 | Federal Funds | Uol Group Ltd — | (239) |
| Effective Rate US | Monthly | |||||
| minus 0.35% — | ||||||
| Monthly | ||||||
| 12,792 | 13,067 | — | 1/29/20 | Federal Funds | Us Bancorp — | (273) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 45,767 | 46,881 | — | 1/29/20 | Federal Funds | Us Ecology Inc — | (1,107) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 44,215 | 45,464 | — | 1/29/20 | Federal Funds | Valeo Sa — Monthly | (1,240) |
| Effective Rate US | ||||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 82,620 | 84,407 | — | 1/29/20 | Federal Funds | Viasat Inc — Monthly | (1,774) |
| Effective Rate US | ||||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 18,544 | 19,011 | — | 1/29/20 | Federal Funds | Voestalpine Ag — | (463) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 121,939 | 122,573 | — | 1/29/20 | Federal Funds | Walt Disney Co/ | (615) |
| Effective Rate US | The — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 170,766 | 175,653 | — | 1/29/20 | Federal Funds | Watsco Inc — | (4,853) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 101,650 | 105,320 | — | 1/29/20 | Federal Funds | Webster Financial | (3,654) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 9,293 | 9,432 | — | 1/29/20 | Federal Funds | Weibo Corp Adr — | (138) |
| Effective Rate US | Monthly | |||||
| minus 0.62% — | ||||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 77 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $35,616 | $37,490 | $— | 1/29/20 | Federal Funds | Weir Group Plc/ | $(1,869) |
| Effective Rate US | The — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 83,430 | 88,789 | — | 1/29/20 | Federal Funds | Welbilt Inc — | (5,346) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 180,316 | 183,062 | — | 1/29/20 | Federal Funds | Wendy’s Co/The — | (3,550) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 20,121 | 19,711 | — | 1/29/20 | Federal Funds | Wharf Holdings Ltd/ | 413 |
| Effective Rate US | The — Monthly | |||||
| minus 0.40% — | ||||||
| Monthly | ||||||
| 136,226 | 137,891 | — | 1/29/20 | Federal Funds | White Mountains | (1,638) |
| Effective Rate US | Insurance Group | |||||
| minus 0.23% — | Ltd — Monthly | |||||
| Monthly | ||||||
| 18,607 | 19,158 | — | 1/30/20 | Federal Funds | Win | (564) |
| Effective Rate US | Semiconductors | |||||
| minus 0.40% — | Corp — Monthly | |||||
| Monthly | ||||||
| 11,080 | 10,856 | — | 1/30/20 | Federal Funds | Winbond | 223 |
| Effective Rate US | Electronics Corp — | |||||
| minus 2.88% — | Monthly | |||||
| Monthly | ||||||
| 16,967 | 17,111 | — | 1/29/20 | Federal Funds | Wix.Com Ltd — | (141) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 17,121 | 16,914 | — | 1/29/20 | Federal Funds | Wm Morrison | 210 |
| Effective Rate US | Supermarkets Plc — | |||||
| minus 0.30% — | Monthly | |||||
| Monthly | ||||||
| 31,727 | 33,703 | — | 1/27/20 | Federal Funds | Workman Co Ltd — | (1,987) |
| Effective Rate US | Monthly | |||||
| minus 5.25% — | ||||||
| Monthly | ||||||
| 60,822 | 62,312 | — | 1/29/20 | Federal Funds | Worldline Sa — | (1,481) |
| Effective Rate US | Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 78 PanAgora Market Neutral Fund |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $9,041 | $8,984 | $— | 1/29/20 | Federal Funds | Worleyparsons | $58 |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.45% — | ||||||
| Monthly | ||||||
| 98,895 | 103,431 | — | 1/29/20 | Federal Funds | Wynn Resorts Ltd — | (4,520) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 12,141 | 11,757 | — | 1/29/20 | Federal Funds | Xiaomi Corp — | 384 |
| Effective Rate US | Monthly | |||||
| minus 1.88% — | ||||||
| Monthly | ||||||
| 67,147 | 70,364 | — | 1/29/20 | Federal Funds | Xpo Logistics Inc — | (3,207) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| 32,341 | 31,304 | — | 1/27/20 | Federal Funds | Yamazaki Baking Co | 1,043 |
| Effective Rate US | Ltd — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 9,826 | 10,220 | — | 1/29/20 | Federal Funds | Yangtze Optical | (417) |
| Effective Rate US | Fibre And Cable | |||||
| minus 29.88% — | Joint Stock Ltd Co — | |||||
| Monthly | Monthly | |||||
