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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, 2011
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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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SEMIANNUAL REPORT
June 30, 2011
ASG Diversifying Strategies Fund
ASG Global Alternatives Fund
ASG Managed Futures Strategy Fund
Loomis Sayles Absolute Strategies Fund
Loomis Sayles Multi-Asset Real Return Fund
Management Discussion and Investment Results page 1
Consolidated Portfolio of Investments page 33
Consolidated Financial Statements page 71
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ASG DIVERSIFYING STRATEGIES FUND
Management Discussion
Managers:
Andrew W. Lo
Jeremiah H. Chafkin
Philippe P. Lüdi
AlphaSimplex Group, LLC
(Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC
(Subadviser)
Objective:
Pursues an absolute return strategy that seeks to provide capital appreciation while maintaining a low or negative correlation over time with the returns of major equity indices.
Strategy:
Seeks to generate positive absolute returns over time rather than track the performance of any particular index by using multiple quantitative investment models and strategies.
Inception Date:
August 3, 2009
Symbols:
| Class A | DSFAX | |
| Class C | DSFCX | |
| Class Y | DSFYX |
Market Conditions
Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which, in turn, may have contributed to the underperformance of emerging stock markets.
As the first half of 2011 progressed, market participants became less optimistic about global growth. The most visible factors contributing to this shift were the disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half as the Greek parliament passed new reforms in exchange for additional aid.
Performance Results
For the six months ended June 30, 2011, Class A shares of ASG Diversifying Strategies Fund returned -2.76% at net asset value. The fund lagged its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.16%. The fund follows an absolute return strategy and does not seek to track any index. Therefore, we believe its most appropriate benchmark is the 3-month LIBOR.
Explanation of Fund Performance
The fund seeks to achieve absolute returns using a proprietary, statistical process, while maintaining a low or negative correlation over time with major equity indexes. The fund typically uses derivative instruments such as futures and forward contracts on global stock indexes, fixed-income securities, currencies, interest rates, and commodities to gain liquid, broad market exposures. The fund aims to achieve its correlation objective by selling futures on global stock indexes when the trailing 12-month equity correlation of fund
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holdings would otherwise be too high. When the fund takes on a “long” exposure to a market, it profits as prices rise; when it takes on a “short” exposure, it profits as prices fall. As market events unfold, these various market exposures result in a profit or loss for the fund.
During the first half of the year, fixed income, currencies and commodities all contributed positively to performance. However, this was not enough to offset losses in equities during the first half of the year. The equity correlation control objective of the fund caused it to be periodically net short equities during the beginning of the year, when equity markets generally rose. As concerns about a global slowdown in growth intensified during the second quarter, the fund gave up most of its gains in commodities. The fund’s losses in equities continued through the second quarter as these same concerns led to a reversal in equities. The equity correlation control objective of the fund caused us to reduce its equity exposure through much of the second quarter. However, this was not sufficient to eliminate the fund’s losses in equities. Short-term interest rates remained low, so gains from the fund’s money market positions were small.
The biggest positive contributors during the first six months of 2011 were Japanese 10-year government bonds, gold, and the Swiss franc. Conversely, the biggest detractors from performance were the German, Japanese, and U.S. stock indexes. As is usually the case, the fund carried large exposures (as measured by the notional or contract values of futures contracts) to short-term interest rates such as the Eurodollar and LIBOR, in order to gain the diversification advantage provided by these low volatility assets.
The fund’s realized annualized volatility during the first half of 2011 was 8.8%, consistent with its risk objectives and well within its targeted range.
In order to help investors achieve diversification benefits in their overall portfolios, ASG Diversifying Strategies Fund seeks a low trailing 12-month correlation with global equity markets. The correlation of daily
returns was 28% with the S&P 500 Index during the
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
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first half of the year, and 17% for the trailing 12-months ended June 30, 2011, which was in line with our objective.
Outlook
At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.
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ASG DIVERSIFYING STRATEGIES FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares6
August 3, 2009 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20116
| 6 Months | 1 Year | Since Inception5 | ||||||||||
| Class A (Inception 8/3/09) | ||||||||||||
| NAV | -2.76 | % | 6.12 | % | 6.68 | % | ||||||
| With 5.75% Maximum Sales Charge | -8.37 | 0.07 | 3.42 | |||||||||
| Class C (Inception 8/3/09) | ||||||||||||
| NAV | -3.08 | 5.33 | 5.85 | |||||||||
| With CDSC1 | -4.05 | 4.33 | 5.85 | |||||||||
| Class Y (Inception 8/3/09) | ||||||||||||
| NAV | -2.66 | 6.29 | 6.84 | |||||||||
| Comparative Performance | ||||||||||||
| 3-Month LIBOR2 | 0.16 | 0.39 | 0.36 | |||||||||
| HFRI Fund of Funds Composite Index3 | -0.45 | 6.52 | 5.01 | |||||||||
| Morningstar Multialternative Fund Avg.4 | 0.98 | 9.42 | 6.17 | |||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
See Notes To Charts on page 5.
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PORTFOLIO FACTS
| Fund Composition | % of Net Assets as of 6/30/11 | |||
Certificates of Deposit | 69.1 | |||
Financial Company Commercial Paper | 17.2 | |||
Forward Foreign Currency Contracts | (0.5 | ) | ||
Futures Contracts | (0.4 | ) | ||
Other Assets less Liabilities | 14.6 | |||
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio7 | Net Expense Ratio8 | ||||||
| A | 1.99 | % | 1.74 | % | ||||
C | 2.66 | 2.49 | ||||||
| Y | 1.83 | 1.49 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
| 3 | HFRI Fund of Funds Composite 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 funds do not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the HFRI Index returns reported by the funds may differ from the index returns for the same period published by others. |
| 4 | Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 5 | The since-inception comparative performance figures shown are calculated from 8/1/09. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 7 | Before fee waivers and/or expense reimbursements. |
| 8 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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ASG GLOBAL ALTERNATIVES FUND
Management Discussion
Managers:
Andrew W. Lo
Jeremiah H. Chafkin
Peter A. Lee
AlphaSimplex Group, LLC
(Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC
(Subadviser)
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
Symbols:
| Class A | GAFAX | |
| Class C | GAFCX | |
| Class Y | GAFYX |
Market Conditions
Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which, in turn, may have contributed to the underperformance of emerging stock markets.
As the first half of 2011 progressed, market participants became less optimistic about global growth. The most visible factors contributing to this shift were the disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half as the Greek parliament passed new reforms in exchange for additional aid.
As measured by the HFRI Fund of Funds index, the strongest returns posted by hedge funds during this period occurred during April, and their weakest returns occurred during May and June.
Performance Results
For the six months ended June 30, 2011, Class A Shares of ASG Global Alternatives Fund returned 3.49% at net asset value. The fund follows an absolute return strategy and does not seek to track an index. However, its returns may often be similar to those of the HFRI Fund of Funds Composite Index, which returned -0.45% for the same period. It is important to note that there are important differences between the fund and the benchmark, which is non-investable.
Explanation of Fund Performance
As always, the fund’s strategy is to take on the exposures that best reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary, statistical process. When the fund takes on a “long” exposure to a market, it profits as prices rise;
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What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
when it takes on a “short” exposure, it profits as prices fall. In taking on these exposures, the fund typically uses derivative instruments, such as futures and forward contracts on global stock indices, fixed-income securities, currencies, interest rates and commodities. As market events unfold, these various market exposures result in a profit or loss for the fund.
The fund’s largest gains during the first half came from exposure to foreign currencies, stocks and precious metals. The strongest individual contributors to performance were long exposure to U.S. stocks, gold, the Swiss franc, German stocks and the Australian dollar. The fund also held short positions in aluminum and natural gas. Overall, the fund’s short positions made a small positive contribution to returns. Short-term interest rates remained low, so gains from the fund’s money market positions were small.
During this period we made adjustments to the portfolio. In particular we bought stocks and Eurodollar contracts, while we sold bonds and base metals. The fund’s volatility was 7.6%, which is in line with our risk management expectations.
Outlook
At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.
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ASG GLOBAL ALTERNATIVES FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares5
September 30, 2008 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20115
| 6 Months | 1 Year | Since Inception4 | ||||||||||
| Class A (Inception 9/30/08) | ||||||||||||
| NAV | 3.49 | % | 14.42 | % | 5.98 | % | ||||||
| With 5.75% Maximum Sales Charge | -2.45 | 7.88 | 3.72 | |||||||||
| Class C (Inception 9/30/08) | ||||||||||||
| NAV | 3.06 | 13.53 | 5.19 | |||||||||
| With CDSC1 | 2.06 | 12.53 | 5.19 | |||||||||
| Class Y (Inception 9/30/08) | ||||||||||||
| NAV | 3.66 | 14.67 | 6.25 | |||||||||
| Comparative Performance | ||||||||||||
| HFRI Fund of Funds Composite Index2 | -0.45 | 6.52 | 1.96 | |||||||||
| Morningstar Multialternative Fund Avg.3 | 0.98 | 9.42 | 2.72 | |||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
See Notes To Charts on page 9.
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PORTFOLIO FACTS
| Fund Composition | % of Net Assets as of 6/30/11 | |||
Certificates of Deposit | 68.0 | |||
Financial Company Commercial Paper | 23.1 | |||
Forward Foreign Currency Contracts | (0.0 | ) | ||
Futures Contracts | 1.2 | |||
Other Assets less Liabilities | 7.7 | |||
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio6 | Net Expense Ratio7 | ||||||
| A | 1.67 | % | 1.61 | % | ||||
| C | 2.42 | 2.36 | ||||||
| Y | 1.42 | 1.36 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | HFRI Fund of Funds Composite 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 funds do not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the HFRI Index returns reported by the funds may differ from the index returns for the same period published by others. |
| 3 | Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 10/1/08. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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ASG MANAGED FUTURES STRATEGY FUND
Management Discussion
Managers:
Andrew W. Lo
Jeremiah H. Chafkin
AlphaSimplex Group, LLC
(Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC
(Subadviser)
Objective:
Pursues an absolute return strategy that seeks to provide capital appreciation.
Strategy:
Seeks to generate positive absolute returns over time by using a variety of derivative instruments, including futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also seeking to add value through volatility management.
Inception Date:
July 30, 2010
Symbols:
| Class A | AMFAX | |
| Class C | ASFCX | |
| Class Y | ASFYX |
Market Conditions
Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward, while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which may have contributed to the underperformance of emerging stock markets.
As the first half of 2011 progressed, market participants became less optimistic about global growth due, in part, to disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half of 2011 as the Greek parliament passed new reforms in exchange for additional aid.
Performance Results
For the six months ended June 30, 2011, Class A Shares of ASG Managed Futures Strategy Fund returned 0.19% at net asset value. The fund follows an absolute return strategy and does not seek to track an index. However, its returns may often be similar to those of the FTSE StableRisk Trend Composite Index, which returned 3.64% for the same period. It is important to note that there are important differences between the fund and the benchmark in terms of risk management. There were no significant changes to the fund strategy during this period.
Explanation of Fund Performance
The difference in performance between the fund and the benchmark was generally due to the fund’s risk management mechanism, which aims to scale total portfolio positions up or down in response to market volatility, correlation and the fund’s drawdown. In general, a lower volatility helps mitigate the impact of continued losses, but at the cost of muting potential gains. The fund reduced its exposures following the high
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What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
volatility around the Japanese earthquake and around the end of the second quarter in response to losses experienced by trend-following strategies.
The fund uses a set of proprietary quantitative models to identify trends in global stock, fixed-income, currency, and commodity markets. When the fund takes on a “long” exposure to a market, it profits as prices rise; when it takes on a “short” exposure, it profits as prices fall. In taking on these exposures, the fund typically uses derivative instruments such as futures and forward contracts. As market events unfold, these various market exposures result in a profit or loss for the fund.
During the first six months of 2011, all of our trend models profitably captured trends in foreign currencies and fixed income. However, unlike the second half of 2010, commodity returns from trend following were nearly flat, while returns from stock market trends were negative. This was largely a result of the risk control mechanism reducing the fund’s exposure to equity markets following the Japanese earthquake in expectation of continued high volatility. In this instance, this resulted in lower gains during the equity markets’ recovery. Similarly, towards the end of June, equity markets were experiencing increasing volatility and the fund had automatically reduced its total exposures due to its drawdown, again reducing the fund’s gains from the end-of-month rally.
Specific assets that contributed very positively during the first six months of 2011 included the Swiss franc, Swedish krona, the Eurodollar interest rate, Japanese 10-year government bonds and silver. Conversely, positions in the New Zealand dollar as well as Japanese and Swedish stock market futures contributed negatively. As is usually the case, the fund obtained large exposures (as measured by the notional or contract values of futures contracts) to short-term interest rates such as the Eurodollar and London Interbank Offered Rate (LIBOR), in order to gain the diversification advantage provided by these low volatility assets.
We continued to scale portfolio positions to keep total portfolio risk at or below its target. As market volatility
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increases, positions are reduced; and as market volatility decreases, positions are increased. The fund’s realized annualized volatility has been consistent with the fund’s risk objectives in the first six months of 2011 at 11%. The correlation of daily returns was 63% with the S&P 500 Index and -31% with the J.P. Morgan Global Bond Index, demonstrating the possible diversification benefits of the fund. Given low interest rates, the fund’s money market position contributed only marginally to performance during the first half of 2011.
Outlook
At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.
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ASG MANAGED FUTURES STRATEGY FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares5
July 30, 2010 (inception) through June 30, 2011
Total Returns — June 30, 20115
| 6 Months | Since Inception4 | |||||||
| Class A (Inception 7/30/10) | ||||||||
| NAV | 0.19 | % | 13.65 | % | ||||
| With 5.75% Maximum Sales Charge | -5.60 | 7.12 | ||||||
| Class C (Inception 7/30/10) | ||||||||
| NAV | -0.19 | 12.83 | ||||||
| With CDSC1 | -1.19 | 11.83 | ||||||
| Class Y (Inception 7/30/10) | ||||||||
| NAV | 0.38 | 13.82 | ||||||
| Comparative Performance | ||||||||
| FTSE StableRisk Trend Composite Index2 | 3.64 | 20.32 | ||||||
| Morningstar Managed Futures Fund Avg.3 | -1.84 | 8.57 | ||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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PORTFOLIO FACTS
| Fund Composition | % of Net Assets as of 6/30/11 | |||
Certificates of Deposit | 66.1 | |||
Financial Company Commercial Paper | 19.9 | |||
Forward Foreign Currency Contracts | (1.0 | ) | ||
Futures Contracts | 0.3 | |||
Other Assets less Liabilities | 14.7 | |||
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio6 | Net Expense Ratio7 | ||||||
| A | 1.88 | % | 1.72 | % | ||||
| C | 2.63 | 2.47 | ||||||
| Y | 1.63 | 1.47 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | FTSE StableRisk Trend Composite Index is an unmanaged index based on a transparent trend-following strategy designed to provide long and/or short exposure to various asset classes at a targeted level of volatility. |
| 3 | Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 8/1/10. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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LOOMIS SAYLES ABSOLUTE STRATEGIES FUND
Management Discussion
Managers:
Matthew J. Eagan, CFA
Kevin Kearns
Todd P. Vandam, CFA
Loomis, Sayles & Company, L.P.
Objective:
Seeks to provide an attractive absolute total return, complemented by prudent management designed to manage risks and protect investor capital.
Strategy:
Seeks to generate positive total returns by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates while employing risk management strategies to mitigate downside risk.
Inception Date:
December 15, 2010
Symbols:
| Class A | LABAX | |
| Class C | LABCX | |
| Class Y | LASYX |
Market Conditions
The period started off on an optimistic note, driven by solid global growth projections and improving confidence. In this environment, investors favored higher-risk sectors and securities. Beginning late in the first quarter and extending through late June, a series of events caused market sentiment to shift. Specifically, a devastating earthquake in Japan, soaring oil prices stemming from political unrest in the Middle East and North Africa, projections for slower global growth, rising inflation and unemployment suppressed the financial markets. Concerns about debt-laden Greece, expectations for a political showdown over the U.S. debt ceiling and uncertainty about the financial markets’ response to the end of quantitative easing also contributed to the volatility. In this environment, investors staged a flight to safety, and higher-quality sectors and securities outperformed. Nevertheless, higher-risk securities performed the best for the six-month period, as high-yield and investment-grade corporate bonds outperformed Treasuries.
Performance Results
For the six months ended June 30, 2011, Class A shares of Loomis Sayles Absolute Strategies Fund returned 0.16% at net asset value. The fund performed in line with its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.16% for the period. The fund follows an absolute return strategy and is not managed to an index.
Explanation of Fund Performance
The fund’s high-yield and investment-grade corporate bonds posted strong returns during the first quarter of 2011, as investors continued to reach for yield in the low-interest-rate environment. We focused on higher-risk/higher-reward-potential cyclical issues that we believed would outperform during the next phase of the economic recovery. In addition, the fund’s securities denominated in the Russian ruble and Mexican peso were strong contributors to performance, as commodity-based currencies benefited from strong global demand.
Within the fund’s Treasury component, we maintained a flat to short duration (a measure of a fund’s sensitivity to interest rate changes) to mitigate interest-rate risk. This strategy detracted from performance during the
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second quarter, when demand for high-quality securities pushed Treasury yields lower. (When rates decline, funds with longer durations experience greater price appreciation.) In addition, the fund’s commercial and residential mortgage-backed securities (CMBS and RMBS) faced strong technical headwinds that caused prices to decline, although fundamentals remained intact. Furthermore, convertible bonds lagged due to their market values moving in sync with falling equity markets late in the period.
During the period, we used a broad range of derivatives for hedging and investment purposes. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we consider the expected relative risks and returns of such investments and their related costs.
We used U.S. Treasury futures to hedge interest-rate risk by managing our exposure to the yield curve (a curve that shows the relationship between bond yields across the maturity spectrum) and by reducing duration. The curve strategy contributed positively to fund performance, while reducing duration detracted from performance. Additionally, we used credit default swaps (CDS) to manage global and industry-specific credit risks. On a net basis, the CDS detracted from fund performance, as we attempted to mitigate volatility. We also used forward foreign currency contracts to manage various currency exposures. During the period, our long position in the Australian dollar and our short position in the euro detracted from performance.
Outlook
Overall, we believe interest rates generally will trend upward with periodic volatility, as the struggling U.S. housing market and European sovereign-debt woes continue to worry investors.
We believe the market is in the expansion phase of the credit cycle and therefore remain optimistic toward credit-sensitive securities. Looking ahead, we believe individual security selection will become increasingly important. We remain optimistic about CMBS and RMBS, and continue to favor currencies from countries we believe can generate robust growth and do not have fiscal deficit concerns, including non-Japan Asia and countries with commodity-sensitive currencies.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
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LOOMIS SAYLES ABSOLUTE STRATEGIES FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares6
December 15, 2010 (inception) through June 30, 2011
Total Returns — June 30, 20116
| 6 Months | Since Inception5 | |||||||
| Class A (Inception 12/15/10) | ||||||||
| NAV | 0.16 | % | 0.58 | % | ||||
| With 4.50% Maximum Sales Charge | -4.32 | -3.94 | ||||||
| Class C (Inception 12/15/10) | ||||||||
| NAV | -0.28 | 0.03 | ||||||
| With CDSC1 | -1.26 | -0.96 | ||||||
| Class Y (Inception 12/15/10) | ||||||||
| NAV | 0.25 | 0.66 | ||||||
| Comparative Performance | ||||||||
| 3-Month LIBOR2 | 0.16 | 0.16 | ||||||
| 3-Month LIBOR + 300 basis points3 | 1.67 | 1.67 | ||||||
| Morningstar Multisector Bond Fund Avg.4 | 3.30 | 3.30 | ||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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PORTFOLIO FACTS
| Fund Composition | % of Net Assets as of 6/30/11 | |||
Bonds and Notes | 66.3 | |||
Senior Loans | 9.4 | |||
Preferred Stocks | 2.9 | |||
Purchased Options | 0.0 | |||
Credit Default Swap Agreements | 0.0 | |||
Forward Foreign Currency Contracts | (0.1 | ) | ||
Futures Contracts | (0.1 | ) | ||
Short-Term Investments and Other | 21.6 | |||
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio7 | Net Expense Ratio8 | ||||||
| A | 1.28 | % | 1.28 | % | ||||
| C | 2.03 | % | 2.03 | % | ||||
| Y | 1.03 | % | 1.03 | % | ||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
| 3 | 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual percentage change of the 3-Month LIBOR. |
| 4 | Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 5 | The since-inception comparative performance figures shown are calculated from 1/1/11. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 7 | Before fee waivers and/or expense reimbursements. |
| 8 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Management Discussion
Kevin Kearns
David Rolley, CFA
Laura Sarlo, CFA
Loomis, Sayles & Company, L.P.
Objective:
Seeks to maximize real returns consistent with prudent investment management.
Strategy:
Seeks to pursue its investment goal primarily through exposure to investments in fixed-income securities, equity securities, currencies and commodity-linked instruments.
Inception Date:
September 30, 2010
Symbols:
| Class A: | MARAX | |
| Class C: | MARCX | |
| Class Y: | MARYX |
Market Conditions
Securities offering higher risk and higher reward potential rallied through the start of the year amid positive macroeconomic data and continued strength in corporate earnings. Late in the first quarter and throughout most of the second quarter, volatility returned to the markets. Higher oil prices, supply-chain disruptions stemming from Japan’s earthquake, global growth concerns and Greece’s sovereign-debt crisis caused investors to seek the relative safety of Treasury securities. Yields declined across the U.S. Treasury yield curve (a curve that shows the relationship between bond yields across the maturity spectrum), except at the long end, where the 30-year Treasury bond yield increased slightly. Securities within the five- to ten-year maturity range experienced the largest yield declines. Throughout the period, corporate balance sheets remained strong and earnings continued to beat analyst expectations. The new-issue market for investment-grade and high-yield securities remains on track for another year of strong supply.
Performance Results
For the six months ended June 30, 2011, Class A shares of the Loomis Sayles Multi-Asset Real Return Fund returned -2.12% at net asset value. The fund underperformed its benchmark, the Barclays Capital U.S. TIPS Index, which returned 5.81% for the period. The fund follows an absolute return strategy and is not managed to an index.
Explanation of Fund Performance
Allocations to high-yield and investment-grade corporate bonds contributed strongly to performance, until the flight to quality emerged. High-yield securities in the communications, energy and consumer non-cyclical sectors were among the top performers. In the investment-grade sector, the fund’s longer-duration (a measure of a fund’s sensitivity to interest rate changes) bonds offered yield advantages and benefited from the falling-rate environment. Selected issues in the banking, energy and communications industries made the largest contributions. Additionally, exposure
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to countries experiencing classic inflationary pressures, including the commodity-rich nations of Mexico, Russia, Colombia and South Africa, proved beneficial, due to their notable currency appreciation.
Equity exposure detracted from performance as stocks sold off late in June. Securities in the banking, oil and manufacturing industries had the greatest negative impact on performance. In addition, certain foreign-currency trades weighed on results. The U.S. dollar remained under pressure, as loose monetary policy, fiscal concerns and diversification away from U.S. dollar-denominated assets weighed on the greenback. Furthermore, our efforts to manage duration dragged down performance. We expected Treasury yields to increase on mounting inflation concerns. Yet, Treasury yields generally declined due to the flight to quality, and our shorter-duration strategy lagged.
During the period, we used a broad range of derivatives for hedging and investment purposes. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we consider the expected relative risks and returns of such investments and their related costs. In particular, we used commodity futures to gain exposure to various commodities, including precious metals, which contributed to performance, and energy, which detracted from performance. We used U.S. Treasury futures to manage interest rate risk. During the period, we sold these futures to reduce duration, which detracted from performance. Credit default swaps (CDS) were used to remove overall global and industry credit-market exposure while allowing the fund to hold specific selections. The use of CDS did not materially affect performance. Various forward foreign currency contracts helped us manage the fund’s overall exposure to currencies. During the period, some of the positions had more impact than others. The fund’s overall long position in the Australian dollar and Singapore dollar detracted from performance.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
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Outlook
Looking ahead, we will continue to focus on identifying and categorizing economic regimes and maintaining a well-diversified portfolio. We remain concerned about inflation triggered by debt in developed countries and classic inflation in emerging markets. Inflationary pressures should continue to push emerging-market currencies higher. We expect certain commodities to outperform on strong global demand and the massive rebuilding effort in Japan.
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LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares6
September 30, 2010 (inception) through June 30, 2011
Total Returns — June 30, 20116
| 6 Months | Since Inception5 | |||||||
| Class A (Inception 9/30/10) | ||||||||
| NAV | -2.12 | % | -0.07 | % | ||||
| With 4.50% Maximum Sales Charge | -6.54 | -4.55 | ||||||
| Class C (Inception 9/30/10) | ||||||||
| NAV | -2.42 | -0.58 | ||||||
| With CDSC1 | -3.39 | -1.57 | ||||||
| Class Y (Inception 9/30/10) | ||||||||
| NAV | -2.02 | 0.06 | ||||||
| Comparative Performance | ||||||||
| Barclays Capital U.S. TIPS Index2 | 5.81 | 5.13 | ||||||
| CPI + 300 basis points3 | 4.53 | 5.67 | ||||||
| Morningstar Conservative Allocation Fund Avg.4 | 3.83 | 7.50 | ||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
See Notes To Charts on page 23.
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Bonds and Notes | 40.6 | |||
Common Stocks | 12.7 | |||
Exchange Traded Funds | 8.7 | |||
Preferred Stocks | 1.5 | |||
Senior Loans | 1.0 | |||
Purchased Options | 1.0 | |||
Written Options | (0.2 | ) | ||
Credit Default Swap Agreements | 0.1 | |||
Forward Foreign Currency Contracts | (0.1 | ) | ||
Futures Contracts | (0.3 | ) | ||
Short-Term Investments and Other | 35.0 | |||
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio7 | Net Expense Ratio8 | ||||||
| A | 1.93 | % | 1.40 | % | ||||
| C | 2.68 | 2.15 | ||||||
| Y | 1.68 | 1.15 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
| 2 | Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury. |
| 3 | CPI +300 basis points is created by adding 3.00% to the annual percentage change in the Consumer Price Index (CPI). The Consumer Price Index is an unmanaged index that represents the rate of inflation of U.S. consumer prices as determined by the U.S. Bureau of Labor Statistics. |
| 4 | Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 5 | The since-inception comparative performance figures shown are calculated from 10/1/10. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 7 | Before fee waivers and/or expense reimbursements. |
| 8 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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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.
Before investing, consider each fund’s investment objectives, risks, charges and expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.
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 ga.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies during the 12-month period ended June 30, 2011 is available on 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 800-SEC-0330.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The following examples 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 for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2011 through June 30, 2011. 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 for your Class.
The second line for the table of each class 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 funds 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. 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.
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| ASG DIVERSIFYING STRATEGIES FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $972.40 | $8.41 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.27 | $8.60 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $969.20 | $12.11 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.50 | $12.37 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $973.40 | $7.24 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.46 | $7.40 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.72%, 2.48% and 1.48% 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). |
| ASG GLOBAL ALTERNATIVES FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,034.90 | $8.12 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.81 | $8.05 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,030.60 | $11.88 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.09 | $11.78 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,036.60 | $6.87 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.05 | $6.80 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio, including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.61%, 2.36% and 1.36% 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 MANAGED FUTURES STRATEGY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,001.90 | $8.49 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.31 | $8.55 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $998.10 | $12.19 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.60 | $12.28 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,003.80 | $7.25 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.55 | $7.30 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.71%, 2.46% and 1.46% 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). |
| LOOMIS SAYLES ABSOLUTE STRATEGIES FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,001.60 | $6.15 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.65 | $6.21 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $997.20 | $9.80 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.98 | $9.89 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,002.50 | $4.92 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.89 | $4.96 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.24%, 1.98% and 0.99% 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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| LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $978.80 | $6.62 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.10 | $6.76 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $975.80 | $10.29 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.38 | $10.49 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $979.80 | $5.40 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.34 | $5.51 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements): 1.35%, 2.10% and 1.10% 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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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS FOR ASG GLOBAL ALTERNATIVES FUND AND ASG DIVERSIFYING STRATEGIES FUND
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 adviser and sub-adviser (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 and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers and 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 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/or financial condition, (ii) the Funds’ investment objectives 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
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for advisory and other services. This information generally includes, among other things, an internal performance rating for the Funds based on agreed-upon criteria, graphs showing performance and fee differentials against the Funds’ categories of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing the Funds against their categories. The portfolio management team for the Funds or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and if the Funds are identified as presenting possible performance concerns it may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Funds’ portfolios. The Trustees also receive periodic updates between meetings.
The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period. 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, but were not limited to, 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.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Funds.
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 a peer group and category of funds and the Funds’ 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. The Board noted that, given the recent commencement of operations of each Fund, the Funds have a limited operating history upon which to evaluate their performance.
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With respect to the Funds, the Board concluded that the Funds’ performance or other relevant factors supported the renewal of the Agreements.
The Trustees also considered each Adviser’s performance and reputation generally, the performance as a 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 level 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 (such as institutional separate accounts), as well as information about differences in such fees. 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 the Funds’ advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Funds and the need for the Advisers to offer competitive compensation. 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. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed under these caps. The Trustees noted that the ASG Diversifying Strategies Fund had an advisory fee that was above the median of a peer group of funds. The Trustees considered management’s justification for the higher fee and also noted that the advisory fee rate was only slightly above the peer group median.
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 Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps.
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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 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 each of the Funds 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 concluded, 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 the Funds. |
| • | Whether each Fund has operated in accordance with its investment objectives and the Funds’ records 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. 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, 2012.
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Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Diversifying Strategies Fund
| Principal Amount | Description | Value (†) | ||||||
| Certificates of Deposit — 69.1% of Net Assets | ||||||||
| $ | 13,000,000 | National Bank of Canada, 0.030%, 7/01/2011 | $ | 13,000,000 | ||||
| 13,000,000 | Citibank, 0.070%, 7/01/2011 | 13,000,000 | ||||||
| 2,000,000 | Toronto Dominion Bank, 0.270%, 7/07/2011 | 2,000,054 | ||||||
| 4,500,000 | Standard Chartered Bank (NY), 0.270%, 7/11/2011 | 4,500,126 | ||||||
| 5,000,000 | Credit Industriel et Commercial (NY), 0.460%, 7/11/2011(b) | 5,000,430 | ||||||
| 7,000,000 | Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011 | 7,000,271 | ||||||
| 12,000,000 | UniCredit Bank AG (NY), 0.270%, 7/18/2011 | 12,000,060 | ||||||
| 5,000,000 | Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011 | 5,000,100 | ||||||
| 10,000,000 | Toronto Dominion Bank, 0.200%, 7/20/2011 | 10,000,211 | ||||||
| 13,000,000 | Bank of Montreal (IL), 0.120%, 7/25/2011 | 13,000,000 | ||||||
| 8,000,000 | KBC Bank NV (NY), 0.490%, 7/29/2011 | 8,002,000 | ||||||
| 5,000,000 | Barclays Bank PLC, 1.000%, 7/29/2011 | 5,003,295 | ||||||
| 12,000,000 | Societe Generale, 0.200%, 8/01/2011 | 11,999,676 | ||||||
| 4,500,000 | Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011 | 4,500,999 | ||||||
| 12,000,000 | Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c) | 11,999,712 | ||||||
| 5,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011(b) | 5,000,390 | ||||||
| 1,000,000 | Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011 | 999,971 | ||||||
| 7,000,000 | Royal Bank of Scotland PLC, 0.500%, 8/25/2011 | 7,003,367 | ||||||
| 10,000,000 | Svenska Handelsbanken (NY), 0.195%, 9/02/2011 | 9,999,020 | ||||||
| 2,000,000 | Svenska Handelsbanken (NY), 0.180%, 9/15/2011 | 1,999,700 | ||||||
| 12,000,000 | Bank of Nova Scotia (TX), 0.170%, 9/20/2011 | 11,999,724 | ||||||
| 12,000,000 | Skandinaviska Enskilda Banken (NY), 0.320%, 9/29/2011 | 12,002,124 | ||||||
| 4,000,000 | KBC Bank NV (NY), 0.430%, 9/29/2011 | 4,001,816 | ||||||
| 6,000,000 | Credit Industriel et Commercial (NY), 0.290%, 10/07/2011 | 6,000,000 | ||||||
| 12,000,000 | Credit Agricole CIB (NY), 0.320%, 10/11/2011(d) | 11,999,112 | ||||||
| 5,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e) | 4,999,440 | ||||||
| 6,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e) | 5,998,812 | ||||||
| 5,000,000 | Barclays Bank PLC, 0.428%, 2/09/2012(f) | 4,995,190 | ||||||
|
| |||||||
| Total Certificates of Deposit (Identified Cost $213,004,784) | 213,005,600 | |||||||
|
| |||||||
| Financial Company Commercial Paper — 17.2% | ||||||||
| 12,000,000 | ING (US) Funding LLC, 0.210%, 7/05/2011(g) | 11,999,796 | ||||||
| 12,000,000 | Intesa Funding LLC, 0.330%, 7/25/2011(g) | 11,998,380 | ||||||
| 8,000,000 | Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g) | 7,997,448 | ||||||
| 5,000,000 | RBS Finance NV, 0.060%, 7/28/2011(g) | 4,999,775 | ||||||
| 12,000,000 | Nordea North America, Inc., 0.145%, 8/23/2011(g) | 11,996,832 | ||||||
| 4,000,000 | ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g) | 3,997,760 | ||||||
|
| |||||||
| Total Financial Company Commercial Paper (Identified Cost $52,988,187) | 52,989,991 | |||||||
|
| |||||||
| Total Investments — 86.3% (Identified Cost $265,992,971)(a) | 265,995,591 | |||||||
| Other assets less liabilities — 13.7% | 42,338,717 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 308,334,308 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information: | |||||||
| At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $265,992,971 for federal income tax purposes was as follows: | ||||||||
See accompanying notes to financial statements.
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Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 13,248 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (10,628 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 2,620 | ||||||
|
| |||||||
| Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost. | ||||||||
| (b) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts. | |||||||
| (c) | Interest rate changes monthly based upon 1 Month Libor +2 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (d) | Interest rate changes monthly based upon 1 Month Libor. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement. | |||||||
| (e) | Interest rate changes monthly based upon 1 Month Libor +4 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (f) | Interest rate changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement. | |||||||
| (g) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Buy | 09/21/2011 | Australian Dollar | 10,100,000 | $ | 10,726,968 | $ | 80,114 | |||||||||||
| Sell | 09/21/2011 | Australian Dollar | 10,900,000 | 11,576,629 | (332,047 | ) | ||||||||||||
| Buy | 09/21/2011 | British Pound | 18,062,500 | 28,961,890 | (569,575 | ) | ||||||||||||
| Sell | 09/21/2011 | British Pound | 10,437,500 | 16,735,763 | (9,388 | ) | ||||||||||||
| Buy | 09/21/2011 | Canadian Dollar | 16,200,000 | 16,764,507 | 274,850 | |||||||||||||
| Buy | 09/21/2011 | Canadian Dollar | 2,600,000 | 2,690,600 | (1,876 | ) | ||||||||||||
| Sell | 09/21/2011 | Canadian Dollar | 17,200,000 | 17,799,353 | (278,173 | ) | ||||||||||||
| Buy | 09/21/2011 | Euro | 17,125,000 | 24,779,251 | (112,279 | ) | ||||||||||||
| Sell | 09/21/2011 | Euro | 6,625,000 | 9,586,133 | (64,167 | ) | ||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 1,225,000,000 | 15,223,099 | 30,139 | |||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 2,312,500,000 | 28,737,484 | (83,832 | ) | ||||||||||||
| Sell | 09/21/2011 | Japanese Yen | 1,512,500,000 | 18,795,868 | (99,200 | ) | ||||||||||||
| Buy | 09/21/2011 | New Zealand Dollar | 31,900,000 | 26,291,055 | 355,955 | |||||||||||||
| Sell | 09/21/2011 | New Zealand Dollar | 26,500,000 | 21,840,532 | (391,984 | ) | ||||||||||||
| Buy | 09/21/2011 | Norwegian Krone | 48,000,000 | 8,852,359 | (56,474 | ) | ||||||||||||
| Buy | 09/21/2011 | Swedish Krona | 104,000,000 | 16,367,743 | (409,794 | ) | ||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 10,375,000 | 12,346,315 | 64,836 | |||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 2,000,000 | 2,380,012 | (13,191 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | (1,616,086 | ) | |||||||||||||||
|
| |||||||||||||||||
1 Counterparty is UBS AG.
See accompanying notes to financial statements.
