Putnam S&P 500 Index Fund. Annual Report Year Ended December 31, 2016

Transcription

1 Putnam S&P 500 Index Fund Annual Report Year Ended December 31, 2016

2 Table of contents Report of Independent Auditors 1 The fund s portfolio 2 Statement of assets and liabilities 16 Statement of operations 17 Statement of changes in net assets 18 Financial highlights 20 Notes to financial statements 23

3 Report of Independent Auditors To the Trustee of the Putnam S&P 500 Index Fund We have audited the accompanying financial statements of Putnam S&P 500 Index Fund (the Fund ), which comprise the statement of assets and liabilities, including the fund s portfolio, as of December 31, 2016 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam S&P 500 Index Fund as of December 31, 2016, and the results of its operations, changes in its net assets, and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. April 13, 2017 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA T: (617) , F: (617) , Putnam S&P 500 Index Fund 1

4 The fund s portfolio 12/31/16 COMMON STOCKS (98.4%)* Shares Value Basic materials (2.8%) Air Products & Chemicals, Inc. 4,401 $632,952 Albemarle Corp. 2, ,376 Archer-Daniels-Midland Co. 11, ,872 CF Industries Holdings, Inc. 4, ,808 Dow Chemical Co. (The) 22,530 1,289,167 E. I. du Pont de Nemours & Co. 17,452 1,280,977 Eastman Chemical Co. 2, ,259 FMC Corp. 2, ,712 Fortune Brands Home & Security, Inc. 3, ,380 Freeport-McMoRan, Inc. 24, ,381 International Flavors & Fragrances, Inc. 1, ,646 International Paper Co. 8, ,602 LyondellBasell Industries NV (Netherlands) 6, ,148 Martin Marietta Materials, Inc. 1, ,989 Monsanto Co. 8, ,539 Mosaic Co. (The) 7, ,310 Newmont Mining Corp. 10, ,551 Nucor Corp. 6, ,036 PPG Industries, Inc. 5, ,704 Praxair, Inc. 5, ,100 Sealed Air Corp. 3, ,277 Sherwin-Williams Co. (The) 1, ,984 WestRock Co. 5, ,693 Weyerhaeuser Co. 14, ,100 10,759,563 Capital goods (5.1%) Acuity Brands, Inc ,774 Allegion PLC (Ireland) 1, ,424 Arconic, Inc. 8, ,073 Avery Dennison Corp. 1, ,374 Ball Corp. 3, ,238 Boeing Co. (The) 11,443 1,781,446 BorgWarner, Inc. 4, ,760 Caterpillar, Inc. 11,700 1,085,058 Cummins, Inc. 3, ,677 Deere & Co. 5, ,838 Delphi Automotive PLC (United Kingdom) 5, ,690 Dover Corp. 3, ,790 Eaton Corp PLC (Ireland) 9, ,049 Emerson Electric Co. 12, ,600 Putnam S&P 500 Index Fund 2

5 COMMON STOCKS (98.4%)* cont. Shares Value Capital goods cont. Flowserve Corp. 2,600 $124,930 Fluor Corp. 2, ,161 Fortive Corp. 6, ,825 General Dynamics Corp. 5,801 1,001,601 Honeywell International, Inc. 15,225 1,763,816 Illinois Tool Works, Inc. 6, ,620 Ingersoll-Rand PLC (Ireland) 5, ,704 Jacobs Engineering Group, Inc. 2, ,800 Johnson Controls International PLC (Ireland) 18, ,420 Leggett & Platt, Inc. 2, ,913 Lockheed Martin Corp. 5,101 1,274,944 Northrop Grumman Corp. 3, ,426 Parker Hannifin Corp. 2, ,820 Pentair PLC (Ireland) 3, ,732 Quanta Services, Inc. 2, ,065 Raytheon Co. 5, ,800 Republic Services, Inc. 4, ,286 Rockwell Collins, Inc. 2, ,993 Roper Technologies, Inc. 2, ,160 Staples, Inc. 12, ,754 Stericycle, Inc. 1, ,968 Textron, Inc. 5, ,080 TransDigm Group, Inc. 1, ,960 United Technologies Corp. 15,300 1,677,186 Waste Management, Inc. 8, ,251 Xylem, Inc. 3, ,274 20,043,280 Communication services (4.4%) American Tower Corp. 8, ,386 AT&T, Inc. 122,822 5,223,620 CenturyLink, Inc. 10, ,225 Charter Communications, Inc. 4,400 1,266,848 Comcast Corp. 47,690 3,292,995 Crown Castle International Corp. 7, ,744 Equinix, Inc. 1, ,811 Frontier Communications Corp. 22,309 75,404 Juniper Networks, Inc. 7, ,602 Level 3 Communications, Inc. 5, ,888 Verizon Communications, Inc. 81,508 4,350,897 17,049,420 Conglomerates (2.3%) 3M Co. 12,001 2,143,019 AMETEK, Inc. 4, ,700 Putnam S&P 500 Index Fund 3