| 29,273 | 30,270 | — | 1/27/20 | Federal Funds | Yaskawa Electric | (1,211) |
| Effective Rate US | Corp — Monthly | |||||
| minus 0.30% — | ||||||
| Monthly | ||||||
| 62,979 | 64,572 | — | 1/29/20 | Federal Funds | Zalando Ag — | (1,587) |
| Effective Rate US | Monthly | |||||
| minus 1.50% — | ||||||
| Monthly | ||||||
| 14,301 | 14,404 | — | 1/29/20 | Federal Funds | Zhaojin Mining | (100) |
| Effective Rate US | Industry Co Ltd — | |||||
| minus 2.75% — | Monthly | |||||
| Monthly | ||||||
| 14,645 | 14,772 | — | 1/30/20 | Federal Funds | Zhen Ding | (128) |
| Effective Rate US | Technology Holding | |||||
| minus 2.63% — | Ltd — Monthly | |||||
| Monthly | ||||||
| 6,875 | 6,551 | — | 1/29/20 | Federal Funds | Zhongan Online | 325 |
| Effective Rate US | P&C Insurance Co | |||||
| minus 12.75% — | Ltd — Monthly | |||||
| Monthly | ||||||
| PanAgora Market Neutral Fund 79 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/19cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| $36,366 | $37,976 | $— | 1/29/20 | Federal Funds | Zillow Group Inc — | $(1,605) |
| Effective Rate US | Monthly | |||||
| minus 0.52% — | ||||||
| Monthly | ||||||
| 34,845 | 36,323 | — | 1/29/20 | Federal Funds | Zillow Group Inc — | (1,472) |
| Effective Rate US | Monthly | |||||
| minus 0.23% — | ||||||
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 371,854 | |||
| Upfront premium (paid) | — | Unrealized (depreciation) | (335,973) | |||
| Total | $— | Total | $35,881 | |||
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 |
| Investment companies | $172,790 | $— | $— |
| Short-term investments | — | 9,677,097 | — |
| Totals by level | $172,790 | $9,677,097 | $— |
| Valuation inputs | |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Total return swap contracts | $— | $35,881 | $— |
| Totals by level | $— | $35,881 | $— |
The accompanying notes are an integral part of these financial statements.
| 80 PanAgora Market Neutral Fund | |
| Statement of assets and liabilities8/31/19 | |
| ASSETS | |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $9,843,700) | $9,849,887 |
| Interest and other receivables | 7,378 |
| Receivable for shares of the fund sold | 52,712 |
| Receivable for investments sold | 1,246,154 |
| Receivable from Manager (Note 2) | 30,108 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 371,854 |
| Prepaid assets | 58,692 |
| Total assets | 11,616,785 |
| LIABILITIES | |
| Payable for investments purchased | 1,289,261 |
| Payable for custodian fees (Note 2) | 5,177 |
| Payable for investor servicing fees (Note 2) | 726 |
| Payable for Trustee compensation and expenses (Note 2) | 147 |
| Payable for administrative services (Note 2) | 42 |
| Payable for distribution fees (Note 2) | 3,722 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 335,973 |
| Other accrued expenses | 70,453 |
| Total liabilities | 1,705,501 |
| Net assets | $9,911,284 |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1, 4 and 5) | $10,612,173 |
| Total distributable earnings (Note 1) | (700,889) |
| Total — Representing net assets applicable to capital shares outstanding | $9,911,284 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share($8,620,673 divided by 996,012 shares) | $8.66 |
| Offering price per class A share(100/94.25 of $8.66)* | $9.19 |
| Net asset value and offering price per class B share($8,534 divided by 1,000 shares)** | $8.53 |
| Net asset value and offering price per class C share($8,534 divided by 1,000 shares)** | $8.53 |
| Net asset value and redemption price per class M share($8,575 divided by 1,000 shares) | $8.57† |
| Offering price per class M share(100/96.50 of $8.57)* | $8.88 |
| Net asset value, offering price and redemption price per class R share | |
| ($8,615 divided by 1,000 shares) | $8.62 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($857,813 divided by 98,630 shares) | $8.70 |
| Net asset value, offering price and redemption price per class Y share | |
| ($398,540 divided by 45,831 shares) | $8.70 |
*On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
**Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
†Net asset value may not recalculate due to rounding of fractional shares.