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Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
At June 30, 2011, open futures contracts purchased were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| CAC 40 | 07/15/2011 | 16 | $ | 923,339 | $ | 51 | ||||||||
| DAX | 09/16/2011 | 19 | 5,091,421 | 121,921 | ||||||||||
| E-mini Dow | 09/16/2011 | 112 | 6,913,200 | 168,000 | ||||||||||
| E-mini NASDAQ 100 | 09/16/2011 | 1 | 46,420 | 900 | ||||||||||
| E-mini S&P 500 | 09/16/2011 | 48 | 3,157,200 | 80,400 | ||||||||||
| Euribor | 12/19/2011 | 779 | 277,107,213 | (76,804 | ) | |||||||||
| Euro Schatz | 09/08/2011 | 740 | 115,418,426 | 130,738 | ||||||||||
| EURO STOXX 50 | 09/16/2011 | 4 | 165,201 | — | ||||||||||
| Eurodollar | 12/19/2011 | 875 | 217,831,250 | (40,712 | ) | |||||||||
| German Euro BOBL | 09/08/2011 | 329 | 55,620,229 | 71,405 | ||||||||||
| German Euro Bund | 09/08/2011 | 244 | 44,399,406 | (59,340 | ) | |||||||||
| Mini-Russell 2000 | 09/16/2011 | 8 | 660,320 | 22,880 | ||||||||||
| OMXS30 | 07/15/2011 | 45 | 793,256 | (949 | ) | |||||||||
| Sterling | 12/21/2011 | 1,657 | 329,267,424 | 272,962 | ||||||||||
| UK Long Gilt | 09/28/2011 | 165 | 31,817,751 | (58,163 | ) | |||||||||
| 2 Year U.S. Treasury Note | 09/30/2011 | 1,032 | 226,362,750 | 148,422 | ||||||||||
| 3 Year Australia Government Bond | 09/15/2011 | 752 | 83,375,798 | 119,859 | ||||||||||
| 5 Year U.S. Treasury Note | 09/30/2011 | 469 | 55,902,602 | 42,961 | ||||||||||
| 10 Year Australia Government Bond | 09/15/2011 | 276 | 31,395,433 | (64,833 | ) | |||||||||
| 10 Year Canada Government Bond | 09/21/2011 | 300 | 38,568,096 | (91,378 | ) | |||||||||
| 10 Year Japan Government Bond | 09/08/2011 | 60 | 105,116,452 | 301,472 | ||||||||||
| 10 Year U.S. Treasury Note | 09/21/2011 | 304 | 37,187,750 | (103,594 | ) | |||||||||
| 30 Year U.S. Treasury Bond | 09/21/2011 | 155 | 19,069,844 | (276,265 | ) | |||||||||
|
| |||||||||||||
| Total | $ | 709,933 | ||||||||||||
|
| |||||||||||||
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 09/21/2011 | 49 | $ | 3,100,475 | $ | (190,794 | ) | |||||||
| Brent Crude Oil | 07/14/2011 | 40 | 4,499,200 | (203,600 | ) | |||||||||
| Cocoa | 09/15/2011 | 1 | 31,510 | 1,180 | ||||||||||
| Coffee | 09/20/2011 | 9 | 896,400 | 16,538 | ||||||||||
| Corn | 12/14/2011 | 57 | 1,768,425 | (180,950 | ) | |||||||||
| Gas Oil | 08/11/2011 | 60 | 5,577,000 | 88,500 | ||||||||||
| Gasoline | 07/29/2011 | 23 | 2,868,247 | 79,888 | ||||||||||
| Gold | 08/29/2011 | 102 | 15,328,560 | (249,900 | ) | |||||||||
| Heating Oil | 07/29/2011 | 30 | 3,712,338 | (65,016 | ) | |||||||||
| Natural Gas | 07/27/2011 | 54 | 2,361,960 | (890 | ) | |||||||||
| Silver | 09/28/2011 | 20 | 3,483,200 | (23,100 | ) | |||||||||
| Soybean | 11/14/2011 | 20 | 1,294,000 | (83,000 | ) | |||||||||
| Sugar | 09/30/2011 | 64 | 1,888,051 | 29,254 | ||||||||||
|
| |||||||||||||
| Total | $ | (781,890 | ) | |||||||||||
|
| |||||||||||||
See accompanying notes to financial statements.
35 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
At June 30, 2011, open futures contracts sold were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| AEX | 07/15/2011 | 80 | $ | 7,883,014 | $ | (177,498 | ) | |||||||
| ASX SPI 200 | 09/15/2011 | 44 | 5,428,286 | (78,457 | ) | |||||||||
| FTSE 100 | 09/16/2011 | 21 | 1,989,377 | (74,991 | ) | |||||||||
| FTSE JSE Top 40 | 09/15/2011 | 129 | 5,444,030 | (77,863 | ) | |||||||||
| FTSE MIB | 09/16/2011 | 11 | 1,612,153 | (46,100 | ) | |||||||||
| Hang Seng | 07/28/2011 | 47 | 6,773,044 | (68,552 | ) | |||||||||
| IBEX 35 | 07/15/2011 | 28 | 4,171,268 | (197,133 | ) | |||||||||
| MSCI Singapore | 07/28/2011 | 7 | 410,779 | (9,460 | ) | |||||||||
| MSCI Taiwan | 07/28/2011 | 29 | 858,980 | (13,630 | ) | |||||||||
| Nikkei 225 | 09/09/2011 | 21 | 2,561,580 | (104,342 | ) | |||||||||
| S&P/TSX 60 | 09/15/2011 | 17 | 2,687,003 | (72,763 | ) | |||||||||
| SGX CNX Nifty | 07/28/2011 | 637 | 7,201,285 | (135,681 | ) | |||||||||
| TOPIX | 09/09/2011 | 18 | 1,899,385 | (95,025 | ) | |||||||||
|
| |||||||||||||
| Total | $ | (1,151,495 | ) | |||||||||||
|
| |||||||||||||
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 09/21/2011 | 68 | $ | 4,302,700 | $ | (425 | ) | |||||||
| Copper | 09/21/2011 | 15 | 3,537,000 | (118,781 | ) | |||||||||
| Copper High Grade | 09/28/2011 | 11 | 1,177,688 | (57,062 | ) | |||||||||
| Cotton | 12/07/2011 | 1 | 59,295 | 10 | ||||||||||
| KC Wheat | 09/14/2011 | 2 | 70,725 | 11,225 | ||||||||||
| Live Cattle | 08/31/2011 | 125 | 5,543,750 | (309,000 | ) | |||||||||
| Nickel | 09/21/2011 | 1 | 140,562 | (3,912 | ) | |||||||||
| Soybean Meal | 12/14/2011 | 18 | 595,620 | 2,160 | ||||||||||
| Soybean Oil | 12/14/2011 | 5 | 168,450 | 3,210 | ||||||||||
| Wheat | 09/14/2011 | 68 | 2,088,450 | 548,250 | ||||||||||
| Zinc | 09/21/2011 | 27 | 1,596,206 | (57,544 | ) | |||||||||
|
| |||||||||||||
| Total | $ | 18,131 | ||||||||||||
|
| |||||||||||||
2 Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at June 30, 2011 (Unaudited)
Certificates of Deposit | 69.1 | % | ||
Financial Company Commercial Paper | 17.2 | |||
|
| |||
Total Investments | 86.3 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) | 13.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 36
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Global Alternatives Fund
| Principal Amount | Description | Value (†) | ||||||
| Certificates of Deposit — 68.0% of Net Assets | ||||||||
| $ | 1,300,000 | Commerzbank AG, 0.010%, 7/01/2011 | $ | 1,300,000 | ||||
| 48,000,000 | National Bank of Canada, 0.030%, 7/01/2011 | 48,000,000 | ||||||
| 48,000,000 | Citibank, 0.070%, 7/01/2011 | 48,000,000 | ||||||
| 19,000,000 | UniCredit Bank AG (NY), 0.310%, 7/06/2011 | 19,000,152 | ||||||
| 13,000,000 | Toronto Dominion Bank, 0.270%, 7/07/2011 | 13,000,351 | ||||||
| 15,000,000 | Standard Chartered Bank (NY), 0.270%, 7/11/2011(b) | 15,000,420 | ||||||
| 30,000,000 | Credit Industriel et Commercial (NY), 0.460%, 7/11/2011 | 30,002,580 | ||||||
| 20,000,000 | Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011 | 20,000,776 | ||||||
| 21,000,000 | UniCredit Bank AG (NY), 0.270%, 7/18/2011 | 21,000,105 | ||||||
| 1,000,000 | Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011 | 1,000,020 | ||||||
| 22,000,000 | Toronto Dominion Bank, 0.200%, 7/20/2011 | 22,000,464 | ||||||
| 10,000,000 | Toronto Dominion Bank, 0.120%, 7/21/2011 | 10,000,000 | ||||||
| 47,000,000 | Bank of Montreal (IL), 0.120%, 7/25/2011 | 47,000,000 | ||||||
| 30,000,000 | KBC Bank NV (NY), 0.490%, 7/29/2011 | 30,007,500 | ||||||
| 8,000,000 | Barclays Bank PLC, 1.000%, 7/29/2011 | 8,005,272 | ||||||
| 43,000,000 | Societe Generale, 0.200%, 8/01/2011 | 42,998,839 | ||||||
| 17,000,000 | Credit Agricole CIB (NY), 0.260%, 8/01/2011 | 17,000,612 | ||||||
| 24,500,000 | Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011 | 24,505,439 | ||||||
| 26,000,000 | Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c) | 25,999,376 | ||||||
| 6,000,000 | Credit Agricole CIB (NY), 0.225%, 8/04/2011 | 6,000,030 | ||||||
| 15,000,000 | Bank of Nova Scotia (TX), 0.170%, 8/15/2011(b) | 15,000,570 | ||||||
| 24,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011 | 24,001,872 | ||||||
| 15,000,000 | Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011 | 14,999,565 | ||||||
| 13,000,000 | Royal Bank of Scotland PLC, 0.500%, 8/25/2011(b) | 13,006,253 | ||||||
| 13,000,000 | Svenska Handelsbanken (NY), 0.195%, 9/02/2011 | 12,998,726 | ||||||
| 8,000,000 | Credit Industriel et Commercial (NY), 0.360%, 9/02/2011 | 8,001,560 | ||||||
| 25,000,000 | Svenska Handelsbanken (NY), 0.170%, 9/13/2011(b) | 24,995,825 | ||||||
| 10,000,000 | Bank of Nova Scotia (TX), 0.170%, 9/20/2011 | 9,999,770 | ||||||
| 11,000,000 | KBC Bank NV (NY), 0.430%, 9/29/2011 | 11,004,994 | ||||||
| 40,000,000 | Skandinaviska Enskilda Banken (NY), 0.320%, 9/30/2011 | 40,007,160 | ||||||
| 6,000,000 | Credit Industriel et Commercial (NY), 0.290%, 10/07/2011 | 6,000,000 | ||||||
| 20,000,000 | Credit Agricole CIB (NY), 0.320%, 10/11/2011(d) | 19,998,520 | ||||||
| 15,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e) | 14,998,320 | ||||||
| 13,000,000 | Lloyds TSB Bank PLC (NY), 0.335%, 10/25/2011 | 13,001,898 | ||||||
| 7,000,000 | Svenska Handelsbanken (NY), 0.295%, 10/28/2011 | 7,000,112 | ||||||
| 15,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e) | 14,997,030 | ||||||
| 20,000,000 | Westpac Banking Corp. (NY), 0.230%, 12/09/2011 | 19,996,400 | ||||||
| 10,000,000 | Barclays Bank PLC, 0.428%, 2/09/2012(f) | 9,990,380 | ||||||
|
| |||||||
| Total Certificates of Deposit (Identified Cost $729,811,260) | 729,820,891 | |||||||
|
| |||||||
| Financial Company Commercial Paper — 23.1% | ||||||||
| 30,000,000 | ING (US) Funding LLC, 0.210%, 7/05/2011(g) | 29,999,490 | ||||||
| 14,000,000 | Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/20/2011(g) | 13,996,514 | ||||||
| 44,000,000 | General Electric Capital Corp., 0.100%, 7/22/2011(g) | 43,997,433 | ||||||
| 40,000,000 | Intesa Funding LLC, 0.330%, 7/25/2011(g) | 39,994,600 | ||||||
| 3,200,000 | Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g) | 3,198,979 | ||||||
| 20,000,000 | RBS Finance NV, 0.060%, 7/28/2011(g) | 19,999,100 | ||||||
See accompanying notes to financial statements.
37 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Global Alternatives Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Financial Company Commercial Paper — continued | ||||||||
| $ | 25,000,000 | Nordea North America, Inc., 0.145%, 8/23/2011(g) | $ | 24,993,400 | ||||
| 26,200,000 | ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/19/2011(g) | 26,176,711 | ||||||
| 15,000,000 | ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g) | 14,991,600 | ||||||
| 20,000,000 | Bank of Nova Scotia (NY), 0.240%, 10/25/2011(g) | 19,992,340 | ||||||
| 10,000,000 | Nordea North America, Inc., 0.260%, 11/07/2011(g) | 9,990,970 | ||||||
|
| |||||||
| Total Financial Company Commercial Paper (Identified Cost $247,315,125) | 247,331,137 | |||||||
|
| |||||||
| Total Investments — 91.1% (Identified Cost $977,126,385)(a) | 977,152,028 | |||||||
| Other assets less liabilities — 8.9% | 95,760,701 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,072,912,729 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information: | |||||||
| At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $977,126,385 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 | $ | 55,009 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (29,366 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 25,643 | ||||||
|
| |||||||
| Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost. | ||||||||
| (b) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts. | |||||||
| (c) | Interest rate changes monthly based upon 1 Month Libor +2 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (d) | Interest rate changes monthly based upon 1 Month Libor. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement. | |||||||
| (e) | Interest rate changes monthly based upon 1 Month Libor +4 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (f) | Interest rate changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement. | |||||||
| (g) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
See accompanying notes to financial statements.
| 38
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Global Alternatives Fund – (continued)
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Buy | 09/21/2011 | Australian Dollar | 35,200,000 | $ | 37,385,077 | $ | 279,208 | |||||||||||
| Buy | 09/21/2011 | British Pound | 8,625,000 | 13,829,553 | (271,977 | ) | ||||||||||||
| Buy | 09/21/2011 | Canadian Dollar | 20,400,000 | 21,110,861 | 346,107 | |||||||||||||
| Buy | 09/21/2011 | Euro | 2,625,000 | 3,798,279 | 25,663 | |||||||||||||
| Buy | 09/21/2011 | Euro | 15,875,000 | 22,970,547 | (115,649 | ) | ||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 300,000,000 | 3,728,106 | 24,650 | |||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 9,137,500,000 | 113,551,894 | (122,765 | ) | ||||||||||||
| Sell | 09/21/2011 | Japanese Yen | 462,500,000 | 5,747,497 | 8,721 | |||||||||||||
| Sell | 09/21/2011 | Japanese Yen | 887,500,000 | 11,028,980 | (28,256 | ) | ||||||||||||
| Buy | 09/21/2011 | Swedish Krona | 36,000,000 | 5,665,757 | (141,671 | ) | ||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 5,125,000 | 6,098,782 | 32,028 | |||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 37,125,000 | 44,178,982 | (242,980 | ) | ||||||||||||
| Sell | 09/21/2011 | Swiss Franc | 4,625,000 | 5,503,779 | (51,998 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | (258,919 | ) | |||||||||||||||
|
| |||||||||||||||||
1 Counterparty is UBS AG.
At June 30, 2011, open futures contracts purchased were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| DAX | 09/16/2011 | 239 | $ | 64,044,718 | $ | 1,533,642 | ||||||||
| E-mini S&P 500 | 09/16/2011 | 4,117 | 270,795,675 | 7,451,187 | ||||||||||
| Eurodollar | 12/19/2011 | 3,055 | 760,542,250 | (22,925 | ) | |||||||||
| FTSE 100 | 09/16/2011 | 555 | 52,576,388 | 1,264,862 | ||||||||||
| German Euro Bund | 09/08/2011 | 243 | 44,217,441 | 39,734 | ||||||||||
| Hang Seng | 07/28/2011 | 324 | 46,690,774 | 555,843 | ||||||||||
| TOPIX | 09/09/2011 | 486 | 51,283,399 | 2,534,352 | ||||||||||
| UK Long Gilt | 09/28/2011 | 492 | 94,874,750 | (94,548 | ) | |||||||||
| 10 Year Japan Government Bond | 09/08/2011 | 28 | 49,054,344 | 148,562 | ||||||||||
| 10 Year U.S. Treasury Note | 09/21/2011 | 316 | 38,655,687 | 78,875 | ||||||||||
|
| |||||||||||||
| Total | $ | 13,489,584 | ||||||||||||
|
| |||||||||||||
See accompanying notes to financial statements.
39 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Global Alternatives Fund – (continued)
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 09/21/2011 | 37 | $ | 2,341,175 | $ | (1,619 | ) | |||||||
| Brent Crude Oil | 07/14/2011 | 175 | 19,684,000 | (913,670 | ) | |||||||||
| Copper | 09/21/2011 | 126 | 29,710,800 | 1,096,275 | ||||||||||
| Gas Oil | 08/11/2011 | 112 | 10,410,400 | 165,200 | ||||||||||
| Gold | 08/29/2011 | 223 | 33,512,440 | (546,350 | ) | |||||||||
| Heating Oil | 07/29/2011 | 147 | 18,190,456 | (318,578 | ) | |||||||||
| Light Sweet Crude Oil | 07/20/2011 | 158 | 15,076,360 | (567,220 | ) | |||||||||
| Nickel | 09/21/2011 | 65 | 9,136,530 | 254,280 | ||||||||||
| Zinc | 09/21/2011 | 192 | 11,350,800 | 427,575 | ||||||||||
|
| |||||||||||||
| Total | $ | (404,107 | ) | |||||||||||
|
| |||||||||||||
At June 30, 2011, open futures contracts sold were as follows:
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||
| Aluminum | 09/21/2011 | 59 | $ | 3,733,225 | $ | 229,731 | ||||||
| Copper | 09/21/2011 | 9 | 2,122,200 | (82,462 | ) | |||||||
|
| |||||||||||
| Total | $ | 147,269 | ||||||||||
|
| |||||||||||
2 Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at June 30, 2011 (Unaudited)
Certificates of Deposit | 68.0 | % | ||
Financial Company Commercial Paper | 23.1 | |||
|
| |||
Total Investments | 91.1 | |||
| Other assets less liabilities (including open forward foreign currency and futures contracts) | 8.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 40
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Managed Futures Strategy Fund
| Principal Amount | Description | Value (†) | ||||||
| Certificates of Deposit — 66.1% of Net Assets | ||||||||
| $ | 11,900,000 | Commerzbank AG, 0.010%, 7/01/2011 | $ | 11,900,000 | ||||
| 16,000,000 | Royal Bank of Canada, 0.020%, 7/01/2011 | 16,000,000 | ||||||
| 16,000,000 | National Bank of Canada, 0.030%, 7/01/2011 | 16,000,000 | ||||||
| 16,000,000 | Citibank, 0.070%, 7/01/2011 | 16,000,000 | ||||||
| 7,000,000 | UniCredit Bank AG (NY), 0.310%, 7/06/2011 | 7,000,056 | ||||||
| 11,000,000 | Toronto Dominion Bank, 0.270%, 7/07/2011 | 11,000,297 | ||||||
| 6,000,000 | Credit Industriel et Commercial (NY), 0.460%, 7/11/2011(b) | 6,000,516 | ||||||
| 1,000,000 | Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011 | 1,000,039 | ||||||
| 9,000,000 | UniCredit Bank AG (NY), 0.270%, 7/18/2011 | 9,000,045 | ||||||
| 4,000,000 | Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011 | 4,000,080 | ||||||
| 4,000,000 | Toronto Dominion Bank, 0.200%, 7/20/2011 | 4,000,084 | ||||||
| 16,000,000 | Bank of Montreal (IL), 0.120%, 7/25/2011 | 16,000,000 | ||||||
| 8,000,000 | KBC Bank NV (NY), 0.490%, 7/29/2011 | 8,002,000 | ||||||
| 6,500,000 | Barclays Bank PLC, 1.000%, 7/29/2011 | 6,504,284 | ||||||
| 500,000 | Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011 | 500,111 | ||||||
| 5,000,000 | Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c) | 4,999,880 | ||||||
| 3,000,000 | Credit Agricole CIB (NY), 0.225%, 8/04/2011 | 3,000,015 | ||||||
| 7,000,000 | Bank of Nova Scotia (TX), 0.170%, 8/15/2011 | 7,000,266 | ||||||
| 10,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011(b) | 10,000,780 | ||||||
| 7,000,000 | Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011 | 6,999,797 | ||||||
| 6,000,000 | Royal Bank of Scotland PLC, 0.500%, 8/25/2011(b) | 6,002,886 | ||||||
| 2,000,000 | Svenska Handelsbanken (NY), 0.180%, 9/15/2011 | 1,999,700 | ||||||
| 14,000,000 | Skandinaviska Enskilda Banken (NY), 0.320%, 9/29/2011 | 14,002,478 | ||||||
| 6,000,000 | KBC Bank NV (NY), 0.430%, 9/29/2011 | 6,002,724 | ||||||
| 11,000,000 | Credit Industriel et Commercial (NY), 0.290%, 10/07/2011(b) | 11,000,000 | ||||||
| 14,000,000 | Credit Agricole CIB (NY), 0.320%, 10/11/2011(d) | 13,998,964 | ||||||
| 6,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e) | 5,999,328 | ||||||
| 14,000,000 | Svenska Handelsbanken (NY), 0.295%, 10/28/2011 | 14,000,224 | ||||||
| 2,000,000 | Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e) | 1,999,604 | ||||||
| 10,000,000 | Westpac Banking Corp. (NY), 0.230%, 12/09/2011 | 9,998,200 | ||||||
| 5,000,000 | Barclays Bank PLC, 0.428%, 2/09/2012(b)(f) | 4,995,189 | ||||||
|
| |||||||
| Total Certificates of Deposit (Identified Cost $254,906,012) | 254,907,547 | |||||||
|
| |||||||
| Financial Company Commercial Paper — 19.9% | ||||||||
| 14,000,000 | ING (US) Funding LLC, 0.210%, 7/05/2011(g) | 13,999,762 | ||||||
| 8,000,000 | Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/20/2011(g) | 7,998,008 | ||||||
| 15,000,000 | General Electric Capital Corp., 0.100%, 7/22/2011(g) | 14,999,125 | ||||||
| 2,000,000 | Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g) | 1,999,362 | ||||||
| 10,000,000 | RBS Finance NV, 0.060%, 7/28/2011(g) | 9,999,550 | ||||||
| 14,000,000 | Nordea North America, Inc., 0.145%, 8/23/2011(g) | 13,996,304 | ||||||
| 6,000,000 | ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g) | 5,996,640 | ||||||
| 8,000,000 | Bank of Nova Scotia (NY), 0.240%, 10/25/2011(g) | 7,996,937 | ||||||
|
| |||||||
| Total Financial Company Commercial Paper (Identified Cost $76,981,040) | 76,985,688 | |||||||
|
| |||||||
See accompanying notes to financial statements.
41 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
| Value (†) | ||||||||
| Total Investments — 86.0% (Identified Cost $331,887,052)(a) | $ | 331,893,235 | ||||||
| Other assets less liabilities — 14.0% | 53,915,672 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 385,808,907 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information: | |||||||
| At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $331,887,052 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 | $ | 16,971 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (10,788 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 6,183 | ||||||
|
| |||||||
| Only short term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost. | ||||||||
| (b) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts. | |||||||
| (c) | Interest rate changes monthly based upon 1 Month Libor +2 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (d) | Interest rate changes monthly based upon 1 Month Libor. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement. | |||||||
| (e) | Interest rate changes monthly based upon 1 Month Libor +4 BP. The rate shown is the rate in effect at the date of this statement. | |||||||
| (f) | Interest rate changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement. | |||||||
| (g) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
See accompanying notes to financial statements.
| 42
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Buy | 09/21/2011 | Australian Dollar | 42,800,000 | $ | 45,456,855 | $ | 339,492 | |||||||||||
| Sell | 09/21/2011 | Australian Dollar | 45,100,000 | 47,899,630 | (811,458 | ) | ||||||||||||
| Buy | 09/21/2011 | British Pound | 42,750,000 | 68,546,480 | (1,348,060 | ) | ||||||||||||
| Buy | 09/21/2011 | Canadian Dollar | 51,500,000 | 53,294,575 | 873,751 | |||||||||||||
| Buy | 09/21/2011 | Canadian Dollar | 30,300,000 | 31,355,838 | (22,034 | ) | ||||||||||||
| Sell | 09/21/2011 | Canadian Dollar | 69,900,000 | 72,335,744 | (1,393,345 | ) | ||||||||||||
| Buy | 09/21/2011 | Euro | 49,000,000 | 70,901,213 | (350,111 | ) | ||||||||||||
| Sell | 09/21/2011 | Euro | 12,750,000 | 18,448,785 | (469,513 | ) | ||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 2,512,500,000 | 31,222,888 | 50,576 | |||||||||||||
| Buy | 09/21/2011 | Japanese Yen | 5,450,000,000 | 67,727,258 | (49,875 | ) | ||||||||||||
| Sell | 09/21/2011 | Japanese Yen | 2,700,000,000 | 33,552,954 | (49,945 | ) | ||||||||||||
| Buy | 09/21/2011 | New Zealand Dollar | 64,600,000 | 53,241,447 | 357,032 | |||||||||||||
| Sell | 09/21/2011 | New Zealand Dollar | 61,900,000 | 51,016,185 | (882,852 | ) | ||||||||||||
| Buy | 09/21/2011 | Norwegian Krone | 90,000,000 | 16,598,173 | 254,921 | |||||||||||||
| Buy | 09/21/2011 | Norwegian Krone | 140,000,000 | 25,819,381 | (164,716 | ) | ||||||||||||
| Buy | 09/21/2011 | Swedish Krona | 110,000,000 | 17,312,036 | 382,609 | |||||||||||||
| Buy | 09/21/2011 | Swedish Krona | 134,000,000 | 21,089,207 | (527,329 | ) | ||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 20,375,000 | 24,246,377 | 127,329 | |||||||||||||
| Buy | 09/21/2011 | Swiss Franc | 4,375,000 | 5,206,277 | (28,855 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | (3,712,383 | ) | |||||||||||||||
|
| |||||||||||||||||
1 Counterparty is UBS AG.
At June 30, 2011, open futures contracts purchased were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| CAC 40 | 07/15/2011 | 69 | $ | 3,981,901 | $ | 127,077 | ||||||||
| DAX | 09/16/2011 | 51 | 13,666,446 | 377,184 | ||||||||||
| E-mini Dow | 09/16/2011 | 218 | 13,456,050 | 327,000 | ||||||||||
| E-mini NASDAQ 100 | 09/16/2011 | 225 | 10,444,500 | 2,555 | ||||||||||
| E-mini S&P 500 | 09/16/2011 | 140 | 9,208,500 | 162,600 | ||||||||||
| Euribor | 12/19/2011 | 559 | 198,848,436 | (200,483 | ) | |||||||||
| Euro Schatz | 09/08/2011 | 1,663 | 259,379,517 | 103,265 | ||||||||||
| EURO STOXX 50 | 09/16/2011 | 117 | 4,832,131 | 132,341 | ||||||||||
| Eurodollar | 12/19/2011 | 2,788 | 694,072,600 | 22,537 | ||||||||||
| FTSE 100 | 09/16/2011 | 23 | 2,178,841 | 52,418 | ||||||||||
| FTSE JSE Top 40 | 09/15/2011 | 1 | 42,202 | (21 | ) | |||||||||
| German Euro BOBL | 09/08/2011 | 717 | 121,214,906 | (276,515 | ) | |||||||||
| German Euro Bund | 09/08/2011 | 376 | 68,418,757 | (90,910 | ) | |||||||||
| IBEX 35 | 07/15/2011 | 21 | 3,128,451 | 1,088 | ||||||||||
| Mini-Russell 2000 | 09/16/2011 | 121 | 9,987,340 | 212,520 | ||||||||||
| MSCI Taiwan | 07/28/2011 | 160 | 4,739,200 | 60,800 | ||||||||||
| OMXS30 | 07/15/2011 | 20 | 352,558 | 12,648 | ||||||||||
See accompanying notes to financial statements.
43 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| S&P/TSX 60 | 09/15/2011 | 8 | $ | 1,264,472 | $ | 18,995 | ||||||||
| Sterling | 12/21/2011 | 5,030 | 999,526,339 | 710,632 | ||||||||||
| UK Long Gilt | 09/28/2011 | 340 | 65,563,851 | 173,880 | ||||||||||
| 2 Year U.S. Treasury Note | 09/30/2011 | 2,065 | 452,944,844 | 272,640 | ||||||||||
| 3 Year Australia Government Bond | 09/15/2011 | 1,477 | 163,758,049 | 248,307 | ||||||||||
| 5 Year U.S. Treasury Note | 09/30/2011 | 872 | 103,938,313 | 234,790 | ||||||||||
| 10 Year Australia Government Bond | 09/15/2011 | 564 | 64,155,884 | (237,631 | ) | |||||||||
| 10 Year Canada Government Bond | 09/21/2011 | 578 | 74,307,865 | (68,464 | ) | |||||||||
| 10 Year Japan Government Bond | 09/08/2011 | 140 | 245,271,722 | 508,043 | ||||||||||
| 10 Year U.S. Treasury Note | 09/21/2011 | 507 | 62,020,359 | (5,180 | ) | |||||||||
| 30 Year U.S. Treasury Bond | 09/21/2011 | 263 | 32,357,219 | (399,969 | ) | |||||||||
|
| |||||||||||||
| Total | $ | 2,482,147 | ||||||||||||
|
| |||||||||||||
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 09/21/2011 | 154 | $ | 9,744,350 | $ | (599,638 | ) | |||||||
| Brent Crude Oil | 07/14/2011 | 59 | 6,636,320 | (347,910 | ) | |||||||||
| Cocoa | 09/15/2011 | 18 | 567,180 | 5,760 | ||||||||||
| Coffee | 09/20/2011 | 3 | 298,800 | 5,513 | ||||||||||
| Copper | 09/21/2011 | 31 | 7,309,800 | 128,513 | ||||||||||
| Corn | 12/14/2011 | 136 | 4,219,400 | (401,575 | ) | |||||||||
| Gas Oil | 08/11/2011 | 27 | 2,509,650 | 41,175 | ||||||||||
| Gasoline | 07/29/2011 | 52 | 6,484,733 | 180,625 | ||||||||||
| Gold | 08/29/2011 | 132 | 19,836,960 | (421,680 | ) | |||||||||
| Heating Oil | 07/29/2011 | 30 | 3,712,338 | (65,016 | ) | |||||||||
| Silver | 09/28/2011 | 26 | 4,528,160 | (30,030 | ) | |||||||||
| Sugar | 09/30/2011 | 220 | 6,490,176 | 112,571 | ||||||||||
|
| |||||||||||||
| Total | $ | (1,391,692 | ) | |||||||||||
|
| |||||||||||||
At June 30, 2011, open futures contracts sold were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Depreciation | ||||||||||
| AEX | 07/15/2011 | 32 | $ | 3,153,206 | $ | (63,067 | ) | |||||||
| ASX SPI 200 | 09/15/2011 | 39 | 4,811,435 | (77,385 | ) | |||||||||
| FTSE MIB | 09/16/2011 | 30 | 4,396,781 | (101,510 | ) | |||||||||
| MSCI Singapore | 07/28/2011 | 10 | 586,827 | (13,515 | ) | |||||||||
| Nikkei 225 | 09/09/2011 | 38 | 4,635,240 | (113,285 | ) | |||||||||
| SGX CNX Nifty | 07/28/2011 | 878 | 9,925,790 | (200,825 | ) | |||||||||
| TOPIX | 09/09/2011 | 45 | 4,748,463 | (212,409 | ) | |||||||||
|
| |||||||||||||
| Total | $ | (781,996 | ) | |||||||||||
|
| |||||||||||||
See accompanying notes to financial statements.
| 44
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
| Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 09/21/2011 | 181 | $ | 11,452,775 | $ | (112,600 | ) | |||||||
| Copper | 09/21/2011 | 14 | 3,301,200 | (112,988 | ) | |||||||||
| Copper High Grade | 09/28/2011 | 14 | 1,498,875 | (72,625 | ) | |||||||||
| Cotton | 12/07/2011 | 28 | 1,660,260 | 82,400 | ||||||||||
| KC Wheat | 09/14/2011 | 80 | 2,829,000 | 444,113 | ||||||||||
| Light Sweet Crude Oil | 07/20/2011 | 8 | 763,360 | (14,320 | ) | |||||||||
| Live Cattle | 08/31/2011 | 74 | 3,281,900 | (207,020 | ) | |||||||||
| Natural Gas | 07/27/2011 | 38 | 1,662,120 | (22,420 | ) | |||||||||
| Nickel | 09/21/2011 | 30 | 4,216,860 | (117,360 | ) | |||||||||
| Soybean | 11/14/2011 | 4 | 258,800 | 9,150 | ||||||||||
| Soybean Meal | 12/14/2011 | 12 | 397,080 | 10,800 | ||||||||||
| Soybean Oil | 12/14/2011 | 121 | 4,076,490 | 109,914 | ||||||||||
| Wheat | 09/14/2011 | 104 | 3,194,100 | 838,475 | ||||||||||
| Zinc | 09/21/2011 | 75 | 4,433,906 | (159,844 | ) | |||||||||
|
| |||||||||||||
| Total | $ | 675,675 | ||||||||||||
|
| |||||||||||||
2 Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at June 30, 2011 (Unaudited)
Certificates of Deposit | 66.1 | % | ||
Financial Company Commercial Paper | 19.9 | |||
|
| |||
Total Investments | 86.0 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) | 14.0 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
45 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund
| Principal Amount (‡) | Description | Value (†) | ||||||
| Bonds and Notes — 66.3% of Net Assets | ||||||||
| Non-Convertible Bonds — 62.5% | ||||||||
| ABS Car Loan — 0.2% | ||||||||
| $ | 730,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A | $ | 737,077 | ||||
| 425,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A | 430,147 | ||||||
|
| |||||||
| 1,167,224 | ||||||||
|
| |||||||
| ABS Home Equity — 1.3% | ||||||||
| 1,459,276 | American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.476%, 11/25/2045(b) | 922,782 | ||||||
| 4,373,607 | Argent Securities, Inc., Series 2006-M2, Class A2C, 0.336%, 9/25/2036(b) | 1,411,271 | ||||||
| 2,500,000 | Asset Backed Securities Corp. Home Equity, Series 2006-HE7, Class A4, 0.326%, 11/25/2036(b) | 896,220 | ||||||
| 803,215 | Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.336%, 11/25/2036(b) | 289,697 | ||||||
| 1,950,154 | GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.256%, 12/25/2046(b) | 864,034 | ||||||
| 400,820 | Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.506%, 7/25/2045(b) | 259,285 | ||||||
| 2,818,984 | MASTER Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037 | 2,368,158 | ||||||
| 3,000,000 | Novastar Home Equity Loan, Series 2007-1, Class A2C, 0.366%, 3/25/2037(b) | 917,034 | ||||||
| 358,597 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.088%, 12/25/2046(b) | 247,971 | ||||||
|
| |||||||
| 8,176,452 | ||||||||
|
| |||||||
| ABS Other — 0.7% | ||||||||
| 4,071,175 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A | 4,070,480 | ||||||
|
| |||||||
| Airlines — 0.4% | ||||||||
| 208,442 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 | 206,087 | ||||||
| 1,980,000 | US Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025 | 1,980,000 | ||||||
|
| |||||||
| 2,186,087 | ||||||||
|
| |||||||
| Automotive — 1.2% | ||||||||
| 3,000,000 | Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD) | 3,108,808 | ||||||
| 4,050,000 | Lear Corp., 8.125%, 3/15/2020 | 4,363,875 | ||||||
|
| |||||||
| 7,472,683 | ||||||||
|
| |||||||
| Banking — 0.5% | ||||||||
| 2,431,377 | Banco Votorantim SA, 6.250%, 5/16/2016, 144A, (BRL) | 1,584,010 | ||||||
| 1,000,000 | Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR) | 1,446,785 | ||||||
|
| |||||||
| 3,030,795 | ||||||||
|
| |||||||
| Building Materials — 0.2% | ||||||||
| 1,000,000 | Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A | 993,750 | ||||||
|
| |||||||
| Chemicals — 2.2% | ||||||||
| 1,600,000 | Braskem Finance Ltd., 5.750%, 4/15/2021, 144A | 1,610,080 | ||||||
| 11,685,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 | 12,152,400 | ||||||
|
| |||||||
| 13,762,480 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 46
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Collateralized Mortgage Obligations — 4.9% | ||||||||
| $ | 2,162,923 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.896%, 9/25/2045(b) | $ | 1,769,887 | ||||
| 806,129 | Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.416%, 4/20/2035(b) | 637,754 | ||||||
| 2,308,418 | Banc of America Funding Corp., Series 2005-H, Class 7A1, 2.696%, 11/20/2035(b) | 1,262,651 | ||||||
| 707,781 | Banc of America Funding Corp., Series 2004-B, Class 4A2, 3.060%, 11/20/2034(b) | 561,779 | ||||||
| 1,777,863 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036(b) | 1,578,961 | ||||||
| 963,302 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 2.795%, 10/25/2036(b) | 628,714 | ||||||
| 770,936 | Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.456%, 2/22/2035(b) | 443,472 | ||||||
| 1,191,597 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.396%, 5/25/2035(b) | 740,481 | ||||||
| 283,066 | Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.426%, 7/25/2035(b) | 174,406 | ||||||
| 494,913 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.486%, 5/25/2035(b) | 338,500 | ||||||
| 254,316 | Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.536%, 1/19/2035(b) | 152,217 | ||||||
| 208,965 | Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 2.891%, 12/19/2035(b) | 160,899 | ||||||
| 2,968,330 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.296%, 5/25/2037(b) | 1,376,952 | ||||||
| 3,706,647 | Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.486%, 7/25/2035(b) | 2,400,221 | ||||||
| 843,447 | Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.046%, 9/25/2034(b) | 555,158 | ||||||
| 2,441,705 | Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b) | 2,007,948 | ||||||
| 2,073,453 | Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.509%, 2/25/2036(b) | 1,425,696 | ||||||
| 1,220,056 | JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.346%, 12/25/2036(b) | 635,764 | ||||||
| 2,973,092 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.306%, 7/25/2037(b)(c) | 1,204,102 | ||||||
| 441,735 | Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.386%, 10/25/2046(b) | 295,190 | ||||||
| 829,355 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b) | 476,951 | ||||||
| 1,313,344 | MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.426%, 5/25/2037(b) | 633,004 | ||||||
| 1,526,305 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.921%, 12/25/2034(b) | 1,257,246 | ||||||
| 2,057,480 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 | 1,842,936 | ||||||
| 2,800,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 2,476,096 | ||||||
See accompanying notes to financial statements.