6 COMMON STOCKS (98.4%)* cont. Shares Value Conglomerates cont. Danaher Corp. 12,200 $949,648 General Electric Co. 177,001 5,593,232 8,904,599 Consumer cyclicals (11.8%) Advance Auto Parts, Inc. 1, ,680 Amazon.com, Inc. 7,800 5,848,986 Automatic Data Processing, Inc. 9, ,020 Autonation, Inc. 1,433 69,715 AutoZone, Inc ,874 Bed Bath & Beyond, Inc. 3, ,961 Best Buy Co., Inc. 5, ,685 CarMax, Inc. 3, ,682 Carnival Corp. (Panama) 8, ,098 CBS Corp. 7, ,482 Cintas Corp. 1, ,452 Clorox Co. (The) 2, ,172 Coach, Inc. 5, ,649 D.R. Horton, Inc. 6, ,138 Discovery Communications, Inc. Class A 3,100 84,971 Discovery Communications, Inc. Class C 4, ,832 Dollar General Corp. 5, ,757 Dollar Tree, Inc. 4, ,296 Ecolab, Inc. 5, ,383 Equifax, Inc. 2, ,870 Expedia, Inc. 2, ,536 Foot Locker, Inc. 2, ,403 Ford Motor Co. 77, ,229 Gap, Inc. (The) 4, ,420 General Motors Co. 27, ,068 Genuine Parts Co. 2, ,939 Global Payments, Inc. 3, ,230 Goodyear Tire & Rubber Co. (The) 5, ,729 H&R Block, Inc. 4, ,076 Hanesbrands, Inc. 7, ,246 Harley-Davidson, Inc. 3, ,190 Harman International Industries, Inc. 1, ,624 Hasbro, Inc. 2, ,083 Home Depot, Inc. (The) 24,401 3,271,686 Host Hotels & Resorts, Inc. 14, ,096 Interpublic Group of Cos., Inc. (The) 8, ,045 Kimberly-Clark Corp. 7, ,105 Kohl s Corp. 3, ,879 L Brands, Inc. 4, ,752 Putnam S&P 500 Index Fund 4

7 COMMON STOCKS (98.4%)* cont. Shares Value Consumer cyclicals cont. Lennar Corp. 4,001 $171,763 Lowe s Cos., Inc. 17,401 1,237,559 Macy s, Inc. 6, ,697 Marriott International, Inc./MD 6, ,912 Masco Corp. 6, ,048 MasterCard, Inc. 19,100 1,972,075 Mattel, Inc. 6, ,924 Michael Kors Holdings, Ltd. (British Virgin Islands) 3, ,430 Mohawk Industries, Inc. 1, ,584 Moody s Corp. 3, ,185 News Corp. Class A 7,450 85,377 News Corp. Class B 2,100 24,780 Nielsen Holdings PLC (United Kingdom) 6, ,065 NIKE, Inc. 26,804 1,362,447 Nordstrom, Inc. 2, ,239 O Reilly Automotive, Inc. 1, ,979 Omnicom Group, Inc. 4, ,102 PACCAR, Inc. 7, ,281 PayPal Holdings, Inc. 22, ,128 Pitney Bowes, Inc. 3,601 54,699 Priceline Group, Inc. (The) 1,000 1,466,060 PulteGroup, Inc. 6, ,555 PVH Corp. 1, ,384 Ralph Lauren Corp. 1,101 99,442 Ross Stores, Inc. 8, ,800 Royal Caribbean Cruises, Ltd. (Liberia) 3, ,936 S&P Global, Inc. 5, ,316 Scripps Networks Interactive 1, ,603 Signet Jewelers, Ltd. (Bermuda) 1, ,964 Snap-On, Inc. 1, ,961 Stanley Black & Decker, Inc. 3, ,314 Target Corp. 11, ,976 TEGNA, Inc. 4,300 91,977 Tiffany & Co. 2, ,423 Time Warner, Inc. 15,433 1,489,747 TJX Cos., Inc. (The) 13, ,203 Total System Services, Inc. 3, ,829 Tractor Supply Co. 2, ,687 Twenty-First Century Fox, Inc. Class A 21, ,252 Twenty-First Century Fox, Inc. Class B 9, ,050 Under Armour, Inc. Class A 3, ,675 Under Armour, Inc. Class C 3,526 88,749 United Rentals, Inc. 1, ,486 Putnam S&P 500 Index Fund 5