The accompanying notes are an integral part of these financial statements.
| PanAgora Market Neutral Fund 81 |
| Statement of operationsYear ended 8/31/19 | |
| INVESTMENT INCOME | |
| Interest | $253,242 |
| Total investment income | 253,242 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 137,749 |
| Investor servicing fees (Note 2) | 4,599 |
| Custodian fees (Note 2) | 6,419 |
| Trustee compensation and expenses (Note 2) | 466 |
| Distribution fees (Note 2) | 22,771 |
| Administrative services (Note 2) | 326 |
| Amortization of offering costs (Note 1) | 18,336 |
| Reports to shareholders | 24,393 |
| Auditing and tax fees | 55,121 |
| Blue sky expense | 90,028 |
| Other | 2,708 |
| Fees waived and reimbursed by Manager (Note 2) | (176,491) |
| Total expenses | 186,425 |
| Expense reduction (Note 2) | (1,411) |
| Net expenses | 185,014 |
| Net investment income | 68,228 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 471 |
| Swap contracts (Note 1) | (884,499) |
| Total net realized loss | (884,028) |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers | 6,570 |
| Swap contracts | 28,989 |
| Total change in net unrealized appreciation | 35,559 |
| Net loss on investments | (848,469) |
| Net decrease in net assets resulting from operations | $(780,241) |
The accompanying notes are an integral part of these financial statements.
| 82 PanAgora Market Neutral Fund | |
| Statement of changes in net assets | ||
| For the period 9/21/17 | ||
| (commencement of | ||
| INCREASE (DECREASE) IN NET ASSETS | Year ended 8/31/19 | operations) to 8/31/18 |
| Operations | ||
| Net investment income (loss) | $68,228 | $(19,625) |
| Net realized loss on investments | (884,028) | (770,553) |
| Change in net unrealized appreciation of investments | 35,559 | 6,509 |
| Net decrease in net assets resulting from operations | (780,241) | (783,669) |
| Increase (decrease) from capital share transactions (Note 4) | (22,190) | 1,497,384 |
| Total increase (decrease) in net assets | (802,431) | 713,715 |
| NET ASSETS | ||
| Beginning of year (Note 5) | 10,713,715 | 10,000,000 |
| End of year(Note 1) | $9,911,284 | $10,713,715 |
The accompanying notes are an integral part of these financial statements.