47 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Collateralized Mortgage Obligations — continued | ||||||||
| $ | 440,058 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.641%, 10/25/2035(b) | $ | 416,482 | ||||
| 2,463,600 | Residential Accredit Loans, Inc., Series 2007-QA1, Class A3, 0.356%, 1/25/2037(b) | 1,071,020 | ||||||
| 2,428,309 | Residential Accredit Loans, Inc., Series 2005-QA12, Class NB4, 4.092%, 12/25/2035(b) | 1,465,783 | ||||||
| 1,491,086 | Sequoia Mortgage Trust, Series 2004-6, Class A1, 1.949%, 7/20/2034(b) | 1,249,404 | ||||||
| 992,212 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-4, Class 3A2, 2.586%, 4/25/2034(b) | 865,818 | ||||||
| 648,154 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.859%, 9/25/2046(b) | 498,454 | ||||||
|
| |||||||
| 30,603,946 | ||||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 8.9% | ||||||||
| 1,502,713 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 1.896%, 9/25/2045(b) | 1,253,373 | ||||||
| 4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.552%, 4/15/2044, 144A(b) | 4,162,555 | ||||||
| 475,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b) | 502,604 | ||||||
| 1,400,000 | Crown Castle Towers LLC, 4.883%, 8/15/2040, 144A | 1,407,735 | ||||||
| 350,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A | 381,892 | ||||||
| 1,400,000 | CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047 | 1,486,180 | ||||||
| 7,409,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b) | 6,305,812 | ||||||
| 2,805,000 | Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A | 2,800,289 | ||||||
| 2,878,940 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.891%, 6/19/2035(b) | 2,520,219 | ||||||
| 1,400,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 | 1,502,270 | ||||||
| 675,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049 | 617,196 | ||||||
| 3,600,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b) | 3,165,756 | ||||||
| 250,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.800%, 8/10/2045(b) | 268,400 | ||||||
| 2,373,291 | Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.921%, 12/19/2035(b) | 1,753,642 | ||||||
| 4,060,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class D, 6.314%, 6/15/2043, 144A(b) | 3,940,014 | ||||||
| 2,500,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 | 2,639,383 | ||||||
| 2,430,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 | 2,580,958 | ||||||
| 2,125,000 | Morgan Stanley Capital I, Series 2011-C2, Class E, 5.319%, 6/15/2044, 144A(b) | 1,825,819 | ||||||
| 1,300,000 | Morgan Stanley Capital I, Series 2011-C1, Class D, 5.256%, 9/15/2047, 144A(b) | 1,182,689 | ||||||
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||
| $ | 1,300,000 | Morgan Stanley Capital I, Series 2011-C1, Class E, 5.256%, 9/15/2047, 144A(b) | $ | 1,124,539 | ||||
| 4,800,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.800%, 8/12/2045, 144A(b) | 4,787,521 | ||||||
| 1,000,000 | Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.800%, 8/15/2045, 144A(b) | 995,003 | ||||||
| 9,325,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b) | 8,196,480 | ||||||
|
| |||||||
| 55,400,329 | ||||||||
|
| |||||||
| Diversified Manufacturing — 0.9% | ||||||||
| 5,900,000 | Votorantim Cimentos SA, 7.250%, 4/05/2041, 144A | 5,826,250 | ||||||
|
| |||||||
| Electric — 4.7% | ||||||||
| 1,400,000 | Ameren Energy Generating Co., Series F, 7.950%, 6/01/2032 | 1,355,745 | ||||||
| 4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL) | 2,889,733 | ||||||
| 7,655,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A | 7,082,835 | ||||||
| 4,700,000,000 | Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP) | 2,773,239 | ||||||
| 9,060,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020 | 9,662,128 | ||||||
| 3,250,000 | IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A | 3,602,706 | ||||||
| 2,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A | 1,965,000 | ||||||
|
| |||||||
| 29,331,386 | ||||||||
|
| |||||||
| Gaming — 4.8% | ||||||||
| 4,335,000 | Caesars Entertainment Operating Co., Inc., 5.625%, 6/01/2015 | 3,500,512 | ||||||
| 8,600,000 | Caesars Entertainment Operating Co., Inc., 11.250%, 6/01/2017 | 9,492,250 | ||||||
| 2,400,000 | Mandalay Resort Group, 7.625%, 7/15/2013 | 2,376,000 | ||||||
| 8,135,000 | MGM Resorts International, 5.875%, 2/27/2014 | 7,819,769 | ||||||
| 1,000,000 | MGM Resorts International, 6.750%, 4/01/2013 | 1,002,500 | ||||||
| 500,000 | MGM Resorts International, 6.875%, 4/01/2016 | 468,750 | ||||||
| 250,000 | MGM Resorts International, 7.500%, 6/01/2016 | 237,500 | ||||||
| 2,000,000 | MGM Resorts International, 7.625%, 1/15/2017 | 1,925,000 | ||||||
| 2,500,000 | MGM Resorts International, 9.000%, 3/15/2020 | 2,737,500 | ||||||
|
| |||||||
| 29,559,781 | ||||||||
|
| |||||||
| Government Owned – No Guarantee — 0.1% | ||||||||
| 400,000 | Petrobras International Finance Co., 6.750%, 1/27/2041 | 426,846 | ||||||
|
| |||||||
| Healthcare — 1.6% | ||||||||
| 8,500,000 | Biomet, Inc., 11.625%, 10/15/2017 | 9,413,750 | ||||||
| 450,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(d) | 472,404 | ||||||
|
| |||||||
| 9,886,154 | ||||||||
|
| |||||||
| Hybrid ARMs — 0.6% | ||||||||
| 2,315,146 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.156%, 4/25/2035(b) | 1,095,059 | ||||||
| 1,498,091 | Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.576%, 12/25/2034(b) | 903,042 | ||||||
| 1,204,661 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.406%, 4/25/2046(b) | 680,147 | ||||||
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Hybrid ARMs — continued | ||||||||
| $ | 1,277,220 | Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.446%, 4/25/2035(b) | $ | 962,950 | ||||
|
| |||||||
| 3,641,198 | ||||||||
|
| |||||||
| Industrial Other — 0.1% | ||||||||
| 750,000 | Steelcase, Inc., 6.375%, 2/15/2021 | 780,352 | ||||||
|
| |||||||
| Life Insurance — 1.7% | ||||||||
| 500,000 | American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD) | 523,615 | ||||||
| 3,870,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 4,228,362 | ||||||
| 5,600,000 | Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A | 5,850,359 | ||||||
|
| |||||||
| 10,602,336 | ||||||||
|
| |||||||
| Media Cable — 0.2% | ||||||||
| 1,500,000 | Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD) | 1,485,582 | ||||||
|
| |||||||
| Media Non-Cable — 0.4% | ||||||||
| 613,000 | R. R. Donnelley & Sons Co., 6.125%, 1/15/2017 | 599,216 | ||||||
| 2,000,000 | R. R. Donnelley & Sons Co., 7.625%, 6/15/2020 | 1,976,608 | ||||||
|
| |||||||
| 2,575,824 | ||||||||
|
| |||||||
| Metals & Mining — 2.0% | ||||||||
| 4,400,000 | ArcelorMittal, 5.500%, 3/01/2021 | 4,406,868 | ||||||
| 1,150,000 | Boart Longyear Management Pty Ltd., 7.000%, 4/01/2021, 144A | 1,175,875 | ||||||
| 3,675,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A | 3,684,188 | ||||||
| 3,360,000 | Vedanta Resources PLC, 8.250%, 6/07/2021, 144A | 3,385,200 | ||||||
|
| |||||||
| 12,652,131 | ||||||||
|
| |||||||
| Non-Captive Consumer — 6.4% | ||||||||
| 15,975,000 | Residential Capital LLC, 9.625%, 5/15/2015 | 15,855,187 | ||||||
| 1,175,000 | SLM Corp., MTN, 6.250%, 1/25/2016 | 1,219,063 | ||||||
| 6,465,000 | SLM Corp., MTN, 8.000%, 3/25/2020 | 6,942,143 | ||||||
| 5,400,000 | Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR) | 7,395,008 | ||||||
| 3,100,000 | Springleaf Finance Corp., 4.125%, 11/29/2013, (EUR) | 4,186,248 | ||||||
| 1,435,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 | 1,313,025 | ||||||
| 2,200,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 | 1,963,500 | ||||||
| 1,000,000 | Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013 | 987,500 | ||||||
|
| |||||||
| 39,861,674 | ||||||||
|
| |||||||
| Non-Captive Diversified — 1.4% | ||||||||
| 1,375,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 1,343,467 | ||||||
| 7,000,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A | 7,490,000 | ||||||
|
| |||||||
| 8,833,467 | ||||||||
|
| |||||||
| Oil Field Services — 1.7% | ||||||||
| 180,000 | Basic Energy Services, Inc., 7.750%, 2/15/2019, 144A | 180,900 | ||||||
| 5,740,000 | Complete Production Services, Inc., 8.000%, 12/15/2016 | 5,998,300 | ||||||
| 4,040,000 | OGX Petroleo e Gas Participacoes SA, 8.500%, 6/01/2018, 144A | 4,155,140 | ||||||
| 157,000 | Parker Drilling Co., 9.125%, 4/01/2018 | 165,635 | ||||||
|
| |||||||
| 10,499,975 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 50
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Packaging — 0.4% | ||||||||
| 1,000,000 | Beverage Packaging Holdings SA, 8.000%, 12/15/2016, 144A, (EUR) | $ | 1,366,766 | |||||
| 750,000 | Packaging Dynamics Corp., 8.750%, 2/01/2016, 144A | 761,250 | ||||||
| 145,000 | Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A | 135,575 | ||||||
|
| |||||||
| 2,263,591 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.3% | ||||||||
| 1,300,000 | Valeant Pharmaceuticals International, 6.500%, 7/15/2016, 144A | 1,285,375 | ||||||
| 500,000 | Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A | 490,000 | ||||||
| 200,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 194,000 | ||||||
|
| |||||||
| 1,969,375 | ||||||||
|
| |||||||
| Pipelines — 0.8% | ||||||||
| 860,000 | Tennessee Gas Pipeline Co., 7.000%, 3/15/2027 | 982,676 | ||||||
| 1,140,000 | Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 | 1,312,475 | ||||||
| 2,300,000 | Tennessee Gas Pipeline Co., 8.375%, 6/15/2032 | 2,907,830 | ||||||
|
| |||||||
| 5,202,981 | ||||||||
|
| |||||||
| Refining — 0.3% | ||||||||
| 1,900,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A | 1,957,000 | ||||||
|
| |||||||
| Retailers — 0.7% | ||||||||
| 3,900,000 | Rite Aid Corp., 10.375%, 7/15/2016 | 4,143,750 | ||||||
|
| |||||||
| Sovereigns — 2.0% | ||||||||
| 1,260,000(††) | Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN) | 10,753,568 | ||||||
| 200,000(††) | Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN) | 1,808,370 | ||||||
|
| |||||||
| 12,561,938 | ||||||||
|
| |||||||
| Technology — 0.0% | ||||||||
| 75,000 | CommScope, Inc., 8.250%, 1/15/2019, 144A | 77,250 | ||||||
|
| |||||||
| Treasuries — 3.5% | ||||||||
| 6,200,000 | Canadian Government Bond, 1.750%, 3/01/2013, (CAD) | 6,454,763 | ||||||
| 20,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) | 12,283 | ||||||
| 3,715,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) | 2,453,379 | ||||||
| 240,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 218,392 | ||||||
| 170,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 150,319 | ||||||
| 11,525,000,000 | Korea Treasury Bond, 3.750%, 6/10/2013, (KRW) | 10,793,450 | ||||||
| 990,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 823,186 | ||||||
| 1,100,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 957,418 | ||||||
|
| |||||||
| 21,863,190 | ||||||||
|
| |||||||
| Wireless — 2.9% | ||||||||
| 15,720,000 | Clearwire Communications LLC/Clearwire Finance Inc., 12.000%, 12/01/2015, 144A | 16,840,050 | ||||||
| 1,005,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 952,237 | ||||||
|
| |||||||
| 17,792,287 | ||||||||
|
| |||||||
| Wirelines — 4.5% | ||||||||
| 8,525,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 | 8,770,094 | ||||||
| 150,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) | 152,266 | ||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Wirelines — continued | ||||||||
| 1,200,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) | $ | 1,392,144 | |||||
| 3,500,000 | Qwest Corp., 7.125%, 11/15/2043 | 3,325,000 | ||||||
| 7,534,000 | Qwest Corp., 7.200%, 11/10/2026 | 7,383,320 | ||||||
| 5,165,000 | Qwest Corp., 7.500%, 6/15/2023 | 5,171,456 | ||||||
| 250,000 | Telecom Italia Capital SA, 7.200%, 7/18/2036 | 235,704 | ||||||
| 1,250,000 | Telecom Italia Capital SA, 7.721%, 6/04/2038 | 1,243,136 | ||||||
|
| |||||||
| 27,673,120 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $394,698,348) | 388,331,664 | |||||||
|
| |||||||
| Convertible Bonds — 3.6% | ||||||||
| Automotive — 0.7% | ||||||||
| 1,610,000 | Ford Motor Co., 4.250%, 11/15/2016 | 2,759,137 | ||||||
| 755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015, 144A | 1,594,938 | ||||||
|
| |||||||
| 4,354,075 | ||||||||
|
| |||||||
| Diversified Manufacturing — 1.0% | ||||||||
| 3,510,000 | EMC Corp., Series B, 1.750%, 12/01/2013 | 6,151,275 | ||||||
|
| |||||||
| Healthcare — 0.2% | ||||||||
| 1,210,000 | Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(e) | 1,382,425 | ||||||
|
| |||||||
| Metals & Mining — 0.4% | ||||||||
| 2,250,000 | Alpha Natural Resources, Inc., 2.375%, 4/15/2015 | 2,632,500 | ||||||
|
| |||||||
| Pharmaceuticals — 0.4% | ||||||||
| 2,010,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 2,530,087 | ||||||
|
| |||||||
| Technology — 0.9% | ||||||||
| 1,715,000 | Ciena Corp., 0.875%, 6/15/2017 | 1,451,319 | ||||||
| 1,045,000 | Intel Corp., 3.250%, 8/01/2039 | 1,274,900 | ||||||
| 2,710,000 | SanDisk Corp., 1.500%, 8/15/2017 | 2,865,825 | ||||||
|
| |||||||
| 5,592,044 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $23,006,637) | 22,642,406 | |||||||
|
| |||||||
| Municipals — 0.2% | ||||||||
| California — 0.2% | ||||||||
| 975,000 | California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 (Identified Cost $845,224) | 922,633 | ||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $418,550,209) | 411,896,703 | |||||||
|
| |||||||
| Senior Loans — 9.4% | ||||||||
| Airlines — 0.1% | ||||||||
| 897,750 | Allegiant Travel Company, Term Loan B, 5.750%, 3/10/2017(b) | 902,239 | ||||||
|
| |||||||
| Automotive — 1.2% | ||||||||
| 3,485,000 | Chrysler Group LLC, Term Loan, 6.000%, 5/24/2017(b) | 3,403,311 | ||||||
| 1,875,000 | KAR Auction Services, Inc., Term Loan B, 5.000%, 5/19/2017(b) | 1,886,719 | ||||||
See accompanying notes to financial statements.
| 52
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Automotive — continued | ||||||||
| $ | 2,244,375 | Metaldyne Company LLC, New Term Loan B, 5.250%, 5/18/2017(b) | $ | 2,244,375 | ||||
|
| |||||||
| 7,534,405 | ||||||||
|
| |||||||
| Building Materials — 0.5% | ||||||||
| 935,300 | CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b) | 934,131 | ||||||
| 2,159,588 | Nortek, Inc., Term Loan, 5.250%, 4/26/2017(f) | 2,154,188 | ||||||
|
| |||||||
| 3,088,319 | ||||||||
|
| |||||||
| Chemicals — 0.7% | ||||||||
| 74,491 | Houghton International, Inc., New Term Loan B, 6.750%, 1/29/2016(b) | 74,771 | ||||||
| 3,840,000 | PQ Corporation, 2nd Lien Term Loan, 7/30/2015(g) | 3,759,283 | ||||||
| 600,000 | PQ Corporation, 2nd Lien Term Loan, 6.690%, 7/30/2015(b) | 587,388 | ||||||
|
| |||||||
| 4,421,442 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 0.2% | ||||||||
| 335,000 | Allied Security Holdings LLC, 2nd Lien Term Loan, 8.500%, 2/05/2018(b) | 339,187 | ||||||
| 94,443 | Instant Web, Inc., Delayed Draw Term Loan, 3.561%, 8/07/2014(b) | 85,707 | ||||||
| 900,390 | Instant Web, Inc., Term Loan B, 3.561%, 8/07/2014(b) | 817,104 | ||||||
| 183,331 | Language Line, LLC, New Term Loan B, 6.250%, 6/20/2016(b) | 183,447 | ||||||
|
| |||||||
| 1,425,445 | ||||||||
|
| |||||||
| Consumer Products — 0.3% | ||||||||
| 1,731,300 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) | 1,720,168 | ||||||
|
| |||||||
| Electric — 0.6% | ||||||||
| 4,096,488 | Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.690%, 10/10/2014(b) | 3,461,532 | ||||||
|
| |||||||
| Healthcare — 0.3% | ||||||||
| 1,745,625 | HCR Healthcare, LLC, New Term Loan, 5.000%, 4/06/2018(b) | 1,712,353 | ||||||
|
| |||||||
| Industrial Other — 0.4% | ||||||||
| 2,010,000 | Milacron LLC, Term Loan B, 7.500%, 4/11/2017(b) | 1,989,900 | ||||||
| 750,000 | Potters Industries, 1st Lien Term Loan, 6.000%, 5/05/2017(b) | 750,000 | ||||||
|
| |||||||
| 2,739,900 | ||||||||
|
| |||||||
| Media Non-Cable — 0.4% | ||||||||
| 2,394,000 | RBS International Direct Marketing, LLC, Term Loan B, 6.500%, 3/23/2017(b) | 2,346,120 | ||||||
|
| |||||||
| Oil Field Services — 1.1% | ||||||||
| 3,972,219 | CCS Income Trust, Tranche B Term Loan, 3.246%, 11/14/2014(b) | 3,770,788 | ||||||
| 3,005,000 | SemGroup Corporation, Term Loan B, 6/15/2018(g) | 2,987,481 | ||||||
|
| |||||||
| 6,758,269 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.8% | ||||||||
| 4,890,000 | Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b) | 4,857,922 | ||||||
|
| |||||||
| Retailers — 0.6% | ||||||||
| 1,106,595 | Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 6.500%, 12/22/2017(b) | 1,122,507 | ||||||
| 300,000 | J. Crew Operating Corp., New Term Loan B, 4.750%, 3/07/2018(b) | 287,499 | ||||||
| 2,650,000 | Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(b) | 2,605,295 | ||||||
|
| |||||||
| 4,015,301 | ||||||||
|
| |||||||
| Supermarket — 0.2% | ||||||||
| 997,500 | Sprouts Farmers Markets Holdings, LLC, Term Loan, 6.000%, 4/18/2018(b) | 988,153 | ||||||
|
| |||||||
See accompanying notes to financial statements.
53 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Technology — 1.2% | ||||||||
| $ | 1,400,000 | Aeroflex Incorporated, Term Loan B, 4.250%, 5/09/2018(b) | $ | 1,395,100 | ||||
| 1,407,890 | First Data Corporation, Term Loan B2, 2.936%, 9/24/2014(b) | 1,302,833 | ||||||
| 3,070,000 | Lawson Software, Inc., 1st Lien Term Loan, 7/05/2017(g) | 2,942,595 | ||||||
| 1,820,000 | Open Link Financial, Inc., New Term Loan B, 5.250%, 4/26/2018(b) | 1,810,900 | ||||||
|
| |||||||
| 7,451,428 | ||||||||
|
| |||||||
| Wireless — 0.4% | ||||||||
| 2,460,000 | Asurion Corporation, New 2nd Lien Term Loan, 9.000%, 5/24/2019(b) | 2,464,920 | ||||||
|
| |||||||
| Wirelines — 0.4% | ||||||||
| 2,487,500 | Global Tel*Link Corporation, New Term Loan B, 5.000%, 11/10/2016(b) | 2,476,630 | ||||||
|
| |||||||
| Total Senior Loans (Identified Cost $58,595,077) | 58,364,546 | |||||||
|
| |||||||
| Shares | ||||||||
| Preferred Stocks — 2.9% | ||||||||
| Convertible Preferred Stocks — 1.9% | ||||||||
| Automotive — 0.6% | ||||||||
| 72,200 | General Motors Co., Series B, 4.750% | 3,519,028 | ||||||
|
| |||||||
| Banking — 0.4% | ||||||||
| 2,500 | Wells Fargo & Co., Series L, Class A, 7.500% | 2,650,000 | ||||||
|
| |||||||
| Independent Energy — 0.8% | ||||||||
| 81,250 | Apache Corp., Series D, 6.000% | 5,356,000 | ||||||
|
| |||||||
| REITs –Healthcare — 0.1% | ||||||||
| 8,000 | Health Care REIT, Inc., Series I, 6.500% | 412,080 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $12,041,130) | 11,937,108 | |||||||
|
| |||||||
| Non-Convertible Preferred Stocks — 1.0% | ||||||||
| Non-Captive Diversified — 1.0% | ||||||||
| 129,400 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% | 3,238,882 | ||||||
| 275 | Ally Financial, Inc., Series G, 7.000%, 144A | 258,449 | ||||||
| 102,000 | Montpelier Re Holdings Ltd., 8.875% | 2,631,600 | ||||||
|
| |||||||
| Total Non-Convertible Preferred Stocks (Identified Cost $6,040,062) | 6,128,931 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $18,081,192) | 18,066,039 | |||||||
|
| |||||||
| Par Value(‡) | ||||||||
| Purchased Options — 0.0% | ||||||||
| Options on Currency — 0.0% | ||||||||
| $ | 6,000,000 | AUD Put/USD Call, expiring September 27, 2011 at 1.0310(h) | 90,912 | |||||
| 2,400,000 | JPY Put/CAD Call, expiring July 13, 2011 at 87.1300(CAD)(h) | 674 | �� | |||||
|
| |||||||
| Total Purchased Options (Identified Cost $238,168) | 91,586 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 54
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Short-Term Investments — 25.1% | ||||||||
| $ | 63,449 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $63,449 on 7/01/2011 collateralized by $65,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $66,244 including accrued interest (Note 2 of Notes to Financial Statements) | $ | 63,449 | ||||
| 38,224,249 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $38,224,249 on 7/01/2011 collateralized by $39,010,000 Federal Home Loan Mortgage Corp. Discount Note, due 8/15/2011 valued at $38,990,495 including accrued interest (Note 2 of Notes to Financial Statements) | 38,224,249 | ||||||
| 118,000,000 | U.S. Treasury Bills, 0.036%-0.165%, 9/22/2011(i)(j)(k)(l) | 117,993,156 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $156,267,581) | 156,280,854 | |||||||
|
| |||||||
| Total Investments — 103.7% (Identified Cost $651,732,227)(a) | 644,699,728 | |||||||
| Other assets less liabilities — (3.7)% | (23,163,672 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 621,536,056 | ||||||
|
| |||||||
| (‡) | Principal amount/Par Value stated in U.S. dollars unless otherwise noted. | |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
| (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. Amortization of premium on debt securities is excluded for tax purposes.): | |||||||
| At June 30, 2011, the net unrealized depreciation on investments based on a cost of $652,359,754 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 | $ | 3,684,007 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (11,344,033 | ) | ||||||
|
| |||||||
| Net unrealized depreciation | $ | (7,660,026 | ) | |||||
|
| |||||||
| (b) | Variable rate security. Rate as of June 30, 2011 is disclosed. | |||||||
| (c) | The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued. | |||||||
| (d) | Illiquid security. At June 30, 2011, the value of this security amounted to $472,404 or 0.1% of net assets. | |||||||
| (e) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. | |||||||
| (f) | Variable rate security. Rate shown represents the weighted average rate at June 30, 2011. | |||||||
| (g) | Position is unsettled. Contract rate was not determined at June 30, 2011 and does not take effect until settlement date. |
| ||||||
| (h) | Counterparty is Credit Suisse. | |||||||
| (i) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
| (j) | All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements and as initial margin for open futures contracts. | |||||||
| (k) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swap agreements. | |||||||
See accompanying notes to financial statements.
55 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| (l) | The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. | |||||
| 144A | All or a portion of these securities are 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, 2011, the value of Rule 144A holdings amounted to $121,557,970 or 19.5% of net assets. | |||||
| ABS | Asset-Backed Securities | |||||
| ARMs | Adjustable Rate Mortgages | |||||
| EMTN | Euro Medium Term Note | |||||
| GMTN | Global Medium Term Note | |||||
| MTN | Medium Term Note | |||||
| REITs | Real Estate Investment Trusts | |||||
| AUD | Australian Dollar | |||||
| BRL | Brazilian Real | |||||
| CAD | Canadian Dollar | |||||
| COP | Colombian Peso | |||||
| EUR | Euro | |||||
| JPY | Japanese Yen | |||||
| KRW | South Korean Won | |||||
| MXN | Mexican Peso | |||||
At June 30, 2011, the Fund had the following open credit default swap agreements:
| Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread1 | Notional Value(‡) | Unamortized Up Front Payment Paid/ (Received) | Market Value | Unrealized Appreciation (Depreciation) | �� | Fees Receivable/ (Payable) | ||||||||||||||||||||||
| Sell Protection | ||||||||||||||||||||||||||||||||
Morgan Stanley | Alcatel-Lucent | 5.00% | 09/20/2016 | 4.84 | % | 3,800,000 | * | $ | (1,515 | ) | $ | 38,058 | $ | 39,573 | $ | 8,419 | ||||||||||||||||
UBS AG | Alcatel-Lucent | 5.00% | 06/20/2016 | 4.71 | % | 2,700,000 | * | 85,195 | 46,983 | (38,212 | ) | 5,982 | ||||||||||||||||||||
UBS AG | General Electric Capital Corp. | 1.00% | 09/20/2016 | 1.33 | % | 18,500,000 | (331,526 | ) | (298,001 | ) | 33,525 | 5,653 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
| Total | $ | (212,960 | ) | $ | 34,886 | $ | 20,054 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
(‡) Notional value stated in U.S. dollars unless otherwise noted.
* Notional value denominated in euros.
1 Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
See accompanying notes to financial statements.
| 56
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Sell2 | 07/27/2011 | Brazilian Real | 6,950,000 | $ | 4,430,206 | $ | (103,223 | ) | ||||||||||
| Buy3 | 01/30/2012 | Chinese Renminbi | 23,015,000 | 3,586,241 | 10,541 | |||||||||||||
| Buy3 | 01/30/2012 | Chinese Renminbi | 5,425,000 | 845,334 | (4,793 | ) | ||||||||||||
| Sell3 | 01/30/2012 | Chinese Renminbi | 28,440,000 | 4,431,575 | (53,160 | ) | ||||||||||||
| Buy4 | 07/25/2011 | Colombian Peso | 4,970,000,000 | 2,807,961 | 4,802 | |||||||||||||
| Sell4 | 07/25/2011 | Colombian Peso | 4,970,000,000 | 2,807,961 | (20,837 | ) | ||||||||||||
| Sell2 | 07/06/2011 | Euro | 2,915,000 | 4,227,069 | (18,756 | ) | ||||||||||||
| Sell2 | 07/29/2011 | Euro | 1,622,000 | 2,350,573 | (18,807 | ) | ||||||||||||
| Sell2 | 07/18/2011 | Euro | 980,000 | 1,420,633 | (20,899 | ) | ||||||||||||
| Sell2 | 07/27/2011 | Euro | 6,085,000 | 8,818,761 | (216,884 | ) | ||||||||||||
| Buy2 | 10/03/2011 | Malaysian Ringgit | 17,500,000 | 5,757,314 | 12,451 | |||||||||||||
| Buy2 | 07/22/2011 | Malaysian Ringgit | 2,500,000 | 826,892 | 9,499 | |||||||||||||
| Buy2 | 07/05/2011 | Malaysian Ringgit | 17,500,000 | 5,795,661 | (5,764 | ) | ||||||||||||
| Buy2 | 07/22/2011 | Malaysian Ringgit | 13,945,000 | 4,612,409 | (20,541 | ) | ||||||||||||
| Sell2 | 07/05/2011 | Malaysian Ringgit | 17,500,000 | 5,795,661 | (26,748 | ) | ||||||||||||
| Sell2 | 07/22/2011 | Malaysian Ringgit | 16,445,000 | 5,439,301 | (82,624 | ) | ||||||||||||
| Buy2 | 07/01/2011 | New Russian Ruble | 170,000,000 | 6,087,572 | 29,665 | |||||||||||||
| Sell2 | 07/01/2011 | New Russian Ruble | 170,000,000 | 6,087,572 | 24,239 | |||||||||||||
| Buy2 | 07/05/2011 | Singapore Dollar | 14,500,000 | 11,804,934 | 25,414 | |||||||||||||
| Buy2 | 08/05/2011 | Singapore Dollar | 14,500,000 | 11,805,126 | 673 | |||||||||||||
| Sell2 | 07/05/2011 | Singapore Dollar | 14,500,000 | 11,804,934 | (961 | ) | ||||||||||||
| Buy4 | 07/25/2011 | South Korean Won | 6,600,000,000 | 6,174,153 | (997 | ) | ||||||||||||
| Sell4 | 07/25/2011 | South Korean Won | 6,600,000,000 | 6,174,153 | (39,754 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | (517,464 | ) | |||||||||||||||
|
| |||||||||||||||||
2 Counterparty is Credit Suisse.
3 Counterparty is Morgan Stanley.
4 Counterparty is Bank of America.
At June 30, 2011, open futures contracts purchased were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation | ||||||||||
| 30 Day Federal Funds | 12/30/2011 | 779 | $ | 324,041,234 | $ | 242,762 | ||||||||
|
| |||||||||||||
At June 30, 2011, open futures contracts sold were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| E-mini S&P 500 | 09/16/2011 | 256 | $ | 16,838,400 | $ | (632,297 | ) | |||||||
| German Euro BOBL | 09/08/2011 | 9 | 1,521,526 | (5,108 | ) | |||||||||
| Ultra Long U.S. Treasury Bond | 09/21/2011 | 31 | 3,913,750 | 54,669 | ||||||||||
| 2 Year U.S. Treasury Note | 09/30/2011 | 904 | 198,286,750 | (69,031 | ) | |||||||||
| 10 Year U.S. Treasury Note | 09/21/2011 | 44 | 5,382,437 | 81,730 | ||||||||||
See accompanying notes to financial statements.
57 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Absolute Strategies Fund – (continued)
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| 30 Day Federal Funds | 01/31/2012 | 779 | $ | 324,008,773 | $ | (294,927 | ) | |||||||
| 30 Year U.S. Treasury Bond | 09/21/2011 | 97 | 11,934,031 | 134,635 | ||||||||||
|
| |||||||||||||
| Total | $ | (730,329 | ) | |||||||||||
|
| |||||||||||||
Industry Summary at June 30, 2011 (Unaudited)
Commercial Mortgage-Backed Securities | 8.9 | % | ||
Non-Captive Consumer | 6.4 | |||
Electric | 5.3 | |||
Collateralized Mortgage Obligations | 4.9 | |||
Wirelines | 4.9 | |||
Gaming | 4.8 | |||
Automotive | 3.7 | |||
Treasuries | 3.5 | |||
Wireless | 3.3 | |||
Chemicals | 2.9 | |||
Oil Field Services | 2.8 | |||
Metals & Mining | 2.4 | |||
Non-Captive Diversified | 2.4 | |||
Technology | 2.1 | |||
Healthcare | 2.1 | |||
Sovereigns | 2.0 | |||
Other Investments, less than 2% each | 16.2 | |||
Short-Term Investments | 25.1 | |||
|
| |||
Total Investments | 103.7 | |||
Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts and futures contracts) | (3.7 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 58
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund
Principal Amount (‡) | Description | Value (†) | ||||||
| Bonds and Notes — 40.6% of Net Assets | ||||||||
| Non-Convertible Bonds — 37.6% | ||||||||
| Airlines — 1.4% | ||||||||
| $ | 750,000 | Air Canada, 9.250%, 8/01/2015, 144A | $ | 767,812 | ||||
| 230,000 | US Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025 | 230,000 | ||||||
|
| |||||||
| 997,812 | ||||||||
|
| |||||||
| Automotive — 0.1% | ||||||||
| 65,000 | Navistar International Corp., 8.250%, 11/01/2021 | 69,550 | ||||||
|
| |||||||
| Banking — 0.6% | ||||||||
| 653,056 | Banco Votorantim SA, 6.250%, 5/16/2016, 144A, (BRL) | 425,457 | ||||||
|
| |||||||
| Building Materials — 1.1% | ||||||||
| 750,000 | Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A | 745,312 | ||||||
|
| |||||||
| Chemicals — 0.6% | ||||||||
| 420,000 | PolyOne Corp., 7.375%, 9/15/2020 | 439,950 | ||||||
|
| |||||||
| Collateralized Mortgage Obligations — 0.4% | ||||||||
| 461,752 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.238%, 8/25/2046(b) | 253,492 | ||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 0.9% | ||||||||
| 700,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b) | 615,564 | ||||||
|
| |||||||
| Construction Machinery — 1.1% | ||||||||
| 125,000 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021 | 124,375 | ||||||
| 100,000 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.250%, 11/15/2019 | 109,500 | ||||||
| 500,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 | 506,250 | ||||||
|
| |||||||
| 740,125 | ||||||||
|
| |||||||
| Distributors — 0.7% | ||||||||
| 500,000 | ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A | 491,283 | ||||||
|
| |||||||
| Electric — 2.6% | ||||||||
| 315,000 | AES Corp. (The), 7.375%, 7/01/2021, 144A | 319,725 | ||||||
| 500,000 | AES Corp. (The), 8.000%, 10/15/2017 | 530,000 | ||||||
| 400,000 | Calpine Corp., 7.500%, 2/15/2021, 144A | 408,000 | ||||||
| 150,000,000 | Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP) | 91,187 | ||||||
| 814,000,000 | Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP) | 480,302 | ||||||
|
| |||||||
| 1,829,214 | ||||||||
|
| |||||||
| Entertainment — 0.7% | ||||||||
| 500,000 | AMC Entertainment, Inc., 9.750%, 12/01/2020, 144A | 511,250 | ||||||
|
| |||||||
| Food & Beverage — 0.5% | ||||||||
| 400,000 | Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A | 382,200 | ||||||
|
| |||||||
| Healthcare — 1.2% | ||||||||
| 390,000 | Biomet, Inc., 11.625%, 10/15/2017 | 431,925 | ||||||
| 395,000 | Omnicare, Inc., 7.750%, 6/01/2020 | 419,194 | ||||||
|
| |||||||
| 851,119 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
59 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
| Independent Energy — 2.4% | ||||||||
| $ | 1,000,000 | Concho Resources, Inc., 6.500%, 1/15/2022 | $ | 1,002,500 | ||||
| 625,000 | QEP Resources, Inc., 6.875%, 3/01/2021 | 659,375 | ||||||
|
| |||||||
| 1,661,875 | ||||||||
|
| |||||||
| Media Cable — 1.2% | ||||||||
| 750,000 | Comcast Corp., 6.500%, 11/15/2035 | 813,935 | ||||||
|
| |||||||
| Media Non-Cable — 2.3% | ||||||||
| 150,000 | Intelsat Jackson Holdings SA, 7.500%, 4/01/2021, 144A | 149,063 | ||||||
| 1,350,000 | Intelsat SA, 11.250%, 2/04/2017 | 1,449,562 | ||||||
|
| |||||||
| 1,598,625 | ||||||||
|
| |||||||
| Metals & Mining — 2.2% | ||||||||
| 150,000 | ArcelorMittal, 5.500%, 3/01/2021 | 150,234 | ||||||
| 175,000 | ArcelorMittal, 6.750%, 3/01/2041 | 173,453 | ||||||
| 180,000 | Arch Western Finance LLC, 6.750%, 7/01/2013 | 180,225 | ||||||
| 1,000,000 | Teck Resources Ltd., 4.750%, 1/15/2022 | 1,002,613 | ||||||
|
| |||||||
| 1,506,525 | ||||||||
|
| |||||||
| Non-Captive Consumer — 0.7% | ||||||||
| 100,000 | Residential Capital LLC, 9.625%, 5/15/2015 | 99,250 | ||||||
| 420,000 | Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012 | 417,900 | ||||||
|
| |||||||
| 517,150 | ||||||||
|
| |||||||
| Non-Captive Diversified — 1.0% | ||||||||
| 120,000 | Aircastle Ltd., 9.750%, 8/01/2018 | 132,300 | ||||||
| 205,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 200,299 | ||||||
| 360,000 | International Lease Finance Corp., 8.625%, 9/15/2015 | 390,150 | ||||||
|
| |||||||
| 722,749 | ||||||||
|
| |||||||
| Oil Field Services — 2.0% | ||||||||
| 675,000 | Basic Energy Services, Inc., 7.125%, 4/15/2016 | 675,000 | ||||||
| 190,000 | Frac Tech Services LLC/Frac Tech Finance, Inc., 7.125%, 11/15/2018, 144A | 192,850 | ||||||
| 510,000 | OGX Petroleo e Gas Participacoes SA, 8.500%, 6/01/2018, 144A | 524,535 | ||||||
|
| |||||||
| 1,392,385 | ||||||||
|
| |||||||
| Packaging — 0.9% | ||||||||
| 635,000 | Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A | 593,725 | ||||||
|
| |||||||
| Paper — 1.0% | ||||||||
| 220,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 | 277,948 | ||||||
| 200,000 | Sappi Papier Holding GmbH, 6.625%, 4/15/2021, 144A | 194,500 | ||||||
| 200,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 208,126 | ||||||
|
| |||||||
| 680,574 | ||||||||
|
| |||||||
| Property & Casualty Insurance — 1.9% | ||||||||
| 350,000 | Liberty Mutual Group, Inc., 5.000%, 6/01/2021, 144A | 331,423 | ||||||
| 1,000,000 | Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A | 955,505 | ||||||
|
| |||||||
| 1,286,928 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 60
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
| Retailers — 1.5% | ||||||||
| 610,000 | Edcon Proprietary Ltd., 4.721%, 6/15/2014, (EUR)(b) | $ | 774,017 | |||||
| 250,000 | Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A | 235,000 | ||||||
|
| |||||||
| 1,009,017 | ||||||||
|
| |||||||
| Technology — 1.7% | ||||||||
| 765,000 | Audatex North America, Inc., 6.750%, 6/15/2018, 144A | 768,825 | ||||||
| 390,000 | First Data Corp., 7.375%, 6/15/2019, 144A | 392,925 | ||||||
|
| |||||||
| 1,161,750 | ||||||||
|
| |||||||
| Transportation Services — 0.3% | ||||||||
| 200,000 | Asciano Finance Ltd., 6.000%, 4/07/2023, 144A | 204,930 | ||||||
|
| |||||||
| Treasuries — 2.5% | ||||||||
| 540,000 | Canadian Government, 2.000%, 3/01/2014, (CAD) | 563,102 | ||||||
| 85,000(††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) | 697,739 | ||||||
| 1,200,000 | Poland Government Bond, 5.750%, 4/25/2014, (PLN) | 447,068 | ||||||
|
| |||||||
| 1,707,909 | ||||||||
|
| |||||||
| Wireless — 2.2% | ||||||||
| 1,500,000 | Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 | 1,509,375 | ||||||
|
| |||||||
| Wirelines — 1.9% | ||||||||
| 400,000 | Embarq Corp., 7.995%, 6/01/2036 | 409,845 | ||||||
| 235,000 | Frontier Communications Corp., 9.000%, 8/15/2031 | 240,875 | ||||||
| 700,000 | Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A | 703,500 | ||||||
|
| |||||||
| 1,354,220 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $26,094,241) | 26,074,000 | |||||||
|
| |||||||
| Convertible Bonds — 3.0% | ||||||||
| Media Non-Cable — 0.9% | ||||||||
| 475,000 | Interpublic Group of Cos., Inc. (The), 4.750%, 3/15/2023 | 600,875 | ||||||
|
| |||||||
| Metals & Mining — 0.2% | ||||||||
| 125,000 | Alpha Natural Resources, Inc., 2.375%, 4/15/2015 | 146,250 | ||||||
|
| |||||||
| Retailers — 1.0% | ||||||||
| 680,000 | Best Buy Co., Inc., 2.250%, 1/15/2022 | 685,100 | ||||||
|
| |||||||
| Technology — 0.9% | ||||||||
| 300,000 | Intel Corp., 3.250%, 8/01/2039 | 366,000 | ||||||
| 210,000 | Nuance Communications, Inc., 2.750%, 8/15/2027 | 275,100 | ||||||
|
| |||||||
| 641,100 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $2,080,057) | 2,073,325 | |||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $28,174,298) | 28,147,325 | |||||||
|
| |||||||
See accompanying notes to financial statements.