8 COMMON STOCKS (98.4%)* cont. Shares Value Consumer cyclicals cont. Urban Outfitters, Inc. 1,600 $45,568 Verisk Analytics, Inc. 3, ,627 VF Corp. 6, ,445 Viacom, Inc. 6, ,174 Vulcan Materials Co. 2, ,905 Wal-Mart Stores, Inc. 30,200 2,087,424 Walt Disney Co. (The) 29,300 3,053,646 Whirlpool Corp. 1, ,107 Wyndham Worldwide Corp. 2, ,272 Wynn Resorts, Ltd. 1, ,416 46,377,286 Consumer staples (10.1%) Altria Group, Inc. 39,000 2,637,180 Brown-Forman Corp. 3, ,544 Campbell Soup Co. 3, ,786 Chipotle Mexican Grill, Inc ,392 Church & Dwight Co., Inc. 5, ,207 Coca-Cola Co. (The) 77,502 3,213,233 Colgate-Palmolive Co. 17,700 1,158,288 ConAgra Foods, Inc. 8, ,175 Constellation Brands, Inc. 3, ,069 Costco Wholesale Corp. 8,701 1,393,117 Coty, Inc. 9, ,945 CVS Health Corp. 21,440 1,691,830 Darden Restaurants, Inc. 2, ,164 Dr. Pepper Snapple Group, Inc. 3, ,546 Estee Lauder Cos., Inc. (The) 4, ,358 Fastenal Co. 5, ,786 General Mills, Inc. 11, ,010 Hershey Co. (The) 2, ,707 Hormel Foods Corp. 5, ,455 JM Smucker Co. (The) 2, ,508 Kellogg Co. 5, ,995 Kraft Heinz Co. (The) 11,889 1,038,147 Kroger Co. (The) 19, ,690 LKQ Corp. 6, ,965 McCormick & Co., Inc. 2, ,752 McDonald s Corp. 16,601 2,020,674 Mead Johnson Nutrition Co. 3, ,736 Molson Coors Brewing Co. 3, ,413 Mondelez International, Inc. 30,868 1,368,378 Monster Beverage Corp. 8, ,154 Netflix, Inc. 8,500 1,052,300 Putnam S&P 500 Index Fund 6

9 COMMON STOCKS (98.4%)* cont. Shares Value Consumer staples cont. Newell Brands, Inc. 9,726 $434,266 PepsiCo, Inc. 28,702 3,003,090 Philip Morris International, Inc. 30,900 2,827,041 Procter & Gamble Co. (The) 53,550 4,502,484 Reynolds American, Inc. 16, ,040 Robert Half International, Inc. 2, ,999 Starbucks Corp. 29,102 1,615,743 Sysco Corp. 10, ,700 TripAdvisor, Inc. 2, ,333 Tyson Foods, Inc. 5, ,806 Ulta Salon, Cosmetics & Fragrance, Inc. 1, ,928 W.W. Grainger, Inc. 1, ,475 Walgreens Boots Alliance, Inc. 17,100 1,415,196 Whole Foods Market, Inc. 6, ,864 Yum! Brands, Inc. 6, ,307 39,589,776 Energy (7.2%) Anadarko Petroleum Corp. 11, ,212 Apache Corp. 7, ,819 Baker Hughes, Inc. 8, ,152 Cabot Oil & Gas Corp. 9, ,576 Chesapeake Energy Corp. 14, ,605 Chevron Corp. 37,777 4,446,353 Cimarex Energy Co. 1, ,210 Concho Resources, Inc. 2, ,540 ConocoPhillips 24,759 1,241,416 Devon Energy Corp. 10, ,581 EOG Resources, Inc. 11,500 1,162,650 EQT Corp. 3, ,900 Exxon Mobil Corp. 83,071 7,497,988 First Solar Inc. 1,600 51,344 FMC Technologies, Inc. 4, ,885 Halliburton Co. 17, ,621 Helmerich & Payne, Inc. 2, ,280 Hess Corp. 5, ,199 Marathon Oil Corp. 16, ,179 Marathon Petroleum Corp. 10, ,523 Murphy Oil Corp. 3,200 99,616 National Oilwell Varco, Inc. 7, ,581 Newfield Exploration Co. 3, ,950 Noble Energy, Inc. 8, ,392 Occidental Petroleum Corp. 15,201 1,082,767 ONEOK, Inc. 4, ,122 Putnam S&P 500 Index Fund 7

10 COMMON STOCKS (98.4%)* cont. Shares Value Energy cont. Phillips 66 8,829 $762,914 Pioneer Natural Resources Co. 3, ,238 Range Resources Corp. 3, ,132 Schlumberger, Ltd. (Curacao) 27,764 2,330,788 Southwestern Energy Co. 9, ,954 Spectra Energy Corp. 13, ,480 Tesoro Corp. 2, ,135 Transocean, Ltd. (Switzerland) 7, ,498 Valero Energy Corp. 9, ,880 Williams Cos., Inc. (The) 13, ,162 28,335,642 Financials (17.1%) Affiliated Managers Group, Inc. 1, ,830 Aflac, Inc. 8, ,790 Alliance Data Systems Corp. 1, ,200 Allstate Corp. (The) 7, ,519 American Express Co. 15,401 1,140,906 American International Group, Inc. 19,488 1,272,761 Ameriprise Financial, Inc. 3, ,900 Aon PLC (United Kingdom) 5, ,897 Apartment Investment & Management Co. 2, ,123 Arthur J. Gallagher & Co. 3, ,860 Assurant, Inc. 1, ,146 AvalonBay Communities, Inc. 2, ,654 Bank of America Corp. 202,113 4,466,697 Bank of New York Mellon Corp. (The) 21,352 1,011,658 BB&T Corp. 16, ,022 Berkshire Hathaway, Inc. 38,000 6,193,240 BlackRock, Inc. 2, ,296 Boston Properties, Inc. 3, ,044 Capital One Financial Corp. 9, ,645 CBRE Group, Inc. 6, ,940 Charles Schwab Corp. (The) 24, ,267 Chubb, Ltd. (Switzerland) 9,289 1,227,263 Cincinnati Financial Corp. 2, ,690 Citigroup, Inc. 57,087 3,392,680 Citizens Financial Group, Inc. 10, ,552 CME Group, Inc. 6, ,845 Comerica, Inc. 3, ,196 Digital Realty Trust, Inc. 3, ,606 Discover Financial Services 7, ,979 E*Trade Financial Corp. 5, ,457 Equity Residential Trust 7, ,828 Putnam S&P 500 Index Fund 8