| PanAgora Market Neutral Fund 83 |
| Financial highlights(For a common share outstanding throughout the period) | ||||||||||||
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | ||||||||||
| Ratio | ||||||||||||
| Net realized | of net investment | |||||||||||
| Net asset value, | and unrealized | Total from | From net | Total return | Net assets, | Ratio of expenses | income (loss) | |||||
| beginning | Net investment | gain (loss) | investment | investment | Total | Net asset value, | at net asset value | end of period | to average | to average | Portfolio | |
| Period ended | of period | income (loss)a | on investments | operations | income | distributions | end of period | (%)b | (in thousands) | net assets (%)c,d | net assets (%)d | turnover (%) |
| Class A | ||||||||||||
| August 31, 2019 | $9.32 | .05 | (.71) | (.66) | — | — | $8.66 | (7.08) | $8,621 | 1.79 | .61 | — |
| August 31, 2018† | 10.00 | (.02) | (.66) | (.68) | — | — | 9.32 | (6.80)* | 9,275 | 1.69* | (.21)* | — |
| Class B | ||||||||||||
| August 31, 2019 | $9.25 | (.01) | (.71) | (.72) | — | — | $8.53 | (7.78) | $9 | 2.54 | (.14) | — |
| August 31, 2018† | 10.00 | (.09) | (.66) | (.75) | — | — | 9.25 | (7.50)* | 9 | 2.40* | (.92)* | — |
| Class C | ||||||||||||
| August 31, 2019 | $9.25 | (.01) | (.71) | (.72) | — | — | $8.53 | (7.78) | $9 | 2.54 | (.14) | — |
| August 31, 2018† | 10.00 | (.09) | (.66) | (.75) | — | — | 9.25 | (7.50)* | 9 | 2.40* | (.92)* | — |
| Class M | ||||||||||||
| August 31, 2019 | $9.27 | .01 | (.71) | (.70) | — | — | $8.57 | (7.55) | $9 | 2.29 | .11 | — |
| August 31, 2018† | 10.00 | (.06) | (.67) | (.73) | — | — | 9.27 | (7.30)* | 9 | 2.16* | (.68)* | — |
| Class R | ||||||||||||
| August 31, 2019 | $9.30 | .03 | (.71) | (.68) | — | — | $8.62 | (7.31) | $9 | 2.04 | .36 | — |
| August 31, 2018† | 10.00 | (.04) | (.66) | (.70) | — | — | 9.30 | (7.00)* | 9 | 1.93* | (.45)* | — |
| Class R6 | ||||||||||||
| August 31, 2019 | $9.34 | .08 | (.72) | (.64) | — | — | $8.70 | (6.85) | $858 | 1.55 | .87 | — |
| August 31, 2018† | 10.00 | .01 | (.67) | (.66) | — | — | 9.34 | (6.60)* | 971 | 1.46* | .13* | — |
| Class Y | ||||||||||||
| August 31, 2019 | $9.34 | .08 | (.72) | (.64) | — | — | $8.70 | (6.85) | $399 | 1.54 | .86 | — |
| August 31, 2018† | 10.00 | .01 | (.67) | (.66) | — | — | 9.34 | (6.60)* | 431 | 1.45* | .11* | — |
*Not annualized.
†For the period September 21, 2017 (commencement of operations) to August 31, 2018.
aPer share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
bTotal return assumes dividend reinvestment and does not reflect the effect of sales charges.
cIncludes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
dReflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts (Note 2):
| Percentage of average net assets | |
| August 31, 2019 | 1.67% |
| August 31, 2018 | 3.71 |
The accompanying notes are an integral part of these financial statements.
| 84 PanAgora Market Neutral Fund | PanAgora Market Neutral Fund 85 |
Notes to financial statements8/31/19
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from September 1, 2018 through August 31, 2019.
Putnam PanAgora Market Neutral Fund (the fund) is a diversified series of Putnam Investment Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek absolute return (i.e. positive total return in diverse market environments over time). The fund pursues its goal by investing through a diversified set of long and short equity strategies that seek to identify and exploit multiple price inefficiencies that exist in global equity markets. PanAgora Asset Management, Inc. (“PanAgora”), the subadviser to the fund and an affiliate of Putnam Management, believes that these inefficiencies create investment opportunities in different market segments, at different times, and for different reasons, before they are ultimately arbitraged away. By using a diversified set of strategies that PanAgora believes have low correlation to one another, the fund seeks to generate returns under different market conditions and over different time horizons that are more stable over time than the returns of any individual strategy.
The fund’s strategies rely on quantitative models and information and data inputs to those models in an effort to capitalize on investment opportunities that exist when the prospects of a company’s likely success or failure are not fully recognized by market participants. PanAgora expects to implement the fund’s strategies primarily through investing in total return swap contracts.
The fund’s strategies are managed within three distinct sleeves of the fund designed to capitalize on long-term, intermediate-term, and short-term price inefficiencies. PanAgora strategically allocates the fund’s investments among the various strategies, varying the allocations from time to time based upon its assessment of the attractiveness of the available opportunity set, to seek to increase the potential for higher returns.
