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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: 811-00242
Natixis Funds Trust II
(Exact name of Registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
Natixis Distributors, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2810
Date of fiscal year end: December 31
Date of reporting period: June 30, 2009
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Item 1. | Reports to Stockholders. |
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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EQUITY FUNDS
SEMIANNUAL REPORT
June 30, 2009
CGM Advisor Targeted Equity Fund
Delafield Select Fund
Hansberger International Fund
Harris Associates Large Cap Value Fund
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Natixis U.S. Diversified Portfolio
BlackRock Investment Management
Harris Associates
Loomis, Sayles & Company
Management Discussion and Performance page 1
Portfolio of Investments page 24
Financial Statements page 39
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CGM ADVISOR TARGETED EQUITY FUND
PORTFOLIO PROFILE
Objective:
Seeks long-term growth of capital through investments in equity securities of companies whose earnings are expected to grow at a faster rate than the overall U.S. economy
Strategy:
Generally invests in a focused portfolio of common stocks of large-cap companies
Inception Date:
November 27, 1968
Manager:
G. Kenneth Heebner
Symbols:
Class A | NEFGX | |
Class B | NEBGX | |
Class C | NEGCX | |
Class Y | NEGYX |
What You Should Know:
The fund invests in a small number of securities, which may result in greater volatility than more diversified funds. Growth stocks can be more sensitive to market movements because their prices are based in part on future expectations. The fund may invest in foreign securities that involve risks not associated with domestic securities.
Management Discussion
Stock prices remained extremely volatile during the first half of 2009, as tight credit, sluggish economic activity and a battered financial system sent nervous investors in pursuit of relative safety. However, early in March equities began to regain some lost ground as details emerged about federal programs designed to stabilize the financial markets and stimulate economic growth.
For the six months ended June 30, 2009, CGM Advisor Targeted Equity Fund returned 0.52% based on the net asset value of Class A shares. The fund fell short of its benchmark, the S&P 500 Index, which returned 3.16%, and the average fund in Morningstar’s Large Growth category, which returned 10.50%, for the period.
HOW WAS THE FUND STRUCTURED DURING THE PERIOD?
As 2009 got underway, the fund was fully invested, with a heavy concentration in companies with limited exposure to market cycles, in an effort to minimize the impact of the deepening global recession on corporate earnings.
We increased the fund’s holdings in companies that we believe are likely to benefit from a recovery in the United States and in global economies later in 2009 or 2010. These included Ford Motor Co., FedEx Corp., United Parcel Service (UPS) and Oracle Corp. Ford has held up better than the rest of the automobile industry and we believe it will emerge with substantial profits in 2011 and 2012. The company financed its restructuring program by borrowing more than $20 billion in 2006, before credit became restrained. Ford also renegotiated its labor agreements at the time of the GM and Chrysler reorganizations, realizing similar cost savings without going through bankruptcy.
Package delivery and shipping giants, FedEx and UPS, are benefiting from the withdrawal of DHL from the industry. We believe these firms, along with business software leader Oracle, are also well-positioned to participate in the global economic recovery.
WHICH STOCKS PERFORMED WELL?
The fund is focused on several key holdings. One of our top contributors was Goldman Sachs Group, a global investment banking and securities firm that has seen its stock price rise as the investment banking industry went through a period of consolidation. A number of Goldman’s former competitors have gone out of business, while others have been impaired by financial constraints. Goldman is one of two U.S. investment banks that have remained independent, already repaying TARP (Troubled Asset Relief Program) funds it received from the federal government.
Two of Brazil’s largest banks, Banco Bradesco and Banco Itau Holding Financeira SA, also contributed to the fund’s performance. Both banks are benefiting from the resiliency of the Brazilian economy and its exposure to critical commodities, such as soybeans, corn, iron ore and copper. We believe Brazil will emerge from the recession stronger than most global economies.
WHICH STOCKS PERFORMED POORLY?
Disappointing holdings during the period included State Street Corp., the world’s top provider of investment services and asset management to institutional investors. State Street’s stock price was negatively impacted by its exposure to complex derivatives. Shares of Apollo Group, a leading for-profit education company, declined despite strong earnings performance because investors were concerned about potentially adverse regulatory actions by the Obama administration. The share price of UnitedHealth Group, a major health management organization, also declined on concerns over the impact of the new administration’s healthcare agenda. We sold all three issues.
WHAT IS YOUR OUTLOOK?
We believe that the significant stimulus actions taken by monetary and fiscal authorities in the United States and in several other countries will contribute to global economic recovery in 2010, providing a favorable investment environment for stocks. We remain committed to seeking long-term capital growth by investing in a small number of well-established companies that we believe offer significant growth potential.
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CGM ADVISOR TARGETED EQUITY FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
Average Annual Total Returns — June 30, 2009
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | |||||||||
CLASS A (Inception 11/27/68) | ||||||||||||
Net Asset Value1 | 0.52 | % | -34.73 | % | 2.48 | % | 0.38 | % | ||||
With Maximum Sales Charge2 | -5.29 | -38.50 | 1.27 | -0.21 | ||||||||
CLASS B (Inception 2/28/97) | ||||||||||||
Net Asset Value1 | 0.14 | -35.23 | 1.70 | -0.38 | ||||||||
With CDSC3 | -4.86 | -38.47 | 1.37 | -0.38 | ||||||||
CLASS C (Inception 9/1/98) | ||||||||||||
Net Asset Value1 | 0.15 | -35.24 | 1.71 | -0.37 | ||||||||
With CDSC3 | -0.85 | -35.88 | 1.71 | -0.37 | ||||||||
CLASS Y (Inception 6/30/99) | ||||||||||||
Net Asset Value1 | 0.77 | -34.52 | 2.77 | 0.74 | ||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||
S&P 500 Index4 | 3.16 | % | -26.21 | % | -2.24 | % | -2.22 | % | ||||
Morningstar Large Growth Fund Avg.5 | 10.50 | -27.13 | -1.81 | -2.42 |
All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those noted. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 99.1 | 93.3 | ||
Short-Term Investments and Other | 0.9 | 6.7 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Goldman Sachs Group, Inc. (The) | 8.9 | 4.6 | ||
Banco Itau Holding Financeira SA, ADR | 6.7 | 4.8 | ||
Banco Bradesco SA, Sponsored ADR | 6.5 | 4.0 | ||
Philip Morris International, Inc. | 5.6 | 5.3 | ||
CVS Caremark Corp. | 5.5 | 5.4 | ||
Petroleo Brasileiro SA, ADR | 5.5 | — | ||
Ford Motor Co. | 5.5 | — | ||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 5.4 | 5.3 | ||
International Business Machines Corp. | 5.1 | 4.1 | ||
Abbott Laboratories | 5.0 | 5.3 | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Commercial Banks | 13.1 | 8.8 | ||
Pharmaceuticals | 10.4 | 10.5 | ||
Food & Staples Retailing | 10.0 | 10.7 | ||
Diversified Financial Services | 9.5 | — | ||
Air Freight & Logistics | 9.3 | — |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio | Net Expense Ratio | ||||
A | 1.10 | % | 1.10 | % | ||
B | 1.85 | 1.85 | ||||
C | 1.85 | 1.85 | ||||
Y | 0.85 | 0.85 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
4 | S&P 500 Index is an unmanaged index of U.S. common stocks. |
5 | Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
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DELAFIELD SELECT FUND
PORTFOLIO PROFILE
Objective:
Seeks long-term capital appreciation
Strategy:
Invests in small- and mid- capitalization companies using a bottom-up value-oriented investment process.
Inception Date:
September 26, 2008
Managers:
J. Dennis Delafield
Charles W. Neuhauser
Vincent Sellecchia
Donald Wang
Symbols:
Class A | DESAX | |
Class C | DESCX | |
Class Y | DESYX |
What You Should Know:
The fund is non-diversified, which means that it focuses on a relatively small number of stocks. Non-diversified funds tend to be more volatile than diversified funds and the market as a whole. Value stocks may fall out of favor with investors and underperform the overall market during any given period. Investing in small- and mid-cap companies may involve greater risk than investing in larger companies since small- and mid-cap companies tend to be more susceptible to adverse business events or economic downturns, are less liquid and more thinly traded and are subject to greater price volatility.
Management Discussion
Stock prices remained highly volatile during the six months ended June 30, 2009. The first quarter continued the steep downturn that began in 2008. Stock prices began a rebound early in March that lasted through most of the second quarter. Many skeptical investors stayed on the sidelines, concerned that the uptrend might not be sustainable and this uncertainty continued into July.
For the six months ended June 30, 2009, Delafield Select Fund provided a total return of 24.35%, based on the net asset value of Class A shares and $0.002 in reinvested capital gains. The fund substantially outperformed both its benchmark and its Morningstar peer group. The Russell 2500 Index returned 6.52%, while the average return on the funds in Morningstar’s Small Value category was 3.70%.
WHICH STOCKS PERFORMED WELL?
In the first quarter, several of the fund’s holdings performed poorly, reflecting general economic anxiety and company-specific concerns. However, during the second quarter, our best performers included companies with strong cash flows that had been hard hit late in 2008 and the first quarter of 2009.
Ashland, Inc. is a good example. A diversified chemical company, Ashland provides specialty chemical products, services and solutions for personal and industrial use in the United States and more than 100 countries worldwide. Last year Ashland purchased Hercules, which was also one of the fund’s holdings. Shortly after this acquisition, balance sheet concerns caused Ashland shares to drop sharply and we used the period of weakness to add to the fund’s holdings. Performance got a boost more recently when Ashland refinanced a bridge loan and began selling non-strategic assets to further reduce its debt level.
Other strong performers included Flextronics International Ltd. We discussed this electronics manufacturer in our last shareholder report because it had been disappointing. We started buying shares in 2007 at just over $10 a share. In November of 2008 Flextronics fell below $2 a share and we doubled the size of the position. It closed June 2009 at more than $4 a share, and we believe the company’s global reach and earnings prospects give it considerable upward potential.
We also discussed KapStone Paper and Packaging in the December 2008 report because the stock had declined. We had added to the fund’s shares when they fell, and were rewarded for our confidence during the first half of 2009 as it, too, became one of the fund’s top performers.
WHICH STOCKS DID NOT MEET YOUR EXPECTATIONS?
Kennametal, Inc., one of the fund’s larger holdings, was down for the six-month period, largely reflecting its sensitivity to the economic cycle – notably to the auto industry. Kennametal manufactures specialized metalworking tools and products. The company’s current earnings expectations are down sharply and it could take them several quarters to get through this rough period. However, we admire what Kennametal has done to streamline their business and we believe the company will exhibit strong earnings as the economy improves. We added to the position on weakness.
WHAT’S YOUR OUTLOOK?
We believe global economies could continue to be weak into 2010 and that stocks will remain volatile. To date, we think business is still searching for a bottom in the United States and Europe. The only region where government stimulus appears to have already worked well is China. We believe confidence will be restored to the marketplace, but it will take time.
On July 9, 2009, the Board of Trustees of Natixis Funds Trust II approved an Agreement and Plan of Reorganization and Liquidation, pursuant to which the Delafield Select Fund will transfer its assets and liabilities to a newly formed “shell” series of The Tocqueville Trust. This transaction is subject to approval by shareholders of the Delafield Select Fund.
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DELAFIELD SELECT FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares1,7
Average Annual Total Returns — June 30, 20091,7
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | |||||||||
CLASS A (Inception 9/29/08)1 | ||||||||||||
Net Asset Value2 | 24.35 | % | -15.83 | % | 2.05 | % | 8.17 | % | ||||
With Maximum Sales Charge3 | 17.23 | -20.67 | 0.83 | 7.53 | ||||||||
CLASS C (Inception 9/29/08)1 | ||||||||||||
Net Asset Value2 | 23.48 | -16.73 | 0.98 | 7.15 | ||||||||
With CDSC4 | 22.48 | -17.56 | 0.98 | 7.15 | ||||||||
CLASS Y (Inception 9/26/08)1 | ||||||||||||
Net Asset Value2 | 24.48 | -15.46 | 2.40 | 8.54 | ||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||
Russell 2500 Index5 | 6.52 | % | -26.72 | % | -0.93 | % | 3.67 | % | ||||
Morningstar Small Value Fund Avg.6 | 3.70 | -23.55 | -1.61 | 5.41 |
All results represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 85.9 | 90.8 | ||
Short-Term Investments and Other | 14.1 | 9.2 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Checkpoint Systems, Inc. | 5.0 | 2.9 | ||
Charles River Laboratories International, Inc. | 4.8 | — | ||
Flextronics International Ltd. | 4.7 | 4.8 | ||
Vishay Intertechnology, Inc. | 4.6 | 3.2 | ||
Ashland, Inc. | 4.5 | 2.9 | ||
Genpact Ltd. | 4.4 | — | ||
Collective Brands, Inc. | 4.3 | 5.7 | ||
Thermo Fisher Scientific, Inc. | 4.0 | 4.4 | ||
Crane Co. | 4.0 | 4.1 | ||
Kennametal, Inc. | 4.0 | 5.5 | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Machinery | 17.2 | 21.6 | ||
Electronic Equipment, Instruments & Components | 14.3 | 10.8 | ||
IT Services | 10.9 | 8.4 | ||
Life Sciences Tools & Services | 8.8 | 4.4 | ||
Specialty Retail | 7.7 | 9.4 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio8 | Net Expense Ratio9 | ||||
A | 2.53 | % | 1.40 | % | ||
C | 3.28 | 2.15 | ||||
Y | 2.28 | 1.15 |
NOTES TO CHARTS
1 | The performance of Class Y shares of Delafield Select Fund includes performance from the Reich & Tang Concentrated Portfolio L.P., which was reorganized to Class Y shares as of the close of business on September 26, 2008. The Reich & Tang Concentrated Portfolio L.P. performance has been adjusted to reflect the expenses of Class Y shares. For the periods prior to the inception of Class A and Class C shares (September 29, 2008), performance shown for Class A and Class C shares is based upon the Reich & Tang Concentrated Portfolio L.P.’s returns restated to reflect the expenses and sales loads of Class A and Class C shares. Performance from September 29, 2008 forward reflects actual Class A and Class C share performance. |
2 | Does not include a sales charge. |
3 | Includes the maximum sales charge of 5.75%. |
4 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
5 | Russell 2500 Index is an unmanaged index that measures the 2500 smallest companies in the Russell 3000 Index. It is a popular indicator of the performance of the small to mid-cap segment of the U.S. stock market. |
6 | Morningstar Small Value Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
7 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
8 | Before reductions and reimbursements. |
9 | After reductions and reimbursements. Expense reductions are contractual and are set to expire 4/30/10. |
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HANSBERGER INTERNATIONAL FUND
PORTFOLIO PROFILE
Objective:
Seeks long-term growth of capital
Strategy:
Invests in common stocks of small-, mid- and large-cap companies located outside the United States. Assets are invested across developed and emerging markets
Inception Date:
December 29, 1995
Managers:
Growth:
Trevor Graham
Barry A. Lockhart
Patrick H. Tan
Thomas R.H. Tibbles
Value:
Ronald Holt
Lauretta Reeves
Symbols:
Class A | NEFDX | |
Class B | NEDBX | |
Class C | NEDCX |
What You Should Know:
Foreign securities involve risks not associated with domestic securities, such as currency fluctuations, differing political and economic conditions and different accounting standards. Growth stocks can be more sensitive to market movements because their prices are based in part on future expectations. Value stocks may fall out of favor and underperform the overall market during any given period.
Management Discussion
After a difficult start to the year, international markets – particularly emerging market countries – bounced back strongly, significantly outperforming the U.S. market, as measured by the S&P 500 Index, which returned 3.16% for the six-month period. Brazil, Russia, India and China were among the strongest markets, and investors who owned internationally diversified portfolios were also positively impacted by the weakening U.S. dollar.
Hansberger International Fund outperformed both its MSCI indexes and its Morningstar peer group for the six months ended June 30, 2009. The fund’s return was 17.75% based on the net asset value of Class A shares. For the same period, the MSCI EAFE Index and the MSCI ACWI ex USA, returned 8.42% and 14.35%, respectively, expressed in U.S. dollars. The average performance of Morningstar’s Foreign Large Blend category was 7.48%. Neither the fund nor its benchmarks include U.S. stocks and the Morningstar category has only limited exposure to domestic equities.
Two teams of Hansberger’s international equity specialists manage the fund. One team focuses on value and the other seeks growth potential. Growth investors fared better than value investors for the first half of 2009.
WHICH SECTORS WERE NOTEWORTHY FOR THE VALUE PORTFOLIO?
During the six-months ended June 30, 2009, the value portfolio’s best-performing holdings were in three sectors that had declined the most in 2008. Financials made the largest contributions, with Credit Suisse Group and Standard Chartered PLC providing the strongest gains. Energy stocks recovered as oil prices rose during the period. Two of the main beneficiaries were Brazilian oil producer Petroleo Brasileiro (“Petrobras”) and Subsea 7, a leader in the underwater oil and gas development industry. The materials sector also did well as commodity prices increased; Brazilian mining giants BHP Billiton and Vale SA both posted strong gains.
Relative to its benchmarks, the fund was overweight in the healthcare sector, which had performed well in 2008 but declined as investors moved out of these defensive sectors in 2009. Two of the fund’s weaker holdings were pharmaceutical companies Novartis AG and Shionogi & Co. Both stocks remain in the portfolio.
WHAT ABOUT THE GROWTH PORTFOLIO?
After an especially difficult 2008, the growth portfolio rebounded in the first half of 2009. Financial stocks were key contributors; Chinese property developer Agile Property Holdings was a top performer. Information technology was another positive; the U.K.’s Autonomy Corp. and China’s Tencent Holdings were strong performers. The portfolio’s energy holdings benefited from the recovery in oil prices, with Petrobras, Cameco Corp. and Suncor Energy providing solid returns.
Consumer discretionary stocks underperformed during the period. Japan’s Yamada Denki and Jupiter Telecommunications were among the main detractors, but both stocks remain in the portfolio.
WHAT IS YOUR OUTLOOK?
While the pace of economic growth has slowed, we believe the long-term outlook for many economies – especially the emerging markets – is still very strong. We remain optimistic on China because we believe companies there are poised to benefit from massive infrastructure spending and government stimulus. Brazil and India are also growing faster than the developed world and we see potential from domestic growth even if exports continue to slow.
Price-earnings ratios are higher now than they were in 2008, and we believe further gains will reflect earnings more than price recovery. However, the renewed risk appetite for equities that became apparent at the end of the first quarter is still evident. We believe volatility will remain range bound in the near term as valuations have neutralized and the global economy is showing signs of stabilizing. The fog appears to be settling in for both economic and earnings visibility, and we do not see any clearly identifiable long-term trends. We think the global outlook for interest rates is reasonably supportive, although inflation risks have increased.
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HANSBERGER INTERNATIONAL FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares7
Average Annual Total Returns — June 30, 20097
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | |||||||||
CLASS A (Inception 12/29/95) | ||||||||||||
Net Asset Value1 | 17.75 | % | -32.01 | % | 2.95 | % | 2.64 | % | ||||
With Maximum Sales Charge2 | 11.01 | -35.92 | 1.74 | 2.04 | ||||||||
CLASS B (Inception 12/29/95) | ||||||||||||
Net Asset Value1 | 17.21 | -32.57 | 2.18 | 1.88 | ||||||||
With CDSC3 | 12.21 | -35.83 | 1.88 | 1.88 | ||||||||
CLASS C (Inception 12/29/95) | ||||||||||||
Net Asset Value1 | 17.22 | -32.54 | 2.18 | 1.87 | ||||||||
With CDSC3 | 16.22 | -33.19 | 2.18 | 1.87 | ||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||
MSCI EAFE Index4 | 8.42 | % | -30.96 | % | 2.79 | % | 1.59 | % | ||||
MSCI ACWI ex USA5 | 14.35 | -30.54 | 4.95 | 2.94 | ||||||||
Morningstar Foreign Large Blend Fund Avg.6 | 7.48 | -32.42 | 2.09 | 1.11 |
All results represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 97.9 | 99.2 | ||
Preferred Stocks | 0.5 | 1.1 | ||
Exchange Traded Funds | 0.8 | — | ||
Bonds and Notes | — | 0.1 | ||
Short-Term Investments and Other | 0.8 | -0.4 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Credit Suisse Group, (Registered) | 1.7 | 1.4 | ||
Nestle SA, (Registered) | 1.7 | 2.2 | ||
Axa SA | 1.5 | 1.1 | ||
BNP Paribas | 1.5 | 0.6 | ||
Groupe Danone | 1.5 | 0.7 | ||
Infosys Technologies Ltd., Sponsored ADR | 1.4 | 1.7 | ||
Banco Santander Central Hispano SA | 1.4 | 1.7 | ||
Industrial and Commercial Bank of China Ltd., Class H | 1.4 | — | ||
Roche Holding AG | 1.4 | 2.5 | ||
Standard Chartered PLC | 1.4 | 1.1 | ||
% of Net Assets as of | ||||
FIVE LARGEST COUNTRIES | 6/30/09 | 12/31/08 | ||
United Kingdom | 14.4 | 13.0 | ||
Japan | 14.0 | 17.2 | ||
China | 9.7 | 7.3 | ||
France | 9.4 | 10.5 | ||
Switzerland | 8.3 | 10.4 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio | Net Expense Ratio | ||
A | 1.49% | 1.49% | ||
B | 2.23 | 2.23 | ||
C | 2.24 | 2.24 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
4 | Morgan Stanley Capital International Europe Australasia and Far East Index (MSCI EAFE Index) is an unmanaged index designed to measure developed market equity performance, excluding the United States and Canada. |
5 | Morgan Stanley Capital International All Countries World Index ex USA (MSCI ACWI ex USA) is an unmanaged index designed to measure equity market performance in developed and emerging markets, excluding the United States. |
6 | Morningstar Foreign Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
7 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
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HARRIS ASSOCIATES LARGE CAP VALUE FUND
PORTFOLIO PROFILE
Objective:
Seeks opportunities for long-term capital growth and income
Strategy:
Invests primarily in common stock of large- and mid-cap companies in any industry
Inception Date:
May 6, 1931
Managers:
Edward S. Loeb
Michael J. Mangan
Diane L. Mustain
Symbols:
Class A | NEFOX | |
Class B | NEGBX | |
Class C | NECOX | |
Class Y | NEOYX |
What You Should Know:
Value stocks may fall out of favor with investors and underperform the overall market during any given period.
Management Discussion
Stocks rebounded vigorously beginning in March, as fears of an economic collapse abated. Shares of large, well-capitalized companies such as those the fund emphasizes benefited, as investors took advantage of low valuations which, in our opinion, reflected unwarranted pessimism.
For the six months ending June 30, 2009, Class A shares of Harris Associates Large Cap Value Fund returned 12.28% at net asset value, assuming $0.006 in dividends reinvested during the period. The fund outperformed both its benchmark and Morningstar peer group. The Russell 1000 Value Index returned -2.87% for the six-month period, while the average return on the funds in Morningstar’s Large Blend category was 4.92%.
WHICH STOCKS PERFORMED WELL?
JP Morgan Chase was the period’s best performer as the company came out from under the government’s Troubled Asset Relief Program (TARP). We believe JP Morgan’s acquisition of assets from Bear Stearns and Washington Mutual, both now defunct, will enhance future results. Morgan Stanley, another investment bank that weathered the crisis, was also a strong contributor, thanks in part to limited real estate exposure and only moderate trading losses. We trimmed this position recently after the company issued new shares.
Chipmaker Intel moved higher in anticipation of increased demand from customers needing to replenish depleted inventories. In addition, an agreement with Nokia (not in the portfolio) strengthened Intel’s position in the cell phone industry – evidence of its ability to expand despite challenging conditions. In a sign that capital markets are stabilizing, pharmaceutical company Schering-Plough rose on news of its pending takeover by Merck (not in the portfolio). The move reinforced our conviction that Schering’s valuation had understated its potential worth and we accepted Merck’s offer. Retailer Best Buy benefited from solid demand for large televisions and the close-down of a rival electronics chain.
WHICH STOCKS DETRACTED?
Bank of America declined over the six-month period despite a strong comeback in its shares in the past few months, but we retain the position. We eliminated credit-card issuer Capital One Financial, an underperforming holding, and redeployed the proceeds into JP Morgan Chase. Shares of FedEx Corp. sagged amid declining package shipments. We believe this company represents an attractive long-term opportunity despite its sensitivity to changing business conditions. McDonald’s retreated following its long rise, as market participants sought other opportunities. After booking solid profits last year, we have retained a modest commitment to McDonald’s.
WHICH SECTORS WERE MOST INFLUENTIAL?
Our emphasis is always on stock selection rather than sector allocation. Nonetheless, certain sectors contributed to results. The portfolio’s emphasis on financials proved beneficial. Our commitment to consumer discretionary companies also proved rewarding, as we sought to capitalize on what we viewed as unduly pessimistic expectations for consumer spending. The fund’s relatively small position in materials companies detracted from results, as the sector was strong during the period, but good stock selection in industrials and consumer staples were beneficial. Technology holdings trailed those in the benchmark. However, we believe that large-cap tech companies like Intel and Texas Instruments represent solid opportunities. Energy was a minor positive; the stocks we selected outperformed those in the benchmark.
WHAT IS YOUR CURRENT OUTLOOK?
We believe a recovery is underway, due in part to short-term inventory rebuilding on the part of corporations. The economy is also being helped by fiscal and monetary stimulus in Washington. Banks are recapitalizing and bolstering balance sheets – important steps toward easing credit constraints. While the investing public remains skeptical, for the most part, we think individuals will eventually reject paltry returns now being earned on their liquid reserves and return to the equity markets. This could fuel further gains, and we believe large-cap, attractively valued companies may be a more appealing choice for some investors.
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HARRIS ASSOCIATES LARGE CAP VALUE FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares6
Average Annual Total Returns — June 30, 20096
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | |||||||||
CLASS A (Inception 5/6/31) | ||||||||||||
Net Asset Value1 | 12.28 | % | -21.36 | % | -4.39 | % | -3.92 | % | ||||
With Maximum Sales Charge2 | 5.77 | -25.91 | -5.52 | -4.49 | ||||||||
CLASS B (Inception 9/13/93) | ||||||||||||
Net Asset Value1 | 11.85 | -21.96 | -5.11 | -4.63 | ||||||||
With CDSC3 | 6.85 | -25.85 | -5.49 | -4.63 | ||||||||
CLASS C (Inception 5/1/95) | ||||||||||||
Net Asset Value1 | 11.89 | -21.94 | -5.10 | -4.63 | ||||||||
With CDSC3 | 10.89 | -22.72 | -5.10 | -4.63 | ||||||||
CLASS Y (Inception 11/18/98) | ||||||||||||
Net Asset Value1 | 12.45 | -21.03 | -4.06 | -3.51 | ||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||
Russell 1000 Value Index4 | -2.87 | % | -29.03 | % | -2.13 | % | -0.15 | % | ||||
Morningstar Large Blend Fund Avg.5 | 4.92 | -26.41 | -2.06 | -1.50 |
All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 93.9 | 94.6 | ||
Short-Term Investments and Other | 6.1 | 5.4 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Intel Corp. | 6.3 | 6.3 | ||
Hewlett-Packard Co. | 5.5 | 5.9 | ||
Carnival Corp. | 5.2 | 5.6 | ||
Bank of New York Mellon Corp. | 4.3 | 4.2 | ||
JP Morgan Chase & Co. | 3.8 | 3.7 | ||
Medtronic, Inc. | 3.8 | 2.8 | ||
Franklin Resources, Inc. | 3.7 | 2.8 | ||
Caterpillar, Inc. | 3.5 | — | ||
Williams Cos., Inc. | 3.2 | 1.7 | ||
Illinois Tool Works, Inc. | 3.2 | 1.0 | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Capital Markets | 12.7 | 13.9 | ||
Hotels, Restaurants & Leisure | 10.1 | 9.6 | ||
Media | 9.0 | 9.2 | ||
Semiconductors & Semiconductor Equipment | 8.4 | 8.2 | ||
Diversified Financial Services | 7.9 | 3.7 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio7 | Net Expense Ratio8 | ||
A | 1.28% | 1.28% | ||
B | 2.04 | 2.04 | ||
C | 2.03 | 2.03 | ||
Y | 0.84 | 0.84 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
4 | Russell 1000 Value Index is an unmanaged index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. |
5 | Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
6 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
7 | Before reductions and reimbursements. |
8 | After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10. |
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VAUGHAN NELSON SMALL CAP VALUE FUND
PORTFOLIO PROFILE
Objective:
Seeks capital appreciation
Strategy:
Invests in small-cap companies with a focus on absolute return, using a bottom-up value-oriented investment process.
Inception Date:
December 31, 1996
Managers:
Chris D. Wallis
Scott J. Weber
Symbols:
Class A | NEFJX | |
Class B | NEJBX | |
Class C Class Y | NEJCX NEJYX |
What You Should Know:
Investing in small-cap stocks carries special risk, including narrower markets, limited financial and management resources, less liquidity and greater volatility than large company stocks. Value stocks may fall out of favor with investors and underperform the overall market during any given period.
Management Discussion
Equity markets staged a vigorous comeback early in March, as unprecedented fiscal and monetary measures from Washington helped ease investors’ concerns about the economy. Vaughan Nelson Small Cap Value Fund outperformed its benchmark by a wide margin but trailed its Morningstar peers. For the six months ended June 30, 2009, the fund’s total return was 2.98% based on the net asset value of Class A shares. For the same period, the Russell 2000 Value Index, the fund’s benchmark, returned -5.17%, while the average performance of the funds in Morningstar’s Small Blend category was 6.11%.
HOW DID STOCK SELECTION HELP?
Our focus has been on companies with relatively little need to borrow money – those that are either not cut off from credit markets or that have adequate cash flow to finance their businesses, and pay off debt or otherwise add value for shareholders. We also look for businesses whose sales in recent years were not impacted by easy credit conditions and excess consumption. This strategy was of particular value during the worst of the credit squeeze.
The period’s biggest contributor was asset management firm Waddell & Reed Financial, which bounced back thanks to strong investor interest during the market rebound in the second quarter. We have begun to trim this holding based on its higher valuation. General Cable also moved higher amid expectations of better industrial activity.
We trimmed holdings in such defensive sectors as consumer staples and utilities, where some selections had reached our valuation targets. Stocks eliminated included private-label food wholesalers Ralcorp Holdings and TreeHouse Foods; and EQT Corp., a natural gas distribution and exploration company. We took advantage of lowered valuations to add shares of Autoliv, a leading manufacturer of automobile safety systems, including airbags and seat belts. We also found an attractive opportunity in retailer Abercrombie & Fitch. Despite a sales downturn, Abercrombie has retained a strong mall presence compared to other retailers, which could create some leverage to renegotiate leases. We believe both Autoliv and Abercrombie are positioned to capture greater market share.
WHICH STOCKS DETRACTED?
Healthcare holdings hurt performance when federal budget provisions appeared to constrain reimbursements, threatening future profits. As a consequence, we eliminated LHC Group, which provides home nursing services; Medicare-focused managed-care provider HealthSpring; and Amsurg, which operates outpatient surgery centers. We also sold glass container manufacturer Owens-Illinois, which came under pressure due to volume disappointments.
WHAT ABOUT SECTORS?
Overall, our financial, industrial and utilities allocations worked well. However, many of the leaders in the second-quarter rally were highly cyclical and some were burdened with heavy debt – a description that does not fit our policy of emphasizing financially sound companies. Our avoidance of more cyclical, debt-encumbered issues detracted from fund results in the technology and consumer discretionary sectors. In technology, for example, we hold software and service companies that are highly profitable with stable earnings profiles, but performance leaders in these sectors were the more volatile semiconductor and hardware companies. We have been steadily reducing defensive sectors and bolstering such cyclical areas as industrials and consumer discretionary companies. At the same time, better credit market conditions also raised our comfort level in financials, where we identified some small, well-financed banks with the potential to expand their markets.
WHAT IS YOUR CURRENT OUTLOOK?
We are positioning the portfolio for a recovery, which we believe lies ahead. Washington has shown its determination to stabilize the banking system, allowing banks to recapitalize successfully and opening up the capital markets. We are also encouraged by investors’ increasing risk tolerance. Our gradual move toward more cyclical areas reflects our belief that the economy is gradually righting itself, with a better tone perhaps appearing in the second half of 2009.