61 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
| Senior Loans — 1.0% | ||||||||
| Chemicals — 0.1% | ||||||||
| $ | 47,298 | Arizona Chemical, Inc., New Term Loan B, 4.750%, 11/21/2016(b) | $ | 47,318 | ||||
|
| |||||||
| Electric — 0.8% | ||||||||
| 541,643 | AES Corporation, New Term Loan, 4.250%, 6/01/2018(b) | 541,740 | ||||||
|
| |||||||
| Wireless — 0.1% | ||||||||
| 124,688 | TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(b) | 124,766 | ||||||
|
| |||||||
| Total Senior Loans (Identified Cost $710,336) | 713,824 | |||||||
|
| |||||||
| Shares | ||||||||
| Common Stocks — 12.7% | ||||||||
| Airlines — 0.5% | ||||||||
| 36,500 | Delta Air Lines, Inc.(c) | 334,705 | ||||||
|
| |||||||
| Chemicals — 2.6% | ||||||||
| 4,350 | Agrium, Inc. | 381,756 | ||||||
| 5,650 | Ashland, Inc. | 365,103 | ||||||
| 6,600 | E.I. du Pont de Nemours & Co. | 356,730 | ||||||
| 5,000 | Monsanto Co. | 362,700 | ||||||
| 6,500 | Rockwood Holdings, Inc.(c) | 359,385 | ||||||
|
| |||||||
| 1,825,674 | ||||||||
|
| |||||||
| Computers & Peripherals — 1.3% | ||||||||
| 33,000 | EMC Corp.(c) | 909,150 | ||||||
|
| |||||||
| Diversified Telecommunication Services — 1.1% | ||||||||
| 14,250 | AT&T, Inc. | 447,592 | ||||||
| 8,200 | CenturyLink, Inc. | 331,526 | ||||||
|
| |||||||
| 779,118 | ||||||||
|
| |||||||
| Electric Utilities — 1.1% | ||||||||
| 18,800 | Duke Energy Corp. | 354,004 | ||||||
| 9,000 | Southern Co. | 363,420 | ||||||
|
| |||||||
| 717,424 | ||||||||
|
| |||||||
| Food Products — 1.0% | ||||||||
| 10,000 | Kraft Foods, Inc., Class A | 352,300 | ||||||
| 18,500 | Tyson Foods, Inc., Class A | 359,270 | ||||||
|
| |||||||
| 711,570 | ||||||||
|
| |||||||
| Internet Software & Services — 1.0% | ||||||||
| 1,350 | Google, Inc., Class A(c) | 683,613 | ||||||
|
| |||||||
| Media — 1.3% | ||||||||
| 7,200 | DIRECTV, Class A(c) | 365,904 | ||||||
| 44,000 | Interpublic Group of Cos., Inc. (The) | 550,000 | ||||||
|
| |||||||
| 915,904 | ||||||||
|
| |||||||
| Metals & Mining — 0.5% | ||||||||
| 6,800 | Freeport-McMoRan Copper & Gold, Inc. | 359,720 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.5% | ||||||||
| 6,000 | Peabody Energy Corp. | 353,460 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 62
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Pharmaceuticals — 0.5% | ||||||||
| 12,000 | Bristol-Myers Squibb Co. | $ | 347,520 | |||||
|
| |||||||
| Software — 0.8% | ||||||||
| 16,500 | Oracle Corp. | 543,015 | ||||||
|
| |||||||
| Tobacco — 0.5% | ||||||||
| 12,500 | Altria Group, Inc. | 330,126 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $8,677,190) | 8,810,999 | |||||||
|
| |||||||
| Preferred Stocks — 1.5% | ||||||||
| Non-Captive Diversified — 1.5% | ||||||||
| 18,000 | GMAC Capital Trust I, Series 2, (fixed rate to 2/15/2016, variable rate thereafter), 8.125% | 460,800 | ||||||
| 22,000 | Montpelier Re Holdings Ltd., 8.875% | 567,600 | ||||||
| �� |
|
| ||||||
| Total Preferred Stocks (Identified Cost $1,000,000) | 1,028,400 | |||||||
|
| |||||||
| Exchange Traded Funds — 8.7% | ||||||||
| 14,900 | Health Care Select Sector SPDR Fund | 529,248 | ||||||
| 49,900 | Industrial Select Sector SPDR Fund | 1,858,276 | ||||||
| 11,100 | iShares Dow Jones U.S. Transportation Average Index Fund | 1,087,356 | ||||||
| 38,500 | Materials Select Sector SPDR Trust | 1,516,130 | ||||||
| 42,000 | Technology Select Sector SPDR Fund | 1,079,400 | ||||||
|
| |||||||
| Total Exchange Traded Funds (Identified Cost $5,862,578) | 6,070,410 | |||||||
|
| |||||||
| Par Value(‡)/Contracts/ Shares (†††) | ||||||||
| Purchased Options — 1.0% | ||||||||
| Options on Currency — 0.1% | ||||||||
| $ | 1,400,000 | AUD Put, expiring September 27, 2011 at 1.0315(d) | 21,213 | |||||
| 700,000 | COP Put, expiring September 12, 2011 at 1779.5500(f) | 11,550 | ||||||
| 700,000 | ILS Put, expiring September 09, 2011 at 3.4105(d) | 11,735 | ||||||
| 1,920,000 | JPY Put/CAD Call, expiring July 12, 2011 at 86.6700(CAD)(e) | 424 | ||||||
| 1,400,000 | JPY Put, expiring September 27, 2011 at 80.8000(e) | 23,892 | ||||||
|
| |||||||
| 68,814 | ||||||||
|
| |||||||
| Options on Futures — 0.1% | ||||||||
| 25 | Cocoa Future, Put expiring August 05, 2011 at 3000(k) | 15,250 | ||||||
| 5 | Cotton Future, Call expiring November 11, 2011 at 1500(k) | 8,900 | ||||||
|
| |||||||
| 24,150 | ||||||||
|
| |||||||
| Options on Securities — 0.8% | ||||||||
| 210,000 | iShares MSCI Japan Index Fund, Call expiring December 17, 2011 at 10 | 165,900 | ||||||
| 25,000 | SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 127 | 177,625 | ||||||
| 22,500 | SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 128 | 143,100 | ||||||
| 30,000 | SPDR S&P 500 ETF Trust, Put expiring September 17, 2011 at 127 | 72,150 | ||||||
See accompanying notes to financial statements.
63 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
| Shares (†††) | Description | Value (†) | ||||||
| Options on Securities — continued | ||||||||
| 6,000 | SPDR S&P 500 ETF Trust, Put expiring July 16, 2011 at 135 | $ | 19,890 | |||||
| 38,000 | U.S. Oil Fund LP, Call expiring July 16, 2011 at 50(k) | 190 | ||||||
|
| |||||||
| 578,855 | ||||||||
|
| |||||||
| Total Purchased Options (Identified Cost $752,866) | $ | 671,819 | ||||||
|
| |||||||
Principal Amount (‡) | ||||||||
| Short-Term Investments — 39.3% | ||||||||
| $ | 3,831,568 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $3,831,568 on 7/01/2011 collateralized by $5,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $5,096; $3,665,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $3,909,899 including accrued interest(k) (Note 2 of Notes to Financial Statements) | 3,831,568 | |||||
| 5,177,965 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $5,177,965 on 7/01/2011 collateralized by $5,330,000 Federal National Mortgage Association, 0.750% due 10/25/2013 valued at $5,283,363 including accrued interest (Note 2 of Notes to Financial Statements) | 5,177,965 | ||||||
| 18,300,000 | U.S. Treasury Bills, 0.036%-0.165%, 9/22/2011(g)(h)(i)(j)(k) | 18,298,939 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $27,305,469) | 27,308,472 | |||||||
|
| |||||||
| Total Investments — 104.8% (Identified Cost $72,482,737)(a) | 72,751,249 | |||||||
| Other assets less liabilities — (4.8)% | (3,338,329 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% $ | $ | 69,412,920 | ||||||
|
| |||||||
| Contracts/ Shares (†††) | ||||||||
| Written Options — (0.2%) | ||||||||
| Options on Futures — (0.0%) | ||||||||
| 25 | Cocoa Future, Put expiring August 05, 2011 at 2700(k) | $ | (2,500 | ) | ||||
| 5 | Cotton Future, Call expiring November 11, 2011 at 2000(k) | (1,775 | ) | |||||
|
| |||||||
| (4,275 | ) | |||||||
|
| |||||||
| Options on Securities — (0.2%) | ||||||||
| 25,000 | SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 132 | (92,000 | ) | |||||
| 30,000 | SPDR S&P 500 ETF Trust, Put expiring September 17, 2011 at 119 | (31,200 | ) | |||||
| 19,000 | U.S. Oil Fund LP, Call expiring July 16, 2011 at 56(k) | (95 | ) | |||||
|
| |||||||
| (123,295 | ) | |||||||
|
| |||||||
| Total Written Options (Premiums Received $148,939) | $ | (127,570 | ) | |||||
|
| |||||||
See accompanying notes to financial statements.
| 64
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
| (‡) | Principal amount/Par Value stated in U.S. dollars unless otherwise noted. | |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
| (†††) | Options on currency are expressed at par value. Options on futures are expressed as number of contracts. Options on securities are expressed as shares. | |||||||
| (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. Amortization of premium on debt securities is excluded for tax purposes.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $72,500,606 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 | $ | 816,121 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (565,478 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 250,643 | ||||||
|
| |||||||
| (b) | Variable rate security. Rate as of June 30, 2011 is disclosed. | |||||||
| (c) | Non-income producing security. | |||||||
| (d) | Counterparty is Credit Suisse. | |||||||
| (e) | Counterparty is UBS. | |||||||
| (f) | Counterparty is Barclays. | |||||||
| (g) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
| (h) | All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements and as initial margin for open futures contracts. | |||||||
| (i) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swap agreements. | |||||||
| (j) | The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. | |||||||
| (k) | All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements. | |||||||
| 144A | All or a portion of these securities are 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, 2011, the value of Rule 144A holdings amounted to $9,869,309 or 14.2% of net assets. | |||||||
| ETF | Exchange Traded Fund | |||||||
| MTN | Medium Term Note | |||||||
| SPDR | Standard & Poor’s Depositary Receipt | |||||||
| AUD | Australian Dollar | |||||||
| BRL | Brazilian Real | |||||||
| CAD | Canadian Dollar | |||||||
| COP | Colombian Peso | |||||||
| EUR | Euro | |||||||
| ILS | Israeli Shekel | |||||||
| JPY | Japanese Yen | |||||||
| MXN | Mexican Peso | |||||||
| PLN | Polish Zloty | |||||||
| USD | U.S. Dollar | |||||||
See accompanying notes to financial statements.
65 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
At June 30, 2011, the Fund had the following open credit default swap agreements:
| Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Notional Value | Unamortized (Received) | Market Value | Unrealized Appreciation (Depreciation) | Fees Receivable/ (Payable) | ||||||||||||||||||||||
| Buy Protection | ||||||||||||||||||||||||||||||
| Citibank | Markit iTraxx Asia ex-Japan Index | (1.00 | %) | 06/20/2016 | $ | 1,000,000 | $ | 4,204 | $ | 6,529 | $ | 2,325 | $ | (306 | ) | |||||||||||||||
| Citibank | Masco Corp. | (1.00%) | 06/20/2016 | 1,000,000 | 74,638 | 77,739 | 3,101 | (306 | ) | |||||||||||||||||||||
| Deutsche Bank | Russia Foreign Bond | (1.00%) | 06/20/2016 | 1,000,000 | 20,005 | 18,098 | (1,907 | ) | (306 | ) | ||||||||||||||||||||
| JPMorgan Chase | Markit iTraxx Asia ex-Japan Index | (1.00%) | 06/20/2016 | 1,000,000 | 2,836 | 6,529 | 3,693 | (306 | ) | |||||||||||||||||||||
| JPMorgan Chase | Socialist Republic of Vietnam | (1.00%) | 06/20/2016 | 1,000,000 | 91,348 | 96,992 | 5,644 | (306 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
| Total | $ | 205,887 | $ | 12,856 | $ | (1,530 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
| Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread1 | Notional Value | Unamortized Up Front Payment Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | Fees Receivable/ (Payable) | |||||||||||||||||||||||
| Sell Protection | ||||||||||||||||||||||||||||||||
| Bank of America | General Electric Capital Corp. | 1.00% | 06/20/2016 | 1.29 | % | $ | 1,000,000 | $ | (18,620 | ) | $ | (13,732 | ) | $ | 4,888 | $ | 306 | |||||||||||||||
| Deutsche Bank | KB Home | 5.00% | 09/20/2016 | 6.41 | % | 1,000,000 | (36,670 | ) | (45,125 | ) | (8,455 | ) | 1,528 | |||||||||||||||||||
| JPMorgan Chase | Goodyear Tire & Rubber Co. (The) | 5.00% | 09/20/2016 | 4.41 | % | 500,000 | 3,002 | 13,218 | 10,216 | 764 | ||||||||||||||||||||||
| JPMorgan Chase | KB Home | 5.00% | 06/20/2016 | 5.93 | % | 750,000 | (27,944 | ) | (28,410 | ) | (466 | ) | 1,146 | |||||||||||||||||||
| UBS AG | General Electric Capital Corp. | 1.00% | 09/20/2016 | 1.33 | % | 1,000,000 | (17,920 | ) | (16,108 | ) | 1,812 | 306 | ||||||||||||||||||||
| UBS AG | Morgan Stanley | 1.00% | 09/20/2016 | 1.61 | % | 2,000,000 | (73,299 | ) | (59,350 | ) | 13,949 | 611 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
| Total | $ | (149,507 | ) | $ | 21,944 | $ | 4,661 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
1Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Buy2 | 07/28/2011 | British Pound | 860,000 | $ | 1,379,869 | $ | 5,520 | |||||||||||
| Sell2 | 07/28/2011 | British Pound | 860,000 | 1,379,869 | (5,675 | ) | ||||||||||||
| Buy2 | 07/05/2011 | Canadian Dollar | 1,000,000 | 1,036,860 | 3,771 | |||||||||||||
See accompanying notes to financial statements.
| 66
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
Contract to Buy/Sell | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Buy2 | 07/18/2011 | Canadian Dollar | 545,000 | $ | 564,905 | $ | 752 | |||||||||||
| Buy2 | 08/05/2011 | Canadian Dollar | 1,000,000 | 1,036,055 | 1,426 | |||||||||||||
| Sell2 | 07/05/2011 | Canadian Dollar | 1,000,000 | 1,036,860 | (16,119 | ) | ||||||||||||
| Sell2 | 07/18/2011 | Canadian Dollar | 545,000 | 564,905 | (14,616 | ) | ||||||||||||
| Buy2 | 07/22/2011 | Chinese Renminbi | 9,100,000 | 1,407,696 | (3,157 | ) | ||||||||||||
| Buy3 | 10/12/2011 | Chinese Renminbi | 6,735,000 | 1,043,848 | 6,073 | |||||||||||||
| Buy3 | 12/14/2011 | Chinese Renminbi | 8,250,000 | 1,282,647 | 11,078 | |||||||||||||
| Sell2 | 07/22/2011 | Chinese Renminbi | 9,100,000 | 1,407,696 | (5,538 | ) | ||||||||||||
| Sell3 | 10/12/2011 | Chinese Renminbi | 6,735,000 | 1,043,848 | (10,580 | ) | ||||||||||||
| Sell3 | 12/14/2011 | Chinese Renminbi | 8,250,000 | 1,282,647 | (1,868 | ) | ||||||||||||
| Buy2 | 07/11/2011 | Euro | 715,000 | 1,036,684 | (11,177 | ) | ||||||||||||
| Sell2 | 07/11/2011 | Euro | 110,000 | 159,490 | 805 | |||||||||||||
| Sell2 | 07/11/2011 | Euro | 715,000 | 1,036,684 | (291 | ) | ||||||||||||
| Sell2 | 07/14/2011 | Euro | 500,000 | 724,893 | (2,768 | ) | ||||||||||||
| Buy2 | 07/11/2011 | Indian Rupee | 47,000,000 | 1,050,501 | 2,329 | |||||||||||||
| Sell2 | 07/11/2011 | Indian Rupee | 47,000,000 | 1,050,501 | (8,603 | ) | ||||||||||||
| Buy2 | 07/11/2011 | Japanese Yen | 113,000,000 | 1,403,680 | (10,588 | ) | ||||||||||||
| Sell2 | 07/11/2011 | Japanese Yen | 113,000,000 | 1,403,680 | 5,719 | |||||||||||||
| Buy2 | 07/11/2011 | Malaysian Ringgit | 3,160,000 | 1,046,058 | (4,474 | ) | ||||||||||||
| Buy3 | 09/06/2011 | Malaysian Ringgit | 3,150,000 | 1,038,336 | (3,158 | ) | ||||||||||||
| Sell2 | 07/11/2011 | Malaysian Ringgit | 3,160,000 | 1,046,058 | (8,291 | ) | ||||||||||||
| Buy2 | 07/27/2011 | Mexican Peso | 8,170,000 | 696,454 | 1,655 | |||||||||||||
| Sell2 | 07/27/2011 | Mexican Peso | 8,170,000 | 696,454 | (10,677 | ) | ||||||||||||
| Buy2 | 07/01/2011 | New Russian Ruble | 40,000,000 | 1,432,370 | 6,980 | |||||||||||||
| Buy4 | 07/25/2011 | New Russian Ruble | 39,500,000 | 1,411,644 | 12,324 | |||||||||||||
| Sell2 | 07/01/2011 | New Russian Ruble | 40,000,000 | 1,432,370 | (7,868 | ) | ||||||||||||
| Sell4 | 07/25/2011 | New Russian Ruble | 39,500,000 | 1,411,644 | (18,015 | ) | ||||||||||||
| Buy2 | 07/05/2011 | Singapore Dollar | 2,200,000 | 1,791,093 | 3,856 | |||||||||||||
| Sell2 | 07/05/2011 | Singapore Dollar | 2,200,000 | 1,791,093 | (19,029 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | (100,204 | ) | |||||||||||||||
|
| |||||||||||||||||
At June 30, 2011, the Fund had the following open forward cross currency contracts:
| Settlement Date | Deliver/Units of Currency | Receive2/In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||
| 07/25/2011 | Brazilian Real | 1,100,000 | Mexican Peso | 8,125,480 | $ | (8,735 | ) | |||||||||
| 07/29/2011 | Canadian Dollar | 1,400,000 | Mexican Peso | 16,870,000 | (12,892 | ) | ||||||||||
| 07/15/2011 | Canadian Dollar | 1,348,780 | New Zealand Dollar | 1,700,000 | 9,353 | |||||||||||
| 07/25/2011 | Euro | 725,000 | Norwegian Krone | 5,700,095 | 4,457 | |||||||||||
| 07/27/2011 | Euro | 720,000 | Swiss Franc | 853,157 | (28,584 | ) | ||||||||||
| 07/25/2011 | Mexican Peso | 8,152,430 | Brazilian Real | 1,100,000 | 6,437 | |||||||||||
| 07/29/2011 | Mexican Peso | 16,907,100 | Canadian Dollar | 1,400,000 | 9,730 | |||||||||||
| 07/15/2011 | New Zealand Dollar | 1,700,000 | Canadian Dollar | 1,349,171 | (8,948 | ) | ||||||||||
See accompanying notes to financial statements.
67 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
| Settlement Date | Deliver/Units of Currency | Receive2/In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||
| 07/25/2011 | Norwegian Krone | 5,679,143 | Euro | 725,000 | $ | (579 | ) | |||||||||
| 07/27/2011 | Swiss Franc | 852,905 | Euro | 720,000 | 28,883 | |||||||||||
|
| |||||||||||||||
| Total | $ | (878 | ) | |||||||||||||
|
| |||||||||||||||
2 Counterparty is Credit Suisse.
3 Counterparty is Morgan Stanley.
4 Counterparty is Barclays.
At June 30, 2011, open futures contracts purchased were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation | ||||||||||
| E-mini NASDAQ 100 | 09/16/2011 | 35 | $ | 1,624,700 | $ | 45,845 | ||||||||
|
| |||||||||||||
| Commodity Futures5 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 12/21/2011 | 22 | $ | 1,405,250 | $ | (27,775 | ) | |||||||
| Copper | 12/21/2011 | 9 | 2,123,325 | 79,075 | ||||||||||
| Corn | 12/14/2011 | 22 | 682,550 | (15,275 | ) | |||||||||
| Gold | 08/29/2011 | 8 | 1,202,240 | (38,040 | ) | |||||||||
| Heating Oil | 11/30/2011 | 6 | 759,629 | (20,485 | ) | |||||||||
| Lead | 07/20/2011 | 4 | 267,700 | 4,200 | ||||||||||
| Natural Gas | 07/27/2011 | 10 | 437,400 | 7,070 | ||||||||||
| Natural Gas | 02/27/2012 | 15 | 718,500 | (21,440 | ) | |||||||||
| Nickel | 12/21/2011 | 4 | 562,392 | 11,112 | ||||||||||
| Zinc | 07/20/2011 | 11 | 645,700 | 5,800 | ||||||||||
|
| |||||||||||||
| Total | $ | (15,758 | ) | |||||||||||
|
| |||||||||||||
At June 30, 2011, open futures contracts sold were as follows:
| Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| E-mini S&P 500 | 09/16/2011 | 104 | $ | 6,840,600 | $ | (266,263 | ) | |||||||
| 5 Year U.S. Treasury Note | 09/30/2011 | 136 | 16,210,563 | 8,251 | ||||||||||
| 10 Year U.S. Treasury Note | 09/21/2011 | 27 | 3,302,859 | 45,076 | ||||||||||
| 30 Year U.S. Treasury Bond | 09/21/2011 | 15 | 1,845,469 | 31,082 | ||||||||||
|
| |||||||||||||
| Total | $ | (181,854 | ) | |||||||||||
|
| |||||||||||||
| Commodity Futures5 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Aluminum | 12/21/2011 | 22 | $ | 1,405,250 | $ | 37,675 | ||||||||
| Brent Crude Oil | 07/14/2011 | 3 | 337,440 | (14,040 | ) | |||||||||
| Copper | 12/21/2011 | 7 | 1,651,475 | (78,400 | ) | |||||||||
| Gasoline | 11/30/2011 | 6 | 693,630 | 22,907 | ||||||||||
See accompanying notes to financial statements.
| 68
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund – (continued)
| Commodity Futures5 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
| Lead | 07/20/2011 | 4 | $ | 267,700 | $ | (14,000 | ) | |||||||
| Natural Gas | 03/28/2012 | 15 | 701,550 | 17,425 | ||||||||||
| Zinc | 07/20/2011 | 11 | 645,700 | 17,900 | ||||||||||
| Zinc | 12/21/2011 | 6 | 357,712 | (17,213 | ) | |||||||||
|
| |||||||||||||
| Total | $ | (27,746 | ) | |||||||||||
|
| |||||||||||||
5 Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Industry Summary at June 30, 2011 (Unaudited)
Exchange Traded Funds | 8.7 | % | ||
Electric | 3.4 | |||
Chemicals | 3.3 | |||
Media Non-Cable | 3.2 | |||
Metals & Mining | 2.9 | |||
Technology | 2.6 | |||
Non-Captive Diversified | 2.5 | |||
Treasuries | 2.5 | |||
Retailers | 2.5 | |||
Independent Energy | 2.4 | |||
Wireless | 2.3 | |||
Oil Field Services | 2.0 | |||
Other Investments, less than 2% each | 27.2 | |||
Short-Term Investments | 39.3 | |||
|
| |||
Total Investments | 104.8 | |||
| Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts, futures contracts and written options) | (4.8 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
69 |
Table of Contents
This Page Intentionally Left Blank
| 70
Table of Contents
Consolidated* Statements of Assets and Liabilities
June 30, 2011 (Unaudited)
| ASG Diversifying Strategies Fund | ASG Global Alternatives Fund | ASG Managed Futures Strategy Fund | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 265,992,971 | $ | 977,126,385 | $ | 331,887,052 | ||||||
Net unrealized appreciation | 2,620 | 25,643 | 6,183 | |||||||||
|
|
|
|
|
| |||||||
Investments at value | 265,995,591 | 977,152,028 | 331,893,235 | |||||||||
Cash | 19,234,344 | 13,311,954 | 5,260,797 | |||||||||
Due from brokers (including variation margin on futures contracts) (Note 2) | 25,641,826 | 60,679,813 | 47,104,912 | |||||||||
Receivable for Fund shares sold | 969,705 | 10,733,185 | 5,009,568 | |||||||||
Interest receivable | 127,487 | 404,772 | 125,815 | |||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 805,894 | 716,377 | 2,385,710 | |||||||||
Unrealized appreciation on futures contracts (Note 2) | 2,262,186 | 15,780,118 | 5,730,329 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 315,037,033 | 1,078,778,247 | 397,510,366 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for Fund shares redeemed | 425,319 | 1,124,251 | 266,614 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 2,421,980 | 975,296 | 6,098,093 | |||||||||
Unrealized depreciation on futures contracts (Note 2) | 3,467,507 | 2,547,372 | 4,746,195 | |||||||||
Management fees payable (Note 6) | 280,311 | 980,807 | 405,113 | |||||||||
Deferred Trustees’ fees (Note 6) | 20,376 | 31,578 | 8,903 | |||||||||
Administrative fees payable (Note 6) | 22,454 | 49,388 | 25,142 | |||||||||
Other accounts payable and accrued expenses | 64,778 | 156,826 | 151,399 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 6,702,725 | 5,865,518 | 11,701,459 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 308,334,308 | $ | 1,072,912,729 | $ | 385,808,907 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 330,947,286 | $ | 1,040,910,116 | $ | 389,218,894 | ||||||
Distributions in excess of net investment income/Accumulated net investment (loss) | (2,045,094 | ) | (4,923,843 | ) | (2,071,819 | ) | ||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions | (17,746,661 | ) | 23,927,746 | 1,395,226 | ||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | (2,821,223 | ) | 12,998,710 | (2,733,394 | ) | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 308,334,308 | $ | 1,072,912,729 | $ | 385,808,907 | ||||||
|
|
|
|
|
| |||||||
| * | Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
71 |
Table of Contents
| ASG Diversifying Strategies Fund | ASG Global Alternatives Fund | ASG Managed Futures Strategy Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 86,290,261 | $ | 282,391,534 | $ | 277,058,470 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 8,495,568 | 25,717,856 | 26,061,333 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 10.16 | $ | 10.98 | $ | 10.63 | ||||||
|
|
|
|
|
| |||||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 10.78 | $ | 11.65 | $ | 11.28 | ||||||
|
|
|
|
|
| |||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 23,627,656 | $ | 93,766,251 | $ | 8,737,656 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 2,358,242 | 8,687,823 | 827,896 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 10.02 | $ | 10.79 | $ | 10.55 | ||||||
|
|
|
|
|
| |||||||
Class Y shares: | ||||||||||||
Net assets | $ | 198,416,391 | $ | 696,754,944 | $ | 100,012,781 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 19,482,466 | 63,076,219 | 9,403,669 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.18 | $ | 11.05 | $ | 10.64 | ||||||
|
|
|
|
|
| |||||||
See accompanying notes to financial statements.
| 72
Table of Contents
Consolidated* Statements of Assets and Liabilities (continued)
June 30, 2011 (Unaudited)
| Loomis Sayles Absolute Strategies Fund | Loomis Sayles Multi-Asset Real Return Fund | |||||||
ASSETS | ||||||||
Investments at cost | $ | 613,444,529 | $ | 63,473,204 | ||||
Repurchase agreement(s) at cost | 38,287,698 | 9,009,533 | ||||||
Net unrealized appreciation (depreciation) | (7,032,499 | ) | 268,512 | |||||
|
|
|
| |||||
Investments at value | 644,699,728 | 72,751,249 | ||||||
Cash | 160,504 | 190,437 | ||||||
Due from brokers (Note 2) | 200,097 | 202,408 | ||||||
Foreign currency at value (identified cost $2,378,377 and $467,043) | 2,403,682 | 468,753 | ||||||
Receivable for Fund shares sold | 5,929,499 | 86,810 | ||||||
Receivable for securities sold | 610,846 | 4,379,193 | ||||||
Collateral received for open options and forward foreign currency contracts (Notes 2 and 4) | — | 291,992 | ||||||
Collateral received for swap agreements (Notes 2 and 4) | 110,000 | — | ||||||
Dividends and interest receivable | 4,937,335 | 433,790 | ||||||
Unrealized appreciation on swap agreements (Note 2) | 73,098 | 45,628 | ||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 117,284 | 121,148 | ||||||
Tax reclaims receivable | 17,777 | 5,952 | ||||||
Upfront payments receivable on swap agreements (Note 2) | — | 68,989 | ||||||
Receivable for closed swap agreements | — | 282,399 | ||||||
Upfront payments paid on swap agreements (Note 2) | 85,195 | 196,033 | ||||||
Fees receivable on swap agreements (Note 2) | 20,054 | 4,661 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 659,365,099 | 79,529,442 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Options written, at value (premiums received $0 and $148,939) (Note 2) | — | 127,570 | ||||||
Payable for securities purchased | 31,436,407 | 8,963,143 | ||||||
Unrealized depreciation on swap agreements (Note 2) | 38,212 | 10,828 | ||||||
Payable for Fund shares redeemed | 1,871,396 | 50,000 | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 634,748 | 222,230 | ||||||
Upfront payments received on swap agreements (Note 2) | 333,041 | 174,453 | ||||||
Due to brokers (Note 2) | 110,000 | 291,992 | ||||||
Payable for variation margin on futures contracts (Note 2) | 71,254 | 135,616 | ||||||
Management fees payable (Note 6) | 357,421 | 33,986 | ||||||
Deferred Trustees’ fees (Note 6) | 6,161 | 6,041 | ||||||
Administrative fees payable (Note 6) | 8,004 | 18,832 | ||||||
Payable for closed swap agreements | 2,735,709 | — | ||||||
Fees payable on swap agreements (Note 2) | — | 1,530 | ||||||
Other accounts payable and accrued expenses | 226,690 | 80,301 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 37,829,043 | 10,116,522 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 621,536,056 | $ | 69,412,920 | ||||
|
|
|
| |||||
| * | Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
73 |
Table of Contents
| Loomis Sayles Absolute Strategies Fund | Loomis Sayles Multi-Asset Real Return Fund | |||||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 635,053,701 | $ | 70,911,738 | ||||
Undistributed net investment income (Distributions in excess of net investment income) | (49,701 | ) | 546,442 | |||||
Accumulated net realized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions | (5,553,884 | ) | (2,098,575 | ) | ||||
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations | (7,914,060 | ) | 53,315 | |||||
|
|
|
| |||||
NET ASSETS | $ | 621,536,056 | $ | 69,412,920 | ||||
|
|
|
| |||||
COMPUTATION OF NET ASSET VALUE AND | ||||||||
Class A shares: | ||||||||
Net assets | $ | 238,740,873 | $ | 3,331,143 | ||||
|
|
|
| |||||
Shares of beneficial interest | 23,987,156 | 336,963 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 9.95 | $ | 9.89 | ||||
|
|
|
| |||||
Offering price per share (100/95.50 of net asset value) (Note 1) | $ | 10.42 | $ | 10.36 | ||||
|
|
|
| |||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 95,285,919 | $ | 134,158 | ||||
|
|
|
| |||||
Shares of beneficial interest | 9,603,285 | 13,647 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 9.92 | $ | 9.83 | ||||
|
|
|
| |||||
Class Y shares: | ||||||||
Net assets | $ | 287,509,264 | $ | 65,947,619 | ||||
|
|
|
| |||||
Shares of beneficial interest | 28,900,397 | 6,665,843 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 9.95 | $ | 9.89 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
| 74
Table of Contents
Consolidated* Statements of Operations
For the Six Months Ended June 30, 2011 (Unaudited)
| ASG Diversifying Strategies Fund | ASG Global Alternatives Fund | ASG Managed Futures Strategy Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest | $ | 438,479 | $ | 1,265,382 | $ | 412,509 | ||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 1,905,012 | 4,620,356 | 1,857,953 | |||||||||
Service and distribution fees (Note 6) | 217,407 | 699,740 | 302,048 | |||||||||
Administrative fees (Note 6) | 104,823 | 218,313 | 119,531 | |||||||||
Trustees’ and directors’ fees and | 16,564 | 20,028 | 16,256 | |||||||||
Transfer agent fees and expenses (Note 6) | 171,748 | 300,783 | 152,704 | |||||||||
Audit and tax services fees | 33,266 | 32,705 | 30,361 | |||||||||
Custodian fees and expenses | 35,648 | 20,990 | 20,698 | |||||||||
Interest expense (Note 9) | 38,947 | 40,065 | 17,578 | |||||||||
Legal fees | 2,385 | 5,524 | 1,867 | |||||||||
Registration fees | 51,547 | 102,373 | 69,976 | |||||||||
Shareholder reporting expenses | 29,681 | 65,053 | 24,002 | |||||||||
Miscellaneous expenses | 6,184 | 11,519 | 5,296 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 2,613,212 | 6,137,449 | 2,618,270 | |||||||||
Fee/expense recovery (Note 6) | — | 26,252 | — | |||||||||
Less waiver and/or expense | (147,043 | ) | — | (143,419 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 2,466,169 | 6,163,701 | 2,474,851 | |||||||||
|
|
|
|
|
| |||||||
Net investment loss | (2,027,690 | ) | (4,898,319 | ) | (2,062,342 | ) | ||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 3,072 | 12,848 | 6,856 | |||||||||
Futures contracts | (6,120,846 | ) | 13,185,768 | (7,715,154 | ) | |||||||
Foreign currency transactions | 4,230,382 | 15,369,817 | 9,588,694 | |||||||||
Net change in unrealized appreciation | ||||||||||||
Investments | (4,882 | ) | 4,905 | 4,434 | ||||||||
Futures contracts | (3,000,894 | ) | 6,390,316 | 272,100 | ||||||||
Foreign currency translations | (1,282,945 | ) | (2,583,930 | ) | (3,422,393 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions | (6,176,113 | ) | 32,379,724 | (1,265,463 | ) | |||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,203,803 | ) | $ | 27,481,405 | $ | (3,327,805 | ) | ||||
|
|
|
|
|
| |||||||
| * | Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
75 |
Table of Contents
| Loomis Sayles Absolute Strategies Fund | Loomis Sayles Multi-Asset Real Return Fund | |||||||
INVESTMENT INCOME | ||||||||
Interest | $ | 7,681,092 | $ | 627,690 | ||||
Dividends | 215,297 | 139,642 | ||||||
Less net foreign taxes withheld | (30,780 | ) | (3,305 | ) | ||||
|
|
|
| |||||
| 7,865,609 | 764,027 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 1,243,686 | 171,893 | ||||||
Service and distribution fees (Note 6) | 438,504 | 3,636 | ||||||
Administrative fees (Note 6) | 49,589 | 83,104 | ||||||
Trustees’ fees and expenses (Note 6) | 13,911 | 14,351 | ||||||
Transfer agent fees and expenses (Note 6) | 160,737 | 5,017 | ||||||
Audit and tax services fees | 21,246 | 32,718 | ||||||
Custodian fees and expenses | 67,626 | 84,911 | ||||||
Legal fees | 1,735 | 727 | ||||||
Registration fees | 162,271 | 44,991 | ||||||
Shareholder reporting expenses | 26,479 | 9,776 | ||||||
Miscellaneous expenses | 7,786 | 6,010 | ||||||
|
|
|
| |||||
Total expenses | 2,193,570 | 457,134 | ||||||
Fee/expense recovery (Note 6) | 1,565 | — | ||||||
Less waiver and/or expense reimbursement (Note 6) | — | (201,388 | ) | |||||
|
|
|
| |||||
Net expenses | 2,195,135 | 255,746 | ||||||
|
|
|
| |||||
Net investment income | 5,670,474 | 508,281 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (660,726 | ) | (815,721 | ) | ||||
Futures contracts | (3,150,606 | ) | (950,384 | ) | ||||
Options written | — | 192,445 | ||||||
Swap agreements | (832,139 | ) | (161,291 | ) | ||||
Foreign currency transactions | (913,770 | ) | (313,313 | ) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (7,177,951 | ) | 198,534 | |||||
Futures contracts | (484,217 | ) | (299,522 | ) | ||||
Options written | — | (70,131 | ) | |||||
Swap agreements | 89,414 | 68,610 | ||||||
Foreign currency translations | (464,265 | ) | (63,061 | ) | ||||
|
|
|
| |||||
Net realized and unrealized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions | (13,594,260 | ) | (2,213,834 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (7,923,786 | ) | $ | (1,705,553 | ) | ||
|
|
|
| |||||
See accompanying notes to financial statements.