Although the fund may have net long or short exposure to the stock market at any time, PanAgora expects that, over time, the fund’s returns will not closely correlate with stock market movements. PanAgora may adjust the fund’s portfolio from time to time, and may use derivatives, to minimize exposure to stock market movements. The fund’s portfolio is also adjusted on a regular basis in an effort to manage risk from systematic factors (such as market or interest rate movements), risk from sector, country and region exposure, as well as excessive risk from any one security, by using derivatives, exchange traded funds (ETFs) and other risk management and portfolio construction techniques.
The fund expects to use total return swaps and may also use other derivatives (such as futures contracts, options, currency swaps and other swap contracts), to take long or short positions in equity securities (principally common stocks, American Depositary Receipts (ADRs), and real estate investment trusts (REITs)), fixed-income securities, and other investment companies (principally ETFs). The fund may have exposure to U.S. and non-U.S. (including both developed and emerging market) companies, to companies of any market capitalization and to fixed-income securities of any credit quality, duration or maturity (principally government-issued instruments, money market instruments, and investment-grade corporate instruments). At times, the fund may also hold these instruments directly. The fund may take “short” derivatives positions and may use derivatives to hedge and for speculative purposes.
A significant portion of the assets of the fund will be invested in short-term instruments, including cash and cash equivalents generally with one year or less term to maturity. These investments serve as collateral for the derivative positions the fund takes and also may earn income for the fund.
The fund offers class A, class B, class C, class M, class R, class R6 and class Y shares. Effective November 25, 2019, class M shares will no longer be available for purchase and will convert automatically to class A shares. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately ten years. Class R shares, which are not
| 86 PanAgora Market Neutral Fund | |
available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee, and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuationPortfolio 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.
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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
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
| PanAgora Market Neutral Fund 87 |
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.
Security transactions and related investment incomeSecurity transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.
Total return swap contractsThe fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to take long or short positions in equity securities.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreementsThe 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 portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s 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.
| 88 PanAgora Market Neutral Fund | |
At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements.
Interfund lendingThe fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of creditThe fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxesIt is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740Income Taxes(ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. The fund’s federal tax return for the prior period remains subject to examination by the Internal Revenue Service.
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer $707,076 to its fiscal year ending August 31, 2020 of late year ordinary losses ((i) ordinary losses recognized between January 1, 2019 and August 31, 2019, and (ii) specified ordinary and currency losses recognized between November 1, 2018 and August 31, 2019).
Distributions to shareholdersDistributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences from late year loss deferrals, from net operating loss and from income on swap contracts. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. At the close of the reporting period, the fund reclassified $93,831 to increase accumulated net investment loss, $790,211 to decrease paid-in capital and $884,042 to decrease accumulated net realized loss.
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
| Unrealized appreciation | $342,392 |
| Unrealized depreciation | (336,205) |
| Net unrealized appreciation | 6,187 |
| Late year ordinary loss deferral | (707,076) |
| Cost for federal income tax purposes | $9,879,581 |
For the fiscal year ended August 31, 2018, the fund had accumulated net investment loss of $717,354.
| PanAgora Market Neutral Fund 89 |
Expenses of the TrustExpenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Offering costsThe offering costs of $334,594 have been fully amortized on a straight-line basis over a twelvemonth period as of September 21, 2018. As of the close of the reporting period, the fund has reimbursed Putnam Management for the payment of these expenses.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the monthly average of the aggregate net assets of all open-end funds sponsored by Putnam Management for which PanAgora is acting as sub-adviser launched on or after the date of the fund’s management contract, as determined at the close of each business day during the month. Such annual rates may vary as follows:
| 1.300% | of the first $1 billion, | 1.280% | of the next $2 billion and | |
| 1.290% | of the next $2 billion, | 1.270% | of any excess thereafter |
For the reporting period, the fee represented an effective rate (excluding the impact from any expense waivers in effect) of 1.300% of the fund’s average net assets.