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VAUGHAN NELSON SMALL CAP VALUE FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares6
Average Annual Total Returns — June 30, 20096
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION | |||||||||||
CLASS A (Inception 12/31/96) | |||||||||||||||
Net Asset Value1 | 2.98 | % | -17.63 | % | 4.26 | % | 3.18 | % | — | ||||||
With Maximum Sales Charge2 | -2.92 | -22.37 | 3.03 | 2.57 | — | ||||||||||
CLASS B (Inception 12/31/96) | |||||||||||||||
Net Asset Value1 | 2.54 | -18.26 | 3.48 | 2.40 | — | ||||||||||
With CDSC3 | -2.46 | -22.35 | 3.13 | 2.40 | — | ||||||||||
CLASS C (Inception 12/31/96) | |||||||||||||||
Net Asset Value1 | 2.60 | -18.25 | 3.48 | 2.41 | — | ||||||||||
With CDSC3 | 1.60 | -19.07 | 3.48 | 2.41 | — | ||||||||||
CLASS Y (Inception 8/31/06) | |||||||||||||||
Net Asset Value1 | 3.10 | -17.41 | — | — | -1.70 | % | |||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | SINCE CLASS Y INCEPTION7 | ||||||||||
Russell 2000 Value Index4 | -5.17 | % | -25.24 | % | -2.27 | % | 5.00 | % | -13.21 | % | |||||
Morningstar Small Blend Fund Avg.5 | 6.11 | -25.97 | -1.78 | 4.25 | -10.82 |
All results represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 92.5 | 88.7 | ||
Exchange Traded Funds | — | 4.6 | ||
Short-Term Investments and Other | 7.5 | 6.7 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Sybase, Inc. | 2.7 | 2.2 | ||
Phillips-Van Heusen Corp. | 2.6 | 1.6 | ||
Waste Connections, Inc. | 2.5 | 2.2 | ||
HCC Insurance Holdings, Inc. | 2.5 | 2.5 | ||
Prosperity Bancshares, Inc. | 2.4 | 1.6 | ||
Patterson Cos., Inc. | 2.2 | 1.7 | ||
Pactiv Corp. | 2.2 | 2.5 | ||
Hanover Insurance Group, Inc. (The) | 2.1 | — | ||
Syniverse Holdings, Inc. | 2.0 | 1.4 | ||
MFA Financial, Inc. | 1.9 | 1.4 | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Software | 9.0 | 5.6 | ||
Insurance | 8.4 | 7.4 | ||
Machinery | 7.6 | 3.9 | ||
Commercial Banks | 7.2 | 5.4 | ||
Commercial Services & Supplies | 5.1 | 6.0 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio8 | Net Expense Ratio9 | ||||
A | 1.53 | % | 1.47 | % | ||
B | 2.28 | 2.22 | ||||
C | 2.28 | 2.22 | ||||
Y | 1.23 | 1.22 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
4 | Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. |
5 | Morningstar Small Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
6 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
7 | The since-inception comparative performance figures shown are calculated from 9/1/06. |
8 | Before reductions and reimbursements. |
9 | After reductions and reimbursements. Expense reductions are contractual and are set to expire 4/30/10. |
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
PORTFOLIO PROFILE
Objective:
Seeks long-term capital appreciation
Strategy:
Invests in medium capitalization companies with a focus on absolute return, using a bottom-up, value-oriented investment process
Inception Date:
October 31, 2008
Managers:
Dennis G. Alff
Chris D. Wallis
Scott J. Weber
Symbols:
Class A | VNVAX | |
Class C Class Y | VNVCX VNVYX |
What You Should Know:
Value stocks may fall out of favor with investors and underperform the overall market during any given period.
Management Discussion
Investors returned to the equity markets early in March, as government initiatives on the fiscal and monetary fronts helped calm fears that the economy might worsen. Vaughan Nelson Value Opportunity Fund comfortably outperformed its benchmark but lagged its Morningstar peer group.
For the six months ended June 30, 2009, the fund’s total return was 5.64%, based on the net asset value of Class A shares and $0.0015 in reinvested dividends. For the same period, the Russell Midcap Value Index, the fund’s benchmark, returned 3.19%, while the average return of the funds in Morningstar’s Mid-Cap Blend category was 10.05%.
WHICH STOCKS HELPED OR HURT PERFORMANCE?
Successful stock selection in several sectors helped the fund outperform its benchmark. One of the largest contributors was Calpine, a wholesale power generator whose shares rebounded briskly following a steep sell-off in 2008. General Cable, makers of wires and cables for utility and industrial customers, benefited as expectations improved for increased economic activity. Other gainers included Syniverse Holdings, which provides seamless connectivity solutions to wireless providers. Among detractors, Pactiv, makers of Hefty brand plastic bags, declined as investors moved to more cyclical companies with greater recovery potential. We believe Pactiv is well-run and enjoys good cash flows, so the stock remains in the portfolio. However, we reduced the fund’s exposure to W.R. Berkley, a property/casualty insurer, which lagged during this period after holding up well early in the financial crisis. We also maintained the fund’s commitment to ACE Ltd., another large insurer, despite a recent pullback.
In terms of strategy, our focus has been on companies that continue to have access to the credit markets thanks to their solid balance sheets, or that can finance their needs without resorting to borrowing, or those that are paying off debt or otherwise adding value for shareholders. We also look for businesses whose sales were not distorted by easy credit conditions and excess consumption in recent years. This approach was of particular value during the worst of the credit squeeze, when the fund holdings performed relatively well. These businesses may also be positioned to capture market share from financially weaker competitors when conditions improve.
WHICH SECTORS WERE MOST INFLUENTIAL?
Except for financials, all sectors in the portfolio were in positive territory over the past six months. In consumer discretionary, the fund did not hold the leveraged, highly cyclical stocks that led the market rally – a stance that hurt performance comparisons. During the period, we moved some assets out of traditionally defensive sectors like consumer staples and utilities and into more cyclical areas that tend to track the ups and downs of the economy. Our theory is that industrial, materials and technology choices are better positioned to benefit from the period of economic stabilization and recovery we see ahead. Among financials, in addition to trimming insurer W.R. Berkley, we sold Cullen/Frost Bankers, a high-quality, regional bank holding company. We redeployed the proceeds into companies with lower valuations and what we believed to be greater appreciation potential. Examples include Ohio-based Fifth Third Bancorp and XL Capital Ltd., a business insurance specialist whose investment portfolio stands to benefit from any improvement in capital markets.
WHAT IS YOUR CURRENT OUTLOOK?
We are positioning the portfolio for a potential recovery that we believe lies ahead. Washington has shown its determination to stabilize the banking system, opening the door for banks to recapitalize successfully and thawing the capital markets. We are also encouraged by the willingness of investors to accept some risk for the first time in several months. The portfolio’s gradual shift toward more cyclical areas reflects our belief that the economy is gradually righting itself, with the possibility of a better tone appearing as early as the second half of 2009.
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The table comparing the fund’s performance to an index provides a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of $10,000 Investment in Class A Shares6
Average Annual Total Returns — June 30, 20096
6 MONTHS | SINCE INCEPTION | |||||
CLASS A (Inception 10/31/08) | ||||||
Net Asset Value1 | 5.64 | % | 1.68 | % | ||
With Maximum Sales Charge2 | -0.47 | -4.17 | ||||
CLASS C (Inception 10/31/08) | ||||||
Net Asset Value1 | 5.33 | 1.23 | ||||
With CDSC3 | 4.33 | 0.23 | ||||
CLASS Y (Inception 10/31/08) | ||||||
Net Asset Value1 | 5.85 | 1.90 | ||||
COMPARATIVE PERFORMANCE | 6 MONTHS | SINCE INCEPTION7 | ||||
Russell Midcap Value Index4 | 3.19 | % | -2.72 | % | ||
Morningstar Mid-Cap Blend Fund Avg.5 | 10.05 | 3.70 |
All results represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 99.3 | 94.3 | ||
Exchange Traded Funds | — | 4.5 | ||
Short-Term Investments and Other | 0.7 | 1.2 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Owens-Illinois, Inc. | 3.8 | 3.9 | ||
Annaly Capital Management, Inc. | 3.1 | 3.4 | ||
DaVita, Inc. | 2.7 | 2.9 | ||
ACE Ltd. | 2.5 | 3.3 | ||
Ralcorp Holdings, Inc. | 2.3 | 2.3 | ||
XL Capital Ltd., Class A | 2.2 | — | ||
Nuance Communications, Inc. | 2.2 | 2.0 | ||
Thermo Fisher Scientific, Inc. | 2.2 | 1.7 | ||
Zimmer Holdings, Inc. | 2.1 | 2.1 | ||
IPC Holdings Ltd. | 2.1 | 2.5 | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Insurance | 12.6 | 13.5 | ||
Food Products | 7.4 | 8.8 | ||
Software | 6.3 | 5.6 | ||
Chemicals | 5.7 | 3.2 | ||
Health Care Providers & Services | 5.3 | 6.2 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio8 | Net Expense Ratio9 | ||||
A | 14.72 | % | 1.41 | % | ||
C | 15.47 | 2.16 | ||||
Y | 14.36 | 1.16 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
4 | Russell Midcap Value Index is an unmanaged index that measures the performance of those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. |
5 | Morningstar Mid-Cap Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
6 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
7 | The since-inception comparative performance figures shown are calculated from 11/1/08. |
8 | Before reductions and reimbursements. |
9 | After reductions and reimbursements. Expense reductions are contractual and are set to expire 4/30/10. |
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NATIXIS U.S. DIVERSIFIED PORTFOLIO
PORTFOLIO PROFILE
Objective:
Seeks long-term growth of capital
Strategy:
Features growth and value investments through a diversified portfolio of complementary equity investment disciplines provided by specialized money managers
Inception Date:
July 7, 1994
Subadvisors:
BlackRock Investment Management, LLC
Harris Associates, L.P.
Loomis, Sayles & Company, L.P.
Symbols:
Class A | NEFSX | |
Class B | NESBX | |
Class C | NECCX | |
Class Y | NESYX |
What You Should Know:
Growth stocks can be more sensitive to market movements because their values are based on future expectations. Value stocks may fall out of favor with investors and underperform the overall market. Small-cap stocks carry special risks, including narrower markets, limited financial and management resources, less liquidity and greater volatility than large-cap stocks.
Management Discussion
As the worst recession since the early 1980s headed into its second year, the equity markets continued to slide in 2009. However, early in March market sentiment reversed, and U.S. equities began a strong rally as economic clouds appeared to become less ominous than they had been previously. The recovery was marginal and fraught with uncertainty, but a little relief brought hope to some investors.
Each of Natixis U.S. Diversified Portfolio’s four segments is managed using a different discipline, providing investors with exposure to a wide spectrum of stocks of differing sizes, using both growth and value investment styles. The BlackRock segment seeks long-term growth of capital in companies of any size, with an emphasis on those with capitalizations greater than $2 billion. The segment managed by Harris Associates invests primarily in common stocks of large- and mid-capitalization companies that the manager believes are trading at a substantial discount to their “true business value.” Loomis Sayles manages two portfolio segments. One invests in mid-cap growth stocks, and the other focuses on small-cap value stocks.
For the six months ended June 30, 2009, Natixis U.S. Diversified Portfolio returned 8.58% based on the net asset value of Class A shares. The fund outperformed the 3.16% return on the S&P 500 Index and the 8.47% return on the S&P MidCap 400 Index. The fund lagged the 9.45% return on the Wilshire 4500 Index and the 10.50% average return on the funds in Morningstar’s Large Growth category.
BLACKROCK WAS CAREFUL TO AVOID MAJOR SECTOR RISK
Because volatility was so high, BlackRock avoided holding major overweight or underweight positions relative to the Russell 1000 Growth Index. The segment benefited from relative underweights in the poorly performing consumer staples and industrials sectors, although small underweights in the strong information technology and materials sectors partially offset the gain. Three stocks with the biggest positive impact on performance were: PMC-Sierra, Inc., a semi-conductor company; mining company Freeport-McMoRan Copper & Gold, Inc.; and on-line retailer Amazon.com, Inc. Shares of PMC-Sierra Inc. rose in value as industry inventories improved. Freeport shares rose with copper commodity prices and in anticipation of a global economic rebound. Amazon.com began to climb in January after reporting strong sales despite a weak 2008 holiday season.
Stocks on the negative side included: Delta Air Lines; pharmaceutical company Schering-Plough Corp.; and education and training services company Apollo Group. Delta had a difficult first quarter in 2009 as the recession reduced demand for travel. The stock remains in the fund’s portfolio on the belief that it should perform well as the economy recovers. Schering-Plough rose when it announced that it would be acquired by Merck, but Schering was not in the segment at that time, so we missed an opportunity for gains. After doing well in 2008, Apollo declined and we sold the stock as its business fundamentals weakened.
FINANCIAL STOCKS LED THE HARRIS ASSOCIATES SEGMENT
Harris Associates emphasized stocks in the consumer-oriented, technology and financial sectors during the period. It had less exposure to energy, utilities and materials. These allocations worked to the segment’s favor. Eight of the segment’s ten financial holdings were strong performers, and all of the healthcare holdings did well, led by pharmaceutical company Schering-Plough Corp., which was acquired by Merck. Technology stocks were positive, but the segment’s one holding in materials, Weyerhaeuser, was flat. Morgan Stanley and JP Morgan Chase had the strongest impact on results. Morgan Stanley improved its balance sheet and withstood the tough capital market better than its peers. The company also announced a joint venture with Citicorp. JP Morgan reported strong earnings in several business segments and returned the $25 billion it received from the government as part of the Troubled Asset Relief Program (TARP). Intel was also among the segment’s top performers. The company’s margins held up well, despite the decrease in global demand for microprocessors and semiconductor components.
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NATIXIS U.S. DIVERSIFIED PORTFOLIO
Management Discussion
Capital One Financial was among the most negative performers. Early in 2009 it reported a much larger loss than expected and substantially reduced the dividend for stock holders. The stock was sold from the segment. Another poor performer was FedEx Corp. The worldwide shipping company’s earnings expectations declined and took its stock price with it. However, Harris Associates believes FedEx will do well when the economy improves and the stock remains in the segment. Fortune Brands, a consumer goods company, reported weak quarterly earnings and provided a conservative earnings outlook for the rest of 2009. Harris Associates sold the stock.
LOOMIS MID-CAP GROWTH SEGMENT ADDED CYCLICAL STOCKS
This segment shifted from a defensive posture at the end of 2008 to more cyclical positioning early in 2009. Loomis reduced the segment’s exposure to financial services and added investments in technology, specialty retailing and energy. Good stock selection in the energy sector – especially in oil services and exploration and production companies – was particularly helpful. However, in the consumer area, the segment owned too many defensive stocks during the period – including value stores and education services companies – and not enough department stores or casinos, which were stronger performers.
Loomis sold the segment’s capital markets holdings early in 2009, including IntercontinentalExchange, Nasdaq OMX Group and T. Rowe Price Group. As a result, the segment missed the upturn in these companies after the market rebounded in early March. Biotechnology company Illumina, Inc. was one of the segment’s top performers. It reported good earnings and Loomis believes it is likely to benefit from funding increases that are part of the government’s stimulus package. Freeport-McMoRan Copper & Gold was another strong contributor, helped by rising copper prices. Broadcom, a leading semiconductor manufacturer, also did well. Broadcom has maintained tight controls on operating expenses at a time when the semiconductor industry has been hit hard by the recession. Loomis believes that Broadcom should benefit when demand for semiconductors picks up.
Detractors included asset manager T. Rowe Price Group, mentioned above; steel mill operator Nucor; and L-3 Communications, which provides high-tech systems and products to the U.S. military. T. Rowe Price declined as its earnings estimates fell, along with the company’s assets under management. An anemic recovery in the steel industry depressed Nucor’s earnings. L-3 Communications’ earnings fell short of expectations late in 2008, and the government did not renew a major Special Operations program. All of three stocks were sold from the segment during the first quarter.
LOOMIS SMALL-CAP SEGMENT MAINTAINED QUALITY, ADDED SMALLER STOCKS
Early in 2009, the portfolio was conservatively positioned with overweights in utilities and consumer staples, two sectors that historically have shown less earnings cyclicality than many other sectors of the market. Holdings within other sectors were also defensive in nature, favoring companies that displayed relatively higher earnings visibility. As the year wore on, however, the market stabilized and the portfolio took advantage of some beaten-down, more economically sensitive companies in the consumer discretionary, energy, producer durables and materials sectors. Additions to the portfolio included Big Lots, a close-out retail chain; Interval Leisure Group, a vacation exchange company; restaurant chain O’Charleys; and Web.com Group, an internet-based marketing company. Exposure to consumer staples was reduced, as were holdings in the less credit-sensitive industries within financial services that met our price targets.
Strong individual contributors during the period included Broadridge Financial Solutions, an outsourcer of communications materials for financial services companies; PHH Corp., a credit services company that benefited from a surge in new mortgages; Clearwater Paper Corp.; and Orion Marine Group, a marine construction contractor. On the negative side, SLM Corp. (Sallie Mae) was the portfolio’s worst performer. It declined sharply when the government announced plans to make loans directly to college students, which would eliminate a major part of SLM’s business. Delta Air Lines lost value following its merger with Northwest Airlines. Protective Life Corp., a life insurance company, fell short of expectations when concerns arose about the valuation of its bond and equity holdings. All three of these negative performers were sold from the segment.
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NATIXIS U.S. DIVERSIFIED PORTFOLIO
Investment Results through June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares8
Average Annual Total Returns — June 30, 20098
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | |||||||||
CLASS A (Inception 7/7/94) | ||||||||||||
Net Asset Value1 | 8.58 | % | -27.84 | % | -0.66 | % | 0.16 | % | ||||
With Maximum Sales Charge2 | 2.36 | -31.98 | -1.83 | -0.43 | ||||||||
CLASS B (Inception 7/7/94) | ||||||||||||
Net Asset Value1 | 8.11 | -28.41 | -1.41 | -0.59 | ||||||||
With CDSC3 | 3.11 | -31.99 | -1.80 | -0.59 | ||||||||
CLASS C (Inception 7/7/94) | ||||||||||||
Net Asset Value1 | 8.19 | -28.40 | -1.41 | -0.60 | ||||||||
With CDSC3 | 7.19 | -29.11 | -1.41 | -0.60 | ||||||||
CLASS Y (Inception 11/15/94) | ||||||||||||
Net Asset Value1 | 8.72 | -27.65 | -0.30 | 0.61 | ||||||||
COMPARATIVE PERFORMANCE | 6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||
S&P 500 Index4 | 3.16 | % | -26.21 | % | -2.24 | % | -2.22 | % | ||||
Wilshire 4500 Index5 | 9.45 | -27.59 | -0.10 | 1.48 | ||||||||
S&P MidCap 400 Index6 | 8.47 | -28.02 | 0.36 | 4.61 | ||||||||
Morningstar Large Growth Fund Avg.7 | 10.50 | -27.13 | -1.81 | -2.42 |
All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | ||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | ||
Common Stocks | 95.9 | 97.7 | ||
Put Options | 0.0 | — | ||
Put Options Written | -0.0 | — | ||
Call Options Written | -0.0 | — | ||
Short-Term Investments and Other | 4.1 | 2.3 | ||
% of Net Assets as of | ||||
TEN LARGEST HOLDINGS | 6/30/09 | 12/31/08 | ||
Intel Corp. | 1.8 | 2.1 | ||
Hewlett-Packard Co. | 1.8 | 1.5 | ||
Carnival Corp. | 1.5 | 1.5 | ||
JP Morgan Chase & Co. | 1.2 | 1.1 | ||
Bank of New York Mellon Corp. | 1.2 | 1.1 | ||
Microsoft Corp. | 1.2 | 0.4 | ||
Medtronic, Inc. | 1.1 | 0.7 | ||
Franklin Resources, Inc. | 1.0 | 0.7 | ||
Legg Mason, Inc. | 1.0 | 0.7 | ||
Caterpillar, Inc. | 1.0 | — | ||
% of Net Assets as of | ||||
FIVE LARGEST INDUSTRIES | 6/30/09 | 12/31/08 | ||
Hotels, Restaurants & Leisure | 6.8 | 4.0 | ||
Capital Markets | 5.8 | 5.6 | ||
Semiconductors & Semiconductor Equipment | 5.5 | 4.0 | ||
Software | 4.5 | 3.4 | ||
Machinery | 4.5 | 1.7 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio9 | Net Expense Ratio10 | ||||
A | 1.43 | % | 1.40 | % | ||
B | 2.19 | 2.15 | ||||
C | 2.18 | 2.15 | ||||
Y | 1.23 | 1.15 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
4 | S&P 500 Index is an unmanaged index of U.S. common stocks. |
5 | Wilshire 4500 Index is an unmanaged index of 4,500 mid- and small-sized companies. |
6 | S&P MidCap 400 Index is an unmanaged index of U.S. mid-sized companies. |
7 | Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
8 | Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower. |
9 | Before reductions and reimbursements. |
10 | After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10. |
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
For more complete information on any Natixis Fund, contact your financial professional or call Natixis Funds and ask for a free prospectus, which contains more complete information, including charges and other ongoing expenses. Investors should consider a fund’s objective, risks and expenses carefully before investing. This and other fund information can be found in the prospectus. Please read the prospectus carefully before investing.
PROXY VOTING INFORMATION
A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at www.funds.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2009 is available from the funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. In addition, each fund assesses a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2009 through June 30, 2009. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table of each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
CGM ADVISOR TARGETED EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,005.20 | $5.82 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.99 | $5.86 | |||
CLASS B | ||||||
Actual | $1,000.00 | $1,001.40 | $9.58 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.22 | $9.64 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,001.50 | $9.58 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.22 | $9.64 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,007.70 | $4.43 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.38 | $4.46 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.17%, 1.93%, 1.93% and 0.89% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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UNDERSTANDING FUND EXPENSES (continued)
DELAFIELD SELECT FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,243.50 | $7.79 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.85 | $7.00 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,234.80 | $11.91 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,244.80 | $6.40 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.40%, 2.15%, and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
HANSBERGER INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,177.50 | $9.34 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.22 | $8.65 | |||
CLASS B | ||||||
Actual | $1,000.00 | $1,172.10 | $13.30 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.55 | $12.33 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,172.20 | $13.36 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.50 | $12.37 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.73%, 2.47% and 2.48% for Class A, B, and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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UNDERSTANDING FUND EXPENSES (continued)
HARRIS ASSOCIATES LARGE CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,122.80 | $6.84 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.51 | |||
CLASS B | ||||||
Actual | $1,000.00 | $1,118.50 | $10.77 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,118.90 | $10.77 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,124.50 | $5.53 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.59 | $5.26 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
VAUGHAN NELSON SMALL CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,029.80 | $7.30 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.60 | $7.25 | |||
CLASS B | ||||||
Actual | $1,000.00 | $1,025.40 | $11.05 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.88 | $10.99 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,026.00 | $11.05 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.88 | $10.99 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,031.00 | $5.84 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.04 | $5.81 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.45%, 2.20%, 2.20% and 1.16% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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UNDERSTANDING FUND EXPENSES (continued)
VAUGHAN NELSON VALUE OPPORTUNITY FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,056.40 | $7.14 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.85 | $7.00 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,053.30 | $10.95 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,058.50 | $5.87 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.40%, 2.15% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
NATIXIS U.S. DIVERSIFIED PORTFOLIO | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/2009 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,085.80 | $7.24 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.85 | $7.00 | |||
CLASS B | ||||||
Actual | $1,000.00 | $1,081.10 | $11.09 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,081.90 | $11.10 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,087.20 | $5.95 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.40%, 2.15%, 2.15% and 1.15% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Funds’ Advisers and (v) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple sub-advisers) based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its peer group. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio.
The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2009. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates. They considered the need for the Advisers to offer competitive compensation in order to attract and retain capable personnel.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors with respect to sub-advised Funds. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds.
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.
With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Funds’ Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Fund’s Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term, (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups, (4) that the Fund’s Adviser had taken or is taking steps designed to help improve the Fund’s investment performance; (5) that the Fund’s expenses had recently been capped, with the goal of helping the Fund’s net return to shareholders become more competitive and that reductions in the Fund’s expense levels resulting from decreased expenses were not yet fully reflected in the Fund’s performance results.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally (as noted by certain financial publications), and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various Funds in the Fund family. They noted that, as of December 31, 2008, four of the six Natixis Equity Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Advisers under these caps. The Trustees noted that several Funds had total expense ratios or advisory fee rates that were above the median of a peer group of Funds. The Trustees considered the circumstances that accounted for such relatively higher expenses. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s advisory fee rate and/or total expense ratio was only slightly above its peer group median; (2) that although the Fund’s advisory fee rate was above its peer group median, it is subject to an expense cap which resulted in the reduction of the advisory fee; (3) that the Fund’s investment discipline was capacity restrained and (4) that Fund’s relatively higher total expense ratio in relation to the median for its peer group of funds resulted to a significant extent from relatively higher expenses relating to items other than advisory fees. The Trustees further noted that Natixis U.S. Diversified Portfolio’s advisory fees and gross expense ratio were above the median of a peer group of funds, noting that the Fund employs a more complex multiple manager structure, whereas its peer group consists of mostly Large
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
Cap Growth strategies. The Trustees also noted that Natixis U.S. Diversified Portfolio had recently adopted an expense cap, which had not yet been fully reflected in the expense ratios.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that five Funds had breakpoints in their advisory fees and that the remaining Fund was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees considered, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | the effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund. |
· | whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | the nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
· | so-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of affiliated Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | the Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2010.
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CGM ADVISOR TARGETED EQUITY FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||||
Common Stocks — 99.1% of Net Assets | |||||||
Air Freight & Logistics — 9.3% | |||||||
750,000 | FedEx Corp. | $ | 41,715,000 | ||||
815,000 | United Parcel Service, Inc., Class B | 40,741,850 | |||||
82,456,850 | |||||||
Automobiles — 5.5% | |||||||
8,000,000 | Ford Motor Co.(b) | 48,560,000 | |||||
Capital Markets — 8.9% | |||||||
535,000 | Goldman Sachs Group, Inc. (The) | 78,880,400 | |||||
Commercial Banks — 13.1% | |||||||
3,880,800 | Banco Bradesco SA, Sponsored ADR | 57,319,416 | |||||
3,751,550 | Banco Itau Holding Financeira SA, ADR | 59,387,036 | |||||
116,706,452 | |||||||
Computers & Peripherals — 5.1% | |||||||
430,000 | International Business Machines Corp. | 44,900,600 | |||||
Diversified Financial Services — 9.5% | |||||||
135,000 | CME Group, Inc. | 41,999,850 | |||||
1,250,000 | JP Morgan Chase & Co. | 42,637,500 | |||||
84,637,350 | |||||||
Energy Equipment & Services — 3.8% | |||||||
630,000 | Schlumberger Ltd. | 34,089,300 | |||||
Food & Staples Retailing — 10.0% | |||||||
1,532,300 | CVS Caremark Corp. | 48,834,401 | |||||
830,000 | Wal-Mart Stores, Inc. | 40,205,200 | |||||
89,039,601 | |||||||
Health Care Equipment & Supplies — 3.3% | |||||||
550,000 | Baxter International, Inc. | 29,128,000 | |||||
Hotels, Restaurants & Leisure — 4.8% | |||||||
733,600 | McDonald’s Corp. | 42,174,664 | |||||
Oil, Gas & Consumable Fuels — 5.5% | |||||||
1,185,000 | Petroleo Brasileiro SA, ADR | 48,561,300 | |||||
Pharmaceuticals — 10.4% | |||||||
950,000 | Abbott Laboratories | 44,688,000 | |||||
963,800 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 47,553,892 | |||||
92,241,892 | |||||||
Software — 4.3% | |||||||
1,800,000 | Oracle Corp. | 38,556,000 | |||||
Tobacco — 5.6% | |||||||
1,150,000 | Philip Morris International, Inc. | 50,163,000 | |||||
Total Common Stocks (Identified Cost $823,960,242) | 880,095,409 | ||||||
Principal Amount | |||||||
Short-Term Investments — 1.7% | |||||||
$ | 15,380,000 | American Express Credit Corp., Commercial Paper, 0.140%, 7/01/2009 (Identified Cost $15,380,000) | 15,380,000 | ||||
Total Investments — 100.8% (Identified Cost $839,340,242)(a) | 895,475,409 | ||||||
Other assets less liabilities — (0.8)% | (6,963,352 | ) | |||||
Net Assets — 100.0% | $ | 888,512,057 | |||||
(†) | See Note 2a of Notes to Financial Statements. | |||||
(a) | Federal Tax Information: (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||
At June 30, 2009, the net unrealized appreciation on investments based on a cost of $839,340,242 for federal income tax purposes was as follows: | ||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 81,910,146 | ||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (25,774,979 | ) | ||||
Net unrealized appreciation | $ | 56,135,167 | ||||
(b) | Non-income producing security. | |||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. |
Net Asset Summary at June 30, 2009 (Unaudited)
Commercial Banks | 13.1 | % | |
Pharmaceuticals | 10.4 | ||
Food & Staples Retailing | 10.0 | ||
Diversified Financial Services | 9.5 | ||
Air Freight & Logistics | 9.3 | ||
Capital Markets | 8.9 | ||
Tobacco | 5.6 | ||
Oil, Gas & Consumable Fuels | 5.5 | ||
Automobiles | 5.5 | ||
Computers & Peripherals | 5.1 | ||
Hotels, Restaurants & Leisure | 4.8 | ||
Software | 4.3 | ||
Energy Equipment & Services | 3.8 | ||
Health Care Equipment & Supplies | 3.3 | ||
Short-Term Investments | 1.7 | ||
Total Investments | 100.8 | ||
Other assets less liabilities | (0.8 | ) | |
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
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DELAFIELD SELECT FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | ||||
Common Stocks — 85.9% of Net Assets | ||||||
Aerospace & Defense — 3.0% | ||||||
21,000 | Esterline Technologies Corp.(b) | $ | 568,470 | |||
Chemicals — 6.7% | ||||||
30,500 | Ashland, Inc. | 855,525 | ||||
23,500 | Cytec Industries, Inc. | 437,570 | ||||
1,293,095 | ||||||
Electrical Equipment — 1.9% | ||||||
13,000 | Acuity Brands, Inc. | 364,650 | ||||
Electronic Equipment, Instruments — 14.3% | ||||||
61,000 | Checkpoint Systems, Inc.(b) | 957,090 | ||||
222,000 | Flextronics International Ltd.(b) | 912,420 | ||||
130,000 | Vishay Intertechnology, Inc.(b) | 882,700 | ||||
2,752,210 | ||||||
Health Care Equipment & Supplies — 3.3% | ||||||
24,000 | STERIS Corp. | 625,920 | ||||
Health Care Technology — 1.8% | ||||||
27,500 | IMS Health, Inc. | 349,250 | ||||
Industrial Conglomerates — 2.9% | ||||||
23,000 | Carlisle Cos., Inc. | 552,920 | ||||
Internet Software & Services — 2.5% | ||||||
21,000 | j2 Global Communications, Inc.(b) | 473,760 | ||||
IT Services — 10.9% | ||||||
21,000 | Cognizant Technology Solutions Corp., Class A(b) | 560,700 | ||||
72,000 | Genpact Ltd.(b) | 846,000 | ||||
90,000 | Tier Technologies, Inc., Class B(b) | 691,200 | ||||
2,097,900 | ||||||
Life Sciences Tools & Services — 8.8% | ||||||
27,300 | Charles River Laboratories International, Inc.(b) | 921,375 | ||||
19,000 | Thermo Fisher Scientific, Inc.(b) | 774,630 | ||||
1,696,005 | ||||||
Machinery — 17.2% | ||||||
65,600 | Albany International Corp., Class A | 746,528 | ||||
58,000 | Barnes Group, Inc. | 689,620 | ||||
34,500 | Crane Co. | 769,695 | ||||
43,000 | Federal Signal Corp. | 328,950 | ||||
40,000 | Kennametal, Inc. | 767,200 | ||||
3,301,993 | ||||||
Paper & Forest Products — 2.9% | ||||||
120,500 | KapStone Paper and Packaging Corp.(b) | 565,145 | ||||
Specialty Retail — 7.7% | ||||||
57,000 | Collective Brands, Inc.(b) | 830,490 | ||||
63,000 | Foot Locker, Inc. | 659,610 | ||||
1,490,100 | ||||||
Textiles, Apparel & Luxury Goods — 2.0% | ||||||
34,000 | Maidenform Brands, Inc.(b) | 389,980 | ||||
Total Common Stocks (Identified Cost $16,558,976) | 16,521,398 | |||||
Principal Amount | ||||||
Short-Term Investments — 13.9% | ||||||
$ | 2,665,785 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $2,665,785 on 7/1/2009, collateralized by $2,715,000 Federal Home Loan Bank, 5.648% due 11/27/2037 valued at $2,721,788 including accrued interest (Note 2h of Notes to Financial Statements) (Identified Cost $2,665,785) | 2,665,785 | |||
Total Investments — 99.8% (Identified Cost $19,224,761)(a) | $ | 19,187,183 | ||||
Other assets less liabilities — 0.2% | 41,180 | |||||
Net Assets — 100.0% | $ | 19,228,363 | ||||
(†) | See Note 2a of Notes to Financial Statements. | |||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2009, the net unrealized depreciation on investments based on a cost of $19,224,761 for federal income tax purposes was as follows: | |||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 2,186,952 | ||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,224,530 | ) | ||||
Net unrealized depreciation | $ | (37,578 | ) | |||
(b) | Non-income producing security. |
Net Asset Summary at June 30, 2009 (Unaudited)
Machinery | 17.2 | % | |
Electronic Equipment, Instruments & Components | 14.3 | ||
IT Services | 10.9 | ||
Life Sciences Tools & Services | 8.8 | ||
Specialty Retail | 7.7 | ||
Chemicals | 6.7 | ||
Health Care Equipment & Supplies | 3.3 | ||
Aerospace & Defense | 3.0 | ||
Paper & Forest Products | 2.9 | ||
Industrial Conglomerates | 2.9 | ||
Internet Software & Services | 2.5 | ||
Textiles, Apparel & Luxury Goods | 2.0 | ||
Other Investments, less than 2% each | 3.7 | ||
Short-Term Investments | 13.9 | ||
Total Investments | 99.8 | ||
Other assets less liabilities | 0.2 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
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HANSBERGER INTERNATIONAL FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Common Stocks — 97.9% of Net Assets | |||||
Australia — 3.5% | |||||
22,016 | BHP Billiton Ltd. | $ | 603,147 | ||
14,610 | Commonwealth Bank of Australia | 457,962 | |||
28,542 | CSL Ltd. | 737,986 | |||
16,547 | Rio Tinto Ltd. | 691,188 | |||
30,421 | Westpac Banking Corp. | 494,938 | |||
2,985,221 | |||||
Belgium — 0.7% | |||||
16,527 | Anheuser-Busch InBev NV | 599,257 | |||
Brazil — 4.3% | |||||
37,910 | Companhia Energetica de Minas Gerais, Sponsored ADR | 509,510 | |||
36,369 | Itau Unibanco Holding SA, ADR | 575,721 | |||
17,873 | Petroleo Brasileiro SA, ADR | 732,436 | |||
16,590 | Petroleo Brasileiro SA, Sponsored ADR | 553,443 | |||
38,138 | Vale SA, Sponsored ADR | 672,373 | |||
41,003 | Vale SA, Sponsored Preference ADR | 629,396 | |||
3,672,879 | |||||
Canada — 5.5% | |||||
15,880 | Bank of Nova Scotia | 592,795 | |||
41,423 | Cameco Corp. | 1,060,429 | |||
14,220 | IGM Financial, Inc. | 503,076 | |||
39,879 | Manulife Financial Corp. | 691,901 | |||
20,693 | Rogers Communications, Inc., Class B | 531,936 | |||
13,976 | Shoppers Drug Mart Corp. | 600,662 | |||
24,339 | Suncor Energy, Inc. | 738,445 | |||
4,719,244 | |||||
China — 9.7% | |||||
616,000 | Agile Property Holdings Ltd. | 882,346 | |||
924,000 | China Communications Construction Co. Ltd., Class H | 1,070,093 | |||
860,000 | China Construction Bank Corp., Class H | 661,565 | |||
262,500 | China Merchants Bank Co. Ltd., Class H | 593,728 | |||
41,000 | China Mobile Ltd. | 410,508 | |||
191,500 | China Shenhua Energy Co. Ltd., Class H | 694,721 | |||
1,330,410 | Denway Motors Ltd. | 527,777 | |||
1,753,000 | Industrial and Commerial Bank of China Ltd., Class H | 1,216,528 | |||
450,000 | PetroChina Co. Ltd., Class H | 497,277 | |||
49,000 | Ping An Insurance (Group) Co. of China Ltd., Class H | 328,890 | |||
63,800 | Tencent Holdings Ltd. | 737,381 | |||
205,600 | Weichai Power Co. Ltd., Class H | 680,363 | |||
8,301,177 | |||||
Denmark — 1.6% | |||||
8,181 | Novo Nordisk A/S, Class B | 445,580 | |||
13,374 | Vestas Wind Systems A/S(b) | 959,780 | |||
1,405,360 | |||||
France — 9.4% | |||||
19,654 | ArcelorMittal | 650,409 | |||
68,366 | Axa SA | 1,293,953 | |||
19,819 | BNP Paribas | 1,292,440 | |||
9,903 | Carrefour SA | 424,687 | |||
10,456 | Electricite de France | 510,544 | |||
13,841 | France Telecom SA | 314,931 | |||
10,496 | GDF Suez | 392,887 | |||
26,000 | Groupe Danone | 1,289,199 | |||
6,479 | Iliad SA | 630,072 | |||
4,886 | PPR | 400,538 | |||
16,451 | Total SA | 891,649 | |||
8,091,309 | |||||
Shares | Description | Value (†) | |||
Germany — 5.9% | |||||
23,652 | Adidas AG | $ | 901,312 | ||
7,833 | Bayer AG | 420,944 | |||
8,273 | Deutsche Boerse AG | 643,842 | |||
15,920 | E.ON AG | 565,124 | |||
3,006 | Merck KGaA | 305,876 | |||
19,382 | SAP AG | 781,446 | |||
12,974 | SAP AG, Sponsored ADR | 521,425 | |||
5,793 | Siemens AG (Registered) | 400,598 | |||
4,808 | Wacker Chemie AG | 555,227 | |||
5,095,794 | |||||
Hong Kong — 1.4% | |||||
94,300 | Esprit Holdings Ltd. | 526,337 | |||
254,000 | Li & Fung Ltd. | 673,296 | |||
1,199,633 | |||||
India — 2.5% | |||||
9,122 | HDFC Bank Ltd., ADR | 940,752 | |||
33,511 | Infosys Technologies Ltd., Sponsored ADR | 1,232,534 | |||
2,173,286 | |||||
Israel — 0.6% | |||||
9,982 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 492,512 | |||
Italy — 2.2% | |||||
34,183 | ENI SpA | 810,717 | |||
42,143 | Saipem SpA | 1,029,615 | |||
1,840,332 | |||||
Japan — 14.0% | |||||
87,000 | Bank of Yokohama (The) Ltd. | 465,674 | |||
12,500 | Canon, Inc. | 408,300 | |||
5,283 | East Japan Railway Co. | 318,068 | |||
7,900 | FANUC Ltd. | 633,077 | |||
711 | Jupiter Telecommunications Co., Ltd. | 539,314 | |||
85 | KDDI Corp. | 451,014 | |||
68,800 | Mitsubishi UFJ Financial Group, Inc. | 424,826 | |||
31,000 | NGK Insulators Ltd. | 631,834 | |||
4,000 | Nintendo Co. Ltd. | 1,107,020 | |||
53,800 | Nomura Holdings, Inc. | 454,117 | |||
98,000 | Osaka Gas Co. Ltd. | 312,375 | |||
16,800 | Seven & I Holdings Co. Ltd. | 394,004 | |||
20,900 | Shin-Etsu Chemical Co. Ltd. | 969,318 | |||
40,000 | Shionogi & Co., Ltd. | 772,840 | |||
176 | Sony Financial Holdings, Inc. | 485,261 | |||
43,200 | Sumitomo Corp. | 439,114 | |||
126,000 | Sumitomo Trust & Banking Co. Ltd. | 676,101 | |||
11,600 | TERUMO Corp. | 511,410 | |||
30,600 | THK Co., Ltd. | 456,168 | |||
27,200 | Toyota Motor Corp. | 1,028,632 | |||
8,840 | Yamada Denki Co., Ltd. | 514,296 | |||
11,992,763 | |||||
Korea — 2.0% | |||||
13,492 | KB Financial Group, Inc., ADR(b) | 449,419 | |||
1,584 | Samsung Electronics Co. Ltd. | 732,385 | |||
2,266 | Samsung Electronics Co. Ltd., GDR, (Registered), 144A | 528,545 | |||
1,710,349 | |||||
Luxembourg — 0.9% | |||||
13,434 | Millicom International Cellular SA(b) | 755,797 | |||
Mexico — 1.3% | |||||
17,236 | America Movil SAB de CV, Series L, ADR | 667,378 |
See accompanying notes to financial statements.