| 76
Table of Contents
Consolidated* Statements of Changes in Net Assets
| ASG Diversifying Strategies Fund | ASG Global Alternatives Fund | |||||||||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,027,690 | ) | $ | (1,154,824 | ) | $ | (4,898,319 | ) | $ | (4,956,445 | ) | ||||
Net realized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions | (1,887,392 | ) | (1,557,542 | ) | 28,568,433 | 28,594,085 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations | (4,288,721 | ) | 1,521,452 | 3,811,291 | 9,310,778 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (8,203,803 | ) | (1,190,914 | ) | 27,481,405 | 32,948,418 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (15,101 | ) | (835,421 | ) | — | (1,247 | ) | |||||||||
Class C | (4,580 | ) | (260,881 | ) | — | (405 | ) | |||||||||
Class Y | (38,247 | ) | (2,409,388 | ) | — | (1,590 | ) | |||||||||
Net realized capital gains | ||||||||||||||||
Class A | — | (2,259,801 | ) | (1,381,664 | ) | (8,146,057 | ) | |||||||||
Class C | — | (764,976 | ) | (473,432 | ) | (2,692,430 | ) | |||||||||
Class Y | — | (6,309,043 | ) | (2,791,215 | ) | (13,799,395 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (57,928 | ) | (12,839,510 | ) | (4,646,311 | ) | (24,641,124 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | 61,408,957 | 246,650,678 | 435,697,469 | 388,954,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 53,147,226 | 232,620,254 | 458,532,563 | 397,261,654 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of the period | 255,187,082 | 22,566,828 | 614,380,166 | 217,118,512 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the period | $ | 308,334,308 | $ | 255,187,082 | $ | 1,072,912,729 | $ | 614,380,166 | ||||||||
|
|
|
|
|
|
|
| |||||||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (2,045,094 | ) | $ | 40,524 | $ | (4,923,843 | ) | $ | (25,524 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| * | Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | From commencement of operations on July 30, 2010 through December 31, 2010. |
| (b) | From commencement of operations on December 15, 2010 through December 31, 2010. |
| (c) | From commencement of operations on September 30, 2010 through December 31, 2010. |
See accompanying notes to financial statements.
77 |
Table of Contents
| ASG Managed Futures Strategy Fund | Loomis Sayles Absolute Strategies Fund | Loomis Sayles Multi-Asset Real Return Fund | ||||||||||||||||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Period Ended December 31, 2010 (a) | Six Months Ended June 30, 2011 (Unaudited) | Period Ended December 31, 2010 (b) | Six Months Ended June 30, 2011 (Unaudited) | Period Ended December 31, 2010 (c) | |||||||||||||||||||
| $ | (2,062,342 | ) | $ | (209,592 | ) | $ | 5,670,474 | $ | 891 | $ | 508,281 | $ | 148,815 | |||||||||||
| 1,880,396 | 3,577,234 | (5,557,241 | ) | 33,232 | (2,048,264 | ) | 181,393 | |||||||||||||||||
| (3,145,859 | ) | 412,465 | (8,037,019 | ) | 122,959 | (165,570 | ) | 218,885 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| (3,327,805 | ) | 3,780,107 | (7,923,786 | ) | 157,082 | (1,705,553 | ) | 549,093 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| — | (197,385 | ) | (2,216,153 | ) | (172 | ) | — | (8,526 | ) | |||||||||||||||
| — | (70,810 | ) | (676,275 | ) | (16 | ) | — | (94 | ) | |||||||||||||||
| — | (1,531,141 | ) | (2,847,557 | ) | (3,127 | ) | — | (219,897 | ) | |||||||||||||||
| — | (230,244 | ) | (3,236 | ) | — | (7,538 | ) | — | ||||||||||||||||
| — | (85,058 | ) | (1,305 | ) | — | (358 | ) | — | ||||||||||||||||
| — | (1,758,520 | ) | (3,755 | ) | — | (108,932 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| — | (3,873,158 | ) | (5,748,281 | ) | (3,315 | ) | (116,828 | ) | (228,517 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| 330,466,404 | 58,763,359 | 605,421,949 | 29,632,407 | 42,555,681 | 28,359,044 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| 327,138,599 | 58,670,308 | 591,749,882 | 29,786,174 | 40,733,300 | 28,679,620 | |||||||||||||||||||
| 58,670,308 | — | 29,786,174 | — | 28,679,620 | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| $ | 385,808,907 | $ | 58,670,308 | $ | 621,536,056 | $ | 29,786,174 | $ | 69,412,920 | $ | 28,679,620 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| $ | (2,071,819 | ) | $ | (9,477 | ) | $ | (49,701 | ) | $ | 19,810 | $ | 546,442 | $ | 38,161 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
See accompanying notes to financial statements.
| 78
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) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions (b) | ||||||||||||||||||||||
ASG DIVERSIFYING STRATEGIES FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(h) | $ | 10.45 | $ | (0.07 | ) | $ | (0.22 | ) | $ | (0.29 | ) | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | |||||||||
12/31/2010 | 10.19 | (0.16 | ) | 1.02 | (i) | 0.86 | (0.15 | ) | (0.45 | ) | (0.60 | ) | ||||||||||||||||
12/31/2009(j) | 10.00 | (0.07 | ) | 0.80 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(h) | 10.34 | (0.11 | ) | (0.21 | ) | (0.32 | ) | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||
12/31/2010 | 10.16 | (0.24 | ) | 1.01 | (i) | 0.77 | (0.14 | ) | (0.45 | ) | (0.59 | ) | ||||||||||||||||
12/31/2009(j) | 10.00 | (0.10 | ) | 0.79 | 0.69 | (0.09 | ) | (0.44 | ) | (0.53 | ) | |||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(h) | 10.46 | (0.06 | ) | (0.22 | ) | (0.28 | ) | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||
12/31/2010 | 10.19 | (0.13 | ) | 1.01 | (i) | 0.88 | (0.16 | ) | (0.45 | ) | (0.61 | ) | ||||||||||||||||
12/31/2009(j) | 10.00 | (0.05 | ) | 0.78 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||
ASG GLOBAL ALTERNATIVES FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(h) | $ | 10.67 | $ | (0.07 | ) | $ | 0.44 | $ | 0.37 | $ | — | $ | (0.06 | ) | $ | (0.06 | ) | |||||||||||
12/31/2010 | 10.39 | (0.14 | ) | 0.86 | 0.72 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.69 | (0.14 | ) | 1.01 | 0.87 | (0.12 | ) | (0.05 | ) | (0.17 | ) | |||||||||||||||||
12/31/2008(l) | 10.00 | 0.03 | (0.30 | ) | (0.27 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(h) | 10.53 | (0.11 | ) | 0.43 | 0.32 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||
12/31/2010 | 10.33 | (0.21 | ) | 0.85 | 0.64 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.70 | (0.22 | ) | 1.01 | 0.79 | (0.11 | ) | (0.05 | ) | (0.16 | ) | |||||||||||||||||
12/31/2008(l) | 10.00 | 0.02 | (0.31 | ) | (0.29 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||
Class Y* | ||||||||||||||||||||||||||||
6/30/2011(h) | 10.72 | (0.06 | ) | 0.45 | 0.39 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||
12/31/2010 | 10.41 | (0.11 | ) | 0.86 | 0.75 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.70 | (0.09 | ) | 0.98 | 0.89 | (0.13 | ) | (0.05 | ) | (0.18 | ) | |||||||||||||||||
12/31/2008(l) | 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) | Amount rounds to less than $0.01 per share, if applicable. |
| (c) | 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, if applicable, are not annualized. |
| (d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
See accompanying notes to financial statements.
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| 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, excluding interest expense (%) (e)(f) | Gross expenses, excluding interest expense (%) (f) | Net expenses including interest expense (%) (e)(f) | Gross expenses including interest expense (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) (g) | ||||||||||||||||||||||||||
| $10.16 | (2.76 | ) | $ | 86,290 | 1.70 | 1.80 | 1.72 | 1.83 | (1.44 | ) | — | |||||||||||||||||||||||
| 10.45 | 8.46 | 61,411 | 1.70 | 2.02 | 1.74 | 2.05 | (1.45 | ) | — | |||||||||||||||||||||||||
| 10.19 | 7.26 | 2,887 | 1.70 | 4.87 | 1.71 | 4.88 | (1.48 | ) | — | |||||||||||||||||||||||||
| 10.02 | (3.08 | ) | 23,628 | 2.45 | 2.55 | 2.48 | 2.57 | (2.19 | ) | — | ||||||||||||||||||||||||
| 10.34 | 7.58 | 20,742 | 2.45 | 2.68 | 2.49 | 2.72 | (2.20 | ) | — | |||||||||||||||||||||||||
| 10.16 | 6.90 | 131 | 2.45 | 5.75 | 2.47 | 5.76 | (2.23 | ) | — | |||||||||||||||||||||||||
| 10.18 | (2.66 | ) | 198,416 | 1.45 | 1.54 | 1.48 | 1.57 | (1.19 | ) | — | ||||||||||||||||||||||||
| 10.46 | 8.63 | 173,034 | 1.45 | 1.91 | 1.49 | 1.94 | (1.21 | ) | — | |||||||||||||||||||||||||
| 10.19 | 7.29 | 19,549 | 1.45 | 5.09 | 1.47 | 5.11 | (1.22 | ) | — | |||||||||||||||||||||||||
| $10.98 | 3.49 | $ | 282,392 | 1.60 | (k) | 1.60 | (k) | 1.61 | (k) | 1.61 | (k) | (1.29 | ) | — | ||||||||||||||||||||
| 10.67 | 6.94 | 204,313 | 1.60 | 1.66 | 1.61 | 1.67 | (1.28 | ) | — | |||||||||||||||||||||||||
| 10.39 | 8.95 | 82,160 | 1.60 | 1.92 | 1.61 | 1.92 | (1.33 | ) | — | |||||||||||||||||||||||||
| 9.69 | (2.73 | ) | 6 | 1.60 | 61.52 | 1.62 | 61.54 | 1.36 | — | |||||||||||||||||||||||||
| 10.79 | 3.06 | 93,766 | 2.35 | (k) | 2.35 | (k) | 2.36 | (k) | 2.36 | (k) | (2.05 | ) | — | |||||||||||||||||||||
| 10.53 | 6.21 | 66,832 | 2.35 | 2.42 | 2.36 | 2.42 | (2.03 | ) | — | |||||||||||||||||||||||||
| 10.33 | 8.09 | 22,367 | 2.35 | 2.64 | 2.36 | 2.65 | (2.08 | ) | — | |||||||||||||||||||||||||
| 9.70 | (2.88 | ) | 1 | 2.35 | 62.35 | 2.39 | 62.38 | 0.62 | — | |||||||||||||||||||||||||
| 11.05 | 3.66 | 696,755 | 1.35 | (k) | 1.35 | (k) | 1.36 | (k) | 1.36 | (k) | (1.05 | ) | — | |||||||||||||||||||||
| 10.72 | 7.22 | 343,236 | 1.35 | 1.41 | 1.36 | 1.42 | (1.03 | ) | — | |||||||||||||||||||||||||
| 10.41 | 9.10 | 112,591 | 1.35 | 1.98 | 1.36 | 2.00 | (0.90 | ) | — | |||||||||||||||||||||||||
| 9.70 | (2.60 | ) | 24,523 | 1.35 | 4.43 | 1.39 | 4.46 | 1.59 | — | |||||||||||||||||||||||||
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
| (h) | For the six months ended June 30, 2011 (Unaudited). |
| (i) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
| (j) | For the period August 3, 2009 (inception) through December 31, 2009. |
| (k) | Includes fee/expense recovery of 0.01%, 0.01% and less than 0.01% for Class A, Class C and Class Y, respectively. |
| (l) | For the period September 30, 2008 (inception) through December 31, 2008. |
See accompanying notes to financial statements.
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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 loss (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
ASG MANAGED FUTURES STRATEGY FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 10.61 | $ | (0.08 | ) | $ | 0.10 | (h) | $ | 0.02 | $ | — | $ | — | $ | — | ||||||||||||
12/31/2010(i) | 10.00 | (0.07 | ) | 1.41 | 1.34 | (0.33 | ) | (0.40 | ) | (0.73 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.58 | (0.12 | ) | 0.09 | (h) | (0.03 | ) | — | — | — | ||||||||||||||||||
12/31/2010(i) | 10.00 | (0.10 | ) | 1.40 | 1.30 | (0.32 | ) | (0.40 | ) | (0.72 | ) | |||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.60 | (0.06 | ) | 0.10 | (h) | 0.04 | — | — | — | |||||||||||||||||||
12/31/2010(i) | 10.00 | (0.06 | ) | 1.40 | 1.34 | (0.34 | ) | (0.40 | ) | (0.74 | ) | |||||||||||||||||
| (a) | Per share net investment 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, if applicable, are not annualized. |
| (c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (e) | Computed on an annualized basis for periods less than one year, if applicable. |
| (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, 2011 (Unaudited). |
| (h) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
| (i) | For the period July 30, 2010 (inception) through December 31, 2010. |
See accompanying notes to 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) | ||||||||||||||||||||||||||
| $10.63 | 0.19 | $ | 277,058 | 1.70 | 1.79 | 1.71 | 1.81 | (1.43 | ) | — | ||||||||||||||||||||||||
| 10.61 | 13.44 | 6,511 | 1.70 | 2.75 | 1.73 | 2.78 | (1.43 | ) | — | |||||||||||||||||||||||||
| 10.55 | (0.19 | ) | 8,738 | 2.45 | 2.55 | 2.46 | 2.57 | (2.19 | ) | — | ||||||||||||||||||||||||
| 10.58 | 13.04 | 2,357 | 2.45 | 3.29 | 2.47 | 3.31 | (2.17 | ) | — | |||||||||||||||||||||||||
| 10.64 | 0.38 | 100,013 | 1.45 | 1.56 | 1.46 | 1.57 | (1.18 | ) | — | |||||||||||||||||||||||||
| 10.60 | 13.39 | 49,803 | 1.45 | 2.65 | 1.48 | 2.68 | (1.20 | ) | — | |||||||||||||||||||||||||
See accompanying notes to financial statements.
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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 (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations (b) | Dividends from net investment income (b) | Distributions from net realized capital gains (b) | Total distributions (b) | ||||||||||||||||||||||
LOOMIS SAYLES ABSOLUTE STRATEGIES FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 10.06 | $ | 0.16 | $ | (0.16 | ) | $ | (0.00 | ) | $ | (0.11 | ) | $ | (0.00 | ) | $ | (0.11 | ) | |||||||||
12/31/2010(i) | 10.00 | 0.00 | 0.06 | 0.06 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.05 | 0.12 | (0.17 | ) | (0.05 | ) | (0.08 | ) | (0.00 | ) | (0.08 | ) | ||||||||||||||||
12/31/2010(i) | 10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.05 | 0.17 | (0.15 | ) | 0.02 | (0.12 | ) | (0.00 | ) | (0.12 | ) | |||||||||||||||||
12/31/2010(i) | 10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 10.13 | $ | 0.10 | $ | (0.31 | ) | $ | (0.21 | ) | $ | — | $ | (0.03 | ) | $ | (0.03 | ) | ||||||||||
12/31/2010(j) | 10.00 | 0.07 | 0.14 | 0.21 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.11 | 0.06 | (0.31 | ) | (0.25 | ) | — | (0.03 | ) | (0.03 | ) | |||||||||||||||||
12/31/2010(j) | 10.00 | 0.05 | 0.14 | 0.19 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.13 | 0.11 | (0.32 | ) | (0.21 | ) | — | (0.03 | ) | (0.03 | ) | |||||||||||||||||
12/31/2010(j) | 10.00 | 0.06 | 0.15 | 0.21 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
| (a) | Per share net investment income 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 shares and a contingent deferred sales charge for 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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes fee/expense recovery of less than 0.01%. |
| (i) | For the period December 15, 2010 (inception) through December 31, 2010. |
| (j) | For the period September 30, 2010 (inception) through December 31, 2010. |
See accompanying notes to financial statements.
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| 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 (%) (f) | Net investment income (%) (f) | Portfolio turnover rate (%) | ||||||||||||||||||||
| $ | 9.95 | 0.16 | $ | 238,741 | 1.24 | (h) | 1.24 | (h) | 3.20 | 65 | ||||||||||||||||
| 10.06 | 0.41 | 2,465 | 1.30 | 6.98 | 0.86 | 39 | ||||||||||||||||||||
| 9.92 | (0.28 | ) | 95,286 | 1.98 | (h) | 1.98 | (h) | 2.48 | 65 | |||||||||||||||||
| 10.05 | 0.31 | 563 | 2.05 | 8.68 | 0.24 | 39 | ||||||||||||||||||||
| 9.95 | 0.25 | 287,509 | 0.99 | (h) | 0.99 | (h) | 3.42 | 65 | ||||||||||||||||||
| 10.05 | 0.41 | 26,758 | 1.05 | 5.37 | 0.06 | 39 | ||||||||||||||||||||
| $ | 9.89 | (2.12 | ) | $ | 3,331 | 1.35 | 2.34 | 1.92 | 409 | |||||||||||||||||
| 10.13 | 2.10 | 1,139 | 1.35 | 2.91 | 2.82 | 139 | ||||||||||||||||||||
| 9.83 | (2.42 | ) | 134 | 2.10 | 2.86 | 1.20 | 409 | |||||||||||||||||||
| 10.11 | 1.88 | 12 | 2.10 | 3.90 | 1.86 | 139 | ||||||||||||||||||||
| 9.89 | (2.02 | ) | 65,948 | 1.10 | 1.97 | 2.24 | 409 | |||||||||||||||||||
| 10.13 | 2.12 | 27,528 | 1.10 | 2.98 | 2.25 | 139 | ||||||||||||||||||||
See accompanying notes to financial statements.
| 84
Table of Contents
Notes to Financial Statements
June 30, 2011 (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 management investment 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. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
ASG Diversifying Strategies Fund (the “Diversifying Strategies Fund”)
ASG Global Alternatives Fund (the “Global Alternatives Fund”)
ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)
Loomis Sayles Absolute Strategies Fund (the “Absolute Strategies Fund”)
Loomis Sayles Multi-Asset Real Return Fund (the “Multi-Asset Real Return Fund”)
Each Fund is a diversified investment company, except for Absolute Strategies Fund and Multi-Asset Real Return Fund, which are non-diversified investment companies.
Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Absolute Strategies Fund and Multi-Asset Real Return Fund which are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher 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 of acquisition, except for reinvested distributions. 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’ 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). 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 distributions from net investment income on each class of shares.
Each Fund, except Absolute Strategies Fund, invests in commodity-related instruments through investments in wholly-owned subsidiaries organized under the laws of the Cayman Islands. ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd., ASG Managed Futures Strategy Cayman Fund Ltd. and Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd. are wholly-owned subsidiaries (individually, a “Subsidiary”
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
and collectively, the “Subsidiaries”) of Diversifying Strategies Fund, Global Alternatives Fund, Managed Futures Strategy Fund and Multi-Asset Real Return Fund, respectively. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.
As of June 30, 2011, the value of each Fund’s investment in its respective Subsidiary was as follows:
Fund | Commencement Date of Subsidiary | Investment in Subsidiary | Percentage of Net Assets | |||||||||
Diversifying Strategies Fund | August 3, 2009 | $ | 26,529,569 | 8.6 | % | |||||||
Global Alternatives Fund | January 29, 2009 | 31,567,253 | 2.9 | % | ||||||||
Managed Futures Strategy Fund | July 30, 2010 | 16,727,644 | 4.3 | % | ||||||||
Multi-Asset Real Return Fund | October 1, 2010 | 10,119,872 | 14.6 | % | ||||||||
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its consolidated financial statements. The Funds’ 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 subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Consolidation. Each Fund’s financial statements, except Absolute Strategies Fund, have been consolidated and include all accounts of the Funds and the respective Subsidiaries. Accordingly, all inter-fund transactions and balances (including investments in Subsidiaries) have been eliminated.
b. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds or notes, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser 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) and equity securities for which market quotations are not readily available are generally valued on the basis of
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser or subadviser 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. Senior loans shall be priced at bid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. 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 utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price. Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Other exchange- traded options are valued at the average of the closing bid and ask quotations. Options on futures contracts are valued using the current settlement price. Over-the-counter options contracts are valued based on quotations obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. 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.
The 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.
c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported 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
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. 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.
d. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values 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 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.
e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross 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’ Consolidated Statements 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 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
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in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.
f. Futures Contracts. The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. 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 a Fund or a Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. 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 Statements of Assets and Liabilities as an asset (liability) and in the Consolidated Statements 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 a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures are standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are limited.
g. Option Contracts. The 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.
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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying
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instrument or closing purchase transaction to determine the realized gain or loss. The 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.
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 Funds 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.
h. Swap Agreements. The Funds may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also make or receive upfront payments. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The notional amounts of credit default swaps are not recorded in the financial statements. Credit default swaps are marked to market daily. Fluctuations in the value of credit default swaps are recorded in the Consolidated Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance
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with the terms of the agreement and are recorded in the Consolidated Statements of Operations as realized gain or loss when received or paid. Upfront fees paid or received by the Funds are recorded on the Consolidated Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.
i. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. Due from brokers’ balances in the Consolidated Statements of Assets and Liabilities for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Fund represent cash, foreign currency and any initial and/or variation margin applicable to open futures contracts and/or cash pledged as collateral for forward foreign currency contracts. Due from brokers’ balances in the Consolidated Statements of Assets and Liabilities for Absolute Strategies Fund and Multi-Asset Real Return Fund represent cash pledged as collateral for forward foreign currency contracts, option contracts and swap agreements. Due to brokers’ balances in the Consolidated Statements of Assets and Liabilities for Absolute Strategies Fund and Multi-Asset Real Return Fund represent cash received as collateral for swap agreements and securities received as collateral for forward foreign currency contracts and option contracts, respectively. In certain circumstances the Funds’ or the Subsidiaries’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
j. Federal and Foreign Income Taxes. The 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 of 1986, as amended, 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, 2011 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
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review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, each Fund will include in its taxable income its share of its Subsidiary’s current earnings and profits (including net realized gains). Any deficit generated by a Subsidiary will be disregarded for purposes of computing the Funds’ taxable income in the current period and also disregarded for all future periods.
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.
k. 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 of items such as net realized gains on commodity futures, start up expenses, dividend redesignations, ordinary loss netting to reduce short-term capital gains, return of capital distributions, Subsidiary dividends, foreign currency transactions and premium amortization. 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, commissions on open futures contracts, wash sales, contingent payment debt instruments, futures, options and forward contracts mark to market and Subsidiary basis adjustments. 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 year ended December 31, 2010 was as follows:
| 2010 Distributions Paid From: | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | |||||||||
Diversifying Strategies Fund | $ | 9,242,065 | $ | 3,597,445 | $ | 12,839,510 | ||||||
Global Alternatives Fund | 13,304,573 | 11,336,551 | 24,641,124 | |||||||||
Managed Futures Strategy Fund | 3,020,960 | 852,198 | 3,873,158 | |||||||||
Absolute Strategies Fund | 3,315 | — | 3,315 | |||||||||
Multi-Asset Real Return Fund | 228,517 | — | 228,517 | |||||||||
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Differences between these amounts and those reported in the Consolidated Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2010, the post-October losses were as follows:
Diversifying Fund | Global | Managed | Absolute | Multi-Asset Real Return Fund | ||||||||||||||||
Deferred net capital losses | $ | (14,494,432 | ) | $ | — | $ | (974,676 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Deferred net currency losses | $ | — | $ | — | $ | (5,139 | ) | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
l. 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. Certain 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.
m. 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 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.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
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| • | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| • | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities 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, 2011, at value:
Diversifying Strategies Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities(a) | $ | — | $ | 265,995,591 | $ | — | $ | 265,995,591 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 805,894 | — | 805,894 | ||||||||||||
Futures Contracts (unrealized appreciation) | 2,262,186 | — | — | 2,262,186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,262,186 | $ | 266,801,485 | $ | — | $ | 269,063,671 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (2,421,980 | ) | $ | — | $ | (2,421,980 | ) | ||||||
Futures Contracts (unrealized depreciation) | (3,467,507 | ) | — | — | (3,467,507 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,467,507 | ) | $ | (2,421,980 | ) | $ | — | $ | (5,889,487 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
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| Global Alternatives Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities(a) | $ | — | $ | 977,152,028 | $ | — | $ | 977,152,028 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 716,377 | — | 716,377 | ||||||||||||
Futures Contracts (unrealized appreciation) | 15,780,118 | — | — | 15,780,118 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 15,780,118 | $ | 977,868,405 | $ | — | $ | 993,648,523 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (975,296 | ) | $ | — | $ | (975,296 | ) | ||||||
Futures Contracts (unrealized depreciation) | (2,547,372 | ) | — | — | (2,547,372 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,547,372 | ) | $ | (975,296 | ) | $ | — | $ | (3,522,668 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
(a) Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
| |||||||||||||||
| Managed Futures Strategy Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities(a) | $ | — | $ | 331,893,235 | $ | — | $ | 331,893,235 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 2,385,710 | — | 2,385,710 | ||||||||||||
Futures Contracts (unrealized appreciation) | 5,730,329 | — | — | 5,730,329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,730,329 | $ | 334,278,945 | $ | — | $ | 340,009,274 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (6,098,093 | ) | $ | — | $ | (6,098,093 | ) | ||||||
Futures Contracts (unrealized depreciation) | (4,746,195 | ) | — | — | (4,746,195 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,746,195 | ) | $ | (6,098,093 | ) | $ | — | $ | (10,844,288 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
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Absolute Strategies Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 29,399,844 | $ | 1,204,102 | $ | 30,603,946 | ||||||||
Treasuries | — | 11,069,740 | 10,793,450 | 21,863,190 | ||||||||||||
All Other Non-Convertible Bonds(a) | — | 335,864,528 | — | 335,864,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 376,334,112 | 11,997,552 | 388,331,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 22,642,406 | — | 22,642,406 | ||||||||||||
Municipals | — | 922,633 | — | 922,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 399,899,151 | 11,997,552 | 411,896,703 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 58,364,546 | — | 58,364,546 | ||||||||||||
Preferred Stocks(a) | 17,807,590 | 258,449 | — | 18,066,039 | ||||||||||||
Purchased Options(a) | — | — | 91,586 | 91,586 | ||||||||||||
Short-Term Investments | — | 156,280,854 | — | 156,280,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 17,807,590 | 614,803,000 | 12,089,138 | 644,699,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts | — | 117,284 | — | 117,284 | ||||||||||||
Credit Default Swap Agreements | — | 73,098 | — | 73,098 | ||||||||||||
Futures Contracts | 513,796 | — | — | 513,796 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,321,386 | $ | 614,993,382 | $ | 12,089,138 | $ | 645,403,906 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Agreements | $ | — | $ | (38,212 | ) | $ | — | $ | (38,212 | ) | ||||||
Forward Foreign Currency Contracts | — | (634,748 | ) | — | (634,748 | ) | ||||||||||
Futures Contracts | (1,001,363 | ) | — | — | (1,001,363 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,001,363 | ) | $ | (672,960 | ) | $ | — | $ | (1,674,323 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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Multi-Asset Real Return Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 28,147,325 | $ | — | $ | 28,147,325 | ||||||||
Senior Loans(a) | — | 713,824 | — | 713,824 | ||||||||||||
Common Stocks(a) | 8,810,999 | — | — | 8,810,999 | ||||||||||||
Preferred Stocks(a) | 1,028,400 | — | — | 1,028,400 | ||||||||||||
Exchange Traded Funds | 6,070,410 | — | — | 6,070,410 | ||||||||||||
Purchased Options(a) | 603,005 | — | 68,814 | 671,819 | ||||||||||||
Short-Term Investments | — | 27,308,472 | — | 27,308,472 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 16,512,814 | 56,169,621 | 68,814 | 72,751,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Credit Default Swap Agreements (unrealized appreciation) | — | 45,628 | — | 45,628 | ||||||||||||
Forward Foreign Currency Contracts | — | 121,148 | — | 121,148 | ||||||||||||
Futures Contracts | 333,418 | — | — | 333,418 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 16,846,232 | $ | 56,336,397 | $ | 68,814 | $ | 73,251,443 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options(a) | $ | (127,570 | ) | $ | — | $ | — | $ | (127,570 | ) | ||||||
Credit Default Swap Agreements | — | (10,828 | ) | — | (10,828 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (222,230 | ) | — | (222,230 | ) | ||||||||||
Futures Contracts | (512,931 | ) | — | — | (512,931 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (640,501 | ) | $ | (233,058 | ) | $ | — | $ | (873,559 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
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The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:
Absolute Strategies Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bond and Notes | ||||||||||||||||||||
Non-Convertible Bonds Collateralized Mortgage Obligations | $ | — | $ | — | $ | (13,427 | ) | $ | (53,702 | ) | $ | 1,343,682 | ||||||||
Treasuries | — | — | — | 4,624 | 10,788,826 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Bond and Notes | — | — | (13,427 | ) | (49,078 | ) | 12,132,508 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Purchased Options | — | — | — | (146,582 | ) | 238,168 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | — | $ | (13,427 | ) | $ | (195,660 | ) | $ | 12,370,676 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers Level 3 | Transfers | Balance as of June 30, | Change in | |||||||||||||||
Bond and Notes | ||||||||||||||||||||
Non-Convertible Bonds Collateralized Mortgage Obligations | $ | (72,451 | ) | — | $ | — | $ | 1,204,102 | $ | (53,702 | ) | |||||||||
Treasuries | — | — | — | 10,793,450 | 4,624 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Bond and Notes | $ | (72,451 | ) | — | — | 11,997,552 | (49,078 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Purchased Options | — | — | — | 91,586 | (146,582 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (72,451 | ) | — | — | $ | 12,089,138 | $ | (195,660 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
| 98
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Multi-Asset Real Return Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Purchased Options | $ | 9,180 | $ | — | $ | (32,819 | ) | $ | (46,506 | ) | $ | 142,803 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of June 30, 2011 | Change in | |||||||||||||||
Purchased Options | $ | (3,844 | ) | $ | — | $ | — | $ | 68,814 | $ | (46,506 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
4. Derivatives. 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 used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements (including credit default swaps).
Diversifying Strategies Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market
conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the six months ended June 30, 2011, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.
Global Alternatives Fund 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. These investments are intended to provide the Fund with risk
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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. During the six months ended June 30, 2011, the Fund used long contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, and short-term interest rates, and long and short contracts on commodities (through investments in the Subsidiary) and foreign currencies.
Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the six months ended June 30, 2011, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.
Absolute Strategies Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates
investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of
derivatives, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the six months ended June 30, 2011, the Fund used forward foreign currency, futures, option contracts and swap agreements to gain investment
exposures in accordance with its objective.
Multi-Asset Real Return Fund seeks to maximize real returns through exposure to
investments in fixed-income securities, equity securities, currencies, and commodity linked instruments. The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the six months ended June 30, 2011, the Fund used forward foreign currency,
futures, options contracts and swap agreements to gain investment exposures in accordance with its objective.
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The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging
purposes to protect the value of the Funds’ holdings of foreign securities. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in forward foreign currency transactions for hedging purposes.
The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. Absolute Strategies Fund and Multi-Asset Real Return Fund may use credit default swaps, as a protection buyer, to hedge their credit exposure to issuers of bonds they hold without having to sell the bonds. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.
Certain Funds are 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. Absolute Strategies Fund and Multi-Asset Real Return Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Funds may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in option transactions for hedging purposes.
Certain Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer
maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. Absolute Strategies Fund and Multi-Asset Real Return Fund may use futures contracts to hedge against changes in interest rates and to
manage their duration without having to buy or sell portfolio securities. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in futures contracts for hedging purposes and to manage duration.
Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. The
agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a
certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
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June 30, 2011 (Unaudited)
Fund | Counterparty | Derivatives | Collateral Pledged | |||||||
Diversifying Strategies Fund | UBS AG | $ | (1,616,086 | ) | $ | 4,330,000 | ||||
Global Alternatives Fund | UBS AG | (258,919 | ) | 10,000,000 | ||||||
Managed Futures Strategy Fund | UBS AG | (3,712,383 | ) | 13,000,000 | ||||||
Absolute Strategies Fund | Credit Suisse | (321,680 | ) | 78,719 | ||||||
| Bank of America | (1,979,388 | ) | 1,574,000 | |||||||
| Morgan Stanley | (1,267,282 | ) | 1,281,378 | |||||||
Multi-Asset Real Return Fund | Credit Suisse | (52,638 | ) | — | ||||||
| Deutsche Bank | (27,027 | ) | — | |||||||
| Bank of America | (13,732 | ) | 30,000 | |||||||
Forward foreign currency contracts, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. The maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting arrangements, are as follows as of June 30, 2011:
Fund | Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | ||||||
Diversifying Strategies Fund | $ | 805,894 | $ | — | ||||
Global Alternatives Fund | 716,377 | — | ||||||
Managed Futures Strategy Fund | 2,385,710 | — | ||||||
Absolute Strategies Fund | 1,390,830 | 193,802 | ||||||
Multi-Asset Real Return Fund | 786,239 | 483,947 | ||||||
Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The following is a summary of derivative instruments for Diversifying Strategies Fund as of June 30, 2011:
Consolidated Statements of Caption | Foreign Exchange | Equity Contracts | Interest Rate | Commodity | ||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 805,894 | $ | — | $ | — | $ | — | ||||||||
Unrealized appreciation on futures contracts | — | 394,152 | 1,087,819 | 780,215 | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | (2,421,980 | ) | — | — | — | |||||||||||
Unrealized depreciation on futures contracts | — | (1,152,444 | ) | (771,089 | ) | (1,543,974 | ) | |||||||||
| Transactions in derivative instruments for Diversifying Strategies Fund during the six months ended June 30, 2011 were as follows: | ||||||||||||||||
Consolidated Statements of Operations Caption | Foreign | Equity Contracts | Interest Rate | Commodity | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Foreign currency transactions* | $ | 4,267,876 | $ | — | $ | — | $ | — | ||||||||
Futures contracts | — | (12,850,818 | ) | 3,220,282 | 3,509,690 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Foreign currency translations* | (1,275,750 | ) | — | — | — | |||||||||||
Futures contracts | — | (128,735 | ) | 348,085 | (3,220,244 | ) | ||||||||||
| * | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
103 |
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2011:
Consolidated Statements of Caption | Foreign Exchange | Equity | Interest Rate | Commodity | ||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 716,377 | $ | — | $ | — | $ | — | ||||||||
Unrealized appreciation on futures contracts | — | 13,339,886 | 267,171 | 2,173,061 | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | (975,296 | ) | — | — | — | |||||||||||
Unrealized depreciation on futures contracts | — | — | (117,473 | ) | (2,429,899 | ) | ||||||||||
Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2011 were as follows:
Consolidated Statements of Operations Caption | Foreign | Equity Contracts | Interest Rate | Commodity | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Foreign currency transactions* | $ | 15,421,069 | $ | — | $ | — | $ | — | ||||||||
Futures contracts | — | (2,579,942 | ) | 5,572,362 | 10,193,348 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Foreign currency translations* | (2,583,192 | ) | — | — | — | |||||||||||
Futures contracts | — | 11,202,610 | 737,446 | (5,549,740 | ) | |||||||||||
| * | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
| 104
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2011:
Consolidated Statements of Caption | Foreign Exchange | Equity | Interest Rate | Commodity | ||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 2,385,710 | $ | — | $ | — | $ | — | ||||||||
Unrealized appreciation on futures contracts | — | 1,487,225 | 2,274,095 | 1,969,009 | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | (6,098,093 | ) | — | — | — | |||||||||||
Unrealized depreciation on futures contracts | — | (782,017 | ) | (1,279,152 | ) | (2,685,026 | ) | |||||||||
Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2011 were as follows:
Consolidated Statements of | Foreign | Equity Contracts | Interest Rate | Commodity | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Foreign currency transactions* | $ | 9,643,668 | $ | — | $ | — | $ | — | ||||||||
Futures contracts | — | (9,321,944 | ) | 4,579,464 | (2,972,674 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Foreign currency translations* | (3,407,397 | ) | — | — | — | |||||||||||
Futures contracts | — | 605,569 | 896,145 | (1,229,614 | ) | |||||||||||
| * | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
105 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The following is a summary of derivative instruments for Absolute Strategies Fund as of June 30, 2011:
Statements of Assets and Liabilities Caption | Foreign Exchange Contracts | Equity Contracts | Credit Contracts | Interest Rate Contracts | ||||||||||||
Assets | ||||||||||||||||
Investments at value* | $ | 91,586 | $ | — | $ | — | $ | — | ||||||||
Unrealized appreciation on forward foreign currency contracts | 117,284 | — | — | — | ||||||||||||
Unrealized appreciation on futures contracts** | — | — | — | 513,796 | ||||||||||||
Unrealized appreciation on swap agreements | — | — | 73,098 | — | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | (634,748 | ) | — | — | — | |||||||||||
Unrealized depreciation on futures contracts** | — | (632,297 | ) | — | (369,066 | ) | ||||||||||
Unrealized depreciation on swap agreements | — | — | (38,212 | ) | — | |||||||||||
| * | Represents purchased options, at value. |
| ** | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Absolute Strategies Fund during the six months ended June 30, 2011 were as follows:
Statements of Operations Caption | Foreign Exchange | Equity Contracts | Credit Contracts | Interest Rate Contracts | Commodity Contracts | |||||||||||||||
Net Realized Gain | ||||||||||||||||||||
Investments* | $ | (52,474 | ) | $ | (204,969 | ) | $ | — | $ | (9,785 | ) | $ | — | |||||||
Foreign currency transactions** | (949,956 | ) | — | — | — | — | ||||||||||||||
Futures contracts | — | 611,082 | — | (3,761,688 | ) | — | ||||||||||||||
Swap agreements | — | — | (832,139 | ) | — | — | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments* | (146,582 | ) | — | — | — | — | ||||||||||||||
Foreign currency translations** | (497,503 | ) | — | — | — | — | ||||||||||||||
Futures contracts | — | (635,594 | ) | — | 151,377 | — | ||||||||||||||
Swap agreements | — | — | 89,414 | — | — | |||||||||||||||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
| ** | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
| 106
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The following is a summary of derivative instruments for Multi-Asset Real Return Fund as of June 30, 2011:
Consolidated Statements of Assets and Liabilities Caption | Foreign | Equity | Credit | Interest Rate | Commodity | |||||||||||||||
Assets | ||||||||||||||||||||
Investments at value* | $ | 68,814 | $ | 578,665 | $ | — | $ | — | $ | 24,340 | ||||||||||
Unrealized appreciation on forward foreign currency contracts | 121,148 | — | — | — | — | |||||||||||||||
Unrealized appreciation on futures contracts** | — | 45,845 | — | 84,409 | 203,164 | |||||||||||||||
Unrealized appreciation on swap agreements | — | — | 45,628 | — | — | |||||||||||||||
Liabilities | ||||||||||||||||||||
Options written, at value | — | (123,200 | ) | — | — | (4,370 | ) | |||||||||||||
Unrealized depreciation on forward foreign currency contracts | (222,230 | ) | — | — | — | — | ||||||||||||||
Unrealized depreciation on futures contracts** | — | (266,263 | ) | — | — | (246,668 | ) | |||||||||||||
Unrealized depreciation on swap agreements | — | — | (10,828 | ) | — | — | ||||||||||||||
| * | Represents purchased options, at value. |
| ** | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Consolidated Statements of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
107 |
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Transactions in derivative instruments for Multi-Asset Real Return Fund during the six months ended June 30, 2011 were as follows:
Consolidated Statements | Foreign | Equity | Credit | Interest | Commodity | |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments* | $ | (89,125 | ) | $ | (194,719 | ) | $ | — | $ | — | $ | — | ||||||||
Foreign currency transactions** | (328,839 | ) | — | — | — | — | ||||||||||||||
Futures contracts | — | (97,149 | ) | — | (689,422 | ) | (163,813 | ) | ||||||||||||
Options written | — | 176,377 | — | — | 16,068 | |||||||||||||||
Swap agreements | — | — | (161,291 | ) | — | — | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments* | (46,506 | ) | 169,092 | — | — | (61,710 | ) | |||||||||||||
Foreign currency translations** | (62,900 | ) | — | — | — | — | ||||||||||||||
Futures contracts | — | (220,578 | ) | — | 45,300 | (124,244 | ) | |||||||||||||
Options written | — | (88,841 | ) | — | — | 18,710 | ||||||||||||||
Swap agreements | — | — | 68,610 | — | — | |||||||||||||||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
| ** | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
As the Funds value their derivatives at fair value and recognize changes in fair value through the Consolidated Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
Volume of forwards, futures and swaps activity, as a percentage of net assets, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:
Diversifying Strategies Fund | Forwards | Futures |
| |||||||
Average Notional Amount Outstanding | 180.28% | 381.63% | ||||||||
Highest Notional Amount Outstanding | 303.17% | 584.17% | ||||||||
Lowest Notional Amount Outstanding | 94.20% | 302.08% | ||||||||
Notional Amount Outstanding as of June 30, 2011 | 94.20% | 584.17% | ||||||||
| 108
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June 30, 2011 (Unaudited)
Global Alternatives Fund | Forwards | Futures |
| |||||||||
Average Notional Amount Outstanding | 33.61% | 161.94% | ||||||||||
Highest Notional Amount Outstanding | 51.67% | 194.45% | ||||||||||
Lowest Notional Amount Outstanding | 21.91% | 148.81% | ||||||||||
Notional Amount Outstanding as of June 30, 2011 | 27.46% | 151.74% | ||||||||||
Managed Futures Strategy Fund | Forwards | Futures |
| |||||||||
Average Notional Amount Outstanding | 200.94% | 613.33% | ||||||||||
Highest Notional Amount Outstanding | 246.44% | 992.90% | ||||||||||
Lowest Notional Amount Outstanding | 135.71% | 387.94% | ||||||||||
Notional Amount Outstanding as of June 30, 2011 | 195.76% | 992.90% | ||||||||||
Absolute Strategies Fund | Forwards | Futures | Swaps | |||||||||
Average Notional Amount Outstanding | 23.68% | 137.86% | 2.78% | |||||||||
Highest Notional Amount Outstanding | 36.96% | 182.13% | 8.36% | |||||||||
Lowest Notional Amount Outstanding | 9.24% | 19.43% | 0.46% | |||||||||
Notional Amount Outstanding as of June 30, 2011 | 19.93% | 142.54% | 4.02% | |||||||||
Multi-Asset Real Return Fund | Forwards | Futures | Swaps | |||||||||
Average Notional Amount Outstanding | 97.49% | 69.93% | 12.74% | |||||||||
Highest Notional Amount Outstanding | 155.91% | 99.71% | 27.64% | |||||||||
Lowest Notional Amount Outstanding | 60.67% | 40.18% | 0.00% | |||||||||
Notional Amount Outstanding as of June 30, 2011 | 84.47% | 64.38% | 16.21% | |||||||||
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Consolidated Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the financial statements, and therefore are not included in the Funds’ net assets. Derivative positions for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund are scaled to achieve a target level of volatility for the overall portfolio.
Volume of options activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:
Absolute Strategies Fund* | Call Options | Put Options Purchased | ||||||
Average Market Value of Underlying Instruments | 2.12 | % | 1.13 | % | ||||
Highest Market Value of Underlying Instruments | 5.68 | % | 3.23 | % | ||||
Lowest Market Value of Underlying Instruments | 0.44 | % | 0.00 | % | ||||
Market Value of Underlying Instruments as of June 30, 2011 | 1.49 | % | 0.00 | % | ||||
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Table of Contents
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June 30, 2011 (Unaudited)
Multi-Asset Real Return Fund* | Call Options | Put Options Purchased | Call Options Written | Put Options Written | ||||||||||||
Average Market Value of Underlying Instruments | 11.41 | % | 9.66 | % | 2.07 | % | 4.34 | % | ||||||||
Highest Market Value of Underlying Instruments | 23.91 | % | 12.69 | % | 6.20 | % | 9.60 | % | ||||||||
Lowest Market Value of Underlying Instruments | 3.38 | % | 1.38 | % | 0.00 | % | 0.00 | % | ||||||||
Market Value of Underlying Instruments as of | 23.91 | % | 7.98 | % | 6.20 | % | 6.84 | % | ||||||||
| * | Market value of underlying instruments is determined for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate, and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract. |
The following is a summary of Multi-Asset Real Return Fund’s written option activity:
Number of Contracts | Premiums | |||||||
Outstanding at 12/31/2010 | 400 | $ | 150,100 | |||||
Options written | 1,683 | 269,884 | ||||||
Options terminated in closing purchase transactions | (1,305 | ) | (258,527 | ) | ||||
Options exercised | — | — | ||||||
Options expired | (8 | ) | (12,518 | ) | ||||
|
|
|
| |||||
Outstanding at 6/30/2011 | 770 | $ | 148,939 | |||||
|
|
|
| |||||
5. Purchases and Sales of Securities. For the six months ended June 30, 2011, purchases and proceeds from sales or maturities of short-term obligations were as follows:
Fund | Purchases | Sales/Maturities | ||||||
Diversifying Strategies Fund | $ | 2,445,193,376 | $ | 2,393,754,357 | ||||
Global Alternatives Fund | 6,117,529,670 | 5,708,829,087 | ||||||
Managed Futures Strategy Fund | 4,183,305,965 | 3,904,402,031 | ||||||
For the six months ended June 30, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
| U.S. Government/ Agency Securities | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Absolute Strategies Fund | $ | — | $ | — | $ | 659,755,742 | $ | 178,002,004 | ||||||||
Multi-Asset Real Return Fund | 8,081,856 | 8,142,727 | 137,688,057 | 110,799,204 | ||||||||||||
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees.�� AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US’’) serves as investment adviser to Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Loomis Sayles is the investment adviser to Absolute Strategies Fund and Multi-Asset Real Return Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. 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, less the net asset value of each Subsidiary, where applicable:
Fund | Percentage of Average Daily Net Assets | |||
Diversifying Strategies Fund | 1.25 | % | ||
Global Alternatives Fund | 1.15 | % | ||
Managed Futures Strategy Fund | 1.25 | % | ||
Absolute Strategies Fund | 0.70 | % | ||
Multi-Asset Real Return Fund | 0.75 | % | ||
AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.25%, 1.15% and 1.25%, respectively, of its average daily net assets.
Loomis Sayles also serves as investment adviser to the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., which pays Loomis Sayles a management fee at the annual rate of 0.75% of its average daily net assets.
AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang.
AlphaSimplex and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, to limit the Funds’ 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, 2012 and are reevaluated on an annual basis. Management fees payables, as reflected on the Consolidated Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
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June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, 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 C | Class Y | |||||||||
Diversifying Strategies Fund | 1.70 | % | 2.45 | % | 1.45 | % | ||||||
Global Alternatives Fund | 1.60 | % | 2.35 | % | 1.35 | % | ||||||
Managed Futures Strategy Fund | 1.70 | % | 2.45 | % | 1.45 | % | ||||||
Absolute Strategies Fund | 1.30 | % | 2.05 | % | 1.05 | % | ||||||
Multi-Asset Real Return Fund | 1.35 | % | 2.10 | % | 1.10 | % | ||||||
AlphaSimplex and Loomis Sayles shall be permitted to recover expenses they have borne under the expense limitation agreements (whether through waiver 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 waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross Management Fees | Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Diversifying Strategies Fund | $ | 1,905,012 | $ | 147,043 | $ | 1,757,969 | 1.25 | % | 1.15 | % | ||||||||||
Global Alternatives Fund | 4,620,356 | — | 4,620,356 | 1.15 | % | 1.15 | % | |||||||||||||
Managed Futures Strategy Fund | 1,857,953 | 143,419 | 1,714,534 | 1.25 | % | 1.15 | % | |||||||||||||
Absolute Strategies Fund | 1,243,686 | — | 1,243,686 | 0.70 | % | 0.70 | % | |||||||||||||
Multi-Asset Real Return Fund | 171,893 | 171,893 | — | 0.75 | % | — | ||||||||||||||
| 1Management | fee waivers are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011 expenses have been reimbursed as follows:
Fund | Reimbursement2 | |||
Multi-Asset Real Return Fund | $ | 29,495 | ||
| 2Expense | reimbursements are subject to possible recovery until December 31, 2012. |
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June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:
| Recovered Expenses | ||||||||||||||||
Fund | Class A | Class C | Class Y | Total | ||||||||||||
Global Alternatives Fund | $ | 12,502 | $ | 3,847 | $ | 9,903 | $ | 26,252 | ||||||||
Absolute Strategies Fund | 612 | 233 | 720 | 1,565 | ||||||||||||
b. 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 Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has 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 C shares (the “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 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 C shares, as compensation for services provided 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 Plans, each 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 by Natixis Distributors in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2011, the Funds paid the following service and distribution fees:
| Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Diversifying Strategies Fund | $ | 99,550 | $ | 29,464 | $ | 88,393 | ||||||
Global Alternatives Fund | 301,227 | 99,628 | 298,885 | |||||||||
Managed Futures Strategy Fund | 278,082 | 5,991 | 17,975 | |||||||||
Absolute Strategies Fund | 173,618 | 66,222 | 198,664 | |||||||||
Multi-Asset Real Return Fund | 3,251 | 96 | 289 | |||||||||
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
c. Administrative Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts 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 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, 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% 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. Funds that commenced operations prior to July 1, 2011 are subject to a new fund fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. Managed Futures Strategy Fund, Absolute Strategies Fund and Multi-Asset Real Return Fund were subject to the new fund fee during the period.
Natixis Advisors also provides certain administrative services to each Subsidiary for which each Subsidiary pays Natixis Advisors fees equal to an annual rate of 0.05% of the average daily net assets of each Subsidiary. Payments by the Funds are reduced by the amount of payments to Natixis Advisors by each Subsidiary. In addition, Natixis Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.
For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):
Fund | Administrative Fees | |||
Diversifying Strategies Fund | $ | 70,722 | ||
Global Alternatives Fund | 186,319 | |||
Managed Futures Strategy Fund | 86,780 | |||
Absolute Strategies Fund | 49,589 | |||
Multi-Asset Real Return Fund | 49,692 | |||
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 is a percentage of the value of shares held) not to exceed what the Funds
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
would have paid their 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.
For the six months ended June 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations:
Fund | Sub-Transfer Agent Fees | |||
Diversifying Strategies Fund | $ | 121,110 | ||
Global Alternatives Fund | 242,836 | |||
Managed Futures Strategy Fund | 81,793 | |||
Absolute Strategies Fund | 88,727 | |||
Multi-Asset Real Return Fund | 3,971 | |||
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011 were as follows:
Fund | Commissions | |||
Diversifying Strategies Fund | $ | 56,577 | ||
Global Alternatives Fund | 161,634 | |||
Managed Futures Strategy Fund | 104,608 | |||
Absolute Strategies Fund | 438,900 | |||
Multi-Asset Real Return Fund | 440 | |||
f. Trustees Fees and Expenses. The Trust 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 $250,000. 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 $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 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 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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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 normally reflected as Trustees’ fees and expenses in the Consolidated Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Consolidated Statements of Assets and Liabilities.
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured 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, plus 1.25%. 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 April 21, 2011, 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 committed unsecured 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 greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% 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, 2011, none of the Funds had borrowings under these agreements.
8. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Absolute Strategies Fund and Multi-Asset Real Return Fund are non-diversified, which means that they are not limited under the 1940 Act to a percentage of assets that they may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
The Funds’ (excluding Absolute Strategies Fund) investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
9. Interest Expense. Each Fund is charged interest expense on cash and foreign currency overdrafts, if any, for accounts held at the brokers. Interest expense amounts incurred for the six months ended June 30, 2011 are reflected on the Consolidated Statements of Operations.
10. Concentration of Ownership. From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of June 30, 2011, Natixis US and its affiliates owned shares equating to 18.00% of Multi-Asset Real Return Fund’s net assets. As of June 30, 2011, Loomis Sayles owned shares equating to 18.00% of Multi-Asset Real Return Fund’s net assets.
11. 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, 2011 |
|
| Year Ended December 31, 2010 |
| |||||||||||
Diversifying Strategies Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 5,015,989 | $ | 52,051,111 | 6,868,047 | $ | 76,325,925 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,201 | 12,520 | 269,796 | 2,819,124 | ||||||||||||
Redeemed | (2,400,180 | ) | (25,065,386 | ) | (1,542,636 | ) | (16,842,718 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,617,010 | $ | 26,998,245 | 5,595,207 | $ | 62,302,331 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 766,737 | $ | 7,889,552 | 1,966,693 | $ | 21,804,276 | ||||||||||
Issued in connection with the reinvestment of distributions | 271 | 2,793 | 60,248 | 622,968 | ||||||||||||
Redeemed | (414,046 | ) | (4,231,467 | ) | (34,556 | ) | (372,226 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 352,962 | $ | 3,660,878 | 1,992,385 | $ | 22,055,018 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 10,318,034 | $ | 107,368,993 | 18,919,749 | $ | 210,401,836 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,361 | 24,676 | 594,595 | 6,218,402 | ||||||||||||
Redeemed | (7,376,448 | ) | (76,643,835 | ) | (4,894,148 | ) | (54,326,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,943,947 | $ | 30,749,834 | 14,620,196 | $ | 162,293,329 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 5,913,919 | $ | 61,408,957 | 22,207,788 | $ | 246,650,678 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
117 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
|
| Six Months Ended June 30, 2011 |
|
| Year Ended December 31, 2010 |
| |||||||||||
Global Alternatives Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 10,610,349 | $ | 115,008,426 | 16,474,144 | $ | 173,739,848 | ||||||||||
Issued in connection with the reinvestment of distributions | 113,753 | 1,233,164 | 684,600 | 7,304,687 | ||||||||||||
Redeemed | (4,151,400 | ) | (45,042,626 | ) | (5,921,122 | ) | (62,165,090 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 6,572,702 | $ | 71,198,964 | 11,237,622 | $ | 118,879,445 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 2,976,636 | $ | 31,757,362 | 4,616,546 | $ | 48,071,695 | ||||||||||
Issued in connection with the reinvestment of distributions | 23,940 | 255,455 | 137,136 | 1,444,059 | ||||||||||||
Redeemed | (659,838 | ) | (7,037,267 | ) | (570,902 | ) | (5,944,306 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,340,738 | $ | 24,975,550 | 4,182,780 | $ | 43,571,448 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 37,429,213 | $ | 408,775,307 | 30,671,718 | $ | 324,891,330 | ||||||||||
Issued in connection with the reinvestment of distributions | 172,489 | 1,880,156 | 796,278 | 8,536,092 | ||||||||||||
Redeemed | (6,537,546 | ) | (71,132,508 | ) | (10,269,317 | ) | (106,923,955 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 31,064,156 | $ | 339,522,955 | 21,198,679 | $ | 226,503,467 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 39,977,596 | $ | 435,697,469 | 36,619,081 | $ | 388,954,360 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
|
| Six Months Ended June 30, 2011 |
|
| Period Ended December 31, 2010* |
| |||||||||||
Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 32,571,634 | $ | 349,113,773 | 684,094 | $ | 7,510,763 | ||||||||||
Issued in connection with the reinvestment of distributions | (291 | ) | (3,087 | ) | 23,882 | 253,386 | ||||||||||
Redeemed | (7,123,835 | ) | (77,324,791 | ) | (94,151 | ) | (1,065,967 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 25,447,508 | $ | 271,785,895 | 613,825 | $ | 6,698,182 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 627,616 | $ | 6,848,631 | 220,422 | $ | 2,495,747 | ||||||||||
Issued in connection with the reinvestment of distributions | (23 | ) | (240 | ) | 4,729 | 50,030 | ||||||||||
Redeemed | (22,527 | ) | (246,637 | ) | (2,321 | ) | (25,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 605,066 | $ | 6,601,754 | 222,830 | $ | 2,520,143 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 8,139,116 | $ | 89,112,812 | 4,571,067 | $ | 48,282,728 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 236,842 | 2,510,528 | ||||||||||||
Redeemed | (3,432,104 | ) | (37,034,057 | ) | (111,252 | ) | (1,248,222 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 4,707,012 | $ | 52,078,755 | 4,696,657 | $ | 49,545,034 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 30,759,586 | $ | 330,466,404 | 5,533,312 | $ | 58,763,359 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| * | From commencement of operations on July 30, 2010 through December 31, 2010. |
| 118
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
|
| Six Months Ended June 30, 2011 |
|
| Period Ended December 31, 2010* |
| |||||||||||
Absolute Strategies Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 26,293,207 | $ | 267,463,184 | 245,018 | $ | 2,456,047 | ||||||||||
Issued in connection with the reinvestment of distributions | 196,896 | 1,967,008 | 15 | 151 | ||||||||||||
Redeemed | (2,747,979 | ) | (27,816,446 | ) | (1 | ) | (10 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 23,742,124 | $ | 241,613,746 | 245,032 | $ | 2,456,188 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 9,826,456 | $ | 99,692,188 | 56,025 | $ | 561,320 | ||||||||||
Issued in connection with the reinvestment of distributions | 43,633 | 434,432 | 1 | 14 | ||||||||||||
Redeemed | (322,830 | ) | (3,253,849 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 9,547,259 | $ | 96,872,771 | 56,026 | $ | 561,334 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 31,058,523 | $ | 315,840,464 | 2,660,897 | $ | 26,611,782 | ||||||||||
Issued in connection with the reinvestment of distributions | 188,511 | 1,881,369 | 309 | 3,103 | ||||||||||||
Redeemed | (5,007,843 | ) | (50,786,401 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 26,239,191 | $ | 266,935,432 | 2,661,206 | $ | 26,614,885 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 59,528,574 | $ | 605,421,949 | 2,962,264 | $ | 29,632,407 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
* From commencement of operations on December 15, 2010 through December 31, 2010. |
| |||||||||||||||
|
| Six Months Ended June 30, 2011 |
|
| Period Ended December 31, 2010* |
| |||||||||||
Multi-Asset Real Return Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 293,548 | $ | 2,974,048 | 144,843 | $ | 1,463,375 | ||||||||||
Issued in connection with the reinvestment of distributions | 715 | 7,249 | 778 | 7,886 | ||||||||||||
Redeemed | (69,763 | ) | (699,644 | ) | (33,158 | ) | (335,249 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 224,500 | $ | 2,281,653 | 112,463 | $ | 1,136,012 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 12,897 | $ | 131,319 | 1,211 | $ | 12,251 | ||||||||||
Issued in connection with the reinvestment of distributions | 28 | 281 | 9 | 94 | ||||||||||||
Redeemed | (498 | ) | (5,046 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 12,427 | $ | 126,554 | 1,220 | $ | 12,345 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 4,193,310 | $ | 42,618,771 | 2,699,768 | $ | 27,018,115 | ||||||||||
Issued in connection with the reinvestment of distributions | 10,645 | 108,046 | 21,488 | 217,677 | ||||||||||||
Redeemed | (256,887 | ) | (2,579,343 | ) | (2,481 | ) | (25,105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 3,947,068 | $ | 40,147,474 | 2,718,775 | $ | 27,210,687 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 4,183,995 | $ | 42,555,681 | 2,832,458 | $ | 28,359,044 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| * | From commencement of operations on September 30, 2010 through December 31, 2010. |
119 |
Table of Contents
SEMIANNUAL REPORT
June 30, 2011
CGM Advisor Targeted Equity Fund
Harris Associates Large Cap Value Fund
Natixis Diversified Income Fund
(Formerly Natixis Income Diversified Portfolio)
Natixis U.S. Multi-Cap Equity Fund
(Formerly Natixis U.S. Diversified Portfolio)
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Westpeak ActiveBeta® Equity Fund
Management Discussion and Performance page 1
Portfolio of Investments page 44
Financial Statements page 93
Table of Contents
CGM ADVISOR TARGETED EQUITY FUND
Manager:
G. Kenneth Heebner, CFA
Capital Growth Management Limited Partnership
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
Fund Inception:
November 27, 1968
Symbols:
| Class A | NEFGX | |
| Class B | NEBGX | |
| Class C | NEGCX | |
| Class Y | NEGYX |
Market Conditions
The year 2011 began auspiciously, with the U.S. economy growing at a moderate rate. Midway through the period, however, growth sputtered due to stubbornly high unemployment, a stagnant housing market, higher oil prices, the impact of Japan’s devastating earthquake and tsunami, deadly tornados and historic flooding in the United States and a general lack of consumer confidence. At the tail end of the period, economic growth rebounded somewhat, with expectations for the pace of recovery to pick up over coming quarters.
Performance Results
For the six months ended June 30, 2011, Class A shares of CGM Advisor Targeted Equity Fund returned -3.51% at net asset value. The fund lagged its benchmark, the S&P 500 Index, which returned 6.02%, and the average fund in Morningstar’s Large Growth category, which returned 5.65%, for the same period.
Explanation of Fund Performance
The fund’s exposure to cyclical issues dampened performance for the period. Companies whose profitability, and therefore share prices, track the growth of the wider economy struggled as concerns over global growth mounted.
The fund remained fully invested for the first six months of 2011 in anticipation of continued global growth. While the U.S. economy continued to grow, the pace of the expansion slowed somewhat during the first half of the year. In addition, concerns about the impact of the Greek debt crisis on European nations raised further questions about the future of the global economy.
These challenges caused many of the fund’s economically sensitive stocks to decline during the first half of the year, hurting the fund’s performance. Most notable were losses in Ford Motor Company. Sales of their highly profitable pick-up trucks were hurt by high gasoline prices. The fund sustained another sizeable loss for the period from hotel giant Marriott. Marriott’s share price declined because of fears that sluggish global
1 |
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growth would hurt the hotel business. Freeport-McMoRan, one of the world’s largest copper producers and a major gold producer, also proved disappointing. Its share price came under pressure because of fears of a global economic slowdown. Tata Motors, India’s leading truck manufacturer, was another significant detractor from fund performance. The firm recently expanded its product line by acquiring Jaguar-Land Rover, a major producer of premium sedans and SUVs, from Ford Motor Company. Unfortunately, earnings growth at Tata Motors suffered because India tightened its monetary policy. A difficult new car introduction, the Nano, in India also hurt Tata’s earnings. We continued to hold Tata and Ford, but sold Marriott and Freeport-McMoRan before period end.
Although many of the cyclical stocks in the fund lost ground during the period, Baidu, CBS Broadcasting and CSX climbed. These stocks also reflected positive earnings growth and prospects and made positive contributions to performance. Baidu, a major Chinese web services company, and the dominant search engine for the Chinese Internet market, benefited from Internet expansion and the development of the search engine business in China. A new addition to the portfolio, Baidu’s stock price increased as Google, its primary competitor, largely withdrew from the Chinese market. Shares of CBS, a major television network with extensive operations in radio and TV broadcasting, rose as a result of strong increases in advertising pricing throughout its operations. CSX, one of the nation’s leading rail services companies, benefited from increased grain and coal exports and the attendant growth in demand for transport. In addition, the firm benefited from significant pricing flexibility due to the industry’s cost advantage relative to trucks in a rising oil price environment.
Outlook
We believe that the global economy will continue to expand and provide a positive backdrop for well-positioned companies. As always, we will follow a focused investment strategy, emphasizing a smaller number of companies we believe offer superior growth potential.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
| 2
Table of Contents
CGM ADVISOR TARGETED EQUITY FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 2011
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 11/27/68) | ||||||||||||||||
| NAV | -3.51 | % | 26.26 | % | 4.03 | % | 4.68 | % | ||||||||
| With 5.75% Maximum Sales Charge | -9.07 | 19.01 | 2.80 | 4.06 | ||||||||||||
| Class B (Inception 2/28/97) | ||||||||||||||||
| NAV | -3.90 | 25.26 | 3.26 | 3.90 | ||||||||||||
| With CDSC1 | -8.70 | 20.26 | 2.91 | 3.90 | ||||||||||||
| Class C (Inception 9/1/98) | ||||||||||||||||
| NAV | -3.92 | 25.26 | 3.25 | 3.89 | ||||||||||||
| With CDSC1 | -4.88 | 24.26 | 3.25 | 3.89 | ||||||||||||
| Class Y (Inception 6/30/99) | ||||||||||||||||
| NAV | -3.42 | 26.57 | 4.32 | 5.04 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| S&P 500 Index2 | 6.02 | 30.69 | 2.94 | 2.72 | ||||||||||||
| Morningstar Large Growth Fund Avg.3 | 5.65 | 33.08 | 4.07 | 2.24 | ||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
3 |
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 98.8 | |||
Short-Term Investments and Other | 1.2 | |||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
CBS Corp., Class B | 6.7 | |||
CSX Corp. | 6.2 | |||
Baidu, Inc., Sponsored ADR | 5.6 | |||
Citigroup, Inc. | 5.4 | |||
National Oilwell Varco, Inc. | 5.4 | |||
EMC Corp. | 5.0 | |||
Ford Motor Co. | 5.0 | |||
PNC Financial Services Group, Inc. | 5.0 | |||
Schlumberger Ltd. | 5.0 | |||
Occidental Petroleum Corp. | 5.0 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Diversified Financial Services | 14.2 | |||
Energy Equipment & Services | 10.4 | |||
Machinery | 8.6 | |||
Health Care Providers & Services | 8.6 | |||
Oil, Gas & Consumable Fuels | 8.0 | |||
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 | 1.16 | % | 1.16 | % | ||||
| B | 1.91 | 1.91 | ||||||
| C | 1.91 | 1.91 | ||||||
| Y | 0.91 | 0.91 | ||||||
NOTES TO CHARTS
| 1 | 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. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4
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HARRIS ASSOCIATES LARGE CAP VALUE FUND
Management Discussion
Managers:
Edward S. Loeb, CFA
Michael J. Mangan, CFA
Diane L. Mustain, CFA
Harris Associates L.P.
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
Fund Inception:
May 6, 1931
Symbols:
| Class A | NEFOX | |
| Class B | NEGBX | |
| Class C | NECOX | |
| Class Y | NEOYX |
Market Conditions
Strong momentum, fueled by solid earnings growth, extended the stock market’s upward trend into the first quarter of 2011. The rally stumbled in March, however, on news of Japan’s earthquake and nuclear disaster. Questions also arose about poor jobs data and the durability of the economic recovery, Europe’s sovereign debt crisis and Washington’s budgetary standoff. As a result, stocks backtracked during the spring months before rebounding in the last week of June.
Performance Results
For the six months ended June 30, 2011, Class A shares of Harris Associates Large Cap Value Fund returned 5.39% at net asset value. The fund modestly trailed its benchmark, the Russell 1000 Value Index, which returned 5.92%, and performed nearly in line with the 5.45% average return of funds in its peer group, Morningstar’s Large Blend category.
Explanation of Fund Performance
Most sectors contributed positively to performance, with the biggest gains relative to the Russell index coming from financials. Although disappointing global economic data and the European debt crisis undercut major banks in the portfolio, including JPMorgan Chase, Wells Fargo and Bank of New York Mellon, the fund benefited from having an underweight in the lackluster financials sector. In addition, positive contributors included credit card issuer Discover Financial, which showed strong improvements in delinquency rates, and Franklin Resources, a mutual fund company that experienced good inflows as financial markets improved.
The fund lost ground from security selection in the consumer discretionary sector and an underweight in the strong performing healthcare sector. In consumer discretionary, rising fuel costs ate into results at Carnival Cruise Lines, which has been profitable throughout the economic slowdown and enjoys an exceptionally strong market position. The soft economy also hurt results at Marriott. By contrast, Comcast continued to exploit opportunities arising from its growing links with NBC en route to acquiring the network. Better advertising
5 |
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markets and securing of Olympic broadcast rights came amid good cash flows from the core cable business.
Elsewhere, energy stocks improved even as prices retreated late in the period. Williams Companies, a natural gas distributor, and Range Resources, an exploration and production company, benefited from positive expectations for gas prices. Increased demand for gas is likely as EPA regulations force the closing of coal-burning plants.
In the technology sector, MasterCard was a top performer. The company rebounded as investors digested the impact of financial reforms. There were three significant sales in the tech sector. We exited Hewlett- Packard in January on increasing discomfort with new management and the composition of the board. Competitive challenges weakened Cisco’s earnings outlook, and we sold Cisco despite a relatively short investment period. We also sold Microsoft because of some strategic choices that we viewed as dubious and the company’s failure to deploy its massive cash horde to benefit shareholders.
Among more recent acquisitions, a post-tsunami drop in Toyota Motor created an attractive buying opportunity. Toyota’s rebound is exceeding forecasts. Sales potential in China, India and Latin America is robust, and the company is benefiting from reductions in industry capacity in recent years. We also added used car retailer Carmax. Consumers have responded positively to Carmax’s no-haggle, value pricing policy. Profitability is impressive and market share is expanding.
Outlook
Business fundamentals are in good shape despite the current soft spell in the U.S. economy. In addition, we believe that the key concerns that have clouded the markets will resolve themselves before too long. As uncertainty fades, consumer confidence should rebound and help sustain a moderate growth path for the economy. We believe that the portfolio holds a number of dominant businesses whose current valuations understate their potential future value. But expectations remain low, with very little discussion of positive outcomes. This environment restrains prices and opens up potential opportunities for those with a long-term view.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
| 6
Table of Contents
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares4
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20114
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 5/6/31) | ||||||||||||||||
| NAV | 5.39 | % | 30.02 | % | 2.75 | % | 1.87 | % | ||||||||
| With 5.75% Maximum Sales Charge | -0.64 | 22.57 | 1.54 | 1.27 | ||||||||||||
| Class B (Inception 9/13/93) | ||||||||||||||||
| NAV | 5.00 | 29.11 | 1.99 | 1.11 | ||||||||||||
| With CDSC1 | 0.00 | 24.11 | 1.62 | 1.11 | ||||||||||||
| Class C (Inception 5/1/95) | ||||||||||||||||
| NAV | 5.02 | 29.00 | 1.99 | 1.11 | ||||||||||||
| With CDSC1 | 4.02 | 28.00 | 1.99 | 1.11 | ||||||||||||
| Class Y (Inception 11/18/98) | ||||||||||||||||
| NAV | 5.49 | 30.43 | 3.12 | 2.27 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| Russell 1000 Value Index2 | 5.92 | 28.94 | 1.15 | 3.99 | ||||||||||||
| Morningstar Large Blend Fund Avg.3 | 5.45 | 29.68 | 2.49 | 2.68 | ||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
7 |
Table of Contents
| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 96.0 | |||
Short-Term Investments and Other | 4.0 | |||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
Intel Corp. | 5.7 | |||
Carnival Corp. | 4.1 | |||
Wells Fargo & Co. | 4.1 | |||
Williams Cos., Inc. (The) | 4.0 | |||
Baxter International, Inc. | 3.8 | |||
JPMorgan Chase & Co. | 3.7 | |||
Applied Materials, Inc. | 3.5 | |||
MasterCard, Inc., Class A | 3.5 | |||
Comcast Corp., Special Class A | 3.4 | |||
Boeing Co. (The) | 3.3 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Semiconductors & Semiconductor Equipment | 12.2 | |||
Oil, Gas & Consumable Fuels | 11.4 | |||
Hotels, Restaurants & Leisure | 8.8 | |||
Diversified Financial Services | 6.9 | |||
Media | 6.6 | |||
Portfolio holdings and asset allocations will vary.