Putnam Management has contractually agreed, through December 30, 2020, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were reduced by $176,491 as a result of this limit.
PanAgora, an affiliate of Putnam Management, is authorized by the Trustees to make investment decisions for the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PanAgora for its services at an annual rate of 1.00% of the average net assets of the portion of the fund managed by PanAgora.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
| During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows: | ||||
| Class A | $3,828 | Class R | 4 | |
| Class B | 4 | Class R6 | 577 | |
| Class C | 4 | Class Y | 178 | |
| Class M | 4 | Total | $4,599 | |
| 90 PanAgora Market Neutral Fund | |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $1,411 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $7, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
| Class A | 0.35% | 0.25% | $22,480 |
| Class B | 1.00% | 1.00% | 89 |
| Class C | 1.00% | 1.00% | 89 |
| Class M | 1.00% | 0.75% | 68 |
| Class R | 1.00% | 0.50% | 45 |
| Total | $22,771 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $7 and no monies from the sale of class A and class M shares, respectively, and received no monies in contingent deferred sales charges from redemptions of class B and class C shares.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no monies on class A redemptions.
Note 3: Purchases and sales of securities
| During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term | ||
| investments, were as follows: | ||
| Cost of purchases | Proceeds from sales | |
| Investments in securities (Long-term) | $— | $— |
| U.S. government securities (Long-term) | — | — |
| Total | $— | $— |
| PanAgora Market Neutral Fund 91 |
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 477 | $4,247 | 1,601 | $15,867 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 477 | 4,247 | 1,601 | 15,867 | |
| Shares repurchased | (37) | (331) | (29) | (275) |
| Net increase | 440 | $3,916 | 1,572 | $15,592 |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| — | — | — | — | |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| — | — | — | — | |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class M | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| — | — | — | — | |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| 92 PanAgora Market Neutral Fund | |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| — | — | — | — | |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 64,196 | $593,268 | 109,046 | $1,089,710 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 64,196 | 593,268 | 109,046 | 1,089,710 | |
| Shares repurchased | (69,593) | (616,521) | (6,019) | (59,232) |
| Net increase (decrease) | (5,397) | $(23,253) | 103,027 | $1,030,478 |
| FOR THE PERIOD 9/21/17 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| YEAR ENDED 8/31/19 | TO 8/31/18 | |||
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 5,555 | $50,070 | 46,110 | $460,664 |
| Shares issued in connection with | ||||
| reinvestment of distributions | — | — | — | — |
| 5,555 | 50,070 | 46,110 | 460,664 | |
| Shares repurchased | (5,834) | (52,923) | (1,000) | (9,350) |
| Net increase (decrease) | (279) | $(2,853) | 45,110 | $451,314 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| Shares owned | Percentage of ownership | Value | |
| Class A | 994,000 | 99.80% | $8,608,040 |
| Class B | 1,000 | 100.00 | 8,534 |
| Class C | 1,000 | 100.00 | 8,534 |
| Class M | 1,000 | 100.00 | 8,575 |
| Class R | 1,000 | 100.00 | 8,615 |
At the close of the reporting period, a shareholder of record owned 8.1% of the outstanding shares of the fund.
| PanAgora Market Neutral Fund 93 |
Note 5: Initial capitalization and offering of shares
The fund was established as a series of the Trust on September 20, 2017 and commenced operations on September 21, 2017. Prior to September 21, 2017, the fund had no operations other than those related to organizational matters, including as noted below, the initial capital contributions by Putnam Investments, LLC and issuance of shares:
| Capital contribution | Shares issued | |
| Class A | $9,940,000 | 994,000 |
| Class B | 10,000 | 1,000 |
| Class C | 10,000 | 1,000 |
| Class M | 10,000 | 1,000 |
| Class R | 10,000 | 1,000 |
| Class R6 | 10,000 | 1,000 |
| Class Y | 10,000 | 1,000 |
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default.