26
Table of Contents
HANSBERGER INTERNATIONAL FUND — PORTFOLIOOF INVESTMENT (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Mexico — continued | |||||
15,653 | Wal-Mart de Mexico SA de CV, Series V, Sponsored ADR | $ | 461,763 | ||
1,129,141 | |||||
Netherlands — 0.5% | |||||
24,098 | Koninklijke (Royal) Philips Electronics NV, (NY Registered Shares) | 443,885 | |||
Norway — 1.7% | |||||
108,358 | Renewable Energy Corp. A/S(b) | 846,090 | |||
37,652 | Renewable Energy Corp. A/S, Rights(b) | 134,677 | |||
41,813 | Subsea 7, Inc.(b) | 428,945 | |||
1,409,712 | |||||
Russia — 2.2% | |||||
49,912 | Gazprom, Sponsored ADR | 1,010,718 | |||
7,622 | LUKOIL, Sponsored ADR | 338,188 | |||
54,330 | MMC Norilsk Nickel, ADR(b) | 499,836 | |||
1,848,742 | |||||
Singapore — 0.6% | |||||
67,000 | DBS Group Holdings Ltd. | 543,179 | |||
South Africa — 0.6% | |||||
33,722 | MTN Group Ltd. | 517,916 | |||
Spain — 3.4% | |||||
100,752 | Banco Santander Central Hispano SA | 1,217,901 | |||
28,467 | Gamesa Corp., Tecnologica SA | 542,725 | |||
8,427 | Industria de Diseno Textil SA | 405,565 | |||
33,806 | Telefonica SA | 767,717 | |||
2,933,908 | |||||
Switzerland — 8.3% | |||||
71,582 | ABB Ltd., (Registered)(b) | 1,130,328 | |||
31,056 | Credit Suisse Group, (Registered) | 1,422,860 | |||
3,316 | Lonza Group AG, (Registered) | 329,868 | |||
37,462 | Nestle SA, (Registered) | 1,414,507 | |||
19,240 | Nobel Biocare Holding AG, (Registered) | 421,044 | |||
20,067 | Novartis AG, (Registered) | 816,872 | |||
8,617 | Roche Holding AG | 1,174,084 | |||
1,730 | Syngenta AG, (Registered) | 402,512 | |||
7,112,075 | |||||
Taiwan — 0.7% | |||||
375,052 | Taiwan Semiconductor Manufacturing Co. Ltd. | 615,535 | |||
United Kingdom — 14.4% | |||||
321,192 | ARM Holdings PLC | 633,863 | |||
47,625 | Autonomy Corp. PLC(b) | 1,128,460 | |||
147,681 | Barclays PLC | 686,281 | |||
40,280 | BG Group PLC | 678,303 | |||
41,800 | BHP Billiton PLC | 942,115 | |||
66,356 | British Sky Broadcasting PLC | 498,116 | |||
39,573 | Eurasian Natural Resources Corp. | 428,231 | |||
63,385 | HSBC Holdings PLC | 528,871 | |||
148,487 | ICAP PLC | 1,105,930 | |||
164,288 | Man Group PLC | 753,079 | |||
103,206 | Prudential PLC | 705,462 | |||
116,494 | Smith & Nephew PLC | 864,869 | |||
61,882 | Standard Chartered PLC | 1,163,569 | |||
172,511 | Tesco PLC | 1,007,438 | |||
33,206 | Vedanta Resources PLC | 706,934 | |||
280,800 | Vodafone Group PLC | 546,139 | |||
12,377,660 | |||||
Total Common Stocks (Identified Cost $94,131,285) | 83,966,666 | ||||
Shares | Description | Value (†) | |||||
Preferred Stocks — 0.5% | |||||||
Germany — 0.5% | |||||||
12,504 | Henkel AG & Co. KGaA (Identified Cost $459,775) | $ | 390,487 | ||||
Exchange Traded Funds — 0.8% | |||||||
United States — 0.8% | |||||||
10,856 | iShares MSCI EAFE Index Fund | 497,313 | |||||
4,521 | iShares MSCI Emerging Markets Index | 145,712 | |||||
Total Exchange Traded Funds (Identified Cost $626,741) | 643,025 | ||||||
Principal Amount | |||||||
Short-Term Investments — 0.5% | |||||||
$ | 462,030 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $462,030 on 7/01/2009, collateralized by $475,000 Federal Home Loan Bank, 5.648% due 11/27/2037 valued at $476,188 including accrued interest (Note 2h of Notes to Financial Statements) (Identified Cost $462,030) | 462,030 | ||||
Total Investments — 99.7% (Identified Cost $95,679,831)(a) | 85,462,208 | ||||||
Other assets less liabilities — 0.3% | 289,856 | ||||||
Net Assets — 100.0% | $ | 85,752,064 | |||||
(†) | See Note 2a of Notes to Financial Statements. | ||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2009, the net unrealized depreciation on investments based on a cost of $95,948,367 for federal income tax purposes was as follows: | ||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 7,153,360 | |||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (17,639,519 | ) | |||||
Net unrealized depreciation | $ | (10,486,159 | ) | ||||
(b) | Non-income producing security. | ||||||
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2009, the value of this security amounted to $528,545 or 0.6% of net assets. | ||||||
ADR/GDR | An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs are significantly influenced by trading on exchanges not located in the United States. |
See accompanying notes to financial statements.
27
Table of Contents
HANSBERGER INTERNATIONAL FUND — PORTFOLIOOF INVESTMENT (continued)
Investments as of June 30, 2009 (Unaudited)
Net Asset Summary at June 30, 2009 (Unaudited)
Commercial Banks | 15.2 | % | |
Oil, Gas & Consumable Fuels | 9.4 | ||
Metals & Mining | 6.8 | ||
Pharmaceuticals | 5.2 | ||
Capital Markets | 5.0 | ||
Wireless Telecommunication Services | 4.5 | ||
Software | 4.1 | ||
Insurance | 4.1 | ||
Electrical Equipment | 4.0 | ||
Food & Staples Retailing | 3.4 | ||
Food Products | 3.1 | ||
Semiconductors & Semiconductor Equipment | 2.9 | ||
Machinery | 2.7 | ||
Chemicals | 2.2 | ||
Health Care Equipment & Supplies | 2.1 | ||
Diversified Telecommunication Services | 2.0 | ||
Other Investments, less than 2% each | 22.5 | ||
Short-Term Investments | 0.5 | ||
Total Investments | 99.7 | ||
Other assets less liabilities | 0.3 | ||
Net Assets | 100.0 | % | |
Currency Exposure at June 30, 2009 as a Percentage of Net Assets (Unaudited)
Euro | 21.5 | % | |
United States Dollar | 18.2 | ||
Japanese Yen | 14.0 | ||
British Pound | 13.8 | ||
Hong Kong Dollar | 11.7 | ||
Swiss Franc | 8.3 | ||
Australian Dollar | 3.5 | ||
Canadian Dollar | 2.6 | ||
Other, less than 2% each | 6.1 | ||
Total Investments | 99.7 | ||
Other assets less liabilities | 0.3 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
28
Table of Contents
HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Common Stocks — 93.9% of Net Assets | |||||
Aerospace & Defense — 3.5% | |||||
66,300 | Boeing Co. (The) | $ | 2,817,750 | ||
19,700 | General Dynamics Corp. | 1,091,183 | |||
3,908,933 | |||||
Air Freight & Logistics — 2.2% | |||||
43,900 | FedEx Corp. | 2,441,718 | |||
Automotive — 1.4% | |||||
98,900 | Harley-Davidson, Inc. | 1,603,169 | |||
Capital Markets — 12.7% | |||||
166,000 | Bank of New York Mellon Corp. | 4,865,460 | |||
57,700 | Franklin Resources, Inc. | 4,154,977 | |||
122,200 | Legg Mason, Inc. | 2,979,236 | |||
78,900 | Morgan Stanley | 2,249,439 | |||
14,249,112 | |||||
Computers & Peripherals — 5.5% | |||||
160,700 | Hewlett-Packard Co. | 6,211,055 | |||
Consumer Finance — 4.4% | |||||
117,700 | American Express Co. | 2,735,348 | |||
212,850 | Discover Financial Services | 2,185,969 | |||
4,921,317 | |||||
Diversified Financial Services — 7.9% | |||||
238,600 | Bank of America Corp. | 3,149,520 | |||
4,700 | CME Group, Inc. | 1,462,217 | |||
124,100 | JP Morgan Chase & Co. | 4,233,051 | |||
8,844,788 | |||||
Energy Equipment & Service — 1.2% | |||||
41,000 | National-Oilwell Varco, Inc.(b) | 1,339,060 | |||
Food & Staples Retailing — 2.0% | |||||
55,700 | Safeway, Inc. | 1,134,609 | |||
36,600 | Walgreen Co. | 1,076,040 | |||
2,210,649 | |||||
Food Products — 1.1% | |||||
21,300 | General Mills, Inc. | 1,193,226 | |||
Health Care Equipment & Supplies — 3.8% | |||||
121,200 | Medtronic, Inc. | 4,228,668 | |||
Hotels, Restaurants & Leisure — 10.1% | |||||
226,600 | Carnival Corp. | 5,839,482 | |||
154,869 | Marriott International, Inc., Class A | 3,417,967 | |||
7,900 | McDonald’s Corp. | 454,171 | |||
73,700 | Starwood Hotels & Resorts Worldwide, Inc. | 1,636,140 | |||
11,347,760 | |||||
Machinery — 6.6% | |||||
117,800 | Caterpillar, Inc. | 3,892,112 | |||
94,500 | Illinois Tool Works, Inc. | 3,528,630 | |||
7,420,742 | |||||
Media — 9.0% | |||||
129,600 | Comcast Corp., Special Class A | 1,827,360 | |||
101,600 | Omnicom Group, Inc. | 3,208,528 | |||
37,200 | Time Warner, Inc. | 937,068 | |||
69,600 | Viacom, Inc., Class B(b) | 1,579,920 | |||
111,000 | Walt Disney Co. (The) | 2,589,630 | |||
10,142,506 | |||||
Shares | Description | Value (†) | |||||
Oil, Gas & Consumable Fuels — 4.7% | |||||||
22,400 | Apache Corp. | $ | 1,616,160 | ||||
232,000 | Williams Cos., Inc. | 3,621,520 | |||||
5,237,680 | |||||||
Paper & Forest Products — 1.7% | |||||||
61,300 | Weyerhaeuser Co. | 1,865,359 | |||||
Pharmaceuticals — 1.1% | |||||||
26,000 | Abbott Laboratories | 1,223,040 | |||||
Road & Rail — 2.7% | |||||||
57,300 | Union Pacific Corp. | 2,983,038 | |||||
Semiconductors & Semiconductor Equipment — 8.4% | |||||||
422,900 | Intel Corp. | 6,998,995 | |||||
116,200 | Texas Instruments, Inc. | 2,475,060 | |||||
9,474,055 | |||||||
Software — 1.7% | |||||||
78,600 | Microsoft Corp. | 1,868,322 | |||||
Specialty Retail — 1.5% | |||||||
49,900 | Best Buy Co., Inc. | 1,671,151 | |||||
Textiles, Apparel & Luxury Goods — 0.7% | |||||||
15,600 | NIKE, Inc., Class B | 807,768 | |||||
Total Common Stocks (Identified Cost $131,187,876) | 105,193,116 | ||||||
Principal Amount | |||||||
Short-Term Investments — 6.1% | |||||||
$ | 6,827,845 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $6,827,845 on 7/01/2009, collateralized by $6,950,000 Federal Home Loan Bank, 5.648% due 11/27/2037 valued at $6,967,375 including accrued interest, (Note 2h of Notes to Financial Statements) (Identified Cost $6,827,845) | 6,827,845 | ||||
Total Investments — 100.0% (Identified Cost $138,015,721)(a) | 112,020,961 | ||||||
Other assets less liabilities — 0.0% | 42,416 | ||||||
Net Assets — 100.0% | $ | 112,063,377 | |||||
(†) | See Note 2a of Notes to Financial Statements. | ||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | ||||||
At June 30, 2009, the net unrealized depreciation based on a cost of $138,015,721 for federal income tax purposes was as follows: | |||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 7,377,733 | |||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (33,372,493 | ) | |||||
Net unrealized depreciation | $ | (25,994,760 | ) | ||||
(b) | Non-income producing security. |
See accompanying notes to financial statements.
29
Table of Contents
HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Net Asset Summary At June 30, 2009 (Unaudited)
Capital Markets | 12.7 | % | |
Hotels, Restaurants & Leisure | 10.1 | ||
Media | 9.0 | ||
Semiconductors & Semiconductor Equipment | 8.4 | ||
Diversified Financial Services | 7.9 | ||
Machinery | 6.6 | ||
Computers & Peripherals | 5.5 | ||
Oil, Gas & Consumable Fuels | 4.7 | ||
Consumer Finance | 4.4 | ||
Health Care Equipment & Supplies | 3.8 | ||
Aerospace & Defense | 3.5 | ||
Road & Rail | 2.7 | ||
Air Freight & Logistics | 2.2 | ||
Food & Staples Retailing | 2.0 | ||
Other Investments, less than 2% each | 10.4 | ||
Short-Term Investments | 6.1 | ||
Total Investments | 100.0 | ||
Other assets less liabilities | 0.0 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
30
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Common Stocks — 92.5% of Net Assets | |||||
Auto Components — 1.0% | |||||
172,150 | Autoliv, Inc. | $ | 4,952,756 | ||
Capital Markets — 2.3% | |||||
386,025 | FBR Capital Markets Corp.(b) | 1,814,317 | |||
358,400 | Waddell & Reed Financial, Inc., Class A | 9,451,008 | |||
11,265,325 | |||||
Chemicals — 3.5% | |||||
233,400 | Airgas, Inc. | 9,459,702 | |||
225,600 | Scotts Miracle-Gro Co. (The), Class A | 7,907,280 | |||
17,366,982 | |||||
Commercial Banks — 7.2% | |||||
284,900 | BancorpSouth, Inc. | 5,848,997 | |||
194,750 | Cullen/Frost Bankers, Inc. | 8,981,870 | |||
1 | First Horizon National Corp.(b) | 9 | |||
209,968 | FirstMerit Corp. | 3,565,257 | |||
245,550 | PrivateBancorp, Inc. | 5,461,032 | |||
397,325 | Prosperity Bancshares, Inc. | 11,852,205 | |||
35,709,370 | |||||
Commercial Services & Supplies — 5.1% | |||||
195,593 | Healthcare Services Group, Inc. | 3,497,203 | |||
480,127 | Waste Connections, Inc.(b) | 12,440,091 | |||
241,225 | Watson Wyatt Worldwide, Inc., Class A | 9,053,174 | |||
24,990,468 | |||||
Construction & Engineering — 1.0% | |||||
210,800 | Foster Wheeler AG(b) | 5,006,500 | |||
Consumer Finance — 1.9% | |||||
527,500 | First Cash Financial Services, Inc.(b) | 9,241,800 | |||
Containers & Packaging — 2.2% | |||||
494,031 | Pactiv Corp.(b) | 10,720,473 | |||
Electrical Equipment — 3.1% | |||||
200,350 | A.O. Smith Corp. | 6,525,400 | |||
239,275 | General Cable Corp.(b) | 8,991,954 | |||
15,517,354 | |||||
Electronic Equipment, Instruments & Components — 0.5% | |||||
137,000 | Rofin-Sinar Technologies, Inc.(b) | 2,741,370 | |||
Energy Equipment & Services — 2.7% | |||||
525,700 | Key Energy Services, Inc.(b) | 3,028,032 | |||
135,750 | Oil States International, Inc.(b) | 3,286,508 | |||
535,175 | Patterson-UTI Energy, Inc. | 6,882,350 | |||
13,196,890 | |||||
Health Care Equipment & Supplies — 3.3% | |||||
147,475 | Teleflex, Inc. | 6,611,304 | |||
188,350 | West Pharmaceutical Services, Inc. | 6,563,997 | |||
154,175 | Zoll Medical Corp.(b) | 2,981,745 | |||
16,157,046 | |||||
Health Care Providers & Services — 3.6% | |||||
160,450 | MEDNAX, Inc.(b) | 6,759,758 | |||
506,150 | Patterson Cos., Inc.(b) | 10,983,455 | |||
17,743,213 | |||||
Hotels, Restaurants & Leisure — 1.7% | |||||
251,825 | International Speedway Corp., Class A | 6,449,238 | |||
535,999 | Wendy’s/Arby’s Group, Inc., Class A | 2,143,996 | |||
8,593,234 | |||||
Shares | Description | Value (†) | |||
Insurance — 8.4% | |||||
162,825 | Arthur J. Gallagher & Co. | $ | 3,474,686 | ||
306,925 | Aspen Insurance Holdings Ltd. | 6,856,704 | |||
268,700 | Hanover Insurance Group, Inc. (The) | 10,240,157 | |||
513,262 | HCC Insurance Holdings, Inc. | 12,323,421 | |||
313,500 | IPC Holdings Ltd. | 8,571,090 | |||
41,466,058 | |||||
IT Services — 2.1% | |||||
124,300 | CACI International, Inc., Class A(b) | 5,308,853 | |||
285,175 | SRA International, Inc., Class A(b) | 5,007,673 | |||
10,316,526 | |||||
Machinery — 7.6% | |||||
351,300 | Actuant Corp., Class A | 4,285,860 | |||
322,425 | Bucyrus International, Inc. | 9,208,458 | |||
173,275 | Kaydon Corp. | 5,641,834 | |||
192,675 | Lincoln Electric Holdings, Inc. | 6,944,007 | |||
133,600 | Lindsay Corp. | 4,422,160 | |||
74,925 | Nordson Corp. | 2,896,601 | |||
218,750 | Robbins & Myers, Inc. | 4,210,937 | |||
37,609,857 | |||||
Media — 1.0% | |||||
143,550 | John Wiley & Sons, Inc., Class A | 4,773,038 | |||
Metals & Mining — 3.7% | |||||
244,700 | Cliffs Natural Resources, Inc. | 5,987,809 | |||
399,300 | Steel Dynamics, Inc. | 5,881,689 | |||
181,375 | Walter Industries, Inc. | 6,573,030 | |||
18,442,528 | |||||
Oil, Gas & Consumable Fuels — 3.1% | |||||
244,850 | Arena Resources, Inc.(b) | 7,798,472 | |||
266,600 | Concho Resources, Inc.(b) | 7,648,754 | |||
15,447,226 | |||||
Real Estate Management & Development — 0.4% | |||||
61,375 | Jones Lang LaSalle, Inc. | 2,008,804 | |||
REITs — 3.4% | |||||
2,141,675 | Chimera Investment Corp. | 7,474,446 | |||
1,369,750 | MFA Financial, Inc. | 9,478,670 | |||
16,953,116 | |||||
Road & Rail — 1.3% | |||||
185,975 | Landstar System, Inc. | 6,678,362 | |||
Semiconductors & Semiconductor Equipment — 3.5% | |||||
657,800 | Microsemi Corp.(b) | 9,077,640 | |||
335,800 | Varian Semiconductor Equipment Associates, Inc.(b) | 8,055,842 | |||
17,133,482 | |||||
Software — 9.0% | |||||
164,775 | Factset Research Systems, Inc. | 8,217,329 | |||
294,665 | MICROS Systems, Inc.(b) | 7,460,918 | |||
337,900 | Nice Systems Ltd., Sponsored ADR(b) | 7,795,353 | |||
423,150 | Sybase, Inc.(b) | 13,261,521 | |||
490,525 | Tyler Technologies, Inc.(b) | 7,662,001 | |||
44,397,122 | |||||
Specialty Retail — 2.0% | |||||
166,440 | Aaron Rents, Inc. | 4,963,241 | |||
185,275 | Abercrombie & Fitch Co., Class A | 4,704,132 | |||
9,667,373 | |||||
See accompanying notes to financial statements.
31
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||||
Textiles, Apparel & Luxury Goods — 4.3% | |||||||
559,600 | Hanesbrands, Inc.(b) | $ | 8,399,596 | ||||
452,025 | Phillips-Van Heusen Corp. | 12,968,597 | |||||
21,368,193 | |||||||
Thrifts & Mortgage Finance — 1.6% | |||||||
222,250 | Danvers Bancorp, Inc. | 2,989,262 | |||||
368,725 | Washington Federal, Inc. | 4,793,425 | |||||
7,782,687 | |||||||
Wireless Telecommunication Services — 2.0% | |||||||
611,075 | Syniverse Holdings, Inc.(b) | 9,795,532 | |||||
Total Common Stocks (Identified Cost $426,615,721) | 457,042,685 | ||||||
Principal Amount | |||||||
Short-Term Investments — 3.7% | |||||||
$ | 18,345,297 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $18,345,297 on 7/01/2009, collateralized by $515,000 Federal Home Loan Discount Note, due 3/31/2010 valued at $513,069 and $16,665,000 Federal National Mortgage Association, 4,375% due 7/17/2013 valued at $18,206,513 including accrued interest (Note 2h of Notes to Financial Statements) (Identified Cost $18,345,297) | 18,345,297 | ||||
Total Investments — 96.2% (Identified Cost $444,961,018)(a) | 475,387,982 | ||||||
Other assets less liabilities — 3.8% | 18,524,558 | ||||||
Net Assets — 100.0% | $ | 493,912,540 | |||||
(†) | See Note 2a of Notes to Financial Statements. | ||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2009, the net unrealized appreciation based on a cost of $444,906,101 for federal income tax purposes was as follows: | ||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 40,788,210 | |||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (10,306,329 | ) | |||||
Net unrealized appreciation | $ | 30,481,881 | |||||
(b) | Non-income producing security. | ||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. | ||||||
REITs | Real Estate Investment Trusts |
Net Asset Summary at June 30, 2009 (Unaudited)
Software | 9.0 | % | |
Insurance | 8.4 | ||
Machinery | 7.6 | ||
Commercial Banks | 7.2 | ||
Commercial Services & Supplies | 5.1 | ||
Textiles, Apparel & Luxury Goods | 4.3 | ||
Metals & Mining | 3.7 | ||
Health Care Providers & Services | 3.6 | ||
Chemicals | 3.5 | ||
Semiconductors & Semiconductor Equipment | 3.5 | ||
REITs | 3.4 | ||
Health Care Equipment & Supplies | 3.3 | ||
Electrical Equipment | 3.1 | ||
Oil, Gas & Consumable Fuels | 3.1 | ||
Energy Equipment & Services | 2.7 | ||
Capital Markets | 2.3 | ||
Containers & Packaging | 2.2 | ||
IT Services | 2.1 | ||
Wireless Telecommunication Services | 2.0 | ||
Specialty Retail | 2.0 | ||
Other Investments, less than 2% each | 10.4 | ||
Short-Term Investments | 3.7 | ||
Total Investments | 96.2 | ||
Other assets less liabilities | 3.8 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
32
Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Common Stocks — 99.3% of Net Assets | |||||
Aerospace & Defense — 1.4% | |||||
225 | Alliant Techsystems, Inc.(b) | $ | 18,531 | ||
Capital Markets — 3.1% | |||||
900 | Raymond James Financial, Inc. | 15,489 | |||
1,400 | TD Ameritrade Holding Corp.(b) | 24,556 | |||
40,045 | |||||
Chemicals — 5.7% | |||||
650 | Albemarle Corp. | 16,621 | |||
975 | Celanese Corp., Series A | 23,156 | |||
400 | FMC Corp. | 18,920 | |||
975 | Nalco Holding Co. | 16,419 | |||
75,116 | |||||
Commercial Banks — 3.3% | |||||
3,300 | Fifth Third Bancorp | 23,430 | |||
650 | Prosperity Bancshares, Inc. | 19,389 | |||
42,819 | |||||
Commercial Services & Supplies — 4.4% | |||||
575 | Avery Dennison Corp. | 14,766 | |||
400 | Pitney Bowes, Inc. | 8,772 | |||
1,325 | R. R. Donnelley & Sons Co. | 15,396 | |||
700 | Waste Connections, Inc.(b) | 18,137 | |||
57,071 | |||||
Communications Equipment — 0.5% | |||||
250 | CommScope, Inc.(b) | 6,565 | |||
Consumer Finance — 1.7% | |||||
1,025 | Capital One Financial Corp. | 22,427 | |||
Containers & Packaging — 4.8% | |||||
1,775 | Owens-Illinois, Inc.(b) | 49,718 | |||
627 | Pactiv Corp.(b) | 13,606 | |||
63,324 | |||||
Electrical Equipment — 0.9% | |||||
325 | General Cable Corp.(b) | 12,214 | |||
Energy Equipment & Services — 1.5% | |||||
425 | Dresser-Rand Group, Inc.(b) | 11,092 | |||
500 | Superior Energy Services, Inc.(b) | 8,635 | |||
19,727 | |||||
Food & Staples Retailing — 1.6% | |||||
975 | Kroger Co. (The) | 21,499 | |||
Food Products — 7.4% | |||||
925 | Archer-Daniels-Midland Co. | 24,762 | |||
950 | ConAgra Foods, Inc. | 18,107 | |||
500 | J.M. Smucker Co. (The) | 24,330 | |||
500 | Ralcorp Holdings, Inc.(b) | 30,460 | |||
97,659 | |||||
Health Care Equipment & Supplies — 3.9% | |||||
150 | Becton, Dickinson and Co. | 10,696 | |||
100 | C.R. Bard, Inc. | 7,445 | |||
125 | Teleflex, Inc. | 5,604 | |||
650 | Zimmer Holdings, Inc.(b) | 27,690 | |||
51,435 | |||||
Health Care Providers & Services — 5.3% | |||||
725 | DaVita, Inc.(b) | 35,859 | |||
500 | Henry Schein, Inc.(b) | 23,975 | |||
225 | MEDNAX, Inc.(b) | 9,479 | |||
69,313 | |||||
Shares | Description | Value (†) | |||
Hotels, Restaurants & Leisure — 1.0% | |||||
3,111 | Wendy’s/Arby’s Group, Inc., Class A | $ | 12,444 | ||
Household Products — 1.5% | |||||
375 | Energizer Holdings, Inc.(b) | 19,590 | |||
Independent Power Producers & Energy Traders — 1.7% | |||||
1,950 | Calpine Corp.(b) | 21,742 | |||
Industrial Conglomerates — 0.6% | |||||
400 | McDermott International, Inc.(b) | 8,124 | |||
Insurance — 12.6% | |||||
750 | ACE Ltd. | 33,172 | |||
875 | HCC Insurance Holdings, Inc. | 21,009 | |||
1,000 | IPC Holdings Ltd. | 27,340 | |||
400 | Reinsurance Group of America, Inc. | 13,964 | |||
700 | W.R. Berkley Corp. | 15,029 | |||
975 | Willis Group Holdings Ltd. | 25,087 | |||
2,525 | XL Capital Ltd., Class A | 28,936 | |||
164,537 | |||||
Internet Software & Services — 1.0% | |||||
750 | eBay, Inc.(b) | 12,848 | |||
IT Services — 3.0% | |||||
1,175 | Amdocs Ltd.(b) | 25,204 | |||
300 | Fiserv, Inc.(b) | 13,710 | |||
38,914 | |||||
Leisure Equipment & Products — 1.1% | |||||
900 | Mattel, Inc. | 14,445 | |||
Life Sciences Tools & Services — 2.8% | |||||
100 | Mettler-Toledo International, Inc.(b) | 7,715 | |||
700 | Thermo Fisher Scientific, Inc.(b) | 28,539 | |||
36,254 | |||||
Machinery — 1.4% | |||||
150 | Eaton Corp. | 6,692 | |||
200 | Lincoln Electric Holdings, Inc. | 7,208 | |||
100 | SPX Corp. | 4,897 | |||
18,797 | |||||
Media — 1.7% | |||||
725 | Omnicom Group, Inc. | 22,895 | |||
Oil, Gas & Consumable Fuels — 3.0% | |||||
150 | Anadarko Petroleum Corp. | 6,809 | |||
575 | Petrohawk Energy Corp.(b) | 12,822 | |||
225 | Range Resources Corp. | 9,317 | |||
1,225 | SandRidge Energy, Inc.(b) | 10,437 | |||
39,385 | |||||
Professional Services — 1.1% | |||||
575 | Equifax, Inc. | 15,008 | |||
REITs — 3.1% | |||||
2,700 | Annaly Capital Management, Inc. | 40,878 | |||
Road & Rail — 0.2% | |||||
75 | CSX Corp. | 2,597 | |||
Software — 6.3% | |||||
100 | ANSYS, Inc.(b) | 3,116 | |||
325 | Check Point Software Technologies Ltd.(b) | 7,628 | |||
1,000 | Nice Systems Ltd., Sponsored ADR(b) | 23,070 | |||
2,375 | Nuance Communications, Inc.(b) | 28,714 | |||
625 | Sybase, Inc.(b) | 19,587 | |||
82,115 | |||||
See accompanying notes to financial statements.