11 COMMON STOCKS (98.4%)* cont. Shares Value Financials cont. Essex Property Trust, Inc. 1,300 $302,250 Extra Space Storage, Inc. 2, ,376 Federal Realty Investment Trust 1, ,954 Fifth Third Bancorp 15, ,917 Franklin Resources, Inc. 7, ,060 General Growth Properties 11, ,270 Goldman Sachs Group, Inc. (The) 7,301 1,748,224 Hartford Financial Services Group, Inc. (The) 7, ,423 HCP, Inc. 9, ,368 Huntington Bancshares, Inc. 21, ,319 Intercontinental Exchange, Inc. 12, ,322 Invesco, Ltd. (Bermuda) 8, ,754 JPMorgan Chase & Co. 71,567 6,175,516 KeyCorp 21, ,650 Kimco Realty Corp. 8, ,344 Leucadia National Corp. 6, ,473 Lincoln National Corp. 4, ,776 Loews Corp. 5, ,116 M&T Bank Corp. 3, ,967 Macerich Co. (The) 2, ,016 Marsh & McLennan Cos., Inc. 10, ,177 MetLife, Inc. 21,900 1,180,191 Mid-America Apartment Communities, Inc. 2, ,216 Morgan Stanley 28,800 1,216,800 Nasdaq, Inc. 2, ,376 Navient Corp. 6, ,525 Northern Trust Corp. 4, ,915 People s United Financial, Inc. 6, ,968 PNC Financial Services Group, Inc. (The) 9,643 1,127,845 Principal Financial Group, Inc. 5, ,288 Progressive Corp. (The) 11, ,286 Prologis, Inc. 10, ,040 Prudential Financial, Inc. 8, ,614 Public Storage 3, ,724 Realty Income Corp. 5, ,148 Regions Financial Corp. 25, ,886 Simon Property Group, Inc. 6,265 1,113,103 SL Green Realty Corp. 2, ,100 State Street Corp. 7, ,434 SunTrust Banks, Inc. 9, ,530 Synchrony Financial 15, ,066 T Rowe Price Group, Inc. 4, ,774 Torchmark Corp. 2, ,648 Putnam S&P 500 Index Fund 9

12 COMMON STOCKS (98.4%)* cont. Shares Value Financials cont. Travelers Cos., Inc. (The) 5,737 $702,324 U.S. Bancorp 31,941 1,640,809 UDR, Inc. 5, ,696 Unum Group 4, ,254 Visa, Inc. 37,400 2,917,948 Vornado Realty Trust 3, ,181 Wells Fargo & Co. 90,431 4,983,652 Welltower, Inc. 7, ,203 Willis Towers Watson PLC (Ireland) 2, ,928 XL Group, Ltd. (Bermuda) 5, ,693 Zions Bancorporation 4, ,464 67,108,392 Health care (13.2%) Abbott Laboratories 29,401 1,129,292 AbbVie, Inc. 32,501 2,035,213 Aetna, Inc. 6, ,149 Alexion Pharmaceuticals, Inc. 4, ,575 Allergan PLC (Ireland) 7,411 1,556,384 AmerisourceBergen Corp. 3, ,183 Amgen, Inc. 14,911 2,180,137 Anthem, Inc. 5, ,981 Baxter International, Inc. 9, ,000 Becton Dickinson and Co. 4, ,858 Biogen, Inc. 4,411 1,250,871 Boston Scientific Corp. 26, ,815 Bristol-Myers Squibb Co. 33,401 1,951,954 C.R. Bard, Inc. 1, ,990 Cardinal Health, Inc. 6, ,081 Celgene Corp. 15,502 1,794,357 Centene Corp. 3, ,483 Cerner Corp. 6, ,220 Cigna Corp. 5, ,761 Cooper Cos., Inc. (The) 1, ,930 DaVita Inc. 3, ,440 DENTSPLY Sirona, Inc. 4, ,331 Edwards Lifesciences Corp. 4, ,540 Eli Lilly & Co. 19,401 1,426,944 Endo International PLC (Ireland) 4,000 65,880 Envision Healthcare Corp. 2, ,896 Express Scripts Holding Co. 12, ,778 Gilead Sciences, Inc. 26,202 1,876,325 HCA Holdings, Inc. 5, ,718 Henry Schein, Inc. 1, ,736 Putnam S&P 500 Index Fund 10