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio5 | Net Expense Ratio6 | ||||||
| A | 1.39 | % | 1.30 | % | ||||
| B | 2.13 | 2.05 | ||||||
| C | 2.14 | 2.05 | ||||||
| Y | 1.14 | 1.05 | ||||||
NOTES TO CHARTS
| 1 | 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. |
| 2 | Russell 1000 Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. |
| 3 | Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Before fee waivers and/or expense reimbursements. |
| 6 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
| 8
Table of Contents
NATIXIS DIVERSIFIED INCOME FUND*
Management Discussion
Subadvisors:
AEW Capital Management, L.P.
Loomis, Sayles & Company, L.P.
Objective:
Seeks current income with a secondary objective of capital appreciation
Strategy:
Focuses on fixed-income and equity securities through a diversified portfolio of complementary income-producing investment disciplines from specialized money managers
Inception Date:
November 17, 2005
Symbols:
| Class A | IIDPX | |
| Class C | CIDPX |
| * | Effective August 1, 2011, Natixis Income Diversified Portfolio changed its name to Natixis Diversified Income Fund. |
Market Conditions
Momentum in the U.S. financial markets carried over from 2010 into the first months of 2011 before several major global events introduced uncertainty and volatility. In February and March, turmoil in the Middle East and North Africa and natural disasters and a nuclear plant crisis in Japan made investors fearful. In April and May, investors turned their focus to a potential default in Greece, China’s move toward more restrictive monetary policy, weaker U.S. economic data and Washington’s struggle with a rising budget deficit and debt limits. However, in the last week of the quarter, investors managed to shake off their fears as Greece announced an austerity program that gave some hope of resolving its debt crisis, corporate profits remained strong and Congress and the administration continued working to address the nation’s financial woes. Against this backdrop, income-oriented markets outperformed most segments of the equity markets. Real estate investment trusts (REITs) delivered solid returns as did Treasury bonds and Treasury Inflation Protected Securities (TIPS). High yield bonds lost ground as investors grew wary of risk, but managed to eke out a modest positive return by the end of the period.
Performance Results
For the six months ended June 30, 2011, Class A shares of Natixis Diversified Income Fund returned 7.12% at net asset value. The fund outperformed its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which returned 2.72%. The fund’s secondary benchmark returned 6.23% for the period. This benchmark is a blended, unmanaged index composed of 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index and 15% Barclays Capital U.S. TIPS Index. The fund’s Morningstar peer group, the Conservative Allocation category, had an average return of 3.83% for the six-month period.
Explanation of Fund Performance
Natixis Diversified Income Fund allows investors to participate in four income-oriented market segments,
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each featuring a different investment discipline. They are:
| · | Active Dividend Equity Segment, an indexed portfolio of dividend-paying common stocks, based on the Dow Jones Select Dividend Index, and tracked by Active Investment Advisors (AIA), a division of Natixis Asset Management Advisors, L.P. |
| · | AEW Diversified REIT Segment, composed of REITs. The segment is managed by AEW Capital Management, LP (“AEW”), a specialist in this income-producing equity field. |
| · | Loomis Sayles Inflation Protected Securities Segment, a portfolio of TIPS. The segment is managed by Loomis Sayles and Company, L.P. (“Loomis Sayles”). |
| · | Loomis Sayles Multi-Sector Bond Segment, a portfolio composed of domestic and foreign bonds also managed by Loomis Sayles. |
Active Dividend Equity Segment
This segment is designed to replicate the Dow Jones Select Dividend Index by holding substantially all of the securities in the index in the same proportions. The index is composed of 100 of the highest dividend-paying equity securities (other than REITs) in the Dow Jones U.S. Total Market Index – a broad based index designed to represent the total market for U.S. equity securities.
The Dow Jones Select Dividend Index returned 8.39% for the six-month period ended June 30, 2011. At the beginning of the year, utilities made up 34% of the segment, with 15% in industrials and 14% in consumer staples. At the end of the period, utilities remained the most heavily weighted sector, at 35% of the portfolio, followed by a 15% weight in both industrials and consumer staples. During the period, there was one addition and one deletion to the index. In June, BancorpSouth was deleted because of a reduction in its
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
| 10
Table of Contents
dividend payment. CMS Energy was added to the index to replace BancorpSouth. These changes were also made in the portfolio.
AEW Diversified REIT Segment
During the six-month period, the U.S. REIT sector posted solid performance, rising more than 10% as measured by the MSCI U.S. REIT Index. Positive performance was fueled largely by continued positive fund flows into the sector and improving prospects for commercial property. Attractive yields also aided sector returns. The segment benefited from solid security selection, particularly among its holdings in the apartment, office, regional mall and storage sectors. However, stock selection in the industrial and hotel sectors detracted from returns. Among the main contributors to the segment’s returns were regional mall REIT Simon Property Group, apartment REIT Equity Residential and office REIT Boston Properties. Host Hotels & Resorts, Starwood Hotels & Resorts Worldwide and First Potomac Realty were the main detractors from the segment’s performance.
REITs have had an impressive performance run against a backdrop of a slowly expanding economy and gradually improving commercial property fundamentals. While we believe that a recovery in REIT business fundamentals will continue and that at least some of that improvement is already reflected in REIT prices, incrementally positive news will likely provide continued support. However, a quick and substantial rise in interest rates looms as a potential risk over the coming months. Higher interest rates would make REIT dividend yields less competitive and would increase borrowing costs. A sustained run of disappointing job growth numbers is another potential risk, because it would indicate that the economy is not growing fast enough to bring vacancy rates down, particularly in the office, industrial and retail property sectors.
Loomis Sayles Inflation Protected Securities Segment
Higher prices for energy and imported goods contributed to mounting inflationary pressures during the six-month period, and TIPS were among the fixed-income market’s top performers. In addition, supply chain disruptions resulting from earthquake-recovery efforts in Japan, combined with renewed sovereign debt concerns in Europe, sparked a flight to quality in May. This benefited U.S. government securities, including TIPS. For the six months ended June 30, 2011, TIPS breakeven rates (the difference in yield between TIPS and traditional Treasuries of the same maturity, and an indication of longer-term inflation expectations) widened, while real yields rallied lower.
In this environment, TIPS contributed favorably to the segment’s performance. Furthermore, a “barbelled” maturity structure (overweighting securities at the short and long ends of the maturity spectrum and underweighting intermediate-term securities) helped overall TIPS performance.
A small allocation to a Temporary Liquidity Guarantee Program (TLGP) bond detracted slightly from performance. (TLGP bonds were created in 2008, when the Federal Deposit Insurance Corporation increased its insurance coverage for depository accounts held at certain financial institutions and also lent its guarantee to short-term bonds issued by financial institutions.)
11 |
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Loomis Sayles Multi-Sector Bond Segment
Riskier fixed-income sectors generally outperformed Treasuries during the six-month period. Corporate balance sheets remained strong and earnings continued to beat analyst expectations.
This backdrop, combined with strong security selection, led to favorable results for the investment-grade corporate bond component. In addition, an allocation to high-yield corporates contributed favorably to the segment’s performance, particularly within the technology, communication and consumer cyclical industries. Commodity-linked currencies also continued to perform well, with non-dollar holdings in Brazil, Canada, Australia, New Zealand and Mexico contributing nicely to the segment’s performance.
An allocation to equity-sensitive convertible bonds detracted from performance during the period. These securities mirrored the swings in the stock market, which sold off in May and June. Holdings in the automotive, technology and manufacturing industries suffered the most. In addition, a modest position in commercial mortgage-backed securities (CMBS) weighed on performance, as lower-quality holdings declined during May’s flight to quality.
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Table of Contents
NATIXIS DIVERSIFIED INCOME FUND*
Investment Results through June 30, 2011
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 $10,000 Investment in Class A shares6
November 17, 2005 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20116
| 6 Months | 1 Year | 5 Years | Since Inception5 | |||||||||||||
| Class A (Inception 11/17/05) | ||||||||||||||||
| NAV | 7.12 | % | 19.72 | % | 5.90 | % | 6.17 | % | ||||||||
| With 4.50% Maximum Sales Charge | 2.31 | 14.28 | 4.92 | 5.30 | ||||||||||||
| Class C (Inception 11/17/05) | ||||||||||||||||
| NAV | 6.74 | 18.87 | 5.15 | 5.38 | ||||||||||||
| With CDSC1 | 5.74 | 17.87 | 5.15 | 5.38 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| Barclays Capital U.S. Aggregate Bond Index2 | 2.72 | 3.90 | 6.52 | 5.86 | ||||||||||||
| Blended Index3 | 6.23 | 16.73 | 5.61 | 5.80 | ||||||||||||
| Morningstar Conservative Allocation Fund Avg.4 | 3.83 | 14.45 | 4.42 | 4.35 | ||||||||||||
| * | Formerly Natixis Income Diversified Portfolio |
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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| Fund Composition | % of Net Assets as of 6/30/2011 | |||
Bonds and Notes | 47.2 | |||
Common Stocks | 46.0 | |||
Preferred Stocks | 1.7 | |||
Short-Term Investments and Other | 5.1 | |||
| Largest Holdings | % of Net Assets as of 6/30/2011 | |||
| Equities | ||||
Simon Property Group, Inc. | 2.8 | |||
Equity Residential | 1.9 | |||
Boston Properties, Inc. | 1.4 | |||
AvalonBay Communities, Inc. | 1.3 | |||
Public Storage | 1.3 | |||
| Fixed-Income | ||||
U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032 | 1.4 | |||
UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 | 1.3 | |||
U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015 | 1.3 | |||
U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016 | 1.1 | |||
Toys R Us, Inc., 7.375%, 10/15/2018 | 1.0 | |||
| Five Largest Industries | % of Net Assets as of 6/30/2011 | |||
Treasuries | 15.4 | |||
REITs—Apartments | 4.4 | |||
REITs—Regional Malls | 3.8 | |||
REITs—Diversified | 3.2 | |||
REITs—Office Property | 3.2 | |||
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 | 1.19 | % | 1.19 | % | ||||
| C | 1.94 | 1.94 | ||||||
NOTES TO CHARTS
| 1 | Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
| 3 | Blended Index is an unmanaged, blended index composed of the following weights: 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index, and 15% Barclays Capital U.S. TIPS Index. The four indices composing the Blended Index measure, respectively, the performance of investment-grade fixed-income securities, equity REIT securities, dividend-yielding equity securities, and Treasury inflation-protected securities. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancings of the fund’s investment portfolio, and the relative weightings of the asset classes in the fund will generally differ to some extent from the weightings in the Blended Index. |
| 4 | Morningstar Conservative Allocation Fund Average is the average performance without sales charges of funds with similar current investment objectives, as calculated by Morningstar, Inc. |
| 5 | The since-inception comparative performance figures shown were calculated from 12/1/05. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 7 | Before fee waivers and/or expense reimbursements. |
| 8 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
| 14
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NATIXIS U.S. MULTI-CAP EQUITY FUND*
Management Discussion
Subadvisors:
Harris Associates L.P.
Loomis, Sayles & Company, L.P.
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
Symbols:
| Class A | NEFSX | |
| Class B | NESBX | |
| Class C | NECCX | |
| Class Y | NESYX |
| * | Effective June 1, 2011 Natixis U.S. Diversified Portfolio changed its name to Natixis U.S. Multi-Cap Equity Fund. In addition, Loomis, Sayles & Company replaced BlackRock as the manager of the large-cap segment of the fund. |
Market Conditions
Momentum in the U.S. equity markets carried over from 2010 into the first months of 2011 before several major global events led to widespread uncertainty and volatility. Turmoil in the Middle East and North Africa and natural disasters and a nuclear plant crisis in Japan introduced significant fear into U.S. stock markets in February and March. In April and May, investors turned their focus to a potential default in Greece, China’s move toward more restrictive monetary policy, weaker U.S. economic data and Washington’s struggle with a rising budget deficit and debt limits. However, in the last week of the quarter, investors managed to shake off their fears as Greece announced an austerity program that gave some hope of resolving its debt crisis, corporate profits remained strong and stock market valuations had become attractive. The rally that lifted stocks in the final days of the period was broad based across small-, mid- and large-cap stocks. However, small- and midcaps fared somewhat better than large caps, and growth generally outperformed value.
Performance Results
For the six months ended June 30, 2011, Class A shares of Natixis U.S. Multi-Cap Equity Fund returned 7.27% at net asset value. For the same period, the S&P 500 Index returned 6.02%, the S&P MidCap 400 Index returned 8.56% and the Wilshire 4500 Index returned 7.02%. The fund outperformed the 5.65% average return of funds in Morningstar’s Large Growth category.
Explanation of Fund Performance
Each of the fund’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks and strategies:
| · | Harris Associates invests primarily in common stocks of large- and mid-cap companies that Harris Associates believes are trading at a substantial discount to their “true business value.” |
| · | Loomis Sayles manages three segments. One invests in mid-cap growth stocks, one invests in |
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large-cap growth stocks, and one focuses on small/mid-cap core stocks. The large-cap growth segment was managed by BlackRock until May 31, 2011. |
Harris Associates Segment
Portfolio holdings performed well across most sectors. Among the top names for the period were Discover Financial and Franklin Resources in the financials sector; Rockwell Automation and Northrop Grumman in the industrials sector; and MasterCard and Visa in the technology sector. Discover Financial reported the lowest 30-day delinquency rate in its 25-year history, along with solid quarterly earnings results.
Consumer discretionary holdings were the exception to this positive trend. Carnival, Marriott International and Starwood Hotels & Resorts all lost ground during the period. Carnival was hurt by market concerns about a potential slowdown in leisure travel spending, compounded by rising fuel prices and slower international bookings, which were a result of unrest in the Middle East and Northern Africa. However, Harris Associates believes all these issues are temporary and continues to hold the stock. In the financials sector, Bank of New York Mellon reported soft revenue, due chiefly to lower net interest and income from currency transactions and trading. Wells Fargo’s revenue was weak due primarily to lower net interest income. Harris sold Bank of New York Mellon but held onto Wells Fargo on the belief that improvements are ongoing and the company remains a solid investment.
Loomis Sayles Mid Cap Growth Segment
Strong stock selection, particularly in the consumer discretionary, technology and healthcare sectors, lifted the Mid Cap Growth segment’s performance. In the consumer discretionary sector, top performers included high-end apparel and accessory retailers Lululemon Athletica and Fossil. In the technology sector, the portfolio continued to focus on leading franchises in areas of secular growth, including data mobility, cloud computing and software as a service, which led to
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
| 16
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areas of secular growth, including data mobility, cloud computing and software as a service, which led to particularly strong performance in the first calendar quarter. Performance in the healthcare sector was broad-based, with strong results in the biotech, healthcare services and pharmaceuticals industries.
While all sectors made positive contributions to performance, the energy sector was the weakest. The shortfall occurred in the second quarter of 2011 when commodity prices took a downturn. Holdings with above-average sensitivity to changes in oil prices suffered the most. On an individual basis, Finisar, a manufacturer of optical components and subsystems for high-speed communication networks, was among the largest performance detractors. A position in clothing retailer Abercrombie & Fitch also drove down results.
The portfolio used options (bought puts or sold calls) to hedge the stock-specific risks associated with three individual holdings and also purchased calls on one stock to express a directional view. The combined impact of these derivatives was a slight drag on performance.
Loomis Sayles Small/Mid Cap Core Segment
Robust stock selection, combined with a generally defensive posture, led to strong results for the Small/Mid Cap Core segment. In particular, stocks in the technology, consumer discretionary and financial services sectors made the greatest contributions to performance. In terms of individual contributors, WellCare Health Plans, a managed care provider, was among the top performers. The company reported strong earnings during the period and remained upbeat for the rest of the year on improving utilization trends and solid cost controls. Discover Financial Services, a credit card issuer and electronic payments provider, also was among the top performers. The company reported higher-than-expected earnings.
While all sectors made positive contributions to performance during the period, the energy and utilities sectors were the weakest. Individual laggards included commercial bank First Horizon National and energy transportation and storage provider SemGroup. First Horizon declined due to lower expectations for intermediate-term loan growth and credit improvement, and the position was exited. SemGroup reported a modestly disappointing cash-flow outlook and was sold.
Loomis Sayles Large Cap Growth Segment
Effective June 1, 2011, the investment strategy of the fund’s Large Cap Growth segment changed. New portfolio manager Aziz V. Hamzaogullari employs a disciplined, bottom-up approach that seeks to identify high quality stocks offering robust growth potential and attractive valuations.
During the one-month period in which Mr. Hamzaogullari managed the Large Cap Growth segment, performance was hindered by the stock market downturn. From a sector perspective, the technology and healthcare sectors were the largest negative contributors to performance. The consumer discretionary and energy sectors contributed positively to performance.
In terms of individual holdings, positions in Amazon.com, an Internet-based retailer, and Visa, a leading credit card processor, contributed the most to performance. On the negative side, positions in Cisco Systems, a network designer, and FactSet Research, a
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provider of economic and market information to investment companies, were the largest detractors from performance.
BlackRock Segment
During the five months that BlackRock managed the Large Cap Growth segment, financials and healthcare stocks delivered solid performance. In the financials sector, bond rating agency Moody’s was a standout, as the company reported better-than-expected results for the last quarter of 2010 and the first quarter of 2011.
Stock selection in the consumer discretionary, industrials and information technology sectors yielded some disappointing results. In consumer discretionary, rising energy costs hurt General Motors, whose mix of products is currently weighted toward less fuel efficient trucks and sport utility vehicles. Cree, a pioneer in energy efficient LED lighting, fell sharply in January after a disappointing earnings report. General Motors and Cree were sold.
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NATIXIS U.S. MULTI-CAP EQUITY FUND*
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares6
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20116
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 7/7/94) | ||||||||||||||||
| NAV | 7.27 | % | 38.39 | % | 5.71 | % | 5.36 | % | ||||||||
| With 5.75% Maximum Sales Charge | 1.09 | 30.45 | 4.46 | 4.74 | ||||||||||||
| Class B (Inception 7/7/94) | ||||||||||||||||
| NAV | 6.90 | 37.36 | 4.93 | 4.58 | ||||||||||||
| With CDSC1 | 1.90 | 32.36 | 4.60 | 4.58 | ||||||||||||
| Class C (Inception 7/7/94) | ||||||||||||||||
| NAV | 6.90 | 37.34 | 4.92 | 4.57 | ||||||||||||
| With CDSC1 | 5.90 | 36.34 | 4.92 | 4.57 | ||||||||||||
| Class Y (Inception 11/15/94) | ||||||||||||||||
| NAV | 7.41 | 38.74 | 6.02 | 5.81 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| S&P 500 Index2 | 6.02 | 30.69 | 2.94 | 2.72 | ||||||||||||
| S&P MidCap 400 Index3 | 8.56 | 39.38 | 6.60 | 7.94 | ||||||||||||
| Wilshire 4500 Index4 | 7.02 | 38.97 | 5.74 | 7.30 | ||||||||||||
| Morningstar Large Growth Fund Avg.5 | 5.65 | 33.08 | 4.07 | 2.24 | ||||||||||||
| * | Formerly Natixis U.S. Diversified Portfolio |
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 97.3 | |||
Closed End Investment Companies | 0.4 | |||
Short-Term Investments and Other | 2.3 | |||
Written Options | (0.0 | ) | ||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
Visa, Inc., Class A | 1.9 | |||
Intel Corp. | 1.6 | |||
Franklin Resources, Inc. | 1.2 | |||
Carnival Corp. | 1.2 | |||
Wells Fargo & Co. | 1.2 | |||
Wiliams Cos., Inc. (The) | 1.1 | |||
Amazon.com, Inc. | 1.1 | |||
Baxter International, Inc. | 1.1 | |||
JPMorgan Chase & Co. | 1.1 | |||
Applied Materials, Inc. | 1.0 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Oil, Gas & Consumable Fuels | 5.5 | |||
Semiconductors & Semiconductor Equipment | 5.4 | |||
IT Services | 4.9 | |||
Software | 4.7 | |||
Hotels, Restaurants & Leisure | 4.3 | |||
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 | 1.44 | % | 1.34 | % | ||||
| B | 2.19 | 2.09 | ||||||
| C | 2.19 | 2.09 | ||||||
| Y | 1.18 | 1.09 | ||||||
NOTES TO CHARTS
| 1 | 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. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | S&P MidCap 400 Index is an unmanaged index that measures the performance of the mid-cap segment of the U.S. equities market. |
| 4 | Wilshire 4500 Index is an unmanaged index that measures the performance of U.S. small- and mid-cap 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. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 7 | Before fee waivers and/or expense reimbursements. |
| 8 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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VAUGHAN NELSON SMALL CAP VALUE FUND
Management Discussion
Managers:
Chris D. Wallis, CFA
Scott J. Weber, CFA
Vaughan Nelson Investment Management, L.P.
Objective:
Seeks capital appreciation
Strategy:
Invests in small-cap companies with a focus on absolute return, using a bottom-up value-oriented investment process
Fund Inception
December 31, 1996
Symbols:
| Class A | NEFJX | |
| Class B | NEJBX | |
Class C Class Y | NEJCX NEJYX |
Market Conditions
The market’s trajectory over the past six months – a first-quarter uptrend cut short by a series of headwinds – came amid a business cycle that continues to inch ahead. Turmoil in the Mideast and rising energy prices, Japan’s twin disasters and discouraging jobs and housing data weighed on investors, along with Europe’s sovereign debt crisis. The market’s reversal affected smaller companies more than mid- and large-cap companies. Stocks strengthened modestly in late June as investors began to shed their extreme risk aversion.
Performance Results
For the six months ended June 30, 2011, Class A shares of Vaughan Nelson Small Cap Value Fund returned 6.47% at net asset value. The fund outperformed its benchmark, the Russell 2000 Value Index, which returned 3.77%, and the 6.36% average return of funds in its peer group, Morningstar’s Small Blend category.
Explanation of Fund Performance
Strong results occurred in the energy sector, where stocks climbed in response to growing demand and supply fears engendered by unrest in the Mideast and Northern Africa. We trimmed positions in some of the best performers to take advantage of rising share prices. Among these were natural gas contract driller Unit Corporation and Oil States International, which offers well-site services and products as well as worker accommodations in remote areas. We also reduced the fund’s weight in Brigham Exploration, which operates in the Bakken shale formation of the Williston Basin. However, we did not eliminate any positions.
Aaron’s, a rent-to-own retailer, led the fund’s consumer holdings, the top contributors to relative performance. Aaron’s sales and market share are growing. Shoe manufacturer Wolverine World Wide also contributed to positive performance. The company’s brands are performing well, backlogs are robust, pricing is firm and growth is solid outside the United States. In technology, SRA International, a provider of software and technology services primarily to government entities,
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rose on news of its agreement to be taken private. In the financials sector, pawn shop operator First Cash Financial enjoyed good results in the United States and in Mexico despite legislative threats to its payday loan operations, a diminishing part of the business. The fund was underweight in real estate investment trusts (REITs), a strong contributor to benchmark results, and our choices lagged the group. We had no exposure to health maintenance organizations or senior living providers, which enjoyed a significant first half rally. However, we offset that disadvantage by being well underweight in the weak commercial bank sector.
Among individual detractors, Thompson Creek Metals, a molybdenum miner, faced increased operating costs and unanticipated capital outlays that pressured earnings. We took gains in property and casualty insurer Hanover Group, which disappointed during this period. Corrections Corporation of America, which operates private prisons for federal and state governments, weakened over concerns that budget cuts could hurt its business. We believe that threat is overstated and continue to hold the stock. We increased the fund’s stake in Ohio-based First Merit Bank when shares declined. First Merit enjoys ample excess capital and good management and is seeing pockets of loan growth. It has also acquired some other institutions via FDIC-assisted transactions.
Outlook
We expect neither a double-dip recession nor a sharp economic rebound in the second half of the year. Instead, we think the current sluggish pattern will continue for quite a while, with gross domestic product (GDP) growing at the 1-2% level, which is not enough to help reduce unemployment. These conditions favor research-based stock-specific approaches. As always, we are looking for companies with the potential to grow even in a lackluster economy on the belief that investors will pay more for growth when it is hard to come by.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
Effective July 31, 2009, the Fund was closed to new investors.
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VAUGHAN NELSON SMALL CAP VALUE FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares5
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20115
| 6 Months | 1 Year | 5 Years | 10 Years | Since Inception4 | ||||||||||||||||
| Class A (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.47 | % | 35.03 | % | 8.86 | % | 6.45 | % | — | % | ||||||||||
| With 5.75% Maximum Sales Charge | 0.37 | 27.27 | 7.57 | 5.82 | — | |||||||||||||||
| Class B (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.07 | 34.07 | 8.04 | 5.66 | — | |||||||||||||||
| With CDSC1 | 1.07 | 29.07 | 7.75 | 5.66 | — | |||||||||||||||
| Class C (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.01 | 34.00 | 8.03 | 5.66 | — | |||||||||||||||
| With CDSC1 | 5.01 | 33.00 | 8.03 | 5.66 | — | |||||||||||||||
| Class Y (Inception 8/31/06) | ||||||||||||||||||||
| NAV | 6.57 | 35.38 | — | — | 9.79 | |||||||||||||||
| Comparative Performance | ||||||||||||||||||||
| Russell 2000 Value Index2 | 3.77 | 31.35 | 2.24 | 7.53 | 1.99 | |||||||||||||||
| Morningstar Small Blend Fund Avg.3 | 6.36 | 36.82 | 3.72 | 6.97 | 4.24 | |||||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 91.4 | |||
Exchange Traded Funds | 4.0 | |||
Closed End Investment Companies | 1.9 | |||
Short-Term Investments and Other | 2.7 | |||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
iShares Russell 2000 Value Index Fund | 4.0 | |||
Silgan Holdings, Inc. | 2.6 | |||
Phillips-Van Heusen Corp. | 2.3 | |||
HCC Insurance Holdings, Inc. | 2.3 | |||
CACI International, Inc., Class A | 2.3 | |||
Towers Watson & Co., Class A | 2.1 | |||
Scotts Miracle-Gro Co. (The), Class A | 2.0 | |||
Oil States International, Inc. | 2.0 | |||
CNO Financial Group, Inc. | 2.0 | |||
| Teleflex, Inc. | 1.9 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Commercial Banks | 5.9 | |||
Insurance | 5.8 | |||
Commercial Services & Supplies | 5.6 | |||
| Textiles, Apparel & Luxury Goods | 5.1 | |||
Capital Markets | 4.4 | |||
Portfolio holdings and asset allocations will vary.
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio6 | Net Expense Ratio7 | ||||||
| A | 1.43 | % | 1.43 | % | ||||
| B | 2.18 | 2.18 | ||||||
| C | 2.18 | 2.18 | ||||||
| Y | 1.18 | 1.18 | ||||||
NOTES TO CHARTS
| 1 | 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. |
| 2 | Russell 2000 Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. |
| 3 | Morningstar Small Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 9/1/06. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
Management Discussion
Managers:
Dennis G. Alff, CFA
Chris D. Wallis, CFA
Scott J. Weber, CFA
Vaughan Nelson Investment
Management, L.P.
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
Fund Inception:
October 31, 2008
Symbols:
| Class A | VNVAX | |
Class C Class Y | VNVCX VNVYX |
Market Conditions
Following a strong first quarter, stocks changed direction when Japan’s earthquake and tsunami led to downticks in some industrial production data and disrupted supply chains in autos and other sectors. Adding to uncertainty were turmoil in the Mideast and Northern Africa and its threat to oil supplies, domestic woes that included weak jobs data and a very soft housing market as well as the reemergence of Europe’s sovereign debt crisis. Still, the U.S. economy maintained a weak growth trend and stocks were recovering as the period ended.
Performance Results
For the six months ended June 30, 2011, Class A shares of Vaughan Nelson Value Opportunity Fund returned 11.25% at net asset value. The fund significantly outperformed its benchmark, the Russell Midcap Value Index, which returned 6.69%, and the 7.08% return of funds in its peer group, Morningstar’s Mid-Cap Blend category.
Explanation of Fund Performance
Most of the fund’s outperformance is traceable to good stock selection. We took advantage of higher prices to trim energy holdings as rising oil prices drove shares higher. El Paso Energy stood out, as investors welcomed the decision to split the company into two entities in hopes of enhancing shareholder value. Although we significantly reduced exposure to energy companies, the fund’s weight remains near that of the benchmark. We also recorded gains in utilities when valuations rose, but this move proved premature as stocks in the sector continued to move higher.
Valeant Pharmaceuticals was a major contributor to positive performance. Valeant has grown quickly, thanks to its strategy of acquiring drug makers that lack resources to market and distribute their FDA-approved drugs in order to realize their full sales potential. These acquisitions also give Valeant access to future drug development through the research capacity that comes with the acquired companies. In technology, Altera and Avago Technologies rose thanks to the growth in
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wireless applications and smartphones that utilize their specialized semiconductors.
Among consumer issues, Hansen Natural’s leadership position in energy drinks helped boost earnings. Hansen, maker of a variety of beverages, is generating strong growth as it expands internationally. Ralcorp, which markets private label grocery products and owns the Post Cereal brand, received an unsolicited buyout offer. Ralcorp declined the offer but rumors of other potential suitors have buoyed the stock. Broadcaster CBS enjoyed good results thanks to attractive content, improving ad revenues and firmer pricing. CBS is also garnering greater revenues from recurring sources such as license fees and subscriptions.
By contrast, Collective Brands disappointed. Collective owns the Payless shoe chain and wholesales other brands. Positioning at the lower end of the price scale made Collective vulnerable to a range of retail pressures, including high gasoline costs and severe weather that kept consumers away. We continue to hold this stock. Skyworks Solutions was another laggard, as it weakened on unconfirmed reports of possible share loss in Apple products. In our view, the current valuation of Skyworks reflects these risks and we continue to hold this stock based on its superior product line. A new position in Navistar, manufacturer of International brand trucks, detracted from results due to disappointing earnings from margin pressure, but we anticipate improved margins going forward with rising truck demand.
Outlook
We expect neither a double-dip recession nor a sharp economic rebound in the second half of the year. Instead, we think the current sluggish pattern will continue for quite a while with GDP growing at the 1-2% level, which is not enough to help reduce unemployment. These conditions favor research-based, stock-specific approaches. As always, we are looking for good companies with potential to grow even in a lackluster economy on the belief that investors will pay more for growth at a time when it is hard to come by.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
Investment Results through June 30, 2011
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 $10,000 Investment in Class A Shares5
October 31, 2008 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20115
| 6 Months | 1 Year | Since Inception4 | ||||||||||
| Class A (Inception 10/31/08) | ||||||||||||
| NAV | 11.25 | % | 43.33 | % | 21.45 | % | ||||||
| With 5.75% Maximum Sales Charge | 4.86 | 35.14 | 18.78 | |||||||||
| Class C (Inception 10/31/08) | ||||||||||||
| NAV | 10.80 | 42.24 | 20.56 | |||||||||
| With CDSC1 | 9.80 | 41.24 | 20.56 | |||||||||
| Class Y (Inception 10/31/08) | ||||||||||||
| NAV | 11.35 | 43.56 | 21.76 | |||||||||
| Comparative Performance | ||||||||||||
| Russell Midcap Value Index2 | 6.69 | 34.28 | 21.58 | |||||||||
| Morningstar Mid-Cap Blend Fund Avg.3 | 7.08 | 35.49 | 21.88 | |||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 92.6 | |||
Closed End Investment Companies | 1.4 | |||
Short-Term Investments and Other | 6.0 | |||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
CBS Corp., Class B | 2.4 | |||
Towers Watson & Co., Class A | 2.4 | |||
Crown Holdings, Inc. | 2.4 | |||
Celanese Corp., Series A | 2.3 | |||
Nuance Communications, Inc. | 2.3 | |||
Reinsurance Group of America, Inc., Class A | 2.3 | |||
Jarden Corp. | 2.0 | |||
International Flavors & Fragrances, Inc. | 1.9 | |||
Life Technologies Corp. | 1.9 | |||
Avago Technologies Ltd. | 1.8 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Machinery | 8.0 | |||
Chemicals | 7.7 | |||
Insurance | 6.9 | |||
Capital Markets | 5.5 | |||
Software | 4.8 | |||
Portfolio holdings and asset allocations will vary.
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio6 | Net Expense Ratio7 | ||||||
| A | 1.71 | % | 1.42 | % | ||||
| C | 2.48 | 2.17 | ||||||
| Y | 1.45 | 1.17 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | Russell Midcap Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. |
| 3 | Morningstar Mid-Cap Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 11/1/08. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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WESTPEAK ACTIVEBETA® EQUITY FUND
Management Discussion
Manager:
Khalid Ghayur, CFA
Stephen C. Platt, CFA
Westpeak Global Advisors, L.P.
Objective:
Seeks long-term growth of capital.
Strategy:
Invests primarily in equity securities of large- and mid-cap U.S. companies.
Fund Inception:
July 30, 2010
Symbols:
Class A WABAX
Class C WABCX
Class Y WABYX
Market Conditions
The first half of 2011 was a choppy ride for equity investors. After rising more than 7.0% between the end of 2010 and mid-February, the S&P 500 Index essentially gave back all of those gains and then recovered twice, finishing with a 6.02% net gain at the mid-year mark. The volatility of the market was largely the result of mixed macroeconomic reports, which caused investors to be uncertain about the strength of the economic recovery. The economy expanded modestly in the first quarter even as weakness persisted in the housing markets. However, the Federal Reserve Board eventually lowered its full-year forecast for the growth in gross domestic product, from 3.2% to 2.8%, citing prolonged difficulties resulting from the financial crisis. The available evidence suggests that consumer spending continues to be constrained by high levels of household debt.
Performance Results
For the six months ended June 30, 2011, Class A shares of Westpeak ActiveBeta® Equity Fund returned 6.02% at net asset value. The fund performed precisely in line with its benchmark, the S&P 500 Index, which also returned 6.02%, and outperformed the 5.45% average return of funds in its peer group, the Morningstar Large Blend category.
Explanation of Fund Performance
The fund is equally divided between a value-based portfolio and a momentum-based portfolio. As a result, performance for any given period depends on the relative contributions of these two market segments. During the first quarter of the year, when stocks as a whole were rising, both the value and the momentum components outperformed the S&P 500 Index. The reverse was true during the second quarter, during which time the S&P 500 hovered just above breakeven. Both value and momentum produced negative returns for the second quarter, with value stocks giving up greater ground in an environment of economic uncertainty. However, the fund completed the six-month period in positive territory.
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The fund’s performance relative to its benchmark was aided by its underweight position in financial and healthcare stocks, both of which underperformed during the six-month period. The fund’s commitment to each of these sectors is several percentage points lower than that sector’s weight within the benchmark. The fund’s overweight position in the consumer discretionary sector also enhanced performance because of a rebound during the latter half of the period. On the negative side, the fund was hurt by its overweight position in the information technology sector. This sector is the biggest component of the S&P 500 and the fund, and it lagged the broader market during the period, especially during the second quarter. The energy sector also underperformed during the second quarter. Energy stocks were overweighted within the value component of the fund during this time, and that was a drag on relative performance.
Outlook
Although the pace of economic recovery during the first half of 2011 was slower than expected, some of this sluggishness reflected temporary factors, including the supply chain disruptions associated with the tragic events in Japan in March. Higher food and energy prices also had a dampening effect on consumer spending. We expect the economy, as well as the U.S. equity markets, to be on firmer ground in the second half of the year, barring any unforeseen events.
Independent of the precise trajectory of the economy, the fund’s strategy will be to add incremental returns by its balance of value and momentum strategies. Both strategies are capable of providing superior returns over the long term, but because value and momentum stocks tend to be negatively correlated, we believe that a 50-50 combination provides the investor with diversification and a cushion of protection should either strategy fall out of investor favor in the short term.
What You Should Know:
Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.