33
Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | ||||
Specialty Retail — 5.1% | ||||||
525 | Best Buy Co., Inc. | $ | 17,582 | |||
1,025 | GameStop Corp., Class A(b) | 22,560 | ||||
250 | Ross Stores, Inc. | 9,650 | ||||
850 | Staples, Inc. | 17,145 | ||||
66,937 | ||||||
Textiles, Apparel & Luxury Goods — 2.2% | ||||||
675 | Phillips-Van Heusen Corp. | 19,366 | ||||
175 | VF Corp. | 9,686 | ||||
29,052 | ||||||
Thrifts & Mortgage Finance — 2.4% | ||||||
1,375 | New York Community Bancorp, Inc. | 14,699 | ||||
1,100 | People’s United Financial, Inc. | 16,544 | ||||
31,243 | ||||||
Wireless Telecommunication Services — 2.0% | ||||||
1,625 | Syniverse Holdings, Inc.(b) | 26,049 | ||||
Total Common Stocks (Identified Cost $1,261,996) | 1,301,599 | |||||
Total Investments — 99.3% (Identified Cost $1,261,996)(a) | 1,301,599 | |||||
Other assets less liabilities—0.7% | 9,423 | |||||
Net Assets — 100.0% | $ | 1,311,022 | ||||
(†) | See Note 2a of Notes to Financial Statements. | |||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2009, the net unrealized appreciation based on a cost of $1,261,996 for federal income tax purposes was as follows: | |||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 95,166 | ||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (55,563 | ) | ||||
Net unrealized appreciation | $ | 39,603 | ||||
(b) | Non-income producing security. | |||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. | |||||
REITs | Real Estate Investment Trusts |
Net Asset Summary at June 30, 2009 (Unaudited)
Insurance | 12.6 | % | |
Food Products | 7.4 | ||
Software | 6.3 | ||
Chemicals | 5.7 | ||
Health Care Providers & Services | 5.3 | ||
Specialty Retail | 5.1 | ||
Containers & Packaging | 4.8 | ||
Commercial Services & Supplies | 4.4 | ||
Health Care Equipment & Supplies | 3.9 | ||
Commercial Banks | 3.3 | ||
REITs | 3.1 | ||
Capital Markets | 3.1 | ||
Oil, Gas & Consumable Fuels | 3.0 | ||
IT Services | 3.0 | ||
Life Sciences Tools & Services | 2.8 | ||
Thrifts & Mortgage Finance | 2.4 | ||
Textiles, Apparel & Luxury Goods | 2.2 | ||
Wireless Telecommunication Services | 2.0 | ||
Other Investments, less than 2% each | 18.9 | ||
Total Investments | 99.3 | ||
Other assets less liabilities | 0.7 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
34
Table of Contents
NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Common Stocks — 95.9% of Net Assets | |||||
Aerospace & Defense — 1.5% | |||||
48,600 | Boeing Co. (The) | $ | 2,065,500 | ||
22,800 | General Dynamics Corp. | 1,262,892 | |||
16,050 | Honeywell International, Inc. | 503,970 | |||
7,439 | Precision Castparts Corp. | 543,270 | |||
4,375,632 | |||||
Air Freight & Logistics — 0.9% | |||||
8,500 | C.H. Robinson Worldwide, Inc. | 443,275 | |||
32,700 | FedEx Corp. | 1,818,774 | |||
7,100 | United Parcel Service, Inc., Class B | 354,929 | |||
2,616,978 | |||||
Airlines — 0.2% | |||||
93,800 | Delta Air Lines, Inc.(b) | 543,102 | |||
Automotive — 0.4% | |||||
73,800 | Harley-Davidson, Inc. | 1,196,298 | |||
Beverages — 0.6% | |||||
29,600 | Coca-Cola Co. (The) | 1,420,504 | |||
9,900 | PepsiCo, Inc. | 544,104 | |||
1,964,608 | |||||
Biotechnology — 1.4% | |||||
18,324 | Alexion Pharmaceuticals, Inc.(b) | 753,483 | |||
22,700 | Amgen, Inc.(b) | 1,201,738 | |||
11,750 | Celgene Corp.(b) | 562,120 | |||
18,800 | Gilead Sciences, Inc.(b) | 880,592 | |||
23,084 | Myriad Genetics, Inc.(b) | 822,944 | |||
4,220,877 | |||||
Building Products — 0.2% | |||||
34,894 | Armstrong World Industries, Inc.(b) | 575,402 | |||
Capital Markets — 5.8% | |||||
18,937 | Affiliated Managers Group, Inc.(b) | 1,101,944 | |||
124,100 | Bank of New York Mellon Corp. | 3,637,371 | |||
43,292 | Eaton Vance Corp. | 1,158,061 | |||
42,800 | Franklin Resources, Inc. | 3,082,028 | |||
4,900 | Goldman Sachs Group, Inc. (The) | 722,456 | |||
101,577 | Janus Capital Group, Inc. | 1,157,978 | |||
124,527 | Legg Mason, Inc. | 3,035,968 | |||
59,700 | Morgan Stanley | 1,702,047 | |||
99,069 | Raymond James Financial, Inc. | 1,704,978 | |||
17,302,831 | |||||
Chemicals — 0.5% | |||||
11,600 | Ecolab, Inc. | 452,284 | |||
13,775 | Lubrizol Corp. (The) | 651,695 | |||
39,979 | Quaker Chemical Corp. | 531,321 | |||
1,635,300 | |||||
Commercial Banks — 1.9% | |||||
22,908 | City National Corp. | 843,702 | |||
32,408 | Comerica, Inc. | 685,429 | |||
37,883 | Commerce Bancshares, Inc. | 1,205,816 | |||
155,739 | Fifth Third Bancorp | 1,105,747 | |||
166,625 | First Horizon National Corp.(b) | 1,999,505 | |||
5,840,199 | |||||
Commercial Services & Supplies — 1.8% | |||||
47,449 | Brink’s Co. (The) | 1,377,444 | |||
54,302 | GeoEye, Inc.(b) | 1,279,355 | |||
45,170 | Rollins, Inc. | 781,893 |
Shares | Description | Value (†) | |||
Commercial Services & Supplies — continued | |||||
17,355 | Stericycle, Inc.(b) | $ | 894,303 | ||
37,610 | Tetra Tech, Inc.(b) | 1,077,527 | |||
5,410,522 | |||||
Communications Equipment — 2.8% | |||||
229,914 | Brocade Communications Systems, Inc.(b) | 1,797,927 | |||
65,400 | Cisco Systems, Inc.(b) | 1,219,056 | |||
62,171 | Harris Stratex Networks, Inc., Class A(b) | 402,868 | |||
39,325 | Juniper Networks, Inc., Class A(b) | 928,070 | |||
64,352 | Palm, Inc.(b) | 1,066,313 | |||
44,100 | QUALCOMM, Inc. | 1,993,320 | |||
39,708 | Riverbed Technology, Inc.(b) | 920,829 | |||
8,328,383 | |||||
Computers & Peripherals — 3.9% | |||||
17,850 | Apple, Inc.(b) | 2,542,376 | |||
30,800 | Dell, Inc.(b) | 422,884 | |||
135,350 | Hewlett-Packard Co. | 5,231,277 | |||
9,700 | International Business Machines Corp. | 1,012,874 | |||
23,517 | Synaptics, Inc.(b) | 908,932 | |||
69,592 | Teradata Corp.(b) | 1,630,541 | |||
11,748,884 | |||||
Construction & Engineering — 0.9% | |||||
31,628 | Aecom Technology Corp.(b) | 1,012,096 | |||
47,262 | Orion Marine Group, Inc.(b) | 897,978 | |||
38,053 | Quanta Services, Inc.(b) | 880,166 | |||
2,790,240 | |||||
Construction Materials — 0.4% | |||||
43,394 | Eagle Materials, Inc. | 1,095,265 | |||
Consumer Finance — 1.2% | |||||
88,700 | American Express Co. | 2,061,388 | |||
157,150 | Discover Financial Services | 1,613,930 | |||
3,675,318 | |||||
Containers & Packaging — 0.3% | |||||
36,515 | Crown Holdings, Inc.(b) | 881,472 | |||
Diversified Consumer Services — 0.6% | |||||
68,094 | Hillenbrand, Inc. | 1,133,084 | |||
9,285 | New Oriental Education & Technology Group, Inc., Sponsored ADR(b) | 625,438 | |||
1,758,522 | |||||
Diversified Financial Services — 3.3% | |||||
176,000 | Bank of America Corp. | 2,323,200 | |||
6,000 | CME Group, Inc. | 1,866,660 | |||
107,250 | JP Morgan Chase & Co. | 3,658,298 | |||
105,247 | PHH Corp.(b) | 1,913,390 | |||
9,761,548 | |||||
Electric Utilities — 0.6% | |||||
45,857 | Allete, Inc. | 1,318,389 | |||
29,668 | Portland General Electric Co. | 577,932 | |||
1,896,321 | |||||
Electronic Equipment, Instruments & Components — 0.4% | |||||
42,445 | Amphenol Corp., Class A | 1,342,960 | |||
Energy Equipment & Services — 1.8% | |||||
194,530 | Cal Dive International, Inc.(b) | 1,678,794 | |||
55,688 | Nabors Industries Ltd.(b) | 867,619 | |||
29,900 | National-Oilwell Varco, Inc.(b) | 976,534 | |||
9,200 | Schlumberger Ltd. | 497,812 |
See accompanying notes to financial statements.
35
Table of Contents
NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Energy Equipment & Services — continued | |||||
8,600 | Transocean Ltd.(b) | $ | 638,894 | ||
42,911 | Weatherford International Ltd.(b) | 839,339 | |||
5,498,992 | |||||
Food & Staples Retailing — 1.3% | |||||
42,100 | Safeway, Inc. | 857,577 | |||
70,168 | Spartan Stores, Inc. | 870,785 | |||
26,900 | Wal-Mart Stores, Inc. | 1,303,036 | |||
27,600 | Walgreen Co. | 811,440 | |||
3,842,838 | |||||
Food Products — 1.2% | |||||
16,100 | General Mills, Inc. | 901,922 | |||
13,243 | Green Mountain Coffee Roasters, Inc.(b) | 782,926 | |||
38,044 | J.M. Smucker Co. (The) | 1,851,221 | |||
3,536,069 | |||||
Gas Utilities — 1.9% | |||||
67,719 | Oneok, Inc. | 1,997,033 | |||
51,125 | Questar Corp. | 1,587,943 | |||
79,661 | UGI Corp. | 2,030,559 | |||
5,615,535 | |||||
Health Care Equipment & Supplies — 4.2% | |||||
14,703 | Beckman Coulter, Inc. | 840,129 | |||
104,900 | Boston Scientific Corp.(b) | 1,063,686 | |||
31,230 | DENTSPLY International, Inc. | 953,140 | |||
14,249 | Edwards Lifesciences Corp.(b) | 969,360 | |||
14,729 | Hill-Rom Holdings, Inc. | 238,904 | |||
50,987 | Hospira, Inc.(b) | 1,964,019 | |||
5,953 | Intuitive Surgical, Inc.(b) | 974,268 | |||
91,400 | Medtronic, Inc. | 3,188,946 | |||
22,391 | St. Jude Medical, Inc.(b) | 920,270 | |||
26,737 | Teleflex, Inc. | 1,198,620 | |||
6,500 | Zimmer Holdings, Inc.(b) | 276,900 | |||
12,588,242 | |||||
Health Care Providers & Services — 1.6% | |||||
31,629 | CorVel Corp.(b) | 720,192 | |||
23,485 | HMS Holdings Corp.(b) | 956,309 | |||
17,900 | Medco Health Solutions, Inc.(b) | 816,419 | |||
13,914 | MEDNAX, Inc.(b) | 586,197 | |||
35,400 | UnitedHealth Group, Inc. | 884,292 | |||
15,100 | WellPoint, Inc.(b) | 768,439 | |||
4,731,848 | |||||
Health Care Technology — 0.3% | |||||
40,848 | Allscripts-Misys Healthcare Solutions, Inc. | 647,849 | |||
4,800 | Cerner Corp.(b) | 298,992 | |||
946,841 | |||||
Hotels, Restaurants & Leisure — 6.8% | |||||
170,300 | Carnival Corp. | 4,388,631 | |||
39,334 | CEC Entertainment, Inc.(b) | 1,159,566 | |||
23,246 | Ctrip.com International Ltd., ADR(b) | 1,076,290 | |||
129,595 | Interval Leisure Group, Inc.(b) | 1,207,825 | |||
46,992 | Jack in the Box, Inc.(b) | 1,054,970 | |||
115,826 | Marriott International, Inc., Class A | 2,556,276 | |||
24,550 | McDonald’s Corp. | 1,411,380 | |||
86,699 | O’Charleys, Inc. | 801,966 | |||
92,673 | Penn National Gaming, Inc.(b) | 2,697,711 | |||
63,709 | Starbucks Corp.(b) | 884,918 | |||
59,300 | Starwood Hotels & Resorts Worldwide, Inc. | 1,316,460 |
Shares | Description | Value (†) | |||
Hotels, Restaurants & Leisure — continued | |||||
60,572 | Wyndham Worldwide Corp. | $ | 734,133 | ||
28,398 | Wynn Resorts Ltd.(b) | 1,002,449 | |||
20,292,575 | |||||
Household Durables — 0.5% | |||||
106,068 | Leggett & Platt, Inc. | 1,615,416 | |||
Household Products — 0.7% | |||||
10,472 | Church & Dwight Co., Inc. | 568,734 | |||
10,650 | Clorox Co. (The) | 594,590 | |||
20,050 | Procter & Gamble Co. | 1,024,555 | |||
2,187,879 | |||||
Independent Power Producers & Energy Traders — 0.3% | |||||
35,628 | NRG Energy, Inc.(b) | 924,903 | |||
Industrial Conglomerates — 0.4% | |||||
18,100 | 3M Co. | 1,087,810 | |||
Insurance — 0.8% | |||||
35,746 | Fidelity National Financial, Inc., Class A | 483,644 | |||
17,600 | MetLife, Inc. | 528,176 | |||
60,871 | W.R. Berkley Corp. | 1,306,900 | |||
2,318,720 | |||||
Internet & Catalog Retail — 1.5% | |||||
11,100 | Amazon.com, Inc.(b) | 928,626 | |||
115,016 | HSN, Inc.(b) | 1,215,719 | |||
23,889 | NetFlix, Inc.(b) | 987,571 | |||
11,077 | Priceline.com, Inc.(b) | 1,235,640 | |||
4,367,556 | |||||
Internet Software & Services — 1.4% | |||||
1,100 | Baidu, Inc., Sponsored ADR(b) | 331,199 | |||
4,450 | Google, Inc., Class A(b) | 1,876,076 | |||
25,668 | VistaPrint Ltd.(b) | 1,094,740 | |||
147,494 | Web.com Group, Inc.(b) | 830,391 | |||
4,132,406 | |||||
IT Services — 2.3% | |||||
17,356 | Alliance Data Systems Corp.(b) | 714,893 | |||
125,173 | Broadridge Financial Solutions, Inc. | 2,075,368 | |||
76,308 | Fidelity National Information Services, Inc. | 1,523,108 | |||
47,645 | Lender Processing Services, Inc. | 1,323,102 | |||
51,028 | Wright Express Corp.(b) | 1,299,683 | |||
6,936,154 | |||||
Life Sciences Tools & Services — 0.8% | |||||
24,792 | Illumina, Inc.(b) | 965,401 | |||
21,513 | Life Technologies Corp.(b) | 897,522 | |||
8,942 | Mettler-Toledo International, Inc.(b) | 689,875 | |||
2,552,798 | |||||
Machinery — 4.5% | |||||
91,308 | Actuant Corp., Class A | 1,113,958 | |||
47,842 | Bucyrus International, Inc.(c) | 1,366,367 | |||
88,600 | Caterpillar, Inc. | 2,927,344 | |||
23,000 | Cummins, Inc. | 809,830 | |||
22,750 | Danaher Corp. | 1,404,585 | |||
12,408 | Flowserve Corp. | 866,202 | |||
70,100 | Illinois Tool Works, Inc. | 2,617,534 | |||
106,578 | John Bean Technologies Corp. | 1,334,357 | |||
23,031 | Middleby Corp. (The)(b) | 1,011,522 | |||
13,451,699 | |||||
See accompanying notes to financial statements.
36
Table of Contents
NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||
Marine — 0.2% | |||||
23,204 | Kirby Corp.(b) | $ | 737,655 | ||
Media — 3.1% | |||||
38,000 | CBS Corp., Class B | 262,960 | |||
96,900 | Comcast Corp., Special Class A | 1,366,290 | |||
64,905 | Interactive Data Corp. | 1,501,902 | |||
75,700 | Omnicom Group, Inc. | 2,390,606 | |||
27,700 | Time Warner, Inc. | 697,763 | |||
52,400 | Viacom, Inc., Class B(b) | 1,189,480 | |||
80,500 | Walt Disney Co. (The) | 1,878,065 | |||
9,287,066 | |||||
Metals & Mining — 1.9% | |||||
9,550 | Agnico-Eagle Mines Ltd. | 501,184 | |||
33,262 | Freeport-McMoRan Copper & Gold, Inc.(c) | 1,666,759 | |||
20,766 | Reliance Steel & Aluminum Co. | 797,207 | |||
101,238 | Steel Dynamics, Inc. | 1,491,236 | |||
59,841 | Teck Resources Ltd., Class B(b) | 953,865 | |||
12,700 | United States Steel Corp. | 453,898 | |||
5,864,149 | |||||
Multi Utilities — 0.3% | |||||
45,247 | MDU Resources Group, Inc. | 858,336 | |||
Multiline Retail — 1.0% | |||||
48,075 | Big Lots, Inc.(b) | 1,011,017 | |||
16,600 | J.C. Penney Co., Inc. | 476,586 | |||
27,000 | Kohl’s Corp.(b) | 1,154,250 | |||
101,695 | Tuesday Morning Corp.(b) | 342,712 | |||
2,984,565 | |||||
Oil, Gas & Consumable Fuels — 3.7% | |||||
16,300 | Apache Corp. | 1,176,045 | |||
32,977 | Concho Resources, Inc.(b) | 946,110 | |||
78,032 | Delek US Holdings, Inc. | 661,711 | |||
9,300 | Exxon Mobil Corp. | 650,163 | |||
53,283 | Massey Energy Co. | 1,041,150 | |||
72,954 | Penn Virginia Corp. | 1,194,257 | |||
81,565 | Petrohawk Energy Corp.(b) | 1,818,900 | |||
14,950 | Petroleo Brasileiro SA, ADR | 612,651 | |||
8,500 | Range Resources Corp. | 351,985 | |||
173,300 | Williams Cos., Inc. | 2,705,213 | |||
11,158,185 | |||||
Paper & Forest Products — 0.9% | |||||
55,568 | Clearwater Paper Corp.(b) | 1,405,315 | |||
45,500 | Weyerhaeuser Co. | 1,384,565 | |||
2,789,880 | |||||
Personal Products — 1.4% | |||||
56,297 | Alberto-Culver Co. | 1,431,632 | |||
28,700 | Avon Products, Inc. | 739,886 | |||
63,762 | Mead Johnson Nutrition Co., Class A(b) | 2,025,719 | |||
4,197,237 | |||||
Pharmaceuticals — 2.1% | |||||
43,900 | Abbott Laboratories | 2,065,056 | |||
98,482 | Perrigo Co. | 2,735,830 | |||
43,900 | Pfizer, Inc. | 658,500 | |||
16,300 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 804,242 | |||
6,263,628 | |||||
Professional Services — 0.9% | |||||
107,567 | CBIZ, Inc.(b) | 765,877 | |||
10,924 | Dun & Bradstreet Corp. | 887,138 |
Shares | Description | Value (†) | |||
Professional Services — continued | |||||
16,262 | Huron Consulting Group, Inc.(b) | $ | 751,792 | ||
5,100 | Manpower, Inc. | 215,934 | |||
2,620,741 | |||||
Real Estate Management & Development — 0.6% | |||||
146,991 | Forestar Group, Inc.(b) | 1,746,253 | |||
REITs — 1.3% | |||||
172,629 | Anworth Mortgage Asset Corp. | 1,244,655 | |||
286,712 | Chimera Investment Corp. | 1,000,625 | |||
67,302 | Potlatch Corp. | 1,634,766 | |||
3,880,046 | |||||
Road & Rail — 1.0% | |||||
81,396 | Celadon Group, Inc.(b) | 682,912 | |||
42,400 | Union Pacific Corp. | 2,207,344 | |||
2,890,256 | |||||
Semiconductors & Semiconductor Equipment — 5.5% | |||||
74,375 | Broadcom Corp., Class A(b) | 1,843,756 | |||
99,797 | Cypress Semiconductor Corp.(b) | 918,133 | |||
319,100 | Intel Corp. | 5,281,105 | |||
22,350 | Lam Research Corp.(b) | 581,100 | |||
85,633 | Marvell Technology Group Ltd.(b) | 996,768 | |||
64,000 | Micron Technology, Inc.(b) | 323,840 | |||
38,800 | NVIDIA Corp.(b) | 438,052 | |||
203,272 | ON Semiconductor Corp.(b) | 1,394,446 | |||
81,550 | PMC-Sierra, Inc.(b) | 649,138 | |||
26,199 | Silicon Laboratories, Inc.(b) | 993,990 | |||
87,700 | Texas Instruments, Inc. | 1,868,010 | |||
50,891 | Varian Semiconductor Equipment Associates, Inc.(b) | 1,220,875 | |||
16,509,213 | |||||
Software — 4.5% | |||||
70,250 | Activision Blizzard, Inc.(b) | 887,257 | |||
29,166 | ANSYS, Inc.(b) | 908,813 | |||
24,450 | Check Point Software Technologies Ltd.(b) | 573,842 | |||
29,237 | Citrix Systems, Inc.(b) | 932,368 | |||
19,416 | Concur Technologies, Inc.(b) | 603,449 | |||
58,906 | McAfee, Inc.(b) | 2,485,244 | |||
24,838 | MICROS Systems, Inc.(b) | 628,898 | |||
151,550 | Microsoft Corp. | 3,602,343 | |||
47,200 | Oracle Corp. | 1,011,024 | |||
48,082 | Salesforce.com, Inc.(b) | 1,835,290 | |||
13,468,528 | |||||
Specialty Retail — 2.8% | |||||
25,950 | Aeropostale, Inc.(b) | 889,306 | |||
61,650 | American Eagle Outfitters, Inc. | 873,580 | |||
36,500 | Best Buy Co., Inc. | 1,222,385 | |||
35,600 | CarMax, Inc.(b) | 523,320 | |||
43,518 | Guess?, Inc. | 1,121,894 | |||
22,650 | Home Depot, Inc. | 535,220 | |||
26,314 | O’Reilly Automotive, Inc.(b) | 1,002,037 | |||
13,300 | Ross Stores, Inc. | 513,380 | |||
255,544 | Sally Beauty Holdings, Inc.(b) | 1,625,260 | |||
8,306,382 | |||||
Textiles, Apparel & Luxury Goods — 0.8% | |||||
72,884 | Fossil, Inc.(b) | 1,755,047 | |||
11,700 | NIKE, Inc., Class B | 605,826 | |||
2,360,873 | |||||
See accompanying notes to financial statements.
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NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
Shares | Description | Value (†) | |||||
Thrifts & Mortgage Finance — 0.5% | |||||||
92,941 | People’s United Financial, Inc. | $ | 1,397,833 | ||||
Tobacco — 0.3% | |||||||
18,850 | Philip Morris International, Inc. | 822,237 | |||||
Water Utilities — 0.5% | |||||||
74,193 | American Water Works Co., Inc. | 1,417,828 | |||||
Wireless Telecommunication Services — 0.7% | |||||||
32,500 | American Tower Corp., Class A(b) | 1,024,725 | |||||
21,100 | MetroPCS Communications, Inc.(b) | 280,841 | |||||
15,070 | Millicom International Cellular SA(b) | 847,838 | |||||
2,153,404 | |||||||
Total Common Stocks (Identified Cost $295,183,835) | 287,303,238 | ||||||
Contracts | |||||||
Put Options — 0.0% | |||||||
230 | Bucyrus International, Inc. expiring October 17, 2009 at 25 | 59,225 | |||||
117 | Freeport-McMoRan Copper & Gold, Inc. expiring August 22, 2009 at 48 | 42,120 | |||||
Total Put Options (Identified Cost $159,146) | 101,345 | ||||||
Principal Amount | |||||||
Short-Term Investments — 3.5% | |||||||
$ | 10,486,234 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $10,486,234 on 7/01/2009, collateralized by $10,680,000 Federal Home Loan Bank, 5.648% due 11/27/2037 valued at $10,706,700 including accrued interest (Note 2h of Notes to Financial Statements) (Identified Cost $10,486,234) | 10,486,234 | ||||
Total Investments — 99.4% (Identified Cost $305,829,215)(a) | 297,890,817 | ||||||
Other assets less liabilities — 0.6% | 1,780,684 | ||||||
Net Assets — 100.0% | $ | 299,671,501 | |||||
Contracts | |||||||
Put Options Written — (0.0%) | |||||||
230 | Bucyrus International, Inc. expiring October 17, 2009 at 20 | (24,725 | ) | ||||
117 | Freeport-McMoRan Copper & Gold, Inc. expiring August 22, 2009 at 40 | (13,163 | ) | ||||
Total Put Options Written (Premium Received $67,501) | (37,888 | ) | |||||
Call Options Written — (0.0%) | |||||||
230 | Bucyrus International, Inc. expiring October 17, 2009 at 35 | (41,975 | ) | ||||
117 | Freeport-McMoRan Copper & Gold, Inc. expiring August 22, 2009 at 65 | (8,834 | ) | ||||
Total Call Options Written (Premium Received $41,708) | (50,809 | ) | |||||
(†) | See Note 2a of Notes to Financial Statements. | ||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Portfolio’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2009, the net unrealized depreciation on investments based on a cost of $305,801,319 for federal income tax purposes was as follows: | ||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 27,788,419 | |||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (35,698,921 | ) | |||||
Net unrealized depreciation | $ | (7,910,502 | ) | ||||
(b) | Non-income producing security. | |||
(c) | All or a portion of this security is held as collateral for outstanding call options. | |||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. | |||
REITs | Real Estate Investment Trusts |
Net Asset Summary at June 30, 2009 (Unaudited)
Hotels, Restaurants & Leisure | 6.8 | % | |
Capital Markets | 5.8 | ||
Semiconductors & Semiconductor Equipment | 5.5 | ||
Software | 4.5 | ||
Machinery | 4.5 | ||
Health Care Equipment & Supplies | 4.2 | ||
Computers & Peripherals | 3.9 | ||
Oil, Gas & Consumable Fuels | 3.7 | ||
Diversified Financial Services | 3.3 | ||
Media | 3.1 | ||
Communications Equipment | 2.8 | ||
Specialty Retail | 2.8 | ||
IT Services | 2.3 | ||
Pharmaceuticals | 2.1 | ||
Other Investments, less than 2% each | 40.6 | ||
Short-Term Investments | 3.5 | ||
Total Investments | 99.4 | ||
Other assets less liabilities (including Options Written) | 0.6 | ||
Net Assets | 100.0 | % | |
See accompanying notes to financial statements.
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STATEMENTSOF ASSETSAND LIABILITIES
June 30, 2009 (Unaudited)
CGM Advisor Targeted Equity Fund | Delafield Select Fund | Hansberger International Fund | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 839,340,242 | $ | 16,558,976 | $ | 95,217,801 | ||||||
Repurchase agreement at cost | — | 2,665,785 | 462,030 | |||||||||
Net unrealized appreciation (depreciation) | 56,135,167 | (37,578 | ) | (10,217,623 | ) | |||||||
Investments at value | 895,475,409 | 19,187,183 | 85,462,208 | |||||||||
Cash | 787 | — | — | |||||||||
Foreign currency at value (identified cost $0, $0, $34,772, $0, $0, $0 and $0) | — | — | 34,019 | |||||||||
Receivable for Fund shares sold | 1,737,894 | 29,145 | 194,323 | |||||||||
Receivable for securities sold | 14,579,561 | 34,937 | 58,189 | |||||||||
Receivable from investment advisor (Note 6) | — | 14,325 | — | |||||||||
Dividends and interest receivable | 1,419,189 | 10,452 | 187,847 | |||||||||
Tax reclaims receivable | 729 | — | 104,182 | |||||||||
Other assets | 117 | — | 62 | |||||||||
TOTAL ASSETS | 913,213,686 | 19,276,042 | 86,040,830 | |||||||||
LIABILITIES | ||||||||||||
Options written, at value (premium received $0, $0, $0, $0, $0, $0 and $109,209) (Note 2e) | — | — | — | |||||||||
Payable for securities purchased | 21,875,785 | — | — | |||||||||
Payable for Fund shares redeemed | 1,713,683 | — | 39,684 | |||||||||
Management fees payable (Note 6) | 507,074 | 12,419 | 57,108 | |||||||||
Deferred Trustees’ fees (Note 6) | 481,411 | 5,528 | 86,558 | |||||||||
Administrative fees payable (Note 6) | 39,648 | 8,112 | 5,272 | |||||||||
Other accounts payable and accrued expenses | 84,028 | 21,620 | 100,144 | |||||||||
TOTAL LIABILITIES | 24,701,629 | 47,679 | 288,766 | |||||||||
NET ASSETS | $ | 888,512,057 | $ | 19,228,363 | $ | 85,752,064 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 1,114,808,947 | $ | 20,352,157 | $ | 115,750,126 | ||||||
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) | 3,773,501 | 12,847 | (446,303 | ) | ||||||||
Accumulated net realized loss on investments, options written and foreign currency transactions | (286,205,558 | ) | (1,099,063 | ) | (19,342,139 | ) | ||||||
Net unrealized appreciation (depreciation) on investments, options written and foreign currency translations | 56,135,167 | (37,578 | ) | (10,209,620 | ) | |||||||
NET ASSETS | $ | 888,512,057 | $ | 19,228,363 | $ | 85,752,064 | ||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 548,135,953 | $ | 7,365,703 | $ | 65,928,485 | ||||||
Shares of beneficial interest | 71,214,878 | 1,028,521 | 5,150,491 | |||||||||
Net asset value and redemption price per share | $ | 7.70 | $ | 7.16 | $ | 12.80 | ||||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 8.17 | $ | 7.60 | $ | 13.58 | ||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 11,733,968 | $ | — | $ | 8,600,336 | ||||||
Shares of beneficial interest | 1,692,765 | — | 751,377 | |||||||||
Net asset value and offering price per share | $ | 6.93 | $ | — | $ | 11.45 | ||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 64,140,855 | $ | 82,829 | $ | 11,223,243 | ||||||
Shares of beneficial interest | 9,294,525 | 11,656 | 986,759 | |||||||||
Net asset value and offering price per share | $ | 6.90 | $ | 7.11 | $ | 11.37 | ||||||
Class Y shares: | ||||||||||||
Net assets | $ | 264,501,281 | $ | 11,779,831 | $ | — | ||||||
Shares of beneficial interest | 33,498,814 | 1,641,253 | — | |||||||||
Net asset value, offering and redemption price per share | $ | 7.90 | $ | 7.18 | $ | — | ||||||
See accompanying notes to financial statements.