13 COMMON STOCKS (98.4%)* cont. Shares Value Health care cont. Hologic, Inc. 5,600 $224,672 Humana, Inc. 3, ,294 Illumina, Inc. 3, ,120 Intuitive Surgical, Inc ,336 Johnson & Johnson 54,402 6,267,654 Laboratory Corp. of America Holdings 2, ,726 Mallinckrodt PLC (Ireland) 2, ,604 McKesson Corp. 4, ,149 Medtronic PLC (Ireland) 27,503 1,959,039 Merck & Co., Inc. 55,123 3,245,091 Mettler-Toledo International, Inc ,280 Mylan NV (Netherlands) 9, ,980 Patterson Cos., Inc. 1,500 61,545 PerkinElmer, Inc. 2, ,567 Perrigo Co. PLC (Ireland) 2, ,367 Pfizer, Inc. 121,378 3,942,357 Quest Diagnostics, Inc. 2, ,320 Regeneron Pharmaceuticals, Inc. 1, ,635 St. Jude Medical, Inc. 5, ,102 Stryker Corp. 6, ,942 Thermo Fisher Scientific, Inc. 7,801 1,100,721 UnitedHealth Group, Inc. 19,001 3,040,920 Universal Health Services, Inc. 1, ,484 Varian Medical Systems, Inc. 1, ,672 Ventas, Inc. 7, ,640 Vertex Pharmaceuticals, Inc. 4, ,983 Waters Corp. 1, ,024 Zimmer Biomet Holdings, Inc. 4, ,935 Zoetis, Inc. 9, ,947 51,710,928 Technology (18.8%) Accenture PLC (Ireland) 12,400 1,452,412 Activision Blizzard, Inc. 13, ,485 Adobe Systems, Inc. 9,900 1,019,205 Agilent Technologies, Inc. 6, ,611 Akamai Technologies, Inc. 3, ,779 Alphabet, Inc. Class C 6,018 4,644,813 Alphabet, Inc. Class A 6,001 4,755,492 Amphenol Corp. 6, ,920 Analog Devices, Inc. 6, ,244 Apple, Inc. 106,700 12,357,994 Applied Materials, Inc. 21, ,064 Autodesk, Inc. 3, ,713 Putnam S&P 500 Index Fund 11

14 COMMON STOCKS (98.4%)* cont. Shares Value Technology cont. Broadcom, Ltd. (Singapore) 7,944 $1,404,261 CA, Inc. 6, ,832 Cisco Systems, Inc. 100,300 3,031,066 Citrix Systems, Inc. 3, ,930 Cognizant Technology Solutions Corp. 12, ,963 Corning, Inc. 19, ,154 CSRA, Inc. 2,701 86,000 Dun & Bradstreet Corp. (The) ,924 ebay, Inc. 21, ,459 Electronic Arts, Inc. 6, ,515 F5 Networks, Inc. 1, ,136 Facebook, Inc. 46,800 5,384,340 Fidelity National Information Services, Inc. 6, ,736 Fiserv, Inc. 4, ,632 FLIR Systems, Inc. 2,700 97,713 Garmin, Ltd. (Switzerland) 2, ,527 Harris Corp. 2, ,175 Hewlett Packard Enterprise Co. 33, ,152 HP, Inc. 34, ,901 IBM Corp. 17,300 2,871,627 Intel Corp. 94,800 3,438,396 Intuit, Inc. 4, ,704 Iron Mountain, Inc. 4, ,422 KLA-Tencor Corp. 3, ,987 L-3 Communications Holdings, Inc. 1, ,528 Lam Research Corp. 3, ,015 Linear Technology Corp. 4, ,342 Microchip Technology, Inc. 4, ,909 Micron Technology, Inc. 20, ,936 Microsoft Corp. 155,600 9,668,984 Motorola Solutions, Inc. 3, ,077 NetApp, Inc. 5, ,512 NVIDIA Corp. 10,750 1,147,455 Oracle Corp. 60,073 2,309,807 Paychex, Inc. 6, ,605 Qorvo, Inc. 2, ,825 QUALCOMM, Inc. 29,501 1,923,465 Red Hat, Inc. 3, ,890 Rockwell Automation, Inc. 2, ,440 salesforce.com, Inc. 12, ,442 Seagate Technology PLC (Ireland) 6, ,020 Skyworks Solutions, Inc. 3, ,708 Symantec Corp. 12, ,554 Putnam S&P 500 Index Fund 12