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| OTC total return swap contracts (notional) | $35,200,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ||||
| ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Equity contracts | Receivables | $371,854 | Payables | $335,973 |
| Total | $371,854 | $335,973 | ||
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | ||
| Derivatives not accounted for as | ||
| hedging instruments under ASC 815 | Swaps | Total |
| Equity contracts | $(884,499) | $(884,499) |
| Total | $(884,499) | $(884,499) |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | ||
| on investments | ||
| Derivatives not accounted for as | ||
| hedging instruments under ASC 815 | Swaps | Total |
| Equity contracts | $28,989 | $28,989 |
| Total | $28,989 | $28,989 |
| 94 PanAgora Market Neutral Fund | |
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Morgan Stanley & Co. International PLC | Total | |
| Assets: | ||
| OTC Total return swap contracts*# | $371,854 | $371,854 |
| Total Assets | $371,854 | $371,854 |
| Liabilities: | ||
| OTC Total return swap contracts*# | $335,973 | $335,973 |
| Total Liabilities | $335,973 | $335,973 |
| Total Financial and Derivative Net Assets | $35,881 | $35,881 |
| Total collateral received (pledged)†## | $(3,789,194) | |
| Net amount | $3,825,075 | |
| Controlled collateral received (including | ||
| TBA commitments)** | $— | $— |
| Uncontrolled collateral received | $— | $— |
| Collateral (pledged) (including TBA commitments)** | $(3,789,194) | $(3,789,194) |
*Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
**Included with Investments in securities on the Statement of assets and liabilities.
†Additional collateral may be required from certain brokers based on individual agreements.
#Covered by master netting agreement (Note 1).
##Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
| PanAgora Market Neutral Fund 95 |
Federal tax information (Unaudited)
The Form 1099 that will be mailed to you in January 2020 will show the tax status of all distributions paid to your account in calendar 2019.
| 96 PanAgora Market Neutral Fund | |
| PanAgora Market Neutral Fund 97 |
*Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is 100 Federal Street, Boston, MA 02110.
As of August 31, 2019, there were 91 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
| 98 PanAgora Market Neutral Fund | |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| Robert T. Burns(Born 1961) | Richard T. Kircher(Born 1962) |
| Vice President and Chief Legal Officer | Vice President and BSA Compliance Officer |
| Since 2011 | Since 2019 |
| General Counsel, Putnam Investments, | Assistant Director, Operational Compliance, Putnam |
| Putnam Management, and Putnam Retail Management | Investments and Putnam Retail Management |
| James F. Clark(Born 1974) | Susan G. Malloy(Born 1957) |
| Vice President and Chief Compliance Officer | Vice President and Assistant Treasurer |
| Since 2016 | Since 2007 |
| Chief Compliance Officer and Chief Risk Officer, | Head of Accounting and Middle Office Services, |
| Putnam Investments and Chief Compliance Officer, | Putnam Investments and Putnam Management |
| Putnam Management | |
| Denere P. Poulack(Born 1968) | |
| Nancy E. Florek(Born 1957) | Assistant Vice President, Assistant Clerk, |
| Vice President, Director of Proxy Voting and Corporate | and Assistant Treasurer |
| Governance, Assistant Clerk, and Assistant Treasurer | Since 2004 |
| Since 2000 | |
| Janet C. Smith(Born 1965) | |
| Michael J. Higgins(Born 1976) | Vice President, Principal Financial Officer, Principal |
| Vice President, Treasurer, and Clerk | Accounting Officer, and Assistant Treasurer |
| Since 2010 | Since 2007 |
| Head of Fund Administration Services, | |
| Jonathan S. Horwitz(Born 1955) | Putnam Investments and Putnam Management |
| Executive Vice President, Principal Executive Officer, | |
| and Compliance Liaison | Mark C. Trenchard(Born 1962) |
| Since 2004 | Vice President |
| Since 2002 | |
| Director of Operational Compliance, Putnam | |
| Investments and Putnam Retail Management | |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.