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Harris Associates Large Cap Value Fund | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Natixis U.S. Diversified Portfolio | |||||||||||
$ | 131,187,876 | $ | 426,615,721 | $ | 1,261,996 | $ | 295,342,981 | |||||||
6,827,845 | 18,345,297 | — | 10,486,234 | |||||||||||
(25,994,760 | ) | 30,426,964 | 39,603 | (7,938,398 | ) | |||||||||
112,020,961 | 475,387,982 | 1,301,599 | 297,890,817 | |||||||||||
— | — | 13,256 | 58,267 | |||||||||||
— | — | — | — | |||||||||||
3,710 | 5,941,363 | 450 | 19,184 | |||||||||||
348,687 | 16,233,161 | 10,964 | 5,527,961 | |||||||||||
17,265 | — | 23,986 | 46,181 | |||||||||||
136,223 | 413,215 | 2,604 | 271,167 | |||||||||||
— | — | — | 9,517 | |||||||||||
96 | 50 | — | 260 | |||||||||||
112,526,942 | 497,975,771 | 1,352,859 | 303,823,354 | |||||||||||
— | — | — | 88,697 | |||||||||||
— | 2,997,548 | 11,859 | 3,082,340 | |||||||||||
41,197 | 572,621 | — | 249,385 | |||||||||||
65,136 | 369,949 | 854 | 224,768 | |||||||||||
243,588 | 90,244 | 3,703 | 278,792 | |||||||||||
5,730 | 21,027 | 7,968 | 13,856 | |||||||||||
107,914 | 11,842 | 17,453 | 214,015 | |||||||||||
463,565 | 4,063,231 | 41,837 | 4,151,853 | |||||||||||
$ | 112,063,377 | $ | 493,912,540 | $ | 1,311,022 | $ | 299,671,501 | |||||||
$ | 220,002,970 | $ | 508,389,066 | $ | 1,277,926 | $ | 391,583,406 | |||||||
2,104 | (142,924 | ) | 2,908 | (467,331 | ) | |||||||||
(81,946,937 | ) | (44,760,566 | ) | (9,415 | ) | (83,526,689 | ) | |||||||
(25,994,760 | ) | 30,426,964 | 39,603 | (7,917,885 | ) | |||||||||
$ | 112,063,377 | $ | 493,912,540 | $ | 1,311,022 | $ | 299,671,501 | |||||||
$ | 91,316,297 | $ | 289,834,801 | $ | 186,594 | $ | 235,573,905 | |||||||
9,282,760 | 16,154,683 | 18,395 | 14,309,819 | |||||||||||
$ | 9.84 | $ | 17.94 | $ | 10.14 | $ | 16.46 | |||||||
$ | 10.44 | $ | 19.03 | $ | 10.76 | $ | 17.46 | |||||||
$ | 7,420,717 | $ | 9,892,693 | $ | — | $ | 35,372,105 | |||||||
813,877 | 612,063 | — | 2,479,760 | |||||||||||
$ | 9.12 | $ | 16.16 | $ | — | $ | 14.26 | |||||||
$ | 6,009,523 | $ | 31,796,333 | $ | 63,515 | $ | 24,272,063 | |||||||
661,314 | 1,966,215 | 6,288 | 1,700,537 | |||||||||||
$ | 9.09 | $ | 16.17 | $ | 10.10 | $ | 14.27 | |||||||
$ | 7,316,840 | $ | 162,388,713 | $ | 1,060,913 | $ | 4,453,428 | |||||||
719,480 | 8,976,986 | 104,379 | 251,481 | |||||||||||
$ | 10.17 | $ | 18.09 | $ | 10.16 | $ | 17.71 | |||||||
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STATEMENTSOF OPERATIONS
For the Six Months Ended June 30, 2009 (Unaudited)
CGM Advisor Targeted Equity Fund | Delafield Select Fund | Hansberger International Fund | Harris Associates Large Cap Value Fund | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends | $ | 9,717,122 | $ | 99,393 | $ | 1,414,130 | $ | 962,871 | ||||||||
Interest | 13,860 | — | 11,648 | — | ||||||||||||
Less net foreign taxes withheld | (350,729 | ) | — | (146,092 | ) | — | ||||||||||
9,380,253 | 99,393 | 1,279,686 | 962,871 | |||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 6) | 2,911,374 | 55,185 | 299,546 | 349,451 | ||||||||||||
Service fees - Class A (Note 6) | 849,399 | 5,221 | 71,073 | 101,580 | ||||||||||||
Service and distribution fees - Class B (Note 6) | 59,638 | — | 40,342 | 35,621 | ||||||||||||
Service and distribution fees - Class C (Note 6) | 291,764 | 104 | 49,798 | 27,917 | ||||||||||||
Trustees’ fees and expenses (Note 6) | 16,124 | 4,948 | 6,076 | 7,483 | ||||||||||||
Administrative fees (Note 6) | 216,465 | 49,589 | 19,188 | 25,631 | ||||||||||||
Custodian fees and expenses | 17,808 | 8,887 | 37,366 | 11,428 | ||||||||||||
Transfer agent fees and expenses - Class A (Note 6) | 458,963 | 266 | 92,014 | 141,270 | ||||||||||||
Transfer agent fees and expenses - Class B (Note 6) | 8,104 | — | 13,063 | 12,389 | ||||||||||||
Transfer agent fees and expenses - Class C (Note 6) | 39,985 | 2 | 16,116 | 9,707 | ||||||||||||
Transfer agent fees and expenses - Class Y (Note 6) | 26,804 | 1,174 | — | 4,815 | ||||||||||||
Audit and tax services fees | 23,067 | 19,709 | 26,589 | 20,951 | ||||||||||||
Legal fees | 13,611 | 583 | 1,241 | 1,662 | ||||||||||||
Shareholder reporting expenses | 63,230 | 662 | 13,134 | 19,989 | ||||||||||||
Registration fees | 52,572 | 19,391 | 22,466 | 32,300 | ||||||||||||
Fee/expense recovery - Class Y (Note 6) | — | — | — | — | ||||||||||||
Miscellaneous expenses | 20,057 | 2,045 | 5,848 | 6,210 | ||||||||||||
Total expenses | 5,068,965 | 167,766 | 713,860 | 808,404 | ||||||||||||
Less fee reduction and/or expense reimbursement (Note 6) | — | (83,083 | ) | — | (119,124 | ) | ||||||||||
Net expenses | 5,068,965 | 84,683 | 713,860 | 689,280 | ||||||||||||
Net investment income (loss) | 4,311,288 | 14,710 | 565,826 | 273,591 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | (143,989,249 | ) | (869,740 | ) | (13,514,770 | ) | (17,726,620 | ) | ||||||||
Options written | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | (19,882 | ) | — | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 141,059,409 | 4,160,273 | 24,507,995 | 29,219,131 | ||||||||||||
Options written | — | — | — | — | ||||||||||||
Foreign currency translations | — | — | 6,777 | — | ||||||||||||
Net realized and unrealized gain (loss) on investments, options written and foreign currency transactions | (2,929,840 | ) | 3,290,533 | 10,980,120 | 11,492,511 | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,381,448 | $ | 3,305,243 | $ | 11,545,946 | $ | 11,766,102 | ||||||||
See accompanying notes to financial statements.
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Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Natixis U.S. Diversified Portfolio | ||||||||
$ | 2,490,429 | $ | 9,650 | $ | 2,024,978 | |||||
— | — | — | ||||||||
— | (3 | ) | (7,732 | ) | ||||||
2,490,429 | 9,647 | 2,017,246 | ||||||||
1,587,025 | 4,308 | 1,261,413 | ||||||||
273,414 | 80 | 272,116 | ||||||||
50,020 | — | 177,245 | ||||||||
119,341 | 223 | 112,746 | ||||||||
7,560 | 4,895 | 9,514 | ||||||||
90,317 | 49,589 | 71,872 | ||||||||
17,998 | 9,308 | 19,785 | ||||||||
190,376 | 64 | 311,417 | ||||||||
8,852 | — | 50,783 | ||||||||
20,828 | 41 | 32,261 | ||||||||
60,439 | 241 | 11,805 | ||||||||
19,920 | 20,390 | 25,478 | ||||||||
3,788 | 53 | 4,717 | ||||||||
19,801 | 631 | 40,678 | ||||||||
56,665 | 11,060 | 32,142 | ||||||||
3,358 | — | — | ||||||||
7,876 | 1,804 | 11,771 | ||||||||
2,537,578 | 102,687 | 2,445,743 | ||||||||
(453 | ) | (96,192 | ) | (270,844 | ) | |||||
2,537,125 | 6,495 | 2,174,899 | ||||||||
(46,696 | ) | 3,152 | (157,653 | ) | ||||||
(18,760,296 | ) | (2,006 | ) | (45,696,723 | ) | |||||
— | — | 19,816 | ||||||||
— | — | — | ||||||||
44,476,305 | 67,719 | 68,090,830 | ||||||||
— | — | 20,513 | ||||||||
— | — | — | ||||||||
25,716,009 | 65,713 | 22,434,436 | ||||||||
$ | 25,669,313 | $ | 68,865 | $ | 22,276,783 | |||||
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STATEMENTSOF CHANGESIN NET ASSETS
CGM Advisor Targeted Equity Fund | Delafield Select Fund | Hansberger International Fund | ||||||||||||||||||||||
Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | Six Months Ended June 30, 2009 (Unaudited) | Period Ended December 31, 2008 (a) | Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||||||||||||||
FROM OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 4,311,288 | $ | 7,035,894 | $ | 14,710 | $ | 8,796 | $ | 565,826 | $ | 1,765,959 | ||||||||||||
Net realized loss on investments, options written and foreign currency transactions | (143,989,249 | ) | (136,074,566 | ) | (869,740 | ) | (184,411 | ) | (13,534,652 | ) | (4,234,378 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations | 141,059,409 | (295,484,467 | ) | 4,160,273 | (5,078,100 | ) | 24,514,772 | (79,370,956 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,381,448 | (424,523,139 | ) | 3,305,243 | (5,253,715 | ) | 11,545,946 | (81,839,375 | ) | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Net investment income | ||||||||||||||||||||||||
Class A | — | (6,133,829 | ) | — | (1,360 | ) | — | (919,413 | ) | |||||||||||||||
Class B | — | (2,292 | ) | — | — | — | (60,823 | ) | ||||||||||||||||
Class C | — | (192,376 | ) | — | (10 | ) | — | (63,896 | ) | |||||||||||||||
Class Y | — | (454,082 | ) | — | (14,371 | ) | — | — | ||||||||||||||||
Net realized capital gain | ||||||||||||||||||||||||
Class A | — | (28,890,996 | ) | (1,538 | ) | — | — | (3,711,536 | ) | |||||||||||||||
Class B | — | (1,056,919 | ) | — | — | — | (751,480 | ) | ||||||||||||||||
Class C | — | (1,410,865 | ) | (5 | ) | — | — | (806,003 | ) | |||||||||||||||
Class Y | — | (858,144 | ) | (3,541 | ) | — | — | — | ||||||||||||||||
Distributions from paid-in capital | ||||||||||||||||||||||||
Class A | — | — | — | — | — | (518,560 | ) | |||||||||||||||||
Class B | — | — | — | — | — | (50,417 | ) | |||||||||||||||||
Class C | — | — | — | — | — | (90,663 | ) | |||||||||||||||||
Total distributions | — | (38,999,503 | ) | (5,084 | ) | (15,741 | ) | — | (6,972,791 | ) | ||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (26,770,873 | ) | 480,972,479 | 5,069,387 | 16,128,273 | (6,836,485 | ) | (15,168,231 | ) | |||||||||||||||
Redemption fees | ||||||||||||||||||||||||
Class A | — | 13,396 | — | — | — | 590 | ||||||||||||||||||
Class B | — | 466 | — | — | — | 126 | ||||||||||||||||||
Class C | — | 544 | — | — | — | 119 | ||||||||||||||||||
Class Y | — | 393 | — | — | — | — | ||||||||||||||||||
— | 14,799 | — | — | — | 835 | |||||||||||||||||||
Increase from regulatory settlements (Note 7) | — | — | — | — | 613,370 | — | ||||||||||||||||||
Net increase (decrease) in net assets | (25,389,425 | ) | 17,464,636 | 8,369,546 | 10,858,817 | 5,322,831 | (103,979,562 | ) | ||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||
Beginning of the period | 913,901,482 | 896,436,846 | 10,858,817 | — | 80,429,233 | 184,408,795 | ||||||||||||||||||
End of the period | $ | 888,512,057 | $ | 913,901,482 | $ | 19,228,363 | $ | 10,858,817 | $ | 85,752,064 | $ | 80,429,233 | ||||||||||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | 3,773,501 | $ | (537,787 | ) | $ | 12,847 | $ | (1,863 | ) | $ | (446,303 | ) | $ | (1,012,129 | ) | ||||||||
(a) | From commencement of operations on September 29, 2008 through December 31, 2008 for Class A and Class C, and from September 26, 2008 through December 31, 2008 for Class Y. |
(b) | From commencement of operations on October 31, 2008 through December 31, 2008. |
See accompanying notes to financial statements.
43
Table of Contents
Harris Associates Large Cap Value Fund | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Natixis U.S. Diversified Portfolio | |||||||||||||||||||||||||||
Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | Six Months Ended June 30, 2009 (Unaudited) | Period Ended December 31, 2008 (b) | Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||||||||||||||||||
$ | 273,591 | $ | 1,582,727 | $ | (46,696 | ) | $ | 57,969 | $ | 3,152 | $ | 2,208 | $ | (157,653 | ) | $ | (493,172 | ) | ||||||||||||
(17,726,620 | ) | (1,298,191 | ) | (18,760,296 | ) | (25,891,396 | ) | (2,006 | ) | (7,409 | ) | (45,676,907 | ) | (36,639,757 | ) | |||||||||||||||
29,219,131 | (80,262,754 | ) | 44,476,305 | (26,217,431 | ) | 67,719 | (28,116 | ) | 68,111,343 | (180,753,728 | ) | |||||||||||||||||||
11,766,102 | (79,978,218 | ) | 25,669,313 | (52,050,858 | ) | 68,865 | (33,317 | ) | 22,276,783 | (217,886,657 | ) | |||||||||||||||||||
(58,503 | ) | (1,288,357 | ) | — | — | (8 | ) | (41 | ) | — | — | |||||||||||||||||||
(5,383 | ) | (10,681 | ) | — | — | — | — | — | — | |||||||||||||||||||||
(4,285 | ) | (20,757 | ) | — | — | (7 | ) | (83 | ) | — | — | |||||||||||||||||||
(3,973 | ) | (120,564 | ) | (25,114 | ) | — | (156 | ) | (2,545 | ) | — | — | ||||||||||||||||||
— | — | — | (132,974 | ) | — | — | — | (6,529,055 | ) | |||||||||||||||||||||
— | — | — | (28,303 | ) | — | — | — | (1,841,998 | ) | |||||||||||||||||||||
— | — | — | (29,715 | ) | — | — | — | (822,792 | ) | |||||||||||||||||||||
— | — | — | (7,146 | ) | — | — | — | (205,525 | ) | |||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
(72,144 | ) | (1,440,359 | ) | (25,114 | ) | (198,138 | ) | (171 | ) | (2,669 | ) | — | (9,399,370 | ) | ||||||||||||||||
(5,655,714 | ) | (36,406,022 | ) | 191,176,568 | 177,538,979 | 224,576 | 1,053,738 | (21,712,792 | ) | (63,750,494 | ) | |||||||||||||||||||
— | — | — | 444 | — | — | — | — | |||||||||||||||||||||||
— | — | — | 89 | — | — | — | — | |||||||||||||||||||||||
— | — | — | 88 | — | — | — | — | |||||||||||||||||||||||
— | — | — | 19 | — | — | — | — | |||||||||||||||||||||||
— | — | — | 640 | — | — | — | — | |||||||||||||||||||||||
8,806 | — | — | — | — | — | — | — | |||||||||||||||||||||||
6,047,050 | (117,824,599 | ) | 216,820,767 | 125,290,623 | 293,270 | 1,017,752 | 563,991 | (291,036,521 | ) | |||||||||||||||||||||
106,016,327 | 223,840,926 | 277,091,773 | 151,801,150 | 1,017,752 | — | 299,107,510 | 590,144,031 | |||||||||||||||||||||||
$ | 112,063,377 | $ | 106,016,327 | $ | 493,912,540 | $ | 277,091,773 | $ | 1,311,022 | $ | 1,017,752 | $ | 299,671,501 | $ | 299,107,510 | |||||||||||||||
$ | 2,104 | $ | (199,343 | ) | $ | (142,924 | ) | $ | (71,114 | ) | $ | 2,908 | $ | (73 | ) | $ | (467,331 | ) | $ | (309,678 | ) | |||||||||
44
Table of Contents
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: | Less Distributions: | ||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) (b) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains (b) | Total distributions (b) | Redemption fees (b) | ||||||||||||||||||||||||
CGM ADVISOR TARGETED EQUITY FUND | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 7.66 | $ | 0.04 | $ | 0.00 | $ | 0.04 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
12/31/2008 | 13.01 | 0.09 | (4.94 | ) | (4.85 | ) | (0.06 | ) | (0.44 | ) | (0.50 | ) | 0.00 | (h) | |||||||||||||||||
12/31/2007 | 10.70 | 0.05 | 3.54 | 3.59 | (0.13 | ) | (1.15 | ) | (1.28 | ) | 0.00 | ||||||||||||||||||||
12/31/2006 | 10.22 | 0.08 | 0.78 | 0.86 | (0.07 | ) | (0.31 | ) | (0.38 | ) | 0.00 | ||||||||||||||||||||
12/31/2005 | 9.05 | 0.07 | 1.12 | 1.19 | (0.02 | ) | — | (0.02 | ) | 0.00 | |||||||||||||||||||||
12/31/2004 | 7.94 | 0.01 | 1.10 | 1.11 | — | — | — | 0.00 | |||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||
6/30/2009(g) | 6.92 | 0.01 | 0.00 | 0.01 | — | — | — | — | |||||||||||||||||||||||
12/31/2008 | 11.81 | (0.00 | ) | (4.45 | ) | (4.45 | ) | (0.00 | ) | (0.44 | ) | (0.44 | ) | 0.00 | (h) | ||||||||||||||||
12/31/2007 | 9.84 | (0.04 | ) | 3.24 | 3.20 | (0.08 | ) | (1.15 | ) | (1.23 | ) | 0.00 | |||||||||||||||||||
12/31/2006 | 9.48 | 0.00 | 0.74 | 0.74 | (0.07 | ) | (0.31 | ) | (0.38 | ) | 0.00 | ||||||||||||||||||||
12/31/2005 | 8.45 | 0.00 | 1.04 | 1.04 | (0.01 | ) | — | (0.01 | ) | 0.00 | |||||||||||||||||||||
12/31/2004 | 7.47 | (0.04 | ) | 1.02 | 0.98 | — | — | — | 0.00 | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
6/30/2009(g) | 6.89 | 0.01 | 0.00 | 0.01 | — | — | — | — | |||||||||||||||||||||||
12/31/2008 | 11.79 | 0.02 | (4.46 | ) | (4.44 | ) | (0.02 | ) | (0.44 | ) | (0.46 | ) | 0.00 | (h) | |||||||||||||||||
12/31/2007 | 9.84 | (0.03 | ) | 3.22 | 3.19 | (0.09 | ) | (1.15 | ) | (1.24 | ) | 0.00 | |||||||||||||||||||
12/31/2006 | 9.48 | 0.00 | 0.74 | 0.74 | (0.07 | ) | (0.31 | ) | (0.38 | ) | 0.00 | ||||||||||||||||||||
12/31/2005 | 8.45 | 0.00 | 1.04 | 1.04 | (0.01 | ) | — | (0.01 | ) | 0.00 | |||||||||||||||||||||
12/31/2004 | 7.47 | (0.04 | ) | 1.02 | 0.98 | — | — | — | 0.00 | ||||||||||||||||||||||
Class Y | |||||||||||||||||||||||||||||||
6/30/2009(g) | 7.84 | 0.04 | 0.02 | 0.06 | — | — | — | — | |||||||||||||||||||||||
12/31/2008 | 13.32 | 0.13 | (5.09 | ) | (4.96 | ) | (0.08 | ) | (0.44 | ) | (0.52 | ) | 0.00 | (h) | |||||||||||||||||
12/31/2007 | 10.93 | 0.09 | 3.61 | 3.70 | (0.16 | ) | (1.15 | ) | (1.31 | ) | 0.00 | ||||||||||||||||||||
12/31/2006 | 10.42 | 0.11 | 0.82 | 0.93 | (0.11 | ) | (0.31 | ) | (0.42 | ) | 0.00 | ||||||||||||||||||||
12/31/2005 | 9.23 | 0.10 | 1.14 | 1.24 | (0.05 | ) | — | (0.05 | ) | 0.00 | |||||||||||||||||||||
12/31/2004 | 8.07 | 0.04 | 1.12 | 1.16 | — | — | — | 0.00 | |||||||||||||||||||||||
DELAFIELD SELECT FUND | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 5.76 | $ | (0.00 | ) | $ | 1.40 | $ | 1.40 | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | — | ||||||||||||
12/31/2008(i) | 8.16 | 0.01 | (2.40 | ) | (2.39 | ) | (0.01 | ) | — | (0.01 | ) | — | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
6/30/2009(g) | 5.76 | (0.04 | ) | 1.39 | 1.35 | — | (0.00 | ) | (0.00 | ) | — | ||||||||||||||||||||
12/31/2008(i) | 8.16 | (0.01 | ) | (2.38 | ) | (2.39 | ) | (0.01 | ) | — | (0.01 | ) | — | ||||||||||||||||||
Class Y | |||||||||||||||||||||||||||||||
6/30/2009(g) | 5.77 | 0.01 | 1.40 | 1.41 | — | (0.00 | ) | (0.00 | ) | — | |||||||||||||||||||||
12/31/2008(j) | 8.74 | 0.01 | (2.97 | ) | (2.96 | ) | (0.01 | ) | — | (0.01 | ) | — |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been reduced during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
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Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | ||||||||||
$ | 7.70 | 0.52 | $ | 548,136 | 1.17 | 1.17 | 1.09 | 93 | ||||||||
7.66 | (38.36 | ) | 796,146 | 1.10 | 1.10 | 0.83 | 211 | |||||||||
13.01 | 34.42 | 826,867 | 1.17 | 1.17 | 0.45 | 179 | ||||||||||
10.70 | 8.52 | 679,897 | 1.16 | 1.16 | 0.76 | 171 | ||||||||||
10.22 | 13.19 | 694,121 | 1.28 | 1.28 | 0.78 | 196 | ||||||||||
9.05 | 13.98 | 689,967 | 1.42 | 1.42 | 0.16 | 265 | ||||||||||
6.93 | 0.14 | 11,734 | 1.93 | 1.93 | 0.31 | 93 | ||||||||||
6.92 | (38.90 | ) | 13,971 | 1.85 | 1.85 | (0.03 | ) | 211 | ||||||||
11.81 | 33.41 | 32,297 | 1.92 | 1.92 | (0.34 | ) | 179 | |||||||||
9.84 | 7.83 | 43,032 | 1.91 | 1.91 | 0.02 | 171 | ||||||||||
9.48 | 12.35 | 53,005 | 2.03 | 2.03 | 0.03 | 196 | ||||||||||
8.45 | 13.12 | 57,527 | 2.17 | 2.17 | (0.58 | ) | 265 | |||||||||
6.90 | 0.15 | 64,141 | 1.93 | 1.93 | 0.30 | 93 | ||||||||||
6.89 | (38.85 | ) | 59,544 | 1.85 | 1.85 | 0.17 | 211 | |||||||||
11.79 | 33.47 | 19,753 | 1.93 | 1.93 | (0.24 | ) | 179 | |||||||||
9.84 | 7.72 | 8,688 | 1.90 | 1.90 | 0.04 | 171 | ||||||||||
9.48 | 12.35 | 5,133 | 2.04 | 2.04 | 0.03 | 196 | ||||||||||
8.45 | 13.12 | 3,214 | 2.17 | 2.17 | (0.58 | ) | 265 | |||||||||
7.90 | 0.77 | 264,501 | 0.89 | 0.89 | 1.07 | 93 | ||||||||||
7.84 | (38.28 | ) | 44,240 | 0.85 | 0.85 | 1.21 | 211 | |||||||||
13.32 | 34.75 | 17,520 | 0.90 | 0.90 | 0.74 | 179 | ||||||||||
10.93 | 8.99 | 11,714 | 0.87 | 0.87 | 1.05 | 171 | ||||||||||
10.42 | 13.41 | 11,181 | 1.07 | 1.07 | 0.99 | 196 | ||||||||||
9.23 | 14.37 | 9,145 | 1.08 | 1.08 | 0.51 | 265 | ||||||||||
$ | 7.16 | 24.35 | $ | 7,366 | 1.40 | 2.57 | (0.01 | ) | 12 | |||||||
5.76 | (29.33 | ) | 1,626 | 1.40 | 3.79 | 0.58 | 29 | |||||||||
7.11 | 23.48 | 83 | 2.15 | 3.17 | (1.26 | ) | 12 | |||||||||
5.76 | (29.34 | ) | 7 | 2.15 | 4.54 | (0.49 | ) | 29 | ||||||||
7.18 | 24.48 | 11,780 | 1.15 | 2.37 | 0.31 | 12 | ||||||||||
5.77 | (33.88 | ) | 9,226 | 1.15 | 3.47 | 0.29 | 29 |
(f) | The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher. |
(g) | For the six months ended June 30, 2009 (Unaudited). |
(h) | Effective June 2, 2008, redemption fees were eliminated. |
(i) | For the period September 29, 2008 (commencement of operations) through December 31, 2008. |
(j) | For the period September 26, 2008 (commencement of operations) through December 31, 2008. |
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Table of Contents
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: | Less Distributions: | ||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Distributions from paid-in capital | Total distributions | ||||||||||||||||||||||||
HANSBERGER INTERNATIONAL FUND | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 10.88 | $ | 0.09 | $ | 1.74 | $ | 1.83 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
12/31/2008 | 22.17 | 0.26 | (10.63 | ) | (10.37 | ) | (0.15 | ) | (0.68 | ) | (0.09 | ) | (0.92 | ) | |||||||||||||||||
12/31/2007 | 21.50 | 0.18 | 3.29 | 3.47 | (0.40 | ) | (2.40 | ) | — | (2.80 | ) | ||||||||||||||||||||
12/31/2006 | 19.88 | 0.16 | 4.51 | 4.67 | (0.35 | ) | (2.70 | ) | — | (3.05 | ) | ||||||||||||||||||||
12/31/2005 | 17.12 | 0.11 | 2.65 | 2.76 | — | — | — | — | |||||||||||||||||||||||
12/31/2004 | 15.07 | 0.02 | 2.03 | 2.05 | — | — | — | — | |||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||
6/30/2009(g) | 9.76 | 0.04 | 1.56 | 1.60 | — | — | — | — | |||||||||||||||||||||||
12/31/2008 | 19.88 | 0.12 | (9.48 | ) | (9.36 | ) | (0.03 | ) | (0.68 | ) | (0.05 | ) | (0.76 | ) | |||||||||||||||||
12/31/2007 | 19.51 | 0.01 | 2.98 | 2.99 | (0.22 | ) | (2.40 | ) | — | (2.62 | ) | ||||||||||||||||||||
12/31/2006 | 18.27 | 0.01 | 4.11 | 4.12 | (0.18 | ) | (2.70 | ) | — | (2.88 | ) | ||||||||||||||||||||
12/31/2005 | 15.85 | 0.00 | 2.42 | 2.42 | — | — | — | — | |||||||||||||||||||||||
12/31/2004 | 14.06 | (0.09 | ) | 1.88 | 1.79 | — | — | — | — | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
6/30/2009(g) | 9.70 | 0.04 | 1.54 | 1.58 | — | — | — | — | |||||||||||||||||||||||
12/31/2008 | 19.81 | 0.11 | (9.43 | ) | (9.32 | ) | (0.03 | ) | (0.68 | ) | (0.08 | ) | (0.79 | ) | |||||||||||||||||
12/31/2007 | 19.48 | 0.01 | 2.97 | 2.98 | (0.25 | ) | (2.40 | ) | — | (2.65 | ) | ||||||||||||||||||||
12/31/2006 | 18.28 | 0.00 | 4.11 | 4.11 | (0.21 | ) | (2.70 | ) | — | (2.91 | ) | ||||||||||||||||||||
12/31/2005 | 15.86 | (0.02 | ) | 2.44 | 2.42 | — | — | — | — | ||||||||||||||||||||||
12/31/2004 | 14.06 | (0.09 | ) | 1.89 | 1.80 | — | — | — | — | ||||||||||||||||||||||
HARRIS ASSOCIATES LARGE CAP VALUE FUND | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 8.77 | $ | 0.03 | $ | 1.05 | $ | 1.08 | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | |||||||||||||
12/31/2008 | 14.97 | 0.13 | (6.20 | ) | (6.07 | ) | (0.13 | ) | — | — | (0.13 | ) | |||||||||||||||||||
12/31/2007 | 15.49 | 0.05 | (0.48 | )(i) | (0.43 | ) | (0.09 | ) | — | — | (0.09 | ) | |||||||||||||||||||
12/31/2006 | 13.33 | 0.06 | 2.13 | 2.19 | (0.03 | ) | — | — | (0.03 | ) | |||||||||||||||||||||
12/31/2005 | 13.37 | 0.05 | (0.08 | ) | (0.03 | ) | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||
12/31/2004 | 12.25 | 0.04 | 1.08 | 1.12 | — | — | — | — | |||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||
6/30/2009(g) | 8.16 | (0.00 | ) | 0.97 | 0.97 | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||||
12/31/2008 | 13.84 | 0.03 | (5.70 | ) | (5.67 | ) | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||
12/31/2007 | 14.39 | (0.06 | ) | (0.45 | )(i) | (0.51 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||||||
12/31/2006 | 12.48 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
12/31/2005 | 12.62 | (0.04 | ) | (0.09 | ) | (0.13 | ) | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||
12/31/2004 | 11.64 | (0.05 | ) | 1.03 | 0.98 | — | — | — | — | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
6/30/2009(g) | 8.13 | (0.00 | ) | 0.97 | 0.97 | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||||
12/31/2008 | 13.82 | 0.03 | (5.69 | ) | (5.66 | ) | (0.03 | ) | — | — | (0.03 | ) | |||||||||||||||||||
12/31/2007 | 14.37 | (0.06 | ) | (0.45 | )(i) | (0.51 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||||||
12/31/2006 | 12.46 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
12/31/2005 | 12.60 | (0.04 | ) | (0.09 | ) | (0.13 | ) | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||
12/31/2004 | 11.63 | (0.05 | ) | 1.02 | 0.97 | — | — | — | — |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been reduced during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fees during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher. |
See accompanying notes to financial statements.