15 COMMON STOCKS (98.4%)* cont. Shares Value Technology cont. TE Connectivity, Ltd. (Switzerland) 7,100 $491,888 Teradata Corp. 2,601 70,669 Texas Instruments, Inc. 20,001 1,459,473 VeriSign, Inc. 1, ,002 Western Digital Corp. 5, ,082 Western Union Co. (The) 9, ,835 Xerox Corp. 17, ,620 Xilinx, Inc. 5, ,850 Yahoo!, Inc. 17, ,725 73,745,942 Transportation (2.3%) Alaska Air Group, Inc. 2, ,952 American Airlines Group, Inc. 10, ,907 CH Robinson Worldwide, Inc. 2, ,875 CSX Corp. 18, ,185 Delta Air Lines, Inc. 14, ,093 Expeditors International of Washington, Inc. 3, ,709 FedEx Corp. 4, ,104 JB Hunt Transport Services, Inc. 1, ,019 Kansas City Southern 2, ,670 Norfolk Southern Corp. 5, ,721 Ryder System, Inc. 1,001 74,514 Southwest Airlines Co. 12, ,368 Union Pacific Corp. 16,504 1,711,135 United Continental Holdings, Inc. 5, ,704 United Parcel Service, Inc. 13,800 1,582,032 8,797,988 Utilities and power (3.3%) AES Corp. 12, ,424 Alliant Energy Corp. 4, ,716 Ameren Corp. 4, ,808 American Electric Power Co., Inc. 9, ,008 American Water Works Co., Inc. 3, ,260 CenterPoint Energy, Inc. 8, ,496 CMS Energy Corp. 5, ,952 Consolidated Edison, Inc. 6, ,522 Dominion Resources, Inc. 12, ,524 DTE Energy Co. 3, ,884 Duke Energy Corp. 13,715 1,064,558 Edison International 6, ,808 Entergy Corp. 3, ,145 Eversource Energy 6, ,949 Exelon Corp. 18, ,488 Putnam S&P 500 Index Fund 13

16 COMMON STOCKS (98.4%)* cont. Shares Value Utilities and power cont. FirstEnergy Corp. 8,436 $261,263 Kinder Morgan, Inc. 38, ,415 NextEra Energy, Inc. 9,300 1,110,978 NiSource, Inc. 6, ,951 NRG Energy, Inc. 6,700 82,142 PG&E Corp. 10, ,777 Pinnacle West Capital Corp. 2, ,863 PPL Corp. 13, ,114 Public Service Enterprise Group, Inc. 9, ,412 SCANA Corp. 2, ,512 Sempra Energy 5, ,307 Southern Co. (The) 19, ,124 WEC Energy Group, Inc. 6, ,809 Xcel Energy, Inc. 10, ,942 12,919,151 Total common stocks (cost $249,586,131) $385,341,967 SHORT-TERM INVESTMENTS (0.9%)* Principal amount Value EB Temporary Investment Fund $3,423,106 $3,423,106 Total short-term investments (cost $3,423,106) $3,423,106 TOTAL INVESTMENTS Total investments (cost $253,009,237) $388,765,073 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 January 1, 2016 through December 31, 2016 (the reporting period). Within the following notes to the portfolio, references to ASC 820 represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to OTC, if any, represent over-the-counter. * Percentages indicated are based on net assets of $391,726,933. FUTURES CONTRACTS OUTSTANDING at 12/31/16 Number of contracts Value Expiration date Unrealized depreciation S&P 500 Index Fund (CME) 11 $6,149,550 Mar-17 $(18,825 ) Total $(18,825) Putnam S&P 500 Index Fund 14

17 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 Common stocks*: Basic materials $10,759,563 $ $ Capital goods 20,043,280 Communication services 17,049,420 Conglomerates 8,904,599 Consumer cyclicals 46,377,286 Consumer staples 39,589,776 Energy 28,335,642 Financials 67,108,392 Health care 51,710,928 Technology 73,745,942 Transportation 8,797,988 Utilities and power 12,919,151 Total common stocks 385,341,967 Short-term investments 3,423,106 Totals by level $385,341,967 $3,423,106 $ Valuation inputs Other financial instruments: Level 1 Level 2 Level 3 Futures contracts $(18,825 ) $ $ Totals by level $(18,825 ) $ $ * Common stock classifications are presented at the sector level, which may differ from the fund s portfolio presentation. During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method. The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 15

18 Statement of assets and liabilities 12/31/16 ASSETS Investment in securities, at value (Note 2): Unaffiliated issuers (identified cost $253,009,237) $388,765,073 Broker cash held for futures contracts (Note 2) 2,092,500 Receivable for fund units sold 590,636 Dividends, interest and other receivables 501,112 Total assets 391,949,321 LIABILITIES Payable for fund units redeemed 28,454 Payable for compensation of Trustee (Note 3) 149,159 Payable for audit fees (Note 3) 20,300 Payable for variation margin (Note 2) 24,475 Total liabilities 222,388 Net assets $391,726,933 COMPUTATION OF NET ASSET VALUE Net assets per class A unit $67,411,466 Units outstanding 955,811 Net asset value per unit $70.53 Net assets per class M unit $90,657,230 Units outstanding 1,251,727 Net asset value per unit $72.43 Net assets per original class units $233,658,237 Units outstanding 3,266,350 Net asset value per unit $71.53 The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 16

19 Statement of operations Year ended 12/31/16 INVESTMENT INCOME Dividends (net of foreign tax of $1,105) $8,748,725 Interest 28,237 Total investment income 8,776,962 EXPENSES (Note 3) Compensation of Trustee Class A 223,333 Class M 80,226 Original class 570,747 Audit fees 20,300 Other 22 Total Expenses 894,628 Net investment income 7,882,334 Net realized gain on investments (Note 2) 18,849,620 Net realized gain on futures (Note 2) 1,266,103 Net unrealized appreciation of investments and futures contracts during the year 16,297,705 Net gain on investments 36,413,428 Net increase in net assets resulting from operations $44,295,762 The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 17