| PanAgora Market Neutral Fund 99 |
Services for shareholders
Investor services
Systematic investment planTell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchangeYou can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUSYou can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilegeYou can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilegeIf you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of thetransaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing serviceYou have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averagingWhen you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.comA secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| 100 PanAgora Market Neutral Fund |
Fund information
Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Kenneth R. Leibler,Chair | Vice President, Treasurer, |
| Management, LLC | Liaquat Ahamed | and Clerk |
| 100 Federal Street | Ravi Akhoury | |
| Boston, MA 02110 | Barbara M. Baumann | Jonathan S. Horwitz |
| Katinka Domotorffy | Executive Vice President, | |
| Investment Sub-Advisor | Catharine Bond Hill | Principal Executive Officer, |
| PanAgora Asset Management, Inc. | Paul L. Joskow | and Compliance Liaison |
| 470 Atlantic Ave. | Robert E. Patterson | |
| Boston, MA 02210 | George Putnam, III | Richard T. Kircher |
| Robert L. Reynolds | Vice President and BSA | |
| Marketing Services | Manoj P. Singh | Compliance Officer |
| Putnam Retail Management | ||
| 100 Federal Street | Officers | Susan G. Malloy |
| Boston, MA 02110 | Robert L. Reynolds | Vice President and |
| President | Assistant Treasurer | |
| Custodian | ||
| State Street Bank | Robert T. Burns | Denere P. Poulack |
| and Trust Company | Vice President and | Assistant Vice President, Assistant |
| Chief Legal Officer | Clerk, and Assistant Treasurer | |
| Legal Counsel | ||
| Ropes & Gray LLP | James F. Clark | Janet C. Smith |
| Vice President, Chief Compliance | Vice President, | |
| Independent Registered Public | Officer, and Chief Risk Officer | Principal Financial Officer, |
| Accounting Firm | Principal Accounting Officer, | |
| PricewaterhouseCoopers LLP | Nancy E. Florek | and Assistant Treasurer |
| Vice President, Director of | ||
| Proxy Voting and Corporate | Mark C. Trenchard | |
| Governance, Assistant Clerk, | Vice President | |
| and Assistant Treasurer |
This report is for the information of shareholders of Putnam PanAgora Market Neutral Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| (a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
| (c) In December 2018, the Code of Ethics of PanAgora Asset Management, Inc. was amended to require that PanAgora Asset Management, Inc. employees preclear personal trades in cryptocurrencies, other than Bitcoin. In February 2018, the Code of Ethics of Putnam Investments was amended. The key changes to the Code of Ethics are as follows: (i) Prohibition of investing in public coin offerings or token offerings, (ii) Removal of monetary fines as available sanctions for violations of the Code of Ethics, and (iii) Expanded definition of “Immediate Family Member”. |
| Item 3. Audit Committee Financial Expert: |
| The Funds' Audit, Compliance and Distributions Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit, Compliance and Distributions Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Patterson, Ms. Baumann and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Distribution Committee and the Board of Trustees in the absence of such designation or identification. |
| Item 4. Principal Accountant Fees and Services: |
| The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor: |
| Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
| August 31, 2019 | $49,452 | $ — | $5,670 | $ — | |
| August 31, 2018* | $45,026 | $ — | $8,295 | $15 | |
| * | For the period September 21, 2018 (commencement of operations) to August 31, 2018 |
| For the fiscal years ended August 31, 2019 and August 31, 2018, the fund's independent auditor billed aggregate non-audit fees in the amounts of $552,654 and $532,711 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
| Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
| Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
| Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
| All Other Fees represent fees billed for services relating to an analysis of fund profitability |
| Pre-Approval Policies of the Audit, Compliance and Distributions Committee. The Audit, Compliance and Distributions Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
| The Audit, Compliance and Distributions Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
| The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X. |
| Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
| August 31, 2019 | $ — | $546,984 | $ — | $ — | |
| August 31, 2018* | $ — | $524,401 | $ — | $ — | |
| * | For the period September 21, 2018 (commencement of operations) to August 31, 2018 |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 180 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies: |
| Not Applicable |
Item 13. Exhibits: |
| (a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. In addition, the Code of Ethics of PanAgora Asset Management, Inc. is filed herewith. |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| SIGNATURES |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Putnam Investment Funds |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: October 28, 2019 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title): |
| /s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
| Date: October 28, 2019 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: October 28, 2019 |