47
Table of Contents
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Increase from Regulatory Settlements (b) | Redemption fees (b) | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||
$ | 0.09 | $ | — | $ | 12.80 | 17.75 | $ | 65,928 | 1.73 | 1.73 | 1.70 | 24 | |||||||||||||
— | 0.00 | (h) | 10.88 | (47.63 | ) | 60,091 | 1.49 | 1.49 | 1.48 | 47 | |||||||||||||||
— | 0.00 | 22.17 | 16.38 | 128,224 | 1.45 | 1.45 | 0.79 | 47 | |||||||||||||||||
— | 0.00 | 21.50 | 24.08 | 112,814 | 1.49 | 1.49 | 0.75 | 49 | |||||||||||||||||
— | 0.00 | 19.88 | 16.12 | 89,663 | 1.81 | 1.81 | 0.62 | 45 | |||||||||||||||||
— | 0.00 | 17.12 | 13.60 | 73,707 | 1.91 | 1.92 | 0.14 | 81 | |||||||||||||||||
0.09 | — | 11.45 | 17.21 | 8,600 | 2.47 | 2.47 | 0.90 | 24 | |||||||||||||||||
— | 0.00 | (h) | 9.76 | (48.03 | ) | 9,328 | 2.23 | 2.23 | 0.72 | 47 | |||||||||||||||
— | 0.00 | 19.88 | 15.63 | 29,770 | 2.20 | 2.20 | 0.06 | 47 | |||||||||||||||||
— | 0.00 | 19.51 | 23.15 | 33,016 | 2.25 | 2.25 | 0.03 | 49 | |||||||||||||||||
— | 0.00 | 18.27 | 15.27 | 33,388 | 2.55 | 2.55 | (0.02 | ) | 45 | ||||||||||||||||
— | 0.00 | 15.85 | 12.73 | 45,213 | 2.66 | 2.67 | (0.60 | ) | 81 | ||||||||||||||||
0.09 | — | 11.37 | 17.22 | 11,223 | 2.48 | 2.48 | 0.93 | 24 | |||||||||||||||||
— | 0.00 | (h) | 9.70 | (48.00 | ) | 11,010 | 2.24 | 2.24 | 0.73 | 47 | |||||||||||||||
— | 0.00 | 19.81 | 15.54 | 26,414 | 2.20 | 2.20 | 0.04 | 47 | |||||||||||||||||
— | 0.00 | 19.48 | 23.14 | 23,541 | 2.25 | 2.25 | 0.01 | 49 | |||||||||||||||||
— | 0.00 | 18.28 | 15.26 | 19,388 | 2.56 | 2.56 | (0.11 | ) | 45 | ||||||||||||||||
— | 0.00 | 15.86 | 12.80 | 17,046 | 2.66 | 2.67 | (0.63 | ) | 81 | ||||||||||||||||
$ | 0.00 | $ | — | $ | 9.84 | 12.28 | $ | 91,316 | 1.30 | 1.55 | 0.63 | 25 | |||||||||||||
— | — | 8.77 | (40.45 | ) | 85,761 | 1.28 | 1.28 | 1.04 | 38 | ||||||||||||||||
— | — | 14.97 | (2.94 | ) | 172,468 | 1.28 | (j)(k) | 1.28 | (j) | 0.35 | 30 | ||||||||||||||
— | — | 15.49 | 16.50 | 195,714 | 1.30 | 1.30 | 0.44 | 23 | |||||||||||||||||
— | — | 13.33 | (0.19 | ) | 188,763 | 1.30 | 1.46 | 0.40 | 39 | ||||||||||||||||
— | — | 13.37 | 9.14 | 222,434 | 1.30 | 1.49 | 0.30 | 27 | |||||||||||||||||
0.00 | — | 9.12 | 11.85 | 7,421 | 2.05 | 2.30 | (0.10 | ) | 25 | ||||||||||||||||
— | — | 8.16 | (40.87 | ) | 8,191 | 2.03 | 2.04 | 0.25 | 38 | ||||||||||||||||
— | — | 13.84 | (3.68 | ) | 23,916 | 2.04 | (j)(k) | 2.04 | (j) | (0.44 | ) | 30 | |||||||||||||
— | — | 14.39 | 15.61 | 42,894 | 2.05 | 2.07 | (0.33 | ) | 23 | ||||||||||||||||
— | — | 12.48 | (0.99 | ) | 59,035 | 2.05 | 2.21 | (0.35 | ) | 39 | |||||||||||||||
— | — | 12.62 | 8.42 | 79,949 | 2.05 | 2.24 | (0.46 | ) | 27 | ||||||||||||||||
0.00 | — | 9.09 | 11.89 | 6,010 | 2.05 | 2.30 | (0.11 | ) | 25 | ||||||||||||||||
— | — | 8.13 | (40.90 | ) | 6,222 | 2.03 | 2.03 | 0.26 | 38 | ||||||||||||||||
— | — | 13.82 | (3.69 | ) | 15,616 | 2.04 | (j)(k) | 2.04 | (j) | (0.41 | ) | 30 | |||||||||||||
— | — | 14.37 | 15.64 | 18,089 | 2.05 | 2.06 | (0.32 | ) | 23 | ||||||||||||||||
— | — | 12.46 | (0.99 | ) | 20,308 | 2.05 | 2.21 | (0.35 | ) | 39 | |||||||||||||||
— | — | 12.60 | 8.34 | 26,392 | 2.05 | 2.24 | (0.42 | ) | 27 |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2009 (Unaudited). |
(h) | Effective June 2, 2008, redemption fees were eliminated. |
(i) | Includes a litigation payment of $0.02 per share. |
(j) | Includes fee/expense recovery of 0.00%, 0.02% and 0.01% for Class A, B and C, respectively. |
(k) | Effect of voluntary waiver of expenses by adviser was less than 0.005%. |
48
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Distributions from paid-in capital | Total distributions (b) | |||||||||||||||||||||||
HARRIS ASSOCIATES LARGE CAP VALUE FUND (continued) |
| |||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 9.05 | $ | 0.04 | $ | 1.09 | $ | 1.13 | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | ||||||||||||
12/31/2008 | 15.47 | 0.19 | (6.42 | ) | (6.23 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||
12/31/2007 | 16.01 | 0.12 | (0.51 | )(h) | (0.39 | ) | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||
12/31/2006 | 13.72 | 0.12 | 2.20 | 2.32 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
12/31/2005 | 13.74 | 0.09 | (0.10 | ) | (0.01 | ) | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||
12/31/2004 | 12.54 | 0.07 | 1.13 | 1.20 | — | — | — | — | ||||||||||||||||||||||
VAUGHAN NELSON SMALL CAP VALUE FUND | ||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 17.42 | $ | (0.00 | ) | $ | 0.52 | $ | 0.52 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
12/31/2008 | 22.11 | 0.03 | (4.69 | ) | (4.66 | ) | — | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
12/31/2007 | 20.90 | (0.02 | ) | 1.23 | 1.21 | — | — | — | — | |||||||||||||||||||||
12/31/2006 | 17.69 | (0.05 | ) | 3.26 | 3.21 | — | — | — | — | |||||||||||||||||||||
12/31/2005 | 16.07 | (0.08 | ) | 1.70 | 1.62 | — | — | — | — | |||||||||||||||||||||
12/31/2004 | 13.94 | (0.13 | ) | 2.26 | 2.13 | — | — | — | — | |||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||
6/30/2009(g) | 15.76 | (0.06 | ) | 0.46 | 0.40 | — | �� | — | — | |||||||||||||||||||||
12/31/2008 | 20.15 | (0.14 | ) | (4.22 | ) | (4.36 | ) | — | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
12/31/2007 | 19.19 | (0.17 | ) | 1.13 | 0.96 | — | — | — | — | |||||||||||||||||||||
12/31/2006 | 16.36 | (0.20 | ) | 3.03 | 2.83 | — | — | — | — | |||||||||||||||||||||
12/31/2005 | 14.97 | (0.19 | ) | 1.58 | 1.39 | — | — | — | — | |||||||||||||||||||||
12/31/2004 | 13.08 | (0.22 | ) | 2.11 | 1.89 | — | — | — | — | |||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||
6/30/2009(g) | 15.76 | (0.06 | ) | 0.47 | 0.41 | — | — | — | — | |||||||||||||||||||||
12/31/2008 | 20.16 | (0.13 | ) | (4.24 | ) | (4.37 | ) | — | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
12/31/2007 | 19.19 | (0.17 | ) | 1.14 | 0.97 | — | — | — | — | |||||||||||||||||||||
12/31/2006 | 16.37 | (0.19 | ) | 3.01 | 2.82 | — | — | — | — | |||||||||||||||||||||
12/31/2005 | 14.98 | (0.19 | ) | 1.58 | 1.39 | — | — | — | — | |||||||||||||||||||||
12/31/2004 | 13.09 | (0.22 | ) | 2.11 | 1.89 | — | — | — | — | |||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||
6/30/2009(g) | 17.55 | 0.02 | 0.52 | 0.54 | (0.00 | ) | — | — | (0.00 | ) | ||||||||||||||||||||
12/31/2008 | 22.20 | 0.12 | (4.74 | ) | (4.62 | ) | — | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
12/31/2007 | 20.91 | 0.04 | 1.25 | 1.29 | — | — | — | — | ||||||||||||||||||||||
12/31/2006(m) | 19.02 | 0.02 | 1.87 | 1.89 | — | — | — | — | ||||||||||||||||||||||
VAUGHAN NELSON VALUE OPPORTUNITY FUND | ||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||
6/30/2009(g) | $ | 9.60 | $ | 0.04 | $ | 0.50 | $ | 0.54 | $ | (0.00 | ) | $ | — | $ | — | $ | (0.00 | ) | ||||||||||||
12/31/2008(n) | 10.00 | 0.03 | (0.41 | ) | (0.38 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||
6/30/2009(g) | 9.59 | (0.02 | ) | 0.53 | 0.51 | (0.00 | ) | — | — | (0.00 | ) | |||||||||||||||||||
12/31/2008(n) | 10.00 | 0.02 | (0.41 | ) | (0.39 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||
6/30/2009(g) | 9.60 | 0.03 | 0.53 | 0.56 | (0.00 | ) | — | — | (0.00 | ) | ||||||||||||||||||||
12/31/2008(n) | 10.00 | 0.03 | (0.40 | ) | (0.37 | ) | (0.03 | ) | — | — | (0.03 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been reduced during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fees during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
49
Table of Contents
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Increase from Regulatory Settlements (b) | Redemption fees (b) | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||
$ | 0.00 | $ | — | $ | 10.17 | 12.45 | $ | 7,317 | 1.05 | 1.12 | 0.86 | 25 | |||||||||||||
— | — | 9.05 | (40.18 | ) | 5,842 | 0.84 | 0.84 | 1.47 | 38 | ||||||||||||||||
— | — | 15.47 | (2.59 | ) | 11,840 | 0.91 | (i) | 0.91 | 0.72 | 30 | |||||||||||||||
— | — | 16.01 | 16.97 | 14,057 | 0.91 | (j) | 0.91 | (j) | 0.82 | 23 | |||||||||||||||
— | — | 13.72 | (0.04 | ) | 14,226 | 1.05 | 1.09 | 0.65 | 39 | ||||||||||||||||
— | — | 13.74 | 9.57 | 18,027 | 0.99 | 0.99 | 0.58 | 27 | |||||||||||||||||
$ | — | $ | — | $ | 17.94 | 2.98 | $ | 289,835 | 1.45 | 1.45 | (0.03 | ) | 50 | ||||||||||||
— | 0.00 | (k) | 17.42 | (21.11 | ) | 171,875 | 1.45 | 1.51 | 0.13 | 124 | |||||||||||||||
— | 0.00 | 22.11 | 5.84 | 103,719 | 1.49 | 1.57 | (0.11 | ) | 78 | ||||||||||||||||
— | 0.00 | 20.90 | 18.09 | 85,285 | 1.59 | 1.59 | (0.28 | ) | 88 | ||||||||||||||||
— | 0.00 | 17.69 | 10.08 | 58,963 | 1.92 | 1.92 | (0.47 | ) | 80 | ||||||||||||||||
— | 0.00 | 16.07 | 15.28 | 45,138 | 2.01 | 2.01 | (0.89 | ) | 172 | ||||||||||||||||
— | — | 16.16 | 2.54 | 9,893 | 2.20 | 2.20 | (0.86 | ) | 50 | ||||||||||||||||
— | 0.00 | (k) | 15.76 | (21.67 | ) | 11,788 | 2.20 | 2.26 | (0.78 | ) | 124 | ||||||||||||||
— | 0.00 | 20.15 | 5.06 | 25,076 | 2.24 | 2.31 | (0.84 | ) | 78 | ||||||||||||||||
— | 0.00 | 19.19 | 17.24 | 32,606 | 2.37 | 2.37 | (1.10 | ) | 88 | ||||||||||||||||
— | 0.00 | 16.36 | 9.28 | 38,732 | 2.66 | 2.66 | (1.24 | ) | 80 | ||||||||||||||||
— | 0.00 | 14.97 | 14.45 | 54,652 | 2.76 | 2.76 | (1.65 | ) | 172 | ||||||||||||||||
— | — | 16.17 | 2.60 | 31,796 | 2.20 | 2.20 | (0.82 | ) | 50 | ||||||||||||||||
— | 0.00 | (k) | 15.76 | (21.71 | ) | 21,861 | 2.20 | 2.26 | (0.68 | ) | 124 | ||||||||||||||
— | 0.00 | 20.16 | 5.05 | 21,765 | 2.24 | 2.32 | (0.85 | ) | 78 | ||||||||||||||||
— | 0.00 | 19.19 | 17.23 | 18,186 | 2.35 | 2.35 | (1.04 | ) | 88 | ||||||||||||||||
— | 0.00 | 16.37 | 9.28 | 13,667 | 2.67 | 2.67 | (1.23 | ) | 80 | ||||||||||||||||
— | 0.00 | 14.98 | 14.44 | 13,549 | 2.76 | 2.76 | (1.63 | ) | 172 | ||||||||||||||||
— | — | 18.09 | 3.10 | 162,389 | 1.16 | (l) | 1.16 | (l) | 0.25 | 50 | |||||||||||||||
— | 0.00 | (k) | 17.55 | (20.81 | ) | 71,568 | 1.20 | 1.21 | 0.65 | 124 | |||||||||||||||
— | 0.00 | 22.20 | 6.12 | 1,241 | 1.19 | (j) | 1.19 | (j) | 0.17 | 78 | |||||||||||||||
— | 0.00 | 20.91 | 9.94 | 427 | 1.35 | 1.90 | 0.35 | 88 | |||||||||||||||||
$ | — | $ | — | $ | 10.14 | 5.64 | $ | 187 | 1.40 | 20.86 | 0.80 | 24 | |||||||||||||
— | — | 9.60 | (3.75 | ) | 16 | 1.40 | 39.61 | 1.92 | 12 | ||||||||||||||||
— | — | 10.10 | 5.33 | 64 | 2.15 | 20.30 | (0.33 | ) | 24 | ||||||||||||||||
— | — | 9.59 | (3.90 | ) | 41 | 2.15 | 40.36 | 1.62 | 12 | ||||||||||||||||
— | — | 10.16 | 5.85 | 1,061 | 1.15 | 18.89 | 0.61 | 24 | |||||||||||||||||
— | — | 9.60 | (3.74 | ) | 960 | 1.15 | 38.91 | 1.41 | 12 |
(g) | For the six months ended June 30, 2009 (Unaudited). |
(h) | Includes a litigation payment of $0.02 per share. |
(i) | Effect of voluntary waiver of expenses by adviser was less than 0.005%. |
(j) | Includes fee/expense recovery of 0.04%. |
(k) | Effective June 2, 2008, redemption fees were eliminated. |
(l) | Includes fee/expense recovery of 0.01%. |
(m) | From commencement of Class operations on August 31, 2006 through December 31, 2006. |
(n) | For the period October 31, 2008 (inception) through December 31, 2008. |
50
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: | Less Distributions: | ||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||
NATIXIS U.S. DIVERSIFIED PORTFOLIO | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
6/30/2009(g) | $ | 15.16 | $ | 0.00 | $ | 1.30 | $ | 1.30 | $ | — | $ | — | |||||||||||
12/31/2008 | 25.76 | 0.02 | (h) | (10.20 | ) | (10.18 | ) | (0.42 | ) | (0.42 | ) | ||||||||||||
12/31/2007 | 22.94 | (0.06 | ) | 3.19 | 3.13 | (0.31 | ) | (0.31 | ) | ||||||||||||||
12/31/2006 | 20.17 | 0.04 | 2.73 | 2.77 | — | — | |||||||||||||||||
12/31/2005 | 18.75 | (0.11 | ) | 1.53 | 1.42 | — | — | ||||||||||||||||
12/31/2004 | 16.61 | (0.12 | ) | 2.26 | 2.14 | — | — | ||||||||||||||||
Class B | |||||||||||||||||||||||
6/30/2009(g) | 13.19 | (0.05 | ) | 1.12 | 1.07 | — | — | ||||||||||||||||
12/31/2008 | 22.63 | (0.13 | )(h) | (8.89 | ) | (9.02 | ) | (0.42 | ) | (0.42 | ) | ||||||||||||
12/31/2007 | 20.33 | (0.22 | ) | 2.83 | 2.61 | (0.31 | ) | (0.31 | ) | ||||||||||||||
12/31/2006 | 18.01 | (0.11 | ) | 2.43 | 2.32 | — | — | ||||||||||||||||
12/31/2005 | 16.87 | (0.22 | ) | 1.36 | 1.14 | — | — | ||||||||||||||||
12/31/2004 | 15.06 | (0.23 | ) | 2.04 | 1.81 | — | — | ||||||||||||||||
Class C | |||||||||||||||||||||||
6/30/2009(g) | 13.19 | (0.05 | ) | 1.13 | 1.08 | — | — | ||||||||||||||||
12/31/2008 | 22.65 | (0.13 | )(h) | (8.91 | ) | (9.04 | ) | (0.42 | ) | (0.42 | ) | ||||||||||||
12/31/2007 | 20.36 | (0.22 | ) | 2.82 | 2.60 | (0.31 | ) | (0.31 | ) | ||||||||||||||
12/31/2006 | 18.03 | (0.11 | ) | 2.44 | 2.33 | — | — | ||||||||||||||||
12/31/2005 | 16.89 | (0.22 | ) | 1.36 | 1.14 | — | — | ||||||||||||||||
12/31/2004 | 15.08 | (0.23 | ) | 2.04 | 1.81 | — | — | ||||||||||||||||
Class Y | |||||||||||||||||||||||
6/30/2009(g) | 16.29 | 0.02 | 1.40 | 1.42 | — | — | |||||||||||||||||
12/31/2008 | 27.58 | 0.07 | (h) | (10.94 | ) | (10.87 | ) | (0.42 | ) | (0.42 | ) | ||||||||||||
12/31/2007 | 24.45 | 0.03 | 3.41 | 3.44 | (0.31 | ) | (0.31 | ) | |||||||||||||||
12/31/2006 | 21.41 | 0.14 | 2.90 | 3.04 | — | — | |||||||||||||||||
12/31/2005 | 19.82 | (0.03 | ) | 1.62 | 1.59 | — | — | ||||||||||||||||
12/31/2004 | 17.46 | (0.05 | ) | 2.41 | 2.36 | — | — |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been reduced during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
See accompanying notes to financial statements.
51
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | ||||||||||
$ | 16.46 | 8.58 | $ | 235,574 | 1.40 | 1.59 | 0.04 | 72 | ||||||||
15.16 | (40.05 | ) | 228,549 | 1.43 | 1.43 | 0.08 | 110 | |||||||||
25.76 | 13.69 | 407,228 | 1.47 | 1.47 | (0.24 | ) | 82 | |||||||||
22.94 | 13.68 | 393,430 | 1.46 | 1.46 | 0.17 | 83 | ||||||||||
20.17 | 7.57 | 386,084 | 1.73 | 1.73 | (0.57 | ) | 97 | |||||||||
18.75 | 12.88 | 392,726 | 1.87 | 1.87 | (0.71 | ) | 104 | |||||||||
14.26 | 8.11 | 35,372 | 2.15 | 2.34 | (0.71 | ) | 72 | |||||||||
13.19 | (40.47 | ) | 40,868 | 2.18 | 2.19 | (0.70 | ) | 110 | ||||||||
22.63 | 12.83 | 119,028 | 2.21 | 2.21 | (1.00 | ) | 82 | |||||||||
20.33 | 12.88 | 147,819 | 2.22 | 2.22 | (0.60 | ) | 83 | |||||||||
18.01 | 6.76 | 174,745 | 2.48 | 2.48 | (1.32 | ) | 97 | |||||||||
16.87 | 12.02 | 223,349 | 2.62 | 2.62 | (1.50 | ) | 104 | |||||||||
14.27 | 8.19 | 24,272 | 2.15 | 2.34 | (0.71 | ) | 72 | |||||||||
13.19 | (40.53 | ) | 24,079 | 2.18 | 2.18 | (0.68 | ) | 110 | ||||||||
22.65 | 12.82 | 47,239 | 2.22 | 2.22 | (0.99 | ) | 82 | |||||||||
20.36 | 12.87 | 46,064 | 2.22 | 2.22 | (0.59 | ) | 83 | |||||||||
18.03 | 6.75 | 48,262 | 2.48 | 2.48 | (1.32 | ) | 97 | |||||||||
16.89 | 12.00 | 58,883 | 2.62 | 2.62 | (1.48 | ) | 104 | |||||||||
17.71 | 8.72 | 4,453 | 1.15 | 1.56 | 0.28 | 72 | ||||||||||
16.29 | (39.89 | ) | 5,611 | 1.17 | 1.23 | 0.31 | 110 | |||||||||
27.58 | 14.02 | 16,649 | 1.12 | 1.12 | 0.10 | 82 | ||||||||||
24.45 | 14.20 | 21,155 | 1.03 | 1.03 | 0.60 | 83 | ||||||||||
21.41 | 8.02 | 20,445 | 1.32 | 1.32 | (0.16 | ) | 97 | |||||||||
19.82 | 13.52 | 25,060 | 1.33 | 1.33 | (0.27 | ) | 104 |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher. |
(g) | For the six months ended June 30, 2009 (Unaudited). |
(h) | Includes a non-recurring dividend of $0.02 per share. |
52
Table of Contents
NOTESTO FINANCIAL STATEMENTS
June 30, 2009 (Unaudited)
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. Information presented in these financial statements pertains to certain equity funds of the Trusts; the financial statements for the other funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
CGM Advisor Targeted Equity Fund (the “Targeted Equity Fund”)
Hansberger International Fund (the “International Fund”)
Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)
Natixis U.S. Diversified Portfolio (the “U.S. Diversified Portfolio”)
Natixis Funds Trust II:
Delafield Select Fund (the “Delafield Select Fund”)
Harris Associates Large Cap Value Fund (the “Large Cap Value Fund”)
Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)
Each Fund offers Class A and Class C shares. Targeted Equity Fund, Delafield Select Fund, Small Cap Value Fund, Large Cap Value Fund, Value Opportunity Fund and U.S. Diversified Portfolio also offer Class Y shares. Effective October 12, 2007, Class B shares are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the Prospectus.
Effective July 31, 2009, the Small Cap Value Fund will be closed to new investors.
Class A shares are sold with a maximum front-end sales charge of 5.75%. Class B shares do not pay a front-end sales charge, but pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares), and are subject to a contingent deferred sales charge (“CDSC”) if those shares are redeemed within six years of purchase. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares and pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ Prospectuses.
Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees applicable to such class). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a fund if the fund were liquidated. The Trustees approve separate dividends from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions that have occurred through August 26, 2009, the date the financial statements were issued, and noted no items requiring recognition in the financial statements or additional disclosures in the Notes to Financial Statements except as disclosed in Note 14.
a. Valuation. Equity securities, including closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and the subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and the subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued using interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Domestic exchange-traded single equity
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
option contracts are valued at the mean of the National Best Bid and Offer quotations. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.
Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values. As of June 30, 2009, approximately 79% of the market value of the investments for the International Fund was fair valued pursuant to procedures approved by the Board of Trustees.
b. Security Transactions and Related Investment Income. Security transactions are accounted for on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of the investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Each Fund may purchase investments of foreign issuers. Investing in securities of foreign issuers involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the price of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.
d. Forward Foreign Currency Contracts. The International Fund and the U.S. Diversified Portfolio may enter into forward foreign currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statement of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. At June 30, 2009, there were no open forward foreign currency contracts.
e. Option Contracts. Certain Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
The following is a summary of U.S. Diversified Portfolio’s purchased option activity:
Contracts | Number of | Cost | |||||
Outstanding at 12/31/2008 | — | $ | — | ||||
Options purchased | 4,358 | 1,588,567 | |||||
Options sold | (4,011 | ) | (1,429,421 | ) | |||
Options expired unexercised | — | — | |||||
Outstanding at 6/30/2009 | 347 | $ | 159,146 | ||||
When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value until the option expires or a Fund enters into a closing purchase transaction. When a written option expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
The following is a summary of U.S. Diversified Portfolio’s written option activity:
Contracts | Number of | Premiums | |||||
Outstanding at 12/31/2008 | — | $ | — | ||||
Options written | 14,899 | 1,879,140 | |||||
Options terminated in closing purchase transactions | (14,205 | ) | (1,769,931 | ) | |||
Options expired unexercised | — | — | |||||
Outstanding at 6/30/2009 | 694 | $ | 109,209 | ||||
Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
f. Federal and Foreign Income Taxes. Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2009 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.
g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes for items such as net operating losses, distribution redesignations, distributions from REITs, 12b-1 fees, wash sales, distributions in excess of current earnings, return of capital distributions, foreign currency transactions and gains realized from passive foreign investment companies (“PFICs”). Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, securities lending collateral gain/loss adjustments, forward contracts marked-to-market, capital loss carryforwards, post-October capital loss deferrals, wash sales, distributions from REITs and gains realized from PFICs. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2008 was as follows:
2008 Distributions Paid From: | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||
Targeted Equity Fund | $ | 36,994,172 | $ | 2,005,331 | $ | — | $ | 38,999,503 | ||||
Delafield Select Fund | 15,741 | — | — | 15,741 | ||||||||
International Fund | 1,855,140 | 4,458,011 | 659,640 | 6,972,791 | ||||||||
Large Cap Value Fund | 1,440,359 | — | — | 1,440,359 | ||||||||
Small Cap Value Fund | 530 | 197,608 | — | 198,138 | ||||||||
Value Opportunity Fund | 2,669 | — | — | 2,669 | ||||||||
U.S. Diversified Portfolio | — | 9,399,370 | — | 9,399,370 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets, if any, are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2008, the capital loss carryforwards and post-October losses were as follows:
Targeted | Delafield Select Fund | International | Large Cap | Small Cap | Value Opportunity Fund | U.S. Diversified | |||||||||||||||||||||
Capital loss carryforward: | |||||||||||||||||||||||||||
Expires December 31, 2009 | $ | — | $ | — | $ | — | $ | (25,407,834 | )* | $ | — | $ | — | $ | — | ||||||||||||
Expires December 31, 2010 | — | — | — | (24,633,843 | )* | — | — | — | |||||||||||||||||||
Expires December 31, 2011 | — | — | — | (9,965,466 | ) | — | — | — | |||||||||||||||||||
Expires December 31, 2016 | (81,851,673 | ) | — | — | — | (622,356 | ) | — | (11,926,149 | ) | |||||||||||||||||
Total capital loss carryforward | $ | (81,851,673 | ) | $ | — | $ | — | $ | (60,007,143 | ) | $ | (622,356 | ) | $ | — | $ | (11,926,149 | ) | |||||||||
Deferred net capital losses (post-October 2008) | $ | (54,376,238 | ) | $ | — | $ | (4,646,134 | ) | $ | (5,652,406 | ) | $ | (16,790,766 | ) | $ | (4,369 | ) | $ | (21,450,644 | ) | |||||||
* | Some of the losses expiring in 2009 and 2010 were obtained in the Fund’s merger with the Nvest Balanced Fund on June 7, 2003. The losses obtained in this merger are subject to limitations. |
h. Repurchase Agreements. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
i. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
As of June 30, 2009, there were no securities on loan.
j. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
3. Fair Value Measurements. In accordance with standards established by the Financial Accounting Standards Board, the Funds have categorized the inputs utilized in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical investments; |
• | Level 2 – prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, interest rates, credit risk, etc.); |
• | Level 3 – prices determined using significant unobservable inputs for situations where quoted prices or observable inputs are unavailable such as when there is little or no market activity for an investment (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of investments and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2009:
Targeted Equity Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stocks(a) | $ | 880,095,409 | $ | — | $ | — | $ | 880,095,409 | ||||
Short-Term Investments | 15,380,000 | — | — | 15,380,000 | ||||||||
Total | $ | 895,475,409 | $ | — | $ | — | $ | 895,475,409 | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
Delafield Select Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stocks(a) | $ | 16,521,398 | $ | — | $ | — | $ | 16,521,398 | ||||
Short-Term Investments | 2,665,785 | — | — | 2,665,785 | ||||||||
Total | $ | 19,187,183 | $ | — | $ | — | $ | 19,187,183 | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
International Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 2,985,221 | $ | — | $ | 2,985,221 | ||||
Belgium | — | 599,257 | — | 599,257 | ||||||||
Brazil | 3,672,879 | — | — | 3,672,879 | ||||||||
Canada | 4,719,244 | — | — | 4,719,244 | ||||||||
China | — | 8,301,177 | — | 8,301,177 | ||||||||
Denmark | — | 1,405,360 | — | 1,405,360 | ||||||||
France | — | 8,091,309 | — | 8,091,309 | ||||||||
Germany | 521,425 | 4,574,369 | — | 5,095,794 | ||||||||
Hong Kong | — | 1,199,633 | — | 1,199,633 | ||||||||
India | 2,173,286 | — | — | 2,173,286 | ||||||||
Israel | 492,512 | — | — | 492,512 | ||||||||
Italy | — | 1,840,332 | — | 1,840,332 | ||||||||
Japan | — | 11,992,763 | — | 11,992,763 | ||||||||
Korea | 977,964 | 732,385 | — | 1,710,349 | ||||||||
Luxembourg | 755,797 | — | — | 755,797 | ||||||||
Mexico | 1,129,141 | — | — | 1,129,141 | ||||||||
Netherlands | 443,885 | — | — | 443,885 | ||||||||
Norway | 134,677 | 1,275,035 | — | 1,409,712 | ||||||||
Russia | 1,848,742 | — | — | 1,848,742 | ||||||||
Singapore | — | 543,179 | — | 543,179 | ||||||||
South Africa | — | 517,916 | — | 517,916 | ||||||||
Spain | — | 2,933,908 | — | 2,933,908 | ||||||||
Switzerland | — | 7,112,075 | — | 7,112,075 | ||||||||
Taiwan | — | 615,535 | — | 615,535 | ||||||||
United Kingdom | — | 12,377,660 | — | 12,377,660 | ||||||||
Total Common Stocks | 16,869,552 | 67,097,114 | — | 83,966,666 | ||||||||
Preferred Stocks | ||||||||||||
Germany | — | 390,487 | — | 390,487 | ||||||||
Exchange Traded Funds | ||||||||||||
United States | 643,025 | — | — | 643,025 | ||||||||
Short-Term Investments | 462,030 | — | — | 462,030 | ||||||||
Total | $ | 17,974,607 | $ | 67,487,601 | $ | — | $ | 85,462,208 | ||||
Large Cap Value Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stocks(a) | $ | 105,193,116 | $ | — | $ | — | $ | 105,193,116 | ||||
Short-Term Investments | 6,827,845 | — | — | 6,827,845 | ||||||||
Total | $ | 112,020,961 | $ | — | $ | — | $ | 112,020,961 | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
Small Cap Value Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stock(a) | $ | 457,042,685 | $ | — | $ | — | $ | 457,042,685 | ||||
Short-Term Investments | 18,345,297 | — | — | 18,345,297 | ||||||||
Total | $ | 475,387,982 | $ | — | $ | — | $ | 475,387,982 | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
Value Opportunity Fund
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||
Common Stocks(a) | $1,301,599 | $ | — | $ | — | $ | 1,301,599 | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
U.S. Diversified Portfolio
Asset Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||
Common Stocks(a) | $ | 287,303,238 | $ | — | $ | — | $ | 287,303,238 | ||||
Put Options | 101,345 | — | — | 101,345 | ||||||||
Short-Term Investments | 10,486,234 | — | — | 10,486,234 | ||||||||
Total | $ | 297,890,817 | $ | — | $ | — | $ | 297,890,817 | ||||
Liability Valuation Inputs
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||
Call Options Written | $ | (50,809 | ) | $ | — | $ | — | $ | (50,809 | ) | ||||
Put Options Written | (37,888 | ) | — | — | (37,888 | ) | ||||||||
Total | $ | (88,697 | ) | $ | — | $ | — | $ | (88,697 | ) | ||||
(a) | Major categories of the Portfolio’s investments are included in the Portfolio of Investments. |
4. Derivatives. The Funds adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), effective January 1, 2009. FAS 161 requires enhanced disclosures about a Fund’s derivative and hedging activities. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds may use include options contracts.
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June 30, 2009 (Unaudited)
The U.S. Diversified Portfolio is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Portfolio may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Portfolio may also write put options to offset the cost of options used for hedging purposes.
The following is a summary of derivative instruments for the U.S Diversified Portfolio, as of June 30, 2009:
Asset Derivatives | Options | |||
Equity contracts | $101,345 | |||
Statement of Assets and Liabilities Location | Investments at value | |||
Liability Derivatives | Written Options | |||
Equity contracts | $(88,697) | |||
Statement of Assets and Liabilities Location | Options written, at value | |||
Transactions in derivative instruments during the six months ended June 30, 2009, were as follows: | ||||
Realized Gain (Loss) | Purchased Options | Written Options | ||
Equity contracts | $(452,262) | $19,816 | ||
Statement of Operations Location | Net realized gain (loss) on investments | Net realized gain (loss) on options written | ||
Change in Appreciation (Depreciation) | Purchased Options | Written Options | ||
Equity contracts | $(57,801) | $20,513 | ||
Statement of Operations Location | Net change in unrealized appreciation / depreciation on investments | Net change in unrealized appreciation / depreciation on options written |
5. Purchases and Sales of Securities. For the six months ended June 30, 2009, purchases and sales of securities (excluding short-term investments) were as follows:
Fund | Purchases | Sales | ||||
Targeted Equity Fund | $ | 787,805,694 | $ | 757,180,310 | ||
Delafield Select Fund | 4,831,261 | 1,452,200 | ||||
International Fund | 18,202,923 | 24,888,390 | ||||
Large Cap Value Fund | 23,671,757 | 30,242,167 | ||||
Small Cap Value Fund | 340,713,256 | 167,856,187 | ||||
Value Opportunity Fund | 491,706 | 261,813 | ||||
U.S. Diversified Portfolio | 199,255,408 | 226,946,739 |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to each Fund except the Targeted Equity Fund and the Delafield Select Fund. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund and Reich & Tang Asset Management, LLC (“Reich & Tang”) is the investment adviser to the Delafield Select Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||
Fund | First $200 million | Next $300 million | Next $500 million | Next $1 billion | Over $2 billion | |||||
Targeted Equity Fund | 0.75% | 0.70% | 0.65% | 0.65% | 0.60% | |||||
Delafield Select Fund | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | |||||
International Fund | 0.80% | 0.75% | 0.75% | 0.75% | 0.75% | |||||
Large Cap Value Fund | 0.70% | 0.65% | 0.60% | 0.60% | 0.60% | |||||
Small Cap Value Fund | 0.90% | 0.90% | 0.90% | 0.90% | 0.90% | |||||
Value Opportunity Fund | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | |||||
U.S. Diversified Portfolio | 0.90% | 0.90% | 0.90% | 0.80% | 0.80% |
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
International Fund | Hansberger Global Investors, Inc. (“Hansberger”) | |
Large Cap Value Fund | Harris Associates L.P. (“Harris”) | |
Small Cap Value Fund | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) | |
Value Opportunity Fund | Vaughan Nelson | |
U.S. Diversified Portfolio | Harris | |
Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | ||
BlackRock Investment Management LLC (“BlackRock”) |
Payments to Natixis Advisors are reduced in the amount of payments to the subadvisers.