20 Statement of changes in net assets INCREASE IN NET ASSETS Year ended 12/31/16 Operations: Net investment income $7,882,334 Net realized gain on investments 20,115,723 Net unrealized appreciation of investments 16,297,705 Net increase in net assets resulting from operations 44,295,762 Principal transactions Class A Proceeds from sale of units 12,629,546 Value of units redeemed (15,355,007) Class M Proceeds from sale of units 40,752,048 Value of units redeemed (54,018,343) Original class Proceeds from sale of units 50,319,113 Value of units redeemed (70,480,823) Total decrease in principal transactions (36,153,466) Total increase in net assets 8,142,296 NET ASSETS Beginning of year 383,584,637 End of year $391,726,933 The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 18

21 Statement of changes in net assets cont. NUMBER OF UNITS OF THE FUND Year ended 12/31/16 Class A Units outstanding at beginning of year 997,455 Sold 193,265 Redeemed (234,909) Units outstanding at end of year 955,811 Class M Units outstanding at beginning of year 1,425,187 Sold 614,951 Redeemed (788,411) Units outstanding at end of year 1,251,727 Original class Units outstanding at beginning of year 3,566,066 Sold 760,879 Redeemed (1,060,595) Units outstanding at end of year 3,266,350 The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 19

22 Financial highlights (For a unit outstanding throughout the year) CLASS A PER-UNIT OPERATING PERFORMANCE Year ended 12/31/16 Net asset value, beginning of year $63.19 Investment operations: Net investment income (a) 1.23 Net realized and unrealized gain (loss) on investments 6.11 Total from investment operations 7.34 Net asset value, end of year $70.53 Total return at net asset value (%) RATIOS AND SUPPLEMENTAL DATA Net assets, end of year (in thousands) $67,411 Ratio of expenses to average net assets (%) 0.36 Ratio of net investment income to average net assets (%) 1.88 (a) Per unit net investment income has been determined on the basis of the average number of units outstanding during the year. The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 20

23 Financial highlights (For a unit outstanding throughout the year) CLASS M PER-UNIT OPERATING PERFORMANCE Year ended 12/31/16 Net asset value, beginning of year $64.71 Investment operations: Net investment income (a) 1.44 Net realized and unrealized gain (loss) on investments 6.28 Total from investment operations 7.72 Net asset value, end of year $72.43 Total return at net asset value (%) RATIOS AND SUPPLEMENTAL DATA Net assets, end of year (in thousands) $90,657 Ratio of expenses to average net assets (%) 0.09 Ratio of net investment income to average net assets (%) 2.15 (a) Per unit net investment income has been determined on the basis of the average number of units outstanding during the year. The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 21

24 Financial highlights (For a unit outstanding throughout the year) ORIGINAL CLASS PER-UNIT OPERATING PERFORMANCE Year ended 12/31/16 Net asset value, beginning of year $64.03 Investment operations: Net investment income (a) 1.31 Net realized and unrealized gain (loss) on investments 6.19 Total from investment operations 7.50 Net asset value, end of year $71.53 Total return at net asset value (%) RATIOS AND SUPPLEMENTAL DATA Net assets, end of year (in thousands) $233,658 Ratio of expenses to average net assets (%) 0.26 Ratio of net investment income to average net assets (%) 1.98 (a) Per unit net investment income has been determined on the basis of the average number of units outstanding during the year. The accompanying notes are an integral part of these financial statements. Putnam S&P 500 Index Fund 22

25 Notes to financial statements 12/31/16 1. Description of the fund Within the following Notes to financial statements, references to State Street, if any, represent State Street Bank and Trust Company and references to OTC, if any, represent over-the-counter. Unless otherwise noted, the reporting period represents the period from January 1, 2016 through December 31, Putnam S&P 500 Index Fund (the fund ) is a fund established and maintained by Putnam Fiduciary Trust Company ( PFTC ) as Trustee (the Trustee and Manager ) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the Trust ), as amended and restated March 31, PFTC has hired its affiliate, PanAgora Asset Management, Inc., to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the fund. The fund s objective is to achieve a return, before the assessment of fees, that closely approximates the return of the Standard & Poor s 500 Composite Stock Price Index ( S&P 500 Index ), a common measure of U.S. market performance. The fund currently offers three classes of units, class A, class M and original class of units. 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. Investment Policies The fund will invest primarily in the securities that constitute the S&P 500 Index, either directly or through the purchase of shares of collective investment trusts having investment objectives similar to that of the fund. For liquidity and hedging purposes, the fund may invest in high-quality, money market instruments and in money market funds that invest exclusively in high-quality, money market instruments. The fund also uses stock index futures contracts in order to manage transaction costs and minimize tracking errors between the fund and the S&P 500 Index. 2. Summary of 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, April 13, 2017, have been evaluated in the preparation of the financial statements. The fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board ( FASB ) Accounting Standards Codification Topic 946, Financial Services Investment Companies. 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 Trustee. If the fund were liquidated, units of each class would receive their pro-rata unit of the net assets of the fund. In addition, the Trustee declares separate dividends on each class of units, if any. Security Valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange Putnam S&P 500 Index Fund 23

26 rate. Short-term securities with remaining maturities of 60 days or less, if any, are valued using an independent pricing service, and are classified as Level 2 securities. To the extent a pricing service or dealer is unable to value a security or provides a valuation that the Trustee does not believe accurately reflects the security s fair value, the security will be valued at fair value by the Trustee in accordance with policies and procedures approved by the Trustee. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustee. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. Such valuations and procedures are reviewed periodically by the Trustee. 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. The fund s investment in the EB Temporary Investment Fund is valued at its most recent net asset value; the value of the investments held by the EB Temporary Investment Fund is determined using amortized cost method, which approximates market value. The EB Temporary Investment Fund invests primarily in a diversified portfolio of investment grade money market instruments including, but not limited to, commercial paper, notes, repurchase agreements or other short term securities which have a maturity date not exceeding thirteen (13) months from the date of purchase. These securities are classified as Level 1 or as Level 2 depending on the priority of the significant inputs. The fund may request redemption of its units in accordance with the governing documents of the fund from time to time at the discretion of the Trustee. Security Transactions and Related Investment Income Security 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, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. Distributions received from other investment funds, if any, are recorded on the ex-dividend date and retain the character of income as earned by the other investment funds. All income and capital gains earned by the fund will be reinvested by the fund and included in the calculation of net asset value. There are no distributions made by the fund to participating Unitholders. Futures Contracts The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as variation margin. Futures contracts outstanding at period end, if any, are listed after the fund s portfolio. At close of the reporting period, the fund has deposited cash valued at $2,092,500 in a segregated account to cover margin requirements on open futures contracts. Putnam S&P 500 Index Fund 24

27 Sales and Redemptions of Units of Participation Subscriptions to the fund will be accepted on a daily basis. Units will be credited based upon the net asset value per unit as of the close of the business on the date the subscription is received by the Trustee. All net income and capital gains of the fund will be reinvested. Withdrawals generally will be permitted daily at a redemption price equal to the net asset value per unit redeemed as determined by the Trustee. Withdrawal requests must be received by the Trustee prior to the closing of the New York Stock Exchange on the date on which the withdrawal is desired in order to receive the net asset value per unit for such date. One unitholder held 18.5% and 15.9% of the fund s total Class A and original class units outstanding at the end of the reporting period, respectively. One affiliate of the Trustee held 19.0%, 90.7% and 37.9% of Class A, Class M and original class units outstanding at the end of the reporting period, respectively. Federal Income Taxes It is the fund s policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the fund is exempt from federal income taxes and no federal income tax provision is required. The fund is subject to the provisions of Accounting Standards Codification 740 Income 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, if any. The fund s prior fiscal years remain subject to examination by the Internal Revenue Service. 3. Expenses Incurred by the fund The annual Trustee fee on average net assets attributable to a class is 0.25% for the original class, 0.35% for class A and 0.08% (comprised of a 0.05% Trustee fee and a 0.03% administrative expense fee) for class M units. A portion of class fees may be applied to payments to financial advisors, other marketing and servicing expenses and plan administrative costs. The Trustee fee will be accrued daily based on the value of the fund s net assets at the close of business and are paid monthly in arrears. According to the Declaration of Trust, the Trustee may charge the fund for certain services received during the year, such as audit fees. In the current reporting period only Trustee and audit expenses have been charged to the fund by the Trustee, however, the Trustee could charge other expenses to the fund at any time. 4. Advisory and Administration Services The Trustee has contracted with PanAgora Asset Management, Inc. to provide certain investment advisory and administrative services to the Trustee in connection with the fund. The fees for these services are borne by the Trustee. 5. 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. 6. 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 as follows based on an average of the holdings at the end of each fiscal quarter: Futures contracts (number of contracts ) 20 Putnam S&P 500 Index Fund 25

28 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 hedging instruments under ASC 815 Statement of assets and liabilities location Fair value Statement of assets and liabilities location Fair value Equity contracts Receivables, Net assets Unrealized appreciation $ Payables, Net assets Unrealized depreciation $18,825 * Total $ $18,825 * Includes cumulative appreciation/depreciation of futures contracts as reported in the fund s portfolio. Only current day s variation margin is reported within the Statement of assets and liabilities. The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 2): Amount of realized gain or (loss) on derivatives recognized in net gain (loss) on investments Derivatives not accounted for as hedging instruments under ASC 815 Futures Total Equity contracts $1,266,103 $1,266,103 Total $1,266,103 $1,266,103 Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain (loss) on investments Derivatives not accounted for as hedging instruments under ASC 815 Futures Total Equity contracts $(18,350) $(18,350) Total $(18,350) $(18,350) 7. 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 2. 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. UBS Securities LLC Total Assets: Futures contracts $ $ Total Assets $ $ Liabilities: Futures contracts 24,475 24,475 Total Liabilities $24,475 $24,475 Total Financial and Derivative Net Assets $(24,475) $(24,475) Total collateral received (pledged) $ $ Net amount $(24,475) $(24,475) Includes current day s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts is represented in the tables listed after the fund s portfolio. Additional collateral may be required from certain brokers based on individual agreements. Putnam S&P 500 Index Fund 26

29 One Post Office Square Boston, MA putnam.com JZ-DC 4/2017