Natixis Advisors has given binding undertakings to certain Funds to reduce management fees and/or reimburse certain expenses associated with these Funds to limit their operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2010, and acquired fund fees and expenses, will be reevaluated on an annual basis. For the six months ended June 30, 2009, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense limit as a Percentage of Average Daily Net Assets | ||||||||
Fund | Class A | Class B | Class C | Class Y | ||||
Delafield Select Fund | 1.40% | — | 2.15% | 1.15% | ||||
Large Cap Value Fund | 1.30% | 2.05% | 2.05% | 1.05% | ||||
Small Cap Value Fund | 1.45% | 2.20% | 2.20% | 1.20% | ||||
U.S. Diversified Portfolio | 1.40% | 2.15% | 2.15% | 1.15% | ||||
Value Opportunity Fund | 1.40% | — | 2.15% | 1.15% |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
For the six months ended June 30, 2009, the management fees for each Fund were as follows:
Portfolio | Gross | Reductions of Fee | Net Fee | Percentage of | |||||||||
Gross | Net | ||||||||||||
Targeted Equity Fund | $ | 2,911,374 | $ | — | $ | 2,911,374 | 0.69% | 0.69% | |||||
Delafield Select Fund | 55,185 | 55,185 | — | 0.80% | — | ||||||||
International Fund | 299,546 | — | 299,546 | 0.80% | 0.80% | ||||||||
Large Cap Value Fund | 349,451 | — | 349,451 | 0.70% | 0.70% | ||||||||
Small Cap Value Fund | 1,587,025 | — | 1,587,025 | 0.90% | 0.90% | ||||||||
Value Opportunity Fund | 4,308 | 4,308 | — | 0.80% | — | ||||||||
U.S. Diversified Portfolio | 1,261,413 | — | 1,261,413 | 0.90% | 0.90% |
For the six months ended June 30, 2009, expenses have been reimbursed as follows:
Fund | Reimbursement | ||
Delafield Select Fund | $ | 27,898 | |
Large Cap Value Fund | 119,124 | ||
Small Cap Value Fund | 453 | ||
Value Opportunity Fund | 91,884 | ||
U.S. Diversified Portfolio | 270,844 |
Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through reduction of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such reduced fees/expenses more than one year after the end of the fiscal year in which the fee/expense was reduced. The amounts subject to possible recovery under the expense limitation agreements at June 30, 2009 were as follows:
Expenses Subject to Possible Recovery until December 31, 2009 | |||||||||||||||
Fund | Class A | Class B | Class C | Class Y | Total | ||||||||||
Delafield Select Fund | $ | 4,243 | $ | — | $ | 15 | $ | 61,496 | $ | 65,754 | |||||
Small Cap Value Fund | 75,471 | 10,688 | 12,684 | 3,358 | 102,201 | ||||||||||
Value Opportunity Fund | 512 | — | 1,047 | 57,051 | 58,610 | ||||||||||
U.S. Diversified Portfolio | 14,460 | 3,319 | 1,563 | 6,583 | 25,925 |
Expenses Subject to Possible Recovery until December 31, 2010 | |||||||||||||||
Fund | Class A | Class B | Class C | Class Y | Total | ||||||||||
Delafield Select Fund | $ | 24,403 | $ | — | $ | 106 | $ | 58,574 | $ | 83,083 | |||||
Large Cap Value Fund | 101,301 | 8,866 | 6,949 | 2,008 | 119,124 | ||||||||||
Small Cap Value Fund | 396 | 14 | 43 | — | 453 | ||||||||||
Value Opportunity Fund | 6,215 | — | 4,042 | 85,935 | 96,192 | ||||||||||
U.S. Diversified Portfolio | 206,476 | 33,474 | 21,370 | 9,524 | 270,844 |
Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, CGM, Hansberger, Harris, Loomis Sayles, Reich & Tang and Vaughan Nelson are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
For the six months ended June 30, 2009, Loomis Sayles reimbursed the U.S. Diversified Portfolio $11,550 for losses incurred in connection with a trading error.
b. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and subcontracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion, 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per class and an additional $75,000 if managed by multiple subadvisors. For the six months ended June 30, 2009, the Delafield Select Fund and the Value Opportunity Fund were subject to the new fund fee.
For the six months ended June 30, 2009, amounts paid to Natixis Advisors for administrative fees were as follows:
Fund | Administrative | ||
Targeted Equity Fund | $ | 216,465 | |
Delafield Select Fund | 49,589 | ||
International Fund | 19,188 | ||
Large Cap Value Fund | 25,631 | ||
Small Cap Value Fund | 90,317 | ||
Value Opportunity Fund | 49,589 | ||
U.S. Diversified Portfolio | 71,872 |
c. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class B, if applicable, and Class C shares (the “Class B and Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B, if applicable, and Class C Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class B and Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in providing personal services to investors in Class B and Class C shares and/or the maintenance of shareholder accounts.
Also under the Class B, if applicable, and Class C Plans, each Fund pays Natixis Distributors a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class B and Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in connection with the marketing or sale of Class B and Class C shares.
For the six months ended June 30, 2009, the Funds paid the following service and distribution fees:
Service Fee | Distribution Fee | ||||||||||||||
Fund | Class A | Class B | Class C | Class B | Class C | ||||||||||
Targeted Equity Fund | $ | 849,399 | $ | 14,910 | $ | 72,941 | $ | 44,728 | $ | 218,823 | |||||
Delafield Select Fund | 5,221 | — | 26 | — | 78 | ||||||||||
International Fund | 71,073 | 10,086 | 12,450 | 30,256 | 37,348 | ||||||||||
Large Cap Value Fund | 101,580 | 8,905 | 6,979 | 26,716 | 20,938 | ||||||||||
Small Cap Value Fund | 273,414 | 12,505 | 29,835 | 37,515 | 89,506 | ||||||||||
Value Opportunity Fund | 80 | — | 56 | — | 167 | ||||||||||
U.S. Diversified Portfolio | 272,116 | 44,311 | 28,187 | 132,934 | 84,559 |
d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid its transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees. Listed below are the fees incurred by the Funds which are included in the transfer agent fees and expenses in the Statements of Operations.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
Sub-Transfer Agent Fees | ||||||||||||
Fund | Class A | Class B | Class C | Class Y | ||||||||
Targeted Equity Fund | $ | 203,942 | $ | 3,471 | $ | 16,279 | $ | 21,525 | ||||
Delafield Select Fund | 235 | — | 1 | 13 | ||||||||
International Fund | 14,199 | 2,061 | 2,506 | — | ||||||||
Large Cap Value Fund | 14,153 | 1,269 | 977 | 3,695 | ||||||||
Small Cap Value Fund | 115,695 | 5,796 | 12,607 | 45,458 | ||||||||
Value Opportunity Fund | — | — | — | 27 | ||||||||
U.S. Diversified Portfolio | 39,847 | 6,617 | 4,133 | 4,488 |
e. Commissions. The Funds have been informed that commissions (including CDSCs) on Fund shares paid to Natixis Distributors by investors in shares of the Funds during the six months ended June 30, 2009 were as follows:
Fund | Commission | ||
Targeted Equity Fund | $ | 339,369 | |
Delafield Select Fund | 18,624 | ||
International Fund | 25,550 | ||
Large Cap Value Fund | 23,804 | ||
Small Cap Value Fund | 126,776 | ||
Value Opportunity Fund | 958 | ||
U.S. Diversified Portfolio | 114,188 |
For the six months ended June 30, 2009, brokerage commissions for portfolio transactions paid to affiliated broker/dealers by the U.S. Diversified Portfolio were $9,859.
f. Trustees Fees and Expenses. The Funds do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US, or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $200,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $65,000. Each Independent Trustee also receives a meeting attendance fee of $7,500 for each meeting of the Board of Trustees that he or she attends in person and $3,750 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chair receives an additional retainer fee at the annual rate of $10,000. Each Contract Review and Governance Committee member is compensated $5,000 for each Committee meeting that he or she attends in person and $2,500 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,250 for each Committee meeting that he or she attends in person and $3,125 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
7. Regulatory Settlements. During the period ended June 30, 2009 the International Fund and Large Cap Value Fund received payments of $613,370 and $8,806 respectively, relating to certain regulatory settlements the Funds had participated in during the year. The payments have been included in “Increase from Regulatory Settlements” on the Statements of Changes in Net Assets.
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, participates in a $200,000,000 unsecured committed line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR rate, plus 0.75%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
Prior to March 11, 2009, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 unsecured committed line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.09% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2009, the Funds had no borrowings under these agreements.
9. Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2009, amounts rebated under these agreements were as follows:
Fund | Rebates | ||
Targeted Equity Fund | $ | 301,426 | |
International Fund | 5,036 | ||
Small Cap Value Fund | 62,039 | ||
U.S. Diversified Portfolio | 31,556 |
10. Concentration of Risk. The Delafield Select Fund is a non-diversified fund. Compared with diversified mutual funds, the Fund may invest a greater percentage of its assets in a particular company. Therefore, the Fund’s returns could be significantly affected by the performance of any one of the small number of stocks in its portfolio.
11. Shareholders. At June 30, 2009, two shareholders individually owned more than 5% of the Delafield Select Fund’s total outstanding shares, representing, in aggregate, 19.10% of the Fund. At June 30, 2009, one shareholder individually owned more than 5% of the Small Cap Value Fund’s total outstanding shares, representing, 6.51% of the Fund. At June 30, 2009, Natixis US owned shares equating to 77.55% of Value Opportunity Fund’s net assets.
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest without par value. Transactions in capital shares were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||
Targeted Equity Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 11,072,120 | $ | 79,406,451 | 55,490,745 | $ | 517,404,637 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 2,910,640 | 31,249,485 | ||||||||||
Redeemed | (43,841,197 | ) | (318,835,288 | ) | (17,951,803 | ) | (174,709,000 | ) | ||||||
Net change | (32,769,077 | ) | $ | (239,428,837 | ) | 40,449,582 | $ | 373,945,122 | ||||||
Class B | ||||||||||||||
Issued from the sale of shares | 34,514 | $ | 218,735 | 143,426 | $ | 1,418,763 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 96,866 | 1,000,641 | ||||||||||
Redeemed | (360,818 | ) | (2,319,714 | ) | (955,848 | ) | (9,400,428 | ) | ||||||
Net change | (326,304 | ) | $ | (2,100,979 | ) | (715,556 | ) | $ | (6,981,024 | ) | ||||
Class C | ||||||||||||||
Issued from the sale of shares | 1,830,722 | $ | 11,867,657 | 8,205,733 | $ | 79,419,493 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 111,128 | 1,084,172 | ||||||||||
Redeemed | (1,180,334 | ) | (7,486,922 | ) | (1,347,914 | ) | (11,050,172 | ) | ||||||
Net change | 650,388 | $ | 4,380,735 | 6,968,947 | $ | 69,453,493 | ||||||||
Class Y | ||||||||||||||
Issued from the sale of shares | 29,655,625 | $ | 223,851,414 | 5,749,964 | $ | 58,767,140 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 112,867 | 1,154,835 | ||||||||||
Redeemed | (1,798,867 | ) | (13,473,206 | ) | (1,536,310 | ) | (15,367,087 | ) | ||||||
Net change | 27,856,758 | $ | 210,378,208 | 4,326,521 | $ | 44,554,888 | ||||||||
Increase (decrease) from capital share transactions | (4,588,235 | ) | $ | (26,770,873 | ) | 51,029,494 | $ | 480,972,479 | ||||||
Six Months Ended June 30, 2009 | Period Ended December 31, 2008* | |||||||||||||
Delafield Select Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 978,358 | $ | 5,834,590 | 283,031 | $ | 1,725,474 | ||||||||
Issued in connection with the reinvestment of distributions | 262 | 1,538 | 237 | 1,360 | ||||||||||
Redeemed | (232,158 | ) | (1,117,008 | ) | (1,209 | ) | (5,681 | ) | ||||||
Net change | 746,462 | $ | 4,719,120 | 282,059 | $ | 1,721,153 | ||||||||
Class C | ||||||||||||||
Issued from the sale of shares | 14,938 | $ | 101,898 | 1,726 | $ | 10,166 | ||||||||
Issued in connection with the reinvestment of distributions | 1 | 5 | 2 | 10 | ||||||||||
Redeemed | (4,461 | ) | (28,330 | ) | (550 | ) | (3,050 | ) | ||||||
Net change | 10,478 | $ | 73,573 | 1,178 | $ | 7,126 | ||||||||
Class Y | ||||||||||||||
Issued from the sale of shares | 76,455 | $ | 518,404 | 12,121 | $ | 100,000 | ||||||||
Issued in connection with the acquisition of assets (Note 13) | — | — | 1,755,310 | 15,341,407 | ||||||||||
Issued in connection with the reinvestment of distributions | 602 | 3,540 | 2,495 | 14,371 | ||||||||||
Redeemed | (35,141 | ) | (245,250 | ) | (170,589 | ) | (1,055,784 | ) | ||||||
Net change | 41,916 | $ | 276,694 | 1,599,337 | $ | 14,399,994 | ||||||||
Increase (decrease) from capital share transactions | 798,856 | $ | 5,069,387 | 1,882,574 | $ | 16,128,273 | ||||||||
* | From commencement of operations on September 29, 2008 through December 31, 2008 for Class A and Class C, and from September 26, 2008 through December 31, 2008 for Class Y. |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
12. Capital Shares (continued).
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||
International Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 238,955 | $ | 2,673,651 | 981,700 | $ | 18,940,104 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 345,275 | 4,818,828 | ||||||||||
Redeemed | (613,859 | ) | (6,239,442 | ) | (1,586,221 | ) | (27,268,780 | ) | ||||||
Net change | (374,904 | ) | $ | (3,565,791 | ) | (259,246 | ) | $ | (3,509,848 | ) | ||||
Class B | ||||||||||||||
Issued from the sale of shares | 14,707 | 146,374 | 52,461 | $ | 886,564 | |||||||||
Issued in connection with the reinvestment of distributions | — | — | 59,291 | 820,177 | ||||||||||
Redeemed | (218,962 | ) | (2,080,724 | ) | (653,714 | ) | (10,658,356 | ) | ||||||
Net change | (204,255 | ) | $ | (1,934,350 | ) | (541,962 | ) | $ | (8,951,615 | ) | ||||
Class C | ||||||||||||||
Issued from the sale of shares | 53,859 | 485,409 | 152,539 | $ | 2,358,934 | |||||||||
Issued in connection with the reinvestment of distributions | — | — | 56,042 | 742,520 | ||||||||||
Redeemed | (202,239 | ) | (1,821,753 | ) | (406,749 | ) | (5,808,222 | ) | ||||||
Net change | (148,380 | ) | $ | (1,336,344 | ) | (198,168 | ) | $ | (2,706,768 | ) | ||||
Increase (decrease) from capital share transactions | (727,539 | ) | $ | (6,836,485 | ) | (999,376 | ) | $ | (15,168,231 | ) | ||||
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||
Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 328,283 | $ | 2,860,336 | 582,760 | $ | 7,394,713 | ||||||||
Issued in connection with the reinvestment of distributions | 5,614 | 49,461 | 123,874 | 1,080,365 | ||||||||||
Redeemed | (833,702 | ) | (7,001,294 | ) | (2,448,049 | ) | (30,614,764 | ) | ||||||
Net change | (499,805 | ) | $ | (4,091,497 | ) | (1,741,415 | ) | $ | (22,139,686 | ) | ||||
Class B | ||||||||||||||
Issued from the sale of shares | 28,458 | $ | 218,879 | 25,208 | $ | 284,969 | ||||||||
Issued in connection with the reinvestment of distributions | 615 | 5,027 | 1,311 | 11,144 | ||||||||||
Redeemed | (219,344 | ) | (1,733,297 | ) | (750,483 | ) | (8,800,532 | ) | ||||||
Net change | (190,271 | ) | $ | (1,509,391 | ) | (723,964 | ) | $ | (8,504,419 | ) | ||||
Class C | ||||||||||||||
Issued from the sale of shares | 13,246 | $ | 108,192 | 86,750 | $ | 959,743 | ||||||||
Issued in connection with the reinvestment of distributions | 250 | 2,039 | 1,102 | 9,068 | ||||||||||
Redeemed | (117,668 | ) | (894,242 | ) | (452,490 | ) | (5,130,494 | ) | ||||||
Net change | (104,172 | ) | $ | (784,011 | ) | (364,638 | ) | $ | (4,161,683 | ) | ||||
Class Y | ||||||||||||||
Issued from the sale of shares | 109,051 | $ | 1,040,917 | 42,540 | $ | 536,117 | ||||||||
Issued in connection with the reinvestment of distributions | 432 | 3,927 | 13,093 | 117,751 | ||||||||||
Redeemed | (35,430 | ) | (315,659 | ) | (175,485 | ) | (2,254,102 | ) | ||||||
Net change | 74,053 | $ | 729,185 | (119,852 | ) | $ | (1,600,234 | ) | ||||||
Increase (decrease) from capital share transactions | (720,195 | ) | $ | (5,655,714 | ) | (2,949,869 | ) | $ | (36,406,022 | ) | ||||
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
12. Capital Shares (continued).
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||
Small Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 10,347,204 | $ | 166,861,041 | 7,762,440 | $ | 149,885,313 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 5,945 | 120,326 | ||||||||||
Redeemed | (4,056,922 | ) | (66,604,270 | ) | (2,595,028 | ) | (48,898,219 | ) | ||||||
Net change | 6,290,282 | $ | 100,256,771 | 5,173,357 | $ | 101,107,420 | ||||||||
Class B | ||||||||||||||
Issued from the sale of shares | 18,967 | $ | 286,167 | 38,931 | $ | 709,105 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 1,463 | 26,922 | ||||||||||
Redeemed | (155,057 | ) | (2,289,603 | ) | (536,777 | ) | (9,931,890 | ) | ||||||
Net change | (136,090 | ) | $ | (2,003,436 | ) | (496,383 | ) | $ | (9,195,863 | ) | ||||
Class C | ||||||||||||||
Issued from the sale of shares | 791,607 | $ | 12,152,940 | 620,823 | $ | 11,187,345 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 1,187 | 21,844 | ||||||||||
Redeemed | (212,124 | ) | (3,056,283 | ) | (314,966 | ) | (5,628,923 | ) | ||||||
Net change | 579,483 | $ | 9,096,657 | 307,044 | $ | 5,580,266 | ||||||||
Class Y | ||||||||||||||
Issued from the sale of shares | 5,891,631 | $ | 100,163,287 | 5,267,072 | $ | 105,221,767 | ||||||||
Issued in connection with the reinvestment of distributions | 1,280 | 21,175 | 257 | 5,216 | ||||||||||
Redeemed | (994,522 | ) | (16,357,886 | ) | (1,244,655 | ) | (25,179,827 | ) | ||||||
Net change | 4,898,389 | $ | 83,826,576 | 4,022,674 | $ | 80,047,156 | ||||||||
Increase (decrease) from capital share transactions | 11,632,064 | $ | 191,176,568 | 9,006,692 | $ | 177,538,979 | ||||||||
Six Months Ended June 30, 2009 | Period Ended December 31, 2008** | |||||||||||||
Value Opportunity Fund | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 16,683 | $ | 163,981 | 1,707 | $ | 15,232 | ||||||||
Issued in connection with the reinvestment of distributions | 1 | 8 | 4 | 41 | ||||||||||
Redeemed | — | — | — | — | ||||||||||
Net change | 16,684 | $ | 163,989 | 1,711 | $ | 15,273 | ||||||||
Class C | ||||||||||||||
Issued from the sale of shares | 2,054 | $ | 20,652 | 4,255 | $ | 37,836 | ||||||||
Issued in connection with the reinvestment of distributions | 1 | 7 | 9 | 83 | ||||||||||
Redeemed | (31 | ) | (303 | ) | — | — | ||||||||
Net change | 2,024 | $ | 20,356 | 4,264 | $ | 37,919 | ||||||||
Class Y | ||||||||||||||
Issued from the sale of shares | 4,400 | $ | 41,250 | 99,800 | $ | 998,001 | ||||||||
Issued in connection with the reinvestment of distributions | 16 | 153 | 275 | 2,545 | ||||||||||
Redeemed | (112 | ) | (1,172 | ) | — | — | ||||||||
Net change | 4,304 | $ | 40,231 | 100,075 | $ | 1,000,546 | ||||||||
Increase (decrease) from capital share transactions | 23,012 | $ | 224,576 | 106,050 | $ | 1,053,738 | ||||||||
** | From commencement of operations on October 31, 2008 through December 31, 2008. |
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NOTESTO FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
12. Capital Shares (continued).
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||
U.S. Diversified Portfolio | Shares | Amount | Shares | Amount | ||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 605,792 | $ | 9,058,301 | 1,828,584 | $ | 39,280,183 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 280,392 | 6,293,312 | ||||||||||
Redeemed | (1,371,119 | ) | (19,751,501 | ) | (2,839,898 | ) | (57,914,421 | ) | ||||||
Net change | (765,327 | ) | $ | (10,693,200 | ) | (730,922 | ) | $ | (12,340,926 | ) | ||||
Class B | ||||||||||||||
Issued from the sale of shares | 23,300 | $ | 300,170 | 84,290 | $ | 1,619,357 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 90,527 | 1,776,753 | ||||||||||
Redeemed | (642,842 | ) | (8,247,855 | ) | (2,335,059 | ) | (44,358,057 | ) | ||||||
Net change | (619,542 | ) | $ | (7,947,685 | ) | (2,160,242 | ) | $ | (40,961,947 | ) | ||||
Class C | ||||||||||||||
Issued from the sale of shares | 40,417 | $ | 526,614 | 138,686 | $ | 2,389,673 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 34,838 | 684,060 | ||||||||||
Redeemed | (164,876 | ) | (2,073,002 | ) | (433,915 | ) | (7,693,846 | ) | ||||||
Net change | (124,459 | ) | $ | (1,546,388 | ) | (260,391 | ) | $ | (4,620,113 | ) | ||||
Class Y | ||||||||||||||
Issued from the sale of shares | 70,133 | $ | 1,162,304 | 174,882 | $ | 4,424,739 | ||||||||
Issued in connection with the reinvestment of distributions | — | — | 8,514 | 204,991 | ||||||||||
Redeemed | (163,156 | ) | (2,687,823 | ) | (442,660 | ) | (10,457,238 | ) | ||||||
Net change | (93,023 | ) | $ | (1,525,519 | ) | (259,264 | ) | $ | (5,827,508 | ) | ||||
Increase (decrease) from capital share transactions | (1,602,351 | ) | $ | (21,712,792 | ) | (3,410,819 | ) | $ | (63,750,494 | ) | ||||
13. Acquisition of Assets. After the close of business on September 26, 2008, the Delafield Select Fund acquired the assets and liabilities of the Predecessor Fund. The acquisition was accomplished by a tax-free exchange of 1,755,310 Class Y shares of Delafield Select Fund for Predecessor Fund net assets of $15,341,407, including $880,249 of unrealized appreciation. Prior to the reorganization, the Delafield Select Fund had no investment operations.
14. Subsequent Events. On July 9, 2009, the Board of Trustees of Natixis Funds Trust II approved an Agreement and Plan of Reorganization and Liquidation, pursuant to which the Delafield Select Fund will transfer its assets and liabilities to a newly formed “shell” series of The Tocqueville Trust. This transaction is subject to approval by shareholders of the Delafield Select Fund.
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SEMIANNUAL REPORT
June 30, 2009
ASG Global Alternatives Fund
AlphaSimplex Group, LLC
Management Discussion and Performance page 1
Consolidated Portfolio of Investments page 5
Consolidated Financial Statements page 7
Table of Contents
ASG GLOBAL ALTERNATIVES FUND
PORTFOLIO PROFILE
Objective:
Seeks capital appreciation consistent with the return and risk characteristics of a diversified portfolio of hedge funds.
Strategy:
Seeks to achieve long and short exposure to global equity, bond, currency, and commodity markets through a wide range of derivative instruments and direct investments.
Inception Date:
September 30, 2008
Managers:
Andrew Lo
Jeremiah Chafkin
AlphaSimplex Group, LLC (Adviser)
Robert Rickard
Reich & Tang Asset Management, LLC (Subadviser)
Symbols:
Class A: | GAFAX | |
Class C: | GAFCX | |
Class Y: | GAFYX |
What you should know:
Derivatives, primarily futures and forward contracts, generally have implied leverage (a small amount of money to make an investment of greater value). Because of this, the fund’s extensive use of derivatives may magnify any gains or losses on those investments as well as risk to the fund. The fund can invest in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, and political and economic developments.
Performance for the broad universe of hedge funds – and for ASG Global Alternatives Fund – was generally positive for the six months ended June 30, 2009. The market meltdown in late 2008 was accompanied by large hedge-fund redemption requests. These hedge-fund outflows continued into the first quarter of 2009. Combined with the decline in liquidity for instruments with associated credit risk, these outflows forced many hedge funds to sell their most liquid positions. By the second quarter of 2009, risk aversion had diminished, hedge-fund redemptions had faded, and liquidity had returned to once-frozen assets and securities. As a result, the forced selling of liquid positions abated. In this environment, the fund rebounded throughout the remainder of the first half.
Global stock prices were volatile as the economy contracted throughout the first half of 2009. The VIX (the Chicago Board Options Exchange Volatility Index) exceeded 50 on occasions in the first quarter of 2009, a very high level by historical standards, although it was well below its peak of more than 80 in October 2008. Volatility continued to decline in the second quarter of 2009.
Based on the net asset value of Class A shares, the fund provided a total return of 3.00% for the six months ended June 30, 2009, assuming reinvestment of $0.01 in dividends. For the same period, the fund’s benchmark, the HFRI Fund of Funds Composite Index, returned 5.25%. We believe the higher return for the index relative to the fund year-to-date reflects the strong rebound in prices of less-liquid assets held by funds in the index. The price of these less-liquid assets fell precipitously in the fourth quarter of 2008. This depressed the index relative to the fund last year, but it set up the index for a stronger recovery this year.
FUND REDUCED RISK EARLY IN PERIOD
Because the fund uses liquid instruments in an effort to emulate the broad exposures of the entire hedge fund industry, its return was negatively affected when hedge funds were forced to sell their liquid positions to meet first-quarter redemptions. However, the magnitude of the fund’s January loss was reduced by our use of risk control algorithms. In the first quarter, these risk control algorithms decreased market exposures in response to the continued volatility in global markets.
COMMODITIES EXPOSURE DROVE PERFORMANCE
Long positions in base metals and energy were the strongest contributors to the fund’s performance during the period.
We began 2009 long bonds and short the U.S. dollar. The portfolio was also modestly long stocks. In the subsequent months, our bond exposure shrank toward neutral, as risk was re-allocated to commodities (starting in February) and to stocks (starting in May). Overall, bond holdings detracted slightly from performance during the period while currencies and stocks were approximately flat.
An additional positive contribution came from the earnings on the money market portion of the portfolio.
MANAGER LOOKS FOR CONTINUING RECOVERY IN HEDGE FUND INDUSTRY
We believe global markets will remain volatile for some time, but that an increasing number of institutions will be allocating more assets to hedge funds, extending the trends we witnessed in the second quarter. The industry as a whole seems to be positive on stocks, which suggests that it thinks the worst may now be behind us. It also appears to be positive on commodities, but short the U.S. dollar and neutral on bonds.
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ASG GLOBAL ALTERNATIVES FUND
Average Annual Returns – June 30, 2009
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.
Growth of a $10,000 Investment in Class A Shares7
Average Annual Returns — June 30, 20097
6 MONTHS | SINCE INCEPTION | |||||
CLASS A (Inception 9/30/08) | ||||||
Net Asset Value1 | 3.00 | % | 0.19 | % | ||
With Maximum Sales Charge2 | -2.91 | -5.57 | ||||
CLASS C (Inception 9/30/08) | ||||||
Net Asset Value1 | 2.69 | -0.27 | ||||
With CDSC3 | 1.69 | -1.26 | ||||
CLASS Y (Inception 9/30/08) | ||||||
Net Asset Value1 | 2.99 | 0.32 | ||||
COMPARATIVE PERFORMANCE | 6 MONTHS | SINCE INCEPTION6 | ||||
HFRI Fund of Funds Composite Index4 | 5.25 | % | -5.34 | % | ||
Morningstar Long-Short Fund Avg.5 | 2.20 | -5.44 |
All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. All results include reinvestment of dividends and capital gains. Class Y shares are only available to certain investors, as outlined in the prospectus.
The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of | |||||
FUND COMPOSITION | 6/30/09 | 12/31/08 | |||
Certificates of Deposit | 45.6 | 51.6 | |||
Commercial Paper | 24.9 | 36.7 | |||
Time Deposits | 7.9 | 7.3 | |||
Medium Term Notes | 2.5 | — | |||
Futures Contracts | (0.0 | ) | 0.5 | ||
Forward Foreign Currency Contracts | (0.0 | ) | — | ||
Other | 19.1 | 3.9 |
% of Net Assets as of | ||
TEN LARGEST HOLDINGS | 6/30/09 | |
BNP Paribas, 0.220%, 7/01/2009 | 3.7 | |
National Bank of Canada, 0.150%, 7/01/2009 | 3.7 | |
Rabobank Nederland, 0.500%, 8/12/2009 | 3.1 | |
Allied Irish Banks PLC, 0.550%, 7/27/2009 | 3.1 | |
GE Capital Corp., 0.180%, 7/10/2009 | 3.1 | |
Royal Bank of Scotland, 0.450%, 8/04/2009 | 3.1 | |
Bank of Montreal, 0.350%, 9/15/2009 | 3.1 | |
Lloyd's Bank PLC, 0.620%, 9/22/2009 | 3.1 | |
Westpac Bank, 0.550%, 11/13/2009 | 2.8 | |
Kredietbank, 0.650%, 8/17/2009 | 2.8 |
Portfolio holdings and asset allocations will vary.
EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class | Gross Expense Ratio8 | Net Expense Ratio9 | ||
A | 5.11% | 1.64% | ||
C | 5.86 | 2.39 | ||
Y | 2.57 | 1.39 |
NOTES TO CHARTS
1 | Does not include a sales charge. |
2 | Includes the maximum sales charge of 5.75%. |
3 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
4 | HFRI Fund of Funds Composite Index. See page 3 for detailed description. |
5 | Morningstar Long-Short Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
6 | The since-inception comparative performance figures shown are calculated from 10/1/08. |
7 | Fund performance has been increased by expense reductions and reimbursements, without which performance would have been lower. |
8 | Before reductions and reimbursements. |
9 | After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10. |
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the fund is actively managed, there is no assurance that it will continue to invest in the securities or industries mentioned.
For more complete information on any Natixis Fund, contact your financial professional or call Natixis Funds and ask for a free prospectus, which contains more complete information including charges and other ongoing expenses. Investors should consider a fund’s objective, risks and expenses carefully before investing. This and other fund information can be found in the prospectus. Please read the prospectus carefully before investing.
PROXY VOTING INFORMATION
A description of the fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the fund’s website at www.funds.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the fund voted proxies during the period from September 30, 2008 – June 30, 2009 is available on the Fund’s website and the SEC’s website.
HFRI FUND OF FUNDS COMPOSITE INDEX
The Index is an unmanaged, equally-weighted hedge fund index including over 800 domestic and offshore funds of funds. Funds included within the index have either at least $50 million in assets under management or have been actively trading for at least twelve (12) months. Performance information is submitted by the funds of funds to the index provider, which does not audit the information submitted. The index is rebalanced monthly. Performance data is net of all fees charged by the hedge funds. Index returns are calculated three times each month and are subject to periodic recalculation by Hedge Fund Research, Inc. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the index returns provided by the fund may differ from the index returns for the same period provided by others.
QUARTERLY PORTFOLIO SCHEDULES
The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions and certain exchange fees, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. In addition, the fund assesses a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. Certain exemptions may apply. These costs are described in more detail in the fund’s prospectus. The examples below are intended to help you understand the ongoing costs of investing in the fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each Class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2009 through June 30, 2009. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your Class.
The second line in the table of each Class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges or exchange fees. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
ASG GLOBAL ALTERNATIVES FUND | BEGINNING ACCOUNT VALUE 1/1/2009 | ENDING ACCOUNT VALUE 6/30/2009 | EXPENSES PAID DURING PERIOD* 1/1/2009 – 6/30/09 | |||
CLASS A | ||||||
Actual | $1,000.00 | $1,030.00 | $8.10 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.81 | $8.05 | |||
CLASS C | ||||||
Actual | $1,000.00 | $1,026.90 | $11.91 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.04 | $11.83 | |||
CLASS Y | ||||||
Actual | $1,000.00 | $1,029.90 | $6.90 | |||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $6.85 |
* | Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Consolidated Financial Statements): 1.61%, 2.37% and 1.37% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIOOF INVESTMENTS
Investments as of June 30, 2009 (Unaudited)
Principal Amount | Description | Value (†) | ||||
Certificates of Deposit — 45.6% of Net Assets | ||||||
$ | 900,000 | Societe Generale, 0.780%, 7/07/2009 | $ | 900,084 | ||
900,000 | Canadian Imperial Bank of Commerce, 0.730%, 7/08/2009 | 900,076 | ||||
900,000 | Australia & New Zealand Banking Group, 0.550%, 7/09/2009 | 900,044 | ||||
900,000 | Skandinaviska Enskilda Banken NY, 0.970%, 7/13/2009(b) | 900,202 | ||||
900,000 | Dexia Credit Local de France, 1.300%, 7/15/2009 | 900,355 | ||||
900,000 | Landesbank Hessen Thueringen Girozent, 1.300%, 7/15/2009 | 900,356 | ||||
700,000 | Deutsche Bank AG, 0.620%, 7/15/2009 | 700,087 | ||||
1,100,000 | Allied Irish Banks PLC, 0.550%, 7/27/2009 | 1,100,008 | ||||
900,000 | Banco Bilbao de Vizcaya, 1.105%, 8/10/2009(b) | 900,721 | ||||
1,100,000 | Rabobank Nederland, 0.500%, 8/12/2009 | 1,100,196 | ||||
900,000 | Svenska Handelsbanken NY, 0.455%, 8/13/2009(b) | 900,060 | ||||
1,000,000 | Kredietbank, 0.650%, 8/17/2009 | 1,000,333 | ||||
900,000 | Abbey National PLC, 0.400%, 8/24/2009(b) | 899,999 | ||||
1,000,000 | National Australia Bank, 0.360%, 9/01/2009 | 999,921 | ||||
1,100,000 | Bank of Montreal, 0.350%, 9/15/2009 | 1,099,411 | ||||
1,000,000 | CALYON North America, Inc., 0.480%, 10/07/2009 | 999,945 | ||||
1,000,000 | Westpac Bank, 0.550%, 11/13/2009 | 1,000,564 | ||||
Total Certificates of Deposit (Identified Cost $16,101,457) | 16,102,362 | |||||
Commercial Paper — 24.9% | ||||||
Banking — 17.0% | ||||||
900,000 | Bank of Nova Scotia, 0.530%, 7/06/2009(c) | 899,970 | ||||
900,000 | Commonwealth Bank of Australia, 0.400%, 7/06/2009(c) | 899,970 | ||||
1,100,000 | GE Capital Corp., 0.180%, 7/10/2009(c) | 1,099,951 | ||||
900,000 | ICICI Bank Ltd., (Credit Support: Bank of America), 1.400%, 7/28/2009(c) | 899,566 | ||||
1,100,000 | Royal Bank of Scotland, 0.450%, 8/04/2009(c) | 1,099,533 | ||||
1,100,000 | Lloyd’s Bank PLC, 0.620%, 9/22/2009(c) | 1,098,753 | ||||
5,997,743 | ||||||
Distribution/Wholesale — 2.5% | ||||||
900,000 | Louis Dreyfus Corp., (Credit Support: Barclays Bank), 1.200%, 7/29/2009(c) | 899,800 | ||||
Principal Amount | Description | Value (†) | |||||
Education — 5.4% | |||||||
$ | 1,000,000 | Tennessee State School Bond Authority, 0.350%, 7/14/2009 | $ | 1,000,000 | |||
900,000 | Johns Hopkins University (The), Series C, 0.200%, 7/22/2009 | 900,000 | |||||
1,900,000 | |||||||
Total Commercial Paper (Identified Cost $8,796,010) | 8,797,543 | ||||||
Time Deposits — 7.9% | |||||||
1,300,000 | BNP Paribas, 0.220%, 7/01/2009 | 1,300,000 | |||||
1,300,000 | National Bank of Canada, 0.150%, 7/01/2009 | 1,300,000 | |||||
200,000 | Royal Bank of Canada, 0.150%, 7/01/2009 | 200,000 | |||||
Total Time Deposits (Identified Cost $2,800,000) | 2,800,000 | ||||||
Medium Term Notes — 2.5% | |||||||
900,000 | Procter & Gamble International Funding, 0.996%, 5/07/2010(b)(d) (Identified Cost $900,000) | 898,910 | |||||
Total Investments — 80.9% (Identified Cost $28,597,467)(a) | 28,598,815 | ||||||
Other assets less liabilities—19.1% | 6,751,094 | ||||||
Net Assets — 100.0% | $ | 35,349,909 | |||||
(†) | See Note 2b of Notes to Financial Statements. | ||||||
(a) | Federal Tax Information: At June 30, 2009, the net unrealized appreciation on short term investments purchased with over 60 days to maturity based on a cost of $28,597,467 for federal income tax purposes was as follows: | ||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 3,389 | |||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,041 | ) | |||||
Net unrealized appreciation | $ | 1,348 | |||||
(b) | All or a portion of this security is held as collateral for open futures and forward foreign currency contracts. | ||||||
(c) | Interest rate represents discount rate at time of purchase; not a coupon rate. | ||||||
(d) | Floating rate note. Rate shown is as of June 30, 2009. |
At June 30, 2009, the Fund had the following open forward foreign currency contracts:
Contract to | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||
Buy1 | 9/16/2009 | British Pound | 1,062,500 | $ | 1,747,824 | $ | 20,656 | ||||||
Buy1 | 9/16/2009 | Canadian Dollar | 1,600,000 | 1,376,179 | (62,685 | ) | |||||||
Buy1 | 9/16/2009 | Euro | 1,875,000 | 2,630,017 | 4,351 | ||||||||
Buy1 | 9/16/2009 | Japanese Yen | 12,500,000 | 129,867 | 1,665 | ||||||||
Buy1 | 9/16/2009 | Swedish Krona | 4,000,000 | 518,421 | 1,564 | ||||||||
Buy1 | 9/16/2009 | Swiss Franc | 250,000 | 230,306 | (1,119 | ) | |||||||
Total | $ | (35,568 | ) | ||||||||||
1 | Counterparty is UBS. |
See accompanying notes to consolidated financial statements.
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Table of Contents
ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIOOF INVESTMENTS (continued)
Investments as of June 30, 2009 (Unaudited)
At June 30, 2009, open futures contracts purchased were as follows:
Financial | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
Dax | 9/18/2009 | 8 | $ | 1,352,206 | $ | (16,554 | ) | ||||
Euro Dollar | 12/14/2009 | 72 | 17,837,100 | 72,000 | |||||||
FTSE 100 | 9/18/2009 | 24 | 1,665,468 | (23,452 | ) | ||||||
S&P 500 E Mini | 9/18/2009 | 27 | 1,235,925 | (28,620 | ) | ||||||
TOPIX | 9/11/2009 | 21 | 2,015,311 | (13,515 | ) | ||||||
UK Long Gilt | 9/28/2009 | 9 | 1,748,386 | 9,970 | |||||||
10 Year Japan Government Bond | 9/10/2009 | 2 | 2,867,078 | 40,587 | |||||||
10 Year U.S. Treasury Note | 9/21/2009 | 25 | 2,906,641 | 9,492 | |||||||
Total | $ | 49,908 | |||||||||
Commodity | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
Aluminum | 9/16/2009 | 27 | $ | 1,096,369 | $ | (14,006 | ) | ||||
Brent Crude Oil | 7/16/2009 | 5 | 346,500 | (13,400 | ) | ||||||
Copper | 9/16/2009 | 4 | 496,600 | 3,562 | |||||||
Gas Oil | 8/12/2009 | 2 | 113,550 | (2,500 | ) | ||||||
Gold | 8/27/2009 | 6 | 556,440 | (11,020 | ) | ||||||
Heating Oil | 7/31/2009 | 2 | 150,167 | 2,558 | |||||||
Light Sweet Crude Oil | 7/21/2009 | 1 | 69,890 | (1,980 | ) | ||||||
Natural Gas | 7/29/2009 | 7 | 268,450 | (14,210 | ) | ||||||
Nickel | 9/16/2009 | 5 | 460,980 | 16,980 | |||||||
Zinc | 9/16/2009 | 8 | 309,250 | (13,200 | ) | ||||||
Total | $ | (47,216 | ) | ||||||||
At June 30, 2009, open futures contracts sold were as follows:
Financial | Expiration Date | Contracts | Notional Value | Unrealized Depreciation | |||||||
German Euro Bund | 9/8/2009 | 4 | $ | 679,428 | $ | (16,343 | ) | ||||
(1) Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements. |
|
Net Asset Summary at June 30, 2009 (Unaudited)
Banking (including Certificates of Deposit and Time Deposits) | 70.5 | % | |
Education | 5.4 | ||
Distribution/Wholesale | 2.5 | ||
Medium Term Notes | 2.5 | ||
Total Investments | 80.9 | ||
Other assets less liabilities (Including open Forward Foreign Currency and Futures Contracts) | 19.1 | ||
Net Assets | 100.0 | % | |
See accompanying notes to consolidated financial statements.
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CONSOLIDATED STATEMENTOF ASSETSAND LIABILITIES
June 30, 2009 (Unaudited)
ASSETS | ||||
Investments at cost | $ | 28,597,467 | ||
Net unrealized appreciation | 1,348 | |||
Investments at value | 28,598,815 | |||
Cash | 2,831,944 | |||
Due from brokers (including variation margin on futures contracts) (Note 2) | 1,747,876 | |||
Receivable for Fund shares sold | 2,290,140 | |||
Receivable from investment advisor (Note 6) | 32,749 | |||
Interest receivable | 19,109 | |||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 28,236 | |||
Unrealized appreciation on futures contracts (Note 2) | 155,149 | |||
TOTAL ASSETS | 35,704,018 | |||
LIABILITIES | ||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 63,804 | |||
Unrealized depreciation on futures contracts (Note 2) | 168,800 | |||
Management fees payable (Note 6) | 30,422 | |||
Deferred Trustees’ fees (Note 6) | 5,531 | |||
Administrative fees payable (Note 6) | 14,576 | |||
Foreign currency due to broker at value (Identified cost $6,972) | 8,004 | |||
Other accounts payable and accrued expenses | 62,972 | |||
TOTAL LIABILITIES | 354,109 | |||
NET ASSETS | $ | 35,349,909 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 35,203,499 | ||
Accumulated net investment (loss) | (69,608 | ) | ||
Accumulated net realized gain on investments, futures contracts and foreign currency transactions | 264,921 | |||
Net unrealized depreciation on investments, futures contracts and foreign currency translations | (48,903 | ) | ||
NET ASSETS | $ | 35,349,909 | ||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: | ||||
Net assets | $ | 5,292,241 | ||
Shares of beneficial interest | 530,834 | |||
Net asset value and redemption price per share | $ | 9.97 | ||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 10.58 | ||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $ | 453,091 | ||
Shares of beneficial interest | 45,554 | |||
Net asset value and offering price per share | $ | 9.95 | ||
Class Y shares: | ||||
Net assets | $ | 29,604,577 | ||
Shares of beneficial interest | 2,965,196 | |||
Net asset value, offering and redemption price per share | $ | 9.98 | ||
See accompanying notes to consolidated financial statements.
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CONSOLIDATED STATEMENTOF OPERATIONS
For the Six Months Ended June 30, 2009 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 120,584 | ||
Expenses | ||||
Management fees (Note 6) | 155,659 | |||
Service fees - Class A (Note 6) | 1,327 | |||
Service and distribution fees - Class C (Note 6) | 758 | |||
Trustees’ and directors’ fees and expenses (Note 6) | 11,020 | |||
Administrative fees (Note 6) | 110,835 | |||
Custodian fees and expenses | 18,682 | |||
Transfer agent fees and expenses - Class A (Note 6) | 1,529 | |||
Transfer agent fees and expenses - Class C (Note 6) | 156 | |||
Transfer agent fees and expenses - Class Y (Note 6) | 81 | |||
Audit and tax services fees | 32,890 | |||
Legal fees | 3,697 | |||
Shareholder reporting expenses | 8,468 | |||
Registration fees | 23,834 | |||
Interest expense (Note 8) | 3,228 | |||
Miscellaneous expenses | 3,973 | |||
Total expenses | 376,137 | |||
Less fee reduction and/or expense reimbursement (Note 6) | (188,093 | ) | ||
Net expenses | 188,044 | |||
Net investment loss | (67,460 | ) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investments | 297 | |||
Futures contracts | 1,244,752 | |||
Foreign currency transactions | (85,915 | ) | ||
Net change in unrealized depreciation on: | ||||
Investments | (17,658 | ) | ||
Futures contracts | (125,981 | ) | ||
Foreign currency translations | (42,523 | ) | ||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 972,972 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 905,512 | ||
See accompanying notes to consolidated financial statements.
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CONSOLIDATED STATEMENTOF CHANGESIN NET ASSETS
Six Months Ended June 30, 2009 (Unaudited) | Period Ended December 31, 2008(a) | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (67,460 | ) | $ | 97,490 | |||
Net realized gain (loss) on investments, futures contracts and foreign currency transactions | 1,159,134 | (894,213 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | (186,162 | ) | 137,259 | |||||
Net increase (decrease) in net assets resulting from operations | 905,512 | (659,464 | ) | |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (974 | ) | (21 | ) | ||||
Class C | (156 | ) | (1 | ) | ||||
Class Y | (27,093 | ) | (99,492 | ) | ||||
Total distributions | (28,223 | ) | (99,514 | ) | ||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | 9,943,632 | 25,287,966 | ||||||
Net increase in net assets | 10,820,921 | 24,528,988 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 24,528,988 | — | ||||||
End of the period | $ | 35,349,909 | $ | 24,528,988 | ||||
ACCUMULATED NET INVESTMENT (LOSS)/UNDISTRIBUTED NET INVESTMENT INCOME | $ | (69,608 | ) | $ | 26,075 | |||
(a) | From commencement of operations on September 30, 2008 through December 31, 2008. |
See accompanying notes to consolidated financial statements.
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10
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FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | ||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Total distributions | ||||||||||||||||||
Class A | |||||||||||||||||||||||
6/30/2009(g) | $ | 9.69 | $ | (0.05 | ) | $ | 0.34 | $ | 0.29 | $ | (0.01 | ) | $ | (0.01 | ) | ||||||||
12/31/2008(h) | 10.00 | 0.03 | (0.30 | ) | (0.27 | ) | (0.04 | ) | (0.04 | ) | |||||||||||||
Class C | |||||||||||||||||||||||
6/30/2009(g) | 9.70 | (0.08 | ) | 0.34 | 0.26 | (0.01 | ) | (0.01 | ) | ||||||||||||||
12/31/2008(h) | 10.00 | 0.02 | (0.31 | ) | (0.29 | ) | (0.01 | ) | (0.01 | ) | |||||||||||||
Class Y* | |||||||||||||||||||||||
6/30/2009(g) | 9.70 | (0.02 | ) | 0.31 | 0.29 | (0.01 | ) | (0.01 | ) | ||||||||||||||
12/31/2008(h) | 10.00 | 0.04 | (0.30 | ) | (0.26 | ) | (0.04 | ) | (0.04 | ) |
* | Prior to December 1, 2008, the Fund offered Institutional Class shares. On December 1, 2008, Institutional Class shares were redesignated as Class Y shares. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year are not annualized. |
(c) | Had certain expenses not been reduced during the period total return would have been lower. |
(d) | The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction expenses would have been higher. |
See accompanying notes to consolidated financial statements.
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Ratios to Average Net Assets | ||||||||||||||||||||
Net asset value, end of the period | Total return (%)(b)(c) | Net assets, end of the period (000’s) | Net expenses, excluding interest expense (%)(d)(e) | Gross expenses, excluding interest expense (%)(e) | Net expenses, including interest expense (%)(d)(e) | Gross expenses, including interest expense (%)(e) | Net investment income (loss) (%)(e) | Portfolio turnover rate (%)(f) | ||||||||||||
$ | 9.97 | 3.00 | $ | 5,292 | 1.60 | 3.28 | 1.61 | 3.29 | (0.96 | ) | — | |||||||||
9.69 | (2.73 | ) | 6 | 1.60 | 61.52 | 1.62 | 61.54 | 1.36 | — | |||||||||||
9.95 | 2.69 | 453 | 2.35 | 3.92 | 2.37 | 3.94 | (1.73 | ) | — | |||||||||||
9.70 | (2.88 | ) | 1 | 2.35 | 62.35 | 2.39 | 62.38 | 0.62 | — | |||||||||||
9.98 | 2.99 | 29,605 | 1.35 | 2.73 | 1.37 | 2.75 | (0.47 | ) | — | |||||||||||
9.70 | (2.60 | ) | 24,523 | 1.35 | 4.43 | 1.39 | 4.46 | 1.59 | — |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
(g) | For the six months ended June 30, 2009 (Unaudited). |
(h) | For the period September 30, 2008 (inception) through December 31, 2008. |
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2009 (Unaudited)
1. Organization. Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end investment management company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. Information presented in these financial statements pertains to ASG Global Alternatives Fund (the “Fund”); the financial statements for the other funds of the Trust are presented in separate reports. The Fund commenced operations on September 30, 2008 via contribution by Natixis Global Asset Management, L.P. (“Natixis US”) of $25 million.
The Fund offers Class A, Class C and Class Y shares. Prior to December 1, 2008, the Fund offered Institutional Class shares. On December 1, 2008, Institutional Class shares were redesignated as Class Y shares of the Fund. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.
Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trust. Expenses of a fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a fund if the fund were liquidated. The Trustees approve separate dividends from net investment income on each class of shares.
The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). A subscription agreement was entered into between the Fund and the Subsidiary on January 29, 2009, the commencement date of the Subsidiary, with the intent that the Fund will remain the sole shareholder and primary beneficiary of the Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Fund’s Board of Trustees. As of June 30, 2009, the value of the Fund’s investment in the Subsidiary was $3,512,803, representing 9.9% of the Fund’s net assets.
2. Significant Accounting Policies.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements. The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions that have occurred through August 26, 2009, the date the financial statements were issued, and noted no items requiring recognition in the financial statements or additional disclosure in the Notes to Consolidated Financial Statements.
a. Consolidation. The financial statements have been consolidated and include all accounts of the Fund and the Subsidiary. Accordingly, all inter-fund transactions and balances have been eliminated.
b. Valuation. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the sub-adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Futures contracts are priced at their most recent settlement price. Forward foreign currency contracts are valued using interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
c. Security Transactions and Related Investment Income. Security transactions are accounted for on trade date. Interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
d. Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of the investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
The Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
The Fund may purchase investments of foreign issuers. Investing in securities of foreign issuers involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the price of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.
e. Forward Foreign Currency Contracts. The Fund may enter into forward foreign currency contracts to gain exposure to foreign currencies and may also use forward foreign currency contracts for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. A contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Fund’s Consolidated Statement of Assets and Liabilities. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
f. Futures Contracts. The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index (e.g., an interest-bearing security) for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker as “initial margin” an amount of cash or short-term high-quality securities. This initial margin, if any, is reflected on the Consolidated Statement of Assets and Liabilities as part of “Due from brokers”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Consolidated Statement of Assets and Liabilities as an asset (liability) and in the Consolidated Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is 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, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are limited.
g. Due from Brokers. Transactions and positions in futures and forwards are primarily maintained, cleared and held by registered U.S. broker/dealers pursuant to customer agreements between the Fund or the Subsidiary and the various broker/dealers. Due from brokers’ balances in the Consolidated Statement of Assets and Liabilities represent cash and any initial and/or variation margin applicable to open futures and forwards contracts. In certain circumstances the Fund’s or the Subsidiary’s use of cash held at brokers is restricted by regulation or broker mandated limits.
h. Federal and Foreign Income Taxes. The Trust treats the Fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of June 30, 2009 and has concluded that no provisions for income tax are required. The Fund’s federal tax return for the prior fiscal year remains subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
The Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
The Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable, and are reflected as foreign taxes payable on the Consolidated Statement of Assets and Liabilities, if any.
i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences include differing treatment for book and tax purposes for net realized gains on commodity futures. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, post-October capital loss deferrals, capital loss carryforwards and futures contracts mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the period ended December 31, 2008 was as follows:
2008 Distributions Paid From: | ||||||
Ordinary Income | Long-Term | Total | ||||
$ 99,514 | $ | — | $ | 99,514 |
Differences between these amounts and those reported in the Consolidated Statement of Changes in Net Assets, if any, are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2008, the capital loss carryforwards and post-October losses were as follows:
Capital loss carryforward: | ||||
Expires December 31, 2016 | $ | (783,520 | ) | |
Deferred net capital losses (post-October 2008) | (44,398 | ) |
j. Repurchase Agreements. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities.
k. Delayed Delivery Commitments. Certain transactions, such as futures and forward transactions, or purchases of when-issued or delayed delivery instruments may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in its portfolio. The price of the underlying instruments and the date when they will be paid for are fixed at the time the transaction is negotiated. If the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents will be maintained in an amount at least equal to the commitment with the custodian and/or broker. Losses may arise due to changes in the market value of the underlying instruments or if the counterparty does not perform under the contract.
l. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
3. Fair Value Measurements. In accordance with standards established by the Financial Accounting Standards Board, the Fund has categorized the inputs utilized in determining the value of its investments. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical investments; |
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
• | Level 2 – prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, interest rates, credit risk, etc.); |
• | Level 3 – prices determined using significant unobservable inputs for situations where quoted prices or observable inputs are unavailable such as when there is little or no market activity for an investment (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of investments and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2009:
Asset Valuation Inputs
Description | Quoted Prices | Significant (Level 2) | Significant (Level 3) | Total | ||||||||
Investments in Securities (a) | $ | — | $ | 28,598,815 | $ | — | $ | 28,598,815 | ||||
Forward Foreign Currency Contracts | — | 28,236 | — | 28,236 | ||||||||
Futures Contracts | 155,149 | — | — | 155,149 | ||||||||
Total | $ | 155,149 | $ | 28,627,051 | $ | — | $ | 28,782,200 | ||||
Liability Valuation Inputs
Description | Quoted Prices | Significant | Significant | Total | |||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (63,804 | ) | $ | — | $ | (63,804 | ) | |||||
Futures Contracts | (168,800 | ) | — | — | (168,800 | ) | |||||||||
Total | $ | (168,800 | ) | $ | (63,804 | ) | $ | — | $ | (232,604 | ) | ||||
(a) | Major categories of the Fund’s investments are included in the Portfolio of Investments. |
4. Derivatives. The Fund adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), effective January 1, 2009. FAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund may use include forward foreign currency contracts and futures contracts.
The Fund seeks to achieve long and short exposure to global equity, bond, currency, and commodity markets through a wide range of derivative and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
The following is a summary of derivative instruments for the Fund, as of June 30, 2009:
Asset Derivatives | Forwards | Futures | ||||
Foreign exchange contracts | $ | 28,236 | $ | — | ||
Equity contracts | — | — | ||||
Interest rate contracts | — | 132,049 | ||||
Commodity contracts | — | 23,100 |
Consolidated Statement of Assets and Liabilities Location | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts |
Liability Derivatives | Forwards | Futures | ||||||
Foreign exchange contracts | $ | (63,804 | ) | $ | — | |||
Equity contracts | — | (82,141 | ) | |||||
Interest rate contracts | — | (16,343 | ) | |||||
Commodity contracts | — | (70,316 | ) |
Consolidated Statement of Assets and Liabilities Location | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts |
Transactions in derivative instruments during the six months ended June 30, 2009, were as follows:
Realized Gain (Loss) | Forwards | Futures | ||||||
Foreign exchange contracts | $ | (91,810 | ) | $ | — | |||
Equity contracts | — | 206,440 | ||||||
Interest rate contracts | — | (177,630 | ) | |||||
Commodity contracts | — | 1,215,942 |
Consolidated Statement of Operations Location | Net realized gain (loss) on foreign currency transactions | Net realized gain (loss) on futures contracts |
Change in Appreciation (Depreciation) | Forwards | Futures | ||||||
Foreign exchange contracts | $ | (35,568 | ) | $ | — | |||
Equity contracts | — | (144,796 | ) | |||||
Interest rate contracts | — | 66,031 | ||||||
Commodity contracts | — | (47,216 | ) |
Consolidated Statement of Operations Location | Net change in unrealized appreciation/depreciation on foreign currency translations | Net change in unrealized appreciation/depreciation on futures contracts |
Volume of derivative activity, based on month-end notional amounts outstanding during the period, was as follows for the six months ended June 30, 2009:
Percentage of Net Assets | ||||||
Forwards | Futures | |||||
Average Notional Amount Outstanding | 23 | % | 90 | % | ||
Highest Notional Amount Outstanding | 42 | % | 103 | % | ||
Lowest Notional Amount Outstanding | 13 | % | 66 | % | ||
Notional Amount Outstanding as of June 30, 2009 | 19 | % | 103 | % |
Notional amounts outstanding are at absolute value and are determined, when applicable, by netting notional amounts of contracts to buy and sell the same underlying instrument.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
5. Purchases and Sales of Securities. For the six months ended June 30, 2009, purchases and proceeds from sales or maturities of short-term obligations were $328,454,529 and $323,320,313, respectively. There were no purchases or sales of long-term securities.
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis US, serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 1.15% of the Fund’s average daily net assets, less the net asset value of the Subsidiary, calculated daily and payable monthly. AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of the Fund. Payments to AlphaSimplex are reduced in the amount of payments to Reich & Tang.
AlphaSimplex also serves as investment adviser to the Subsidiary. The Subsidiary pays AlphaSimplex a management fee at the annual rate of 1.15% of the average daily net assets of the Subsidiary.
AlphaSimplex has given a binding undertaking to the Fund to reduce management fees and/or reimburse certain expenses associated with the Fund, including expenses of the Subsidiary, to limit its operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. This undertaking is in effect until April 30, 2010 and will be reevaluated on an annual basis. For the six months ended June 30, 2009, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:
Expense Limit as a Percentage of Average | ||||
Class A | Class C | Class Y | ||
1.60% | 2.35% | 1.35% |
For the six months ended June 30, 2009, the management fees and reductions of management fees for the Fund were as follows:
Gross Management Fee | Reduction of Management Fee | Net Management Fee | Percentage of Average | |||||||
Gross | Net | |||||||||
$155,659 | $ | 155,659 | $ | — | 1.15% | — |
In addition, for the six months ended June 30, 2009, the Fund was reimbursed operating expenses of $32,434.
AlphaSimplex is permitted to recover expenses it has borne under the expense limitation agreement (whether through reduction of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such reduced fees/expenses more than one year after the end of the fiscal year in which the fee/expense was reduced. The amounts subject to possible recovery under the expense limitation agreement at June 30, 2009 were as follows:
Expenses Subject to Possible Recovery until December 31, 2009 | |||||||||
Class A | Class C | Class Y | Total | ||||||
$321 | $ | 147 | $ | 188,166 | $ | 188,634 | |||
Expenses Subject to Possible Recovery until December 31, 2010 | |||||||||
Class A | Class C | Class Y | Total | ||||||
$8,898 | $ | 1,192 | $ | 178,003 | $ | 188,093 |
b. Administrative Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, Natixis Advisors receives an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per class and an additional $75,000 if managed by multiple subadvisors. For the period ended June 30, 2009, the Fund was subject to the new fund fee.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
Natixis Advisors also provides certain administrative services to the Subsidiary and has subcontracted with State Street Bank to serve as subadministrator. The Subsidiary pays Natixis Advisors fees equal to an annual rate of 0.05% of the average daily net assets of the Subsidiary. Payments by the Fund are reduced by the amount of payments to Natixis Advisors by the Subsidiary.
For the six months ended June 30, 2009, the Fund paid $87,020 in administrative fees to Natixis Advisors.
c. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Fund.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).
Under the Class A Plan, the Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plan, the Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plan, the Fund pays Natixis Distributors a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2009, the Fund paid the following service and distribution fees:
Service Fee | Distribution Fee | |||||
Class A | Class C | Class C | ||||
$1,327 | $ | 190 | $ | 568 |
d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Fund if the shares of those customers were registered directly with the Fund’s transfer agent. Accordingly, the Fund agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Fund would have paid its transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees. Listed below are the fees incurred by the Fund which are included in the transfer agent fees and expenses in the Consolidated Statement of Operations.
Sub-Transfer Agent Fees | ||||||
Class A | Class C | Class Y | ||||
$1,363 | $ | 100 | $ | 56 |
e. Commissions. The Fund has been informed that commissions (including CDSCs) on Fund shares paid to Natixis Distributors by shareholders of the Fund during the six months ended June 30, 2009 were $14,735.
f. Trustees Fees and Expenses. The Fund does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US, or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $200,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $65,000. Each Independent Trustee also receives a meeting attendance fee of $7,500 for each meeting of the Board of Trustees that he or she attends in person and $3,750 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chair receives an additional retainer fee at the annual rate of $10,000. Each Contract Review and Governance Committee member is compensated $5,000 for each Committee meeting that he or she attends in person and $2,500 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,250 for each Committee meeting that he or she attends in person and $3,125 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS (continued)
June 30, 2009 (Unaudited)
For the six months ended June 30, 2009, the Fund paid $5,365 in Trustees fees and expenses.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are reflected as Trustees’ fees and expenses in the Consolidated Statement of Operations. The portion of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Consolidated Statement of Assets and Liabilities.
7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, participates in a $200,000,000 unsecured committed line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR rate, plus 0.75%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
Prior to March 11, 2009, the Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 unsecured committed line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.09% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2009, the Fund had no borrowings under these agreements.
8. Interest Expense. The Fund is charged interest expense on cash and currency overdrafts, if any, for accounts held at the brokers. For the six months ended June 30, 2009, the Fund incurred $3,228 in interest expense.
9. Shareholders. At June 30, 2009, Natixis US owned shares equating to 71.33% of the Fund’s net assets. Activity of this shareholder could have a material impact to the Fund.
10. Capital Shares. The Fund may issue an unlimited number of shares of beneficial interest without par value. Transactions in capital shares were as follows:
Six Months Ended June 30, 2009 |
| Period Ended December 31, 2008* | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A | ||||||||||||||
Issued from the sale of shares | 537,215 | $ | 5,304,218 | 687 | $ | 6,664 | ||||||||
Issued in connection with the reinvestment of distributions | 26 | 253 | 2 | 21 | ||||||||||
Redeemed | (6,976 | ) | (68,860 | ) | (120 | ) | (1,163 | ) | ||||||
Net change | 530,265 | $ | 5,235,611 | 569 | $ | 5,522 | ||||||||
Class C | ||||||||||||||
Issued from the sale of shares | 46,867 | $ | 454,835 | 100 | $ | 1,000 | ||||||||
Issued in connection with the reinvestment of distributions | 16 | 152 | — | (a) | 1 | |||||||||
Redeemed | (1,429 | ) | (14,300 | ) | — | — | ||||||||
Net change | 45,454 | $ | 440,687 | 100 | $ | 1,001 | ||||||||
Class Y | ||||||||||||||
Issued from the sale of shares | 464,721 | $ | 4,550,783 | 2,518,764 | $ | 25,181,951 | ||||||||
Issued in connection with the reinvestment of distributions | 2,778 | 26,944 | 10,289 | 99,492 | ||||||||||
Redeemed | (31,356 | ) | (310,393 | ) | — | — | ||||||||
Net change | 436,143 | $ | 4,267,334 | 2,529,053 | $ | 25,281,443 | ||||||||
Increase (decrease) from capital share transactions | 1,011,862 | $ | 9,943,632 | 2,529,722 | $ | 25,287,966 | ||||||||
* | From commencement of operations on September 30, 2008 through December 31, 2008. |
(a) | Amount rounds to less than one share. |
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If you wish to communicate with the Funds’ Board of Trustees, you may do so by writing to: Secretary of the Funds, Natixis Asset Management Advisors, L.P., 399 Boylston Street, Boston, MA 02116.
The correspondence must a) be signed by the shareholder; b) include the shareholder’s name and address; and c) identify the fund(s), account number, share class, and number of shares held in that fund, as of a recent date.
Or by e-mail at:
secretaryofthefunds@ga.natixis.com
(Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.)
Please note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, Social Security number, PIN, or any other non-public personal information in an e-mail communication because this information may be viewed by others.
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ASG58-0609
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management 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 Securities Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Exhibits. |
(a) | (1) | Not applicable | ||
(a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | ||
(a) | (3) | Not applicable. | ||
(b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b). |
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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.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 26, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 26, 2009 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 26, 2009 |