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WESTPEAK ACTIVEBETA® EQUITY FUND
Investment Results through June 30, 2011
The charts 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 Shares5
July 30, 2010 (Inception) through June 30, 2011
Total Returns — June 30, 20115
| 6 Months | Since Inception4 | |||||||
| Class A (Inception 7/30/10) | ||||||||
| NAV | 6.02 | % | 21.16 | % | ||||
| With 5.75% Maximum Sales Charge | -0.04 | 14.20 | ||||||
| Class C (Inception 7/30/10) | ||||||||
| NAV | 5.67 | 20.41 | ||||||
| With CDSC1 | 4.67 | 19.41 | ||||||
| Class Y (Inception 7/30/10) | ||||||||
| NAV | 6.20 | 21.48 | ||||||
| Comparative Performance | ||||||||
| S&P 500 Index2 | 6.02 | 22.13 | ||||||
| Morningstar Large Blend Fund Avg.3 | 5.45 | 21.38 | ||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
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| Fund Composition | % of Net Assets as of 6/30/11 | |||
Common Stocks | 99.7 | |||
Other Assets less Liabilities | 0.3 | |||
| Ten Largest Holdings | % of Net Assets as of 6/30/11 | |||
ExxonMobil Corp. | 3.3 | |||
Apple, Inc. | 2.2 | |||
Chevron Corp. | 2.0 | |||
General Electric Co. | 1.8 | |||
International Business Machines Corp. | 1.7 | |||
Pfizer, Inc. | 1.5 | |||
ConocoPhillips | 1.3 | |||
AT&T, Inc. | 1.3 | |||
JPMorgan Chase & Co. | 1.1 | |||
Microsoft | 1.1 | |||
| Five Largest Industries | % of Net Assets as of 6/30/11 | |||
Oil, Gas & Consumable Fuels | 11.3 | |||
Health Care Providers & Services | 4.8 | |||
Software | 4.3 | |||
Computer & Peripherals | 4.2 | |||
Media | 3.9 | |||
Portfolio holdings and asset allocations will vary.
Expense Ratios
as stated in the most recent prospectus
| Share Class | Gross Expense Ratio6 | Net Expense Ratio7 | ||||||
| A | 2.23 | % | 1.20 | % | ||||
| C | 2.98 | 1.95 | ||||||
| Y | 1.98 | 0.95 | ||||||
NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 8/1/10. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis. |
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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.
Before investing, consider the fund’s investment objectives, risks, charges and other expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.
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 ga.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, 2011 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 800-SEC-0330.
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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 contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The following examples 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, 2011 through June 30, 2011. 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 for your class.
The second line in the table for 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. 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.
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| CGM ADVISOR TARGETED EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $964.90 | $5.41 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.29 | $5.56 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $961.00 | $9.04 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.57 | $9.30 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $960.80 | $9.04 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.57 | $9.30 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $965.80 | $4.19 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.53 | $4.31 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.11%, 1.86%, 1.86% and 0.86% 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). |
| HARRIS ASSOCIATES LARGE CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,053.90 | $6.62 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.51 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,050.00 | $10.42 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,050.20 | $10.42 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,054.90 | $5.35 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.59 | $5.26 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 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). |
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| NATIXIS DIVERSIFIED INCOME FUND** | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,071.20 | $5.85 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.14 | $5.71 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,067.40 | $9.69 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.42 | $9.44 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.14% and 1.89% for Class A 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). |
| ** | Formerly Natixis Income Diversified Portfolio. |
| NATIXIS U.S. MULTI-CAP EQUITY FUND** | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 - 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,072.70 | $7.04 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $6.85 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,069.00 | $10.93 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.23 | $10.64 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,069.00 | $10.88 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.28 | $10.59 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,074.10 | $5.76 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.24 | $5.61 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.13%, 2.12% and 1.12% 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). |
| ** | Formerly Natixis U.S. Diversified Portfolio. |
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| VAUGHAN NELSON SMALL CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,064.70 | $6.91 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.10 | $6.76 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,060.70 | $10.73 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.38 | $10.49 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,060.10 | $10.73 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.38 | $10.49 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,065.70 | $5.63 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.34 | $5.51 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.35%, 2.10%, 2.10% and 1.10% 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 VALUE OPPORTUNITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 - 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,112.50 | $7.33 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.85 | $7.00 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,108.00 | $11.24 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,113.50 | $6.03 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 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). |
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| WESTPEAK ACTIVEBETA® EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 | ENDING ACCOUNT VALUE 6/30/2011 | EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,060.20 | $6.13 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.84 | $6.01 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,056.70 | $9.94 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.12 | $9.74 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,062.00 | $4.86 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.08 | $4.76 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95%, 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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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 and categories 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 the fees charged to institutional accounts with similar strategies managed by the Advisers and 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 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/or 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,
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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 category 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 category. 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 Trustees also receive periodic updates between meetings.
The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. 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, but were not limited to, 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.
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 Asset Management Advisors, L.P. (“Natixis Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds.
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 and categories 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.
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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 and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the 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 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 long term; (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (4) that the Fund had a limited operating history.
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 (such as institutional separate accounts), as well as information about differences in such fees. 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 and the need for the Advisers to offer competitive compensation. 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, 2010, six of the seven Natixis Equity Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Advisers under these caps. The Trustees noted that several Funds had total 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 fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s advisory fee rate 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
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expense cap which resulted in the reduction of the advisory fee; and (3) that the Fund’s investment discipline was capacity restrained. The Trustees also noted that although the Natixis U.S. Multi-Cap Equity Fund’s advisory fees were above the median of a peer group of funds, that difference is due at least in part to the fact that the Fund employs a more complex multiple manager structure, whereas its peer group consists of mostly large cap growth strategies. Furthermore, the Trustees noted that effective June 1, 2011, the investment advisory fee, sub-investment advisory fee and expense cap were reduced for the Fund.
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 three Funds had breakpoints in their advisory fees and that the remaining four Funds were 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 concluded, 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. |
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| · | 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 (if any) 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. |
| · | Plans for maintaining continuity of portfolio management where that was thought to be a potential issue. |
| · | 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, 2012.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.8% of Net Assets | ||||||||
| Air Freight & Logistics — 3.5% | ||||||||
| 320,000 | FedEx Corp. | $ | 30,352,000 | |||||
|
| |||||||
| Automobiles — 5.0% | ||||||||
| 3,120,000 | Ford Motor Co.(b) | 43,024,800 | ||||||
|
| |||||||
| Commercial Banks — 5.0% | ||||||||
| 720,000 | PNC Financial Services Group, Inc. | 42,919,200 | ||||||
|
| |||||||
| Computers & Peripherals — 5.0% | ||||||||
| 1,570,000 | EMC Corp.(b) | 43,253,500 | ||||||
|
| |||||||
| Diversified Financial Services — 14.2% | ||||||||
| 1,120,000 | Citigroup, Inc. | 46,636,800 | ||||||
| 980,000 | JPMorgan Chase & Co. | 40,121,200 | ||||||
| 900,000 | Moody’s Corp. | 34,515,000 | ||||||
|
| |||||||
| 121,273,000 | ||||||||
|
| |||||||
| Energy Equipment & Services — 10.4% | ||||||||
| 590,000 | National-Oilwell Varco, Inc. | 46,143,900 | ||||||
| 495,000 | Schlumberger Ltd. | 42,768,000 | ||||||
|
| |||||||
| 88,911,900 | ||||||||
|
| |||||||
| Health Care Providers & Services — 8.6% | ||||||||
| 740,000 | UnitedHealth Group, Inc. | 38,169,200 | ||||||
| 450,000 | WellPoint, Inc. | 35,446,500 | ||||||
|
| |||||||
| 73,615,700 | ||||||||
|
| |||||||
| Insurance — 3.2% | ||||||||
| 620,000 | MetLife, Inc. | 27,199,400 | ||||||
|
| |||||||
| Internet Software & Services — 5.6% | ||||||||
| 345,000 | Baidu, Inc., Sponsored ADR(b) | 48,344,850 | ||||||
|
| |||||||
| Machinery — 8.6% | ||||||||
| 380,000 | Cummins, Inc. | 39,326,200 | ||||||
| 1,536,600 | Tata Motors Ltd., Sponsored ADR | 34,588,866 | ||||||
|
| |||||||
| 73,915,066 | ||||||||
|
| |||||||
| Media — 6.7% | ||||||||
| 2,000,000 | CBS Corp., Class B | 56,980,000 | ||||||
|
| |||||||
| Multiline Retail — 4.8% | ||||||||
| 1,400,000 | Macy’s, Inc. | 40,936,000 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 8.0% | ||||||||
| 250,000 | Chevron Corp. | 25,710,000 | ||||||
| 410,000 | Occidental Petroleum Corp. | 42,656,400 | ||||||
|
| |||||||
| 68,366,400 | ||||||||
|
| |||||||
| Road & Rail — 6.2% | ||||||||
| 2,040,000 | CSX Corp. | 53,488,800 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 4.0% | ||||||||
| 530,000 | Coach, Inc. | 33,882,900 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $818,105,916) | 846,463,516 | |||||||
|
| |||||||
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 1.7% | ||||||||
| $ | 14,000,000 | American Express Credit Corp., Commercial Paper, 0.030%, 7/01/2011 | $ | 14,000,000 | ||||
| 608,293 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $608,293 on 7/01/2011 collateralized by $615,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $623,456 including accrued interest (Note 2 of Notes to Financial Statements) | 608,293 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $14,608,293) | 14,608,293 | |||||||
|
| |||||||
| Total Investments — 100.5% (Identified Cost $832,714,209)(a) | 861,071,809 | |||||||
| Other assets less liabilities — (0.5)% | (4,065,109 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 857,006,700 | ||||||
|
| |||||||
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $832,714,209 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 | $ | 57,928,531 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (29,570,931 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 28,357,600 | ||||||
|
| |||||||
| (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 may be significantly influenced by trading on exchanges not located in the United States. | |||||||
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
Diversified Financial Services | 14.2 | % | ||
Energy Equipment & Services | 10.4 | |||
Machinery | 8.6 | |||
Health Care Providers & Services | 8.6 | |||
Oil, Gas & Consumable Fuels | 8.0 | |||
Media | 6.7 | |||
Road & Rail | 6.2 | |||
Internet Software & Services | 5.6 | |||
Computers & Peripherals | 5.0 | |||
Automobiles | 5.0 | |||
Commercial Banks | 5.0 | |||
Multiline Retail | 4.8 | |||
Textiles, Apparel & Luxury Goods | 4.0 | |||
Air Freight & Logistics | 3.5 | |||
Insurance | 3.2 | |||
Short-Term Investments | 1.7 | |||
|
| |||
Total Investments | 100.5 | |||
Other assets less liabilities | (0.5 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 96.0% of Net Assets | ||||||||
| Aerospace & Defense — 5.2% | ||||||||
| 63,600 | Boeing Co. (The) | $ | 4,701,948 | |||||
| 15,800 | General Dynamics Corp. | 1,177,416 | ||||||
| 20,600 | Northrop Grumman Corp. | 1,428,610 | ||||||
|
| |||||||
| 7,307,974 | ||||||||
|
| |||||||
| Air Freight & Logistics — 2.2% | ||||||||
| 32,000 | FedEx Corp. | 3,035,200 | ||||||
|
| |||||||
| Automobiles — 1.7% | ||||||||
| 28,700 | Toyota Motor Corp., Sponsored ADR | 2,365,454 | ||||||
|
| |||||||
| Capital Markets — 3.3% | ||||||||
| 35,800 | Franklin Resources, Inc. | 4,700,182 | ||||||
|
| |||||||
| Commercial Banks — 4.1% | ||||||||
| 203,900 | Wells Fargo & Co. | 5,721,434 | ||||||
|
| |||||||
| Commercial Services & Supplies — 2.6% | ||||||||
| 118,500 | Republic Services, Inc. | 3,655,725 | ||||||
|
| |||||||
| Consumer Finance — 0.8% | ||||||||
| 43,150 | Discover Financial Services | 1,154,262 | ||||||
|
| |||||||
| Diversified Financial Services — 6.9% | ||||||||
| 15,200 | CME Group, Inc., Class A | 4,432,168 | ||||||
| 128,200 | JPMorgan Chase & Co. | 5,248,508 | ||||||
|
| |||||||
| 9,680,676 | ||||||||
|
| |||||||
| Electrical Equipment — 2.0% | ||||||||
| 32,900 | Rockwell Automation, Inc. | 2,854,404 | ||||||
|
| |||||||
| Energy Equipment & Services — 4.1% | ||||||||
| 39,000 | National-Oilwell Varco, Inc. | 3,050,190 | ||||||
| 43,100 | Transocean Ltd. | 2,782,536 | ||||||
|
| |||||||
| 5,832,726 | ||||||||
|
| |||||||
| Food & Staples Retailing — 1.0% | ||||||||
| 33,200 | Walgreen Co. | 1,409,672 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 6.2% | ||||||||
| 90,700 | Baxter International, Inc. | 5,413,883 | ||||||
| 87,000 | Medtronic, Inc. | 3,352,110 | ||||||
|
| |||||||
| 8,765,993 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 8.8% | ||||||||
| 154,600 | Carnival Corp. | 5,817,598 | ||||||
| 82,300 | Marriott International, Inc., Class A | 2,920,827 | ||||||
| 28,900 | McDonald’s Corp. | 2,436,848 | ||||||
| 21,700 | Starwood Hotels & Resorts Worldwide, Inc. | 1,216,068 | ||||||
|
| |||||||
| 12,391,341 | ||||||||
|
| |||||||
| Household Products — 1.6% | ||||||||
| 26,600 | Colgate-Palmolive Co. | 2,325,106 | ||||||
|
| |||||||
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Independent Power Producers & Energy Traders — 0.8% | ||||||||
| 69,300 | Calpine Corp.(b) | $ | 1,117,809 | |||||
|
| |||||||
| Insurance — 2.2% | ||||||||
| 103,700 | Allstate Corp. (The) | 3,165,961 | ||||||
|
| |||||||
| IT Services — 6.3% | ||||||||
| 16,200 | MasterCard, Inc., Class A | 4,881,708 | ||||||
| 48,000 | Visa, Inc., Class A | 4,044,480 | ||||||
|
| |||||||
| 8,926,188 | ||||||||
|
| |||||||
| Machinery — 3.9% | ||||||||
| 11,700 | Caterpillar, Inc. | 1,245,582 | ||||||
| 74,900 | Illinois Tool Works, Inc. | 4,231,101 | ||||||
|
| |||||||
| 5,476,683 | ||||||||
|
| |||||||
| Media — 6.6% | ||||||||
| 198,700 | Comcast Corp., Special Class A | 4,814,501 | ||||||
| 62,900 | Omnicom Group, Inc. | 3,029,264 | ||||||
| 37,200 | Walt Disney Co. (The) | 1,452,288 | ||||||
|
| |||||||
| 9,296,053 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 11.4% | ||||||||
| 31,500 | Apache Corp. | 3,886,785 | ||||||
| 61,100 | Range Resources Corp. | 3,391,050 | ||||||
| 69,800 | Ultra Petroleum Corp.(b) | 3,196,840 | ||||||
| 185,300 | Williams Cos., Inc. (The) | 5,605,325 | ||||||
|
| |||||||
| 16,080,000 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 12.2% | ||||||||
| 376,100 | Applied Materials, Inc. | 4,893,061 | ||||||
| 362,400 | Intel Corp. | 8,030,784 | ||||||
| 130,700 | Texas Instruments, Inc. | 4,290,881 | ||||||
|
| |||||||
| 17,214,726 | ||||||||
|
| |||||||
| Specialty Retail — 1.2% | ||||||||
| 50,200 | CarMax, Inc.(b) | 1,660,114 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.9% | ||||||||
| 13,500 | NIKE, Inc., Class B | 1,214,730 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $118,438,034) | 135,352,413 | |||||||
|
| |||||||
Principal Amount | ||||||||
| Short-Term Investments — 3.4% | ||||||||
| $ | 4,762,475 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,762,475 on 7/01/2011, collateralized by $4,795,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $4,860,931 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,762,475) | 4,762,475 | |||||
|
| |||||||
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund – (continued)
| Description | Value (†) | |||||||
| Total Investments — 99.4% (Identified Cost $123,200,509)(a) | $ | 140,114,888 | ||||||
| Other assets less liabilities — 0.6% | 879,811 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 140,994,699 | ||||||
|
| |||||||
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $123,200,509 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 | $ | 19,455,548 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,541,169 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 16,914,379 | ||||||
|
| |||||||
| (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 may be significantly influenced by trading on exchanges not located in the United States. | |||||||
Industry Summary at June 30, 2011 (Unaudited)
Semiconductors & Semiconductor Equipment | 12.2 | % | ||
Oil, Gas & Consumable Fuels | 11.4 | |||
Hotels, Restaurants & Leisure | 8.8 | |||
Diversified Financial Services | 6.9 | |||
Media | 6.6 | |||
IT Services | 6.3 | |||
Health Care Equipment & Supplies | 6.2 | |||
Aerospace & Defense | 5.2 | |||
Energy Equipment & Services | 4.1 | |||
Commercial Banks | 4.1 | |||
Machinery | 3.9 | |||
Capital Markets | 3.3 | |||
Commercial Services & Supplies | 2.6 | |||
Insurance | 2.2 | |||
Air Freight & Logistics | 2.2 | |||
Electrical Equipment | 2.0 | |||
Other Investments, less than 2% each | 8.0 | |||
Short-Term Investments | 3.4 | |||
|
| |||
Total Investments | 99.4 | |||
Other assets less liabilities | 0.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund*
| Principal Amount (‡) | Description | Value (†) | ||||||
| Bonds and Notes — 47.2% of Net Assets | ||||||||
| Non-Convertible Bonds — 44.7% | ||||||||
| ABS Home Equity — 0.1% | ||||||||
| $ | 25,000 | Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035 | $ | 20,682 | ||||
| 15,756 | Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.506%, 7/25/2045(b) | 10,192 | ||||||
| 25,000 | JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.656%, 6/25/2035(b) | 14,168 | ||||||
| 14,553 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.088%, 12/25/2046(b) | 10,064 | ||||||
|
| |||||||
| 55,106 | ||||||||
|
| |||||||
| ABS Other — 0.0% | ||||||||
| 23,491 | Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A | 23,847 | ||||||
|
| |||||||
| Airlines — 1.4% | ||||||||
| 34,283 | American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021 | 39,597 | ||||||
| 41,190 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 | 44,073 | ||||||
| 14,205 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 | 14,613 | ||||||
| 894,828 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 | 884,010 | ||||||
|
| |||||||
| 982,293 | ||||||||
|
| |||||||
| Automotive — 1.0% | ||||||||
| 115,000 | Cummins, Inc., 7.125%, 3/01/2028 | 128,934 | ||||||
| 40,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 38,200 | ||||||
| 480,000 | Harley-Davidson Funding Corp., 6.800%, 6/15/2018, 144A | 542,493 | ||||||
|
| |||||||
| 709,627 | ||||||||
|
| |||||||
| Banking — 2.5% | ||||||||
| 200,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) | 184,670 | ||||||
| 105,000 | Citigroup, Inc., 5.875%, 2/22/2033 | 98,711 | ||||||
| 25,000 | Citigroup, Inc., 6.000%, 10/31/2033 | 23,909 | ||||||
| 20,000 | Citigroup, Inc., 6.125%, 8/25/2036 | 19,221 | ||||||
| 437,254 | HSBC Bank USA, Zero Coupon, 11/28/2011, 144A | 429,558 | ||||||
| 3,339,258,780 | JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR) | 373,508 | ||||||
| 100,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 93,760 | ||||||
| 100,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 | 96,566 | ||||||
| 110,000 | Morgan Stanley, 5.500%, 7/24/2020 | 111,341 | ||||||
| 100,000 | Morgan Stanley, 5.750%, 1/25/2021 | 101,183 | ||||||
| 100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 109,240 | ||||||
| 25,000 | National Australia Bank Ltd., 6.500%, 11/05/2015, (AUD) | 26,815 | ||||||
|
| |||||||
| 1,668,482 | ||||||||
|
| |||||||
| Building Materials — 1.0% | ||||||||
| 170,000 | Masco Corp., 5.850%, 3/15/2017 | 169,147 | ||||||
| 30,000 | Masco Corp., 6.500%, 8/15/2032 | 26,892 | ||||||
See accompanying notes to financial statements.
| 54
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Building Materials — continued | ||||||||
| $ | 10,000 | Masco Corp., 7.750%, 8/01/2029 | $ | 9,933 | ||||
| 525,000 | USG Corp., 6.300%, 11/15/2016 | 462,000 | ||||||
| 10,000 | USG Corp., 9.750%, 1/15/2018 | 9,850 | ||||||
|
| |||||||
| 677,822 | ||||||||
|
| |||||||
| Chemicals — 0.3% | ||||||||
| 200,000 | Hercules, Inc., 6.500%, 6/30/2029 | 169,000 | ||||||
| 55,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 | 55,961 | ||||||
|
| |||||||
| 224,961 | ||||||||
|
| |||||||
| Collateralized Mortgage Obligations — 0.5% | ||||||||
| 23,699 | American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.230%, 10/25/2034(b) | 18,652 | ||||||
| 17,720 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.880%, 2/25/2035(b) | 15,292 | ||||||
| 12,420 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.575%, 7/25/2034(b) | 10,481 | ||||||
| 27,130 | Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b) | 22,310 | ||||||
| 29,784 | Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.942%, 4/25/2035(b) | 23,533 | ||||||
| 86,269 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.921%, 12/25/2034(b) | 71,062 | ||||||
| 43,181 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.631%, 3/25/2035(b) | 37,523 | ||||||
| 63,797 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b) | 36,688 | ||||||
| 24,136 | Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1, 0.466%, 11/25/2035(b) | 20,569 | ||||||
| 75,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 66,324 | ||||||
| 20,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 19,963 | ||||||
|
| |||||||
| 342,397 | ||||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 1.4% | ||||||||
| 265,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 280,913 | ||||||
| 200,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A | 218,224 | ||||||
| 200,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b) | 170,220 | ||||||
| 25,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049 | 22,859 | ||||||
| 25,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b) | 21,985 | ||||||
| 100,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.800%, 8/12/2045, 144A(b) | 99,740 | ||||||
| 125,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b) | 109,872 | ||||||
|
| |||||||
| 923,813 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Consumer Products — 0.1% | ||||||||
| $ | 75,000 | Fortune Brands, Inc., 5.875%, 1/15/2036 | $ | 71,169 | ||||
|
| |||||||
| Electric — 0.6% | ||||||||
| 120,000 | Calpine Corp., 7.500%, 2/15/2021, 144A | 122,400 | ||||||
| 100,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 85,672 | ||||||
| 115,000,000 | Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP) | 69,910 | ||||||
| 88,000,000 | Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP) | 51,924 | ||||||
| 20,000 | NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(h) | 7,800 | ||||||
| 35,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A | 34,388 | ||||||
| 135,000 | TXU Corp., Series Q, 6.500%, 11/15/2024 | 67,500 | ||||||
|
| |||||||
| 439,594 | ||||||||
|
| |||||||
| Food & Beverage — 0.1% | ||||||||
| 50,000 | Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD) | 54,814 | ||||||
|
| |||||||
| Government Guaranteed — 0.3% | ||||||||
| 170,000 | Citigroup Funding, Inc., (FDIC insured), 1.875%, 10/22/2012 | 173,306 | ||||||
|
| |||||||
| Government Owned — No Guarantee — 0.4% | ||||||||
| 320,000 | DP World Ltd., 6.850%, 7/02/2037, 144A | 305,600 | ||||||
|
| |||||||
| Healthcare — 1.9% | ||||||||
| 25,000 | HCA, Inc., 7.050%, 12/01/2027 | 21,687 | ||||||
| 5,000 | HCA, Inc., 7.500%, 12/15/2023 | 4,713 | ||||||
| 460,000 | HCA, Inc., 7.500%, 11/06/2033 | 416,300 | ||||||
| 310,000 | HCA, Inc., 7.690%, 6/15/2025 | 289,850 | ||||||
| 20,000 | HCA, Inc., 8.360%, 4/15/2024 | 19,900 | ||||||
| 135,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 125,550 | ||||||
| 30,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 27,450 | ||||||
| 345,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(c) | 362,177 | ||||||
|
| |||||||
| 1,267,627 | ||||||||
|
| |||||||
| Home Construction — 1.0% | ||||||||
| 125,000 | KB Home, 6.250%, 6/15/2015 | 119,375 | ||||||
| 105,000 | KB Home, 7.250%, 6/15/2018 | 94,894 | ||||||
| 80,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 62,400 | ||||||
| 470,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 387,750 | ||||||
|
| |||||||
| 664,419 | ||||||||
|
| |||||||
| Hybrid ARMs — 0.1% | ||||||||
| 55,371 | Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.446%, 4/25/2035(b) | 41,746 | ||||||
|
| |||||||
| Independent Energy — 0.5% | ||||||||
| 105,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 99,750 | ||||||
| 142,000 | Pioneer Natural Resources Co., 7.200%, 1/15/2028 | 148,751 | ||||||
| 75,000 | SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A | 76,500 | ||||||
|
| |||||||
| 325,001 | ||||||||
|
| |||||||
| Life Insurance — 0.4% | ||||||||
| 240,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 262,224 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 52
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Local Authorities — 1.3% | ||||||||
| 170,000 | New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD) | $ | 184,049 | |||||
| 375,000 | Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD) | 412,078 | ||||||
| 140,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) | 124,610 | ||||||
| 165,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) | 149,685 | ||||||
|
| |||||||
| 870,422 | ||||||||
|
| |||||||
| Lodging — 0.3% | ||||||||
| 35,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 | 35,437 | ||||||
| 25,000 | Wyndham Worldwide Corp., 5.750%, 2/01/2018 | 25,815 | ||||||
| 60,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 | 63,719 | ||||||
| 50,000 | Wyndham Worldwide Corp., 7.375%, 3/01/2020 | 55,444 | ||||||
|
| |||||||
| 180,415 | ||||||||
|
| |||||||
| Media Non-Cable — 0.2% | ||||||||
| 110,000 | RR Donnelley & Sons Co., 7.250%, 5/15/2018 | 110,000 | ||||||
|
| |||||||
| Metals & Mining — 0.0% | ||||||||
| 10,000 | United States Steel Corp., 6.650%, 6/01/2037 | 8,775 | ||||||
|
| |||||||
| Non-Captive Consumer — 1.0% | ||||||||
| 25,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | 23,666 | ||||||
| 87,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 | 73,059 | ||||||
| 115,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 126,226 | ||||||
| 505,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 463,337 | ||||||
|
| |||||||
| 686,288 | ||||||||
|
| |||||||
| Non-Captive Diversified — 1.3% | ||||||||
| 64,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 69,280 | ||||||
| 45,000 | CIT Group, Inc., 7.000%, 5/01/2017 | 44,887 | ||||||
| 800,000 | General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD) | 661,953 | ||||||
| 15,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) | 13,427 | ||||||
| 75,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 73,280 | ||||||
| 45,000 | International Lease Finance Corp., 8.250%, 12/15/2020 | 48,600 | ||||||
|
| |||||||
| 911,427 | ||||||||
|
| |||||||
| Paper — 0.4% | ||||||||
| 205,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 | 206,297 | ||||||
| 5,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 5,138 | ||||||
| 30,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 31,219 | ||||||
|
| |||||||
| 242,654 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.0% | ||||||||
| 15,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 14,250 | ||||||
| 20,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 19,400 | ||||||
|
| |||||||
| 33,650 | ||||||||
|
| |||||||
| Pipelines — 0.2% | ||||||||
| 100,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 105,497 | ||||||
|
| |||||||
| Property & Casualty Insurance — 0.8% | ||||||||
| 520,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A | 539,193 | ||||||
|
| |||||||
See accompanying notes to financial statements.
53 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| REITs — Warehouse/Industrials — 0.1% | ||||||||
| $ | 20,000 | ProLogis LP, 6.625%, 5/15/2018 | $ | 22,113 | ||||
| 30,000 | ProLogis LP, 6.875%, 3/15/2020 | 33,126 | ||||||
|
| |||||||
| 55,239 | ||||||||
|
| |||||||
| Retailers — 2.8% | ||||||||
| 224,088 | CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A | 265,514 | ||||||
| 400,000 | Dillard’s, Inc., 6.625%, 1/15/2018 | 400,000 | ||||||
| 205,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 188,600 | ||||||
| 100,000 | Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027 | 109,480 | ||||||
| 225,000 | Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029 | 249,010 | ||||||
| 725,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 704,156 | ||||||
|
| |||||||
| 1,916,760 | ||||||||
|
| |||||||
| Sovereigns — 0.6% | ||||||||
| 5,300(††) | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) | 55,785 | ||||||
| 500,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 349,214 | ||||||
|
| |||||||
| 404,999 | ||||||||
|
| |||||||
| Supermarket — 0.4% | ||||||||
| 320,000 | New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028 | 242,400 | ||||||
|
| |||||||
| Supranational — 1.4% | ||||||||
| 400,000 | European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL) | 256,542 | ||||||
| 921,000,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) | 96,938 | ||||||
| 18,000,000 | Inter-American Development Bank, EMTN, 2.500%, 3/11/2013, (INR) | 382,328 | ||||||
| 200,000,000 | International Bank for Reconstruction & Development, EMTN, 2.300%, 2/26/2013, (KRW) | 187,683 | ||||||
|
| |||||||
| 923,491 | ||||||||
|
| |||||||
| Technology — 1.2% | ||||||||
| 470,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 423,000 | ||||||
| 390,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 350,025 | ||||||
| 30,000 | CommScope, Inc., 8.250%, 1/15/2019, 144A | 30,900 | ||||||
| 40,000 | Nortel Networks Capital Corp., 7.875%, 6/15/2026(d) | 30,200 | ||||||
|
| |||||||
| 834,125 | ||||||||
|
| |||||||
| Transportation Services — 0.5% | ||||||||
| 10,000 | Erac USA Finance Co., 6.700%, 6/01/2034, 144A | 10,711 | ||||||
| 275,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A | 302,590 | ||||||
|
| |||||||
| 313,301 | ||||||||
|
| |||||||
| Treasuries — 15.4% | ||||||||
| 600,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 642,148 | ||||||
| 180,000 | Canadian Government, 3.500%, 6/01/2013, (CAD)(e) | 193,372 | ||||||
| 255,000 | Canadian Government, 3.500%, 6/01/2020, (CAD) | 274,293 | ||||||
| 5,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) | 3,071 | ||||||
| 330,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) | 217,932 | ||||||
| 25,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 23,358 | ||||||
| 15,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 13,650 | ||||||
| 115,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 101,686 | ||||||
See accompanying notes to financial statements.
| 58
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Treasuries — continued | ||||||||
| 120,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) | $ | 106,775 | |||||
| 10,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) | 224,991 | ||||||
| 75,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 62,363 | ||||||
| 155,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 134,909 | ||||||
| 379,525 | U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026(f) | 414,690 | ||||||
| 182,060 | U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(f) | 198,118 | ||||||
| 560,663 | U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025(f) | 644,412 | ||||||
| 267,602 | U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027(f) | 305,150 | ||||||
| 722,082 | U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(f) | 955,235 | ||||||
| 174,745 | U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021(f) | 181,462 | ||||||
| 231,989 | U.S. Treasury Inflation Indexed Note, 1.250%, 7/15/2020(f) | 245,400 | ||||||
| 800,775 | U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015(f) | 868,591 | ||||||
| 279,066 | U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018(f) | 306,885 | ||||||
| 293,830 | U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013(f) | 312,194 | ||||||
| 485,528 | U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015(f) | 535,371 | ||||||
| 511,111 | U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014(f) | 550,642 | ||||||
| 387,693 | U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014(f) | 422,797 | ||||||
| 300,221 | U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016(f) | 333,668 | ||||||
| 490,604 | U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017(f) | 559,672 | ||||||
| 634,655 | U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016(f) | 726,284 | ||||||
| 488,219 | U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017(f) | 567,935 | ||||||
| 193,843 | U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012(f) | 202,263 | ||||||
| 230,000 | U.S. Treasury STRIPS, Zero Coupon, 5/15/2040 | 59,037 | ||||||
|
| |||||||
| 10,388,354 | ||||||||
|
| |||||||
| Wireless — 0.9% | ||||||||
| 4,000,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) | 313,492 | ||||||
| 350,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 331,625 | ||||||
|
| |||||||
| 645,117 | ||||||||
|
| |||||||
| Wirelines — 2.3% | ||||||||
| 40,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 | 37,764 | ||||||
| 95,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 91,379 | ||||||
| 300,000 | Embarq Corp., 7.995%, 6/01/2036 | 307,384 | ||||||
| 225,000 | Frontier Communications Corp., 7.125%, 3/15/2019 | 230,625 | ||||||
| 70,000 | Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A | 70,350 | ||||||
| 135,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 | 137,700 | ||||||
| 45,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 | 46,294 | ||||||
| 15,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 16,051 | ||||||
| 315,000 | Qwest Corp., 7.250%, 10/15/2035 | 311,850 | ||||||
| 59,000 | Telecom Italia Capital SA, 6.000%, 9/30/2034 | 50,071 | ||||||
| 197,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 175,673 | ||||||
| 40,000 | Telecom Italia Capital SA, 7.200%, 7/18/2036 | 37,713 | ||||||
| 25,000 | Telecom Italia Capital SA, 7.721%, 6/04/2038 | 24,863 | ||||||
|
| |||||||
| 1,537,717 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $28,578,351) | 30,163,672 | |||||||
|
| |||||||
See accompanying notes to financial statements.
55 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Convertible Bonds — 2.2% | ||||||||
| Airlines — 0.1% | ||||||||
| $ | 40,000 | AMR Corp., 6.250%, 10/15/2014 | $ | 38,800 | ||||
|
| |||||||
| Diversified Manufacturing — 0.2% | ||||||||
| 130,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A | 128,050 | ||||||
|
| |||||||
| Healthcare — 0.1% | ||||||||
| 5,000 | Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(g) | 4,850 | ||||||
| 40,000 | Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(g) | 45,700 | ||||||
|
| |||||||
| 50,550 | ||||||||
|
| |||||||
| Home Construction — 0.0% | ||||||||
| 10,000 | Lennar Corp., 2.000%, 12/01/2020, 144A | 10,038 | ||||||
|
| |||||||
| Independent Energy — 0.4% | ||||||||
| 155,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 | 140,469 | ||||||
| 105,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 | 110,512 | ||||||
|
| |||||||
| 250,981 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.0% | ||||||||
| 25,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 31,469 | ||||||
|
| |||||||
| Technology — 1.4% | ||||||||
| 235,000 | Ciena Corp., 0.875%, 6/15/2017 | 198,869 | ||||||
| 40,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 47,000 | ||||||
| 630,000 | Intel Corp., 2.950%, 12/15/2035 | 651,262 | ||||||
| 40,000 | Micron Technology, Inc., 1.875%, 6/01/2014 | 39,000 | ||||||
|
| |||||||
| 936,131 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $1,394,730) | 1,446,019 | |||||||
|
| |||||||
| Municipals — 0.3% | ||||||||
| California — 0.0% | ||||||||
| 30,000 | California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 | 28,389 | ||||||
|
| |||||||
| Illinois — 0.2% | ||||||||
| 170,000 | State of Illinois, 5.100%, 6/01/2033 | 144,622 | ||||||
|
| |||||||
| Michigan — 0.1% | ||||||||
| 50,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) | 36,322 | ||||||
|
| |||||||
| Total Municipals (Identified Cost $206,070) | 209,333 | |||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $30,179,151) | 31,819,024 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 60
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Common Stocks — 46.0% | ||||||||
| Aerospace & Defense — 0.7% | ||||||||
| 2,164 | General Dynamics Corp. | $ | 161,261 | |||||
| 2,091 | Honeywell International, Inc. | 124,603 | ||||||
| 2,623 | Northrop Grumman Corp. | 181,905 | ||||||
|
| |||||||
| 467,769 | ||||||||
|
| |||||||
| Automobiles — 0.2% | ||||||||
| 10,180 | Ford Motor Co.(h) | 140,382 | ||||||
|
| |||||||
| Beverages — 0.2% | ||||||||
| 2,409 | Coca-Cola Co. (The) | 162,102 | ||||||
|
| |||||||
| Building Products — 0.0% | ||||||||
| 1,975 | Masco Corp. | 23,759 | ||||||
|
| |||||||
| Chemicals — 1.0% | ||||||||
| 1,918 | Eastman Chemical Co. | 195,770 | ||||||
| 1,745 | International Flavors & Fragrances, Inc. | 112,099 | ||||||
| 2,439 | PPG Industries, Inc. | 221,437 | ||||||
| 3,614 | RPM International, Inc. | 83,194 | ||||||
| 1,993 | Sensient Technologies Corp. | 73,881 | ||||||
|
| |||||||
| 686,381 | ||||||||
|
| |||||||
| Commercial Banks — 0.8% | ||||||||
| 3,436 | Bank of Hawaii Corp. | 159,843 | ||||||
| 1,954 | BB&T Corp. | 52,445 | ||||||
| 4,436 | F.N.B. Corp. | 45,913 | ||||||
| 2,999 | FirstMerit Corp. | 49,513 | ||||||
| 3,389 | Trustmark Corp. | 79,337 | ||||||
| 3,856 | United Bankshares, Inc. | 94,395 | ||||||
| 4,886 | Valley National Bancorp | 66,498 | ||||||
|
| |||||||
| 547,944 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 0.9% | ||||||||
| 1,721 | Avery Dennison Corp. | 66,482 | ||||||
| 4,009 | Deluxe Corp. | 99,062 | ||||||
| 5,587 | Pitney Bowes, Inc. | 128,445 | ||||||
| 5,280 | R. R. Donnelley & Sons Co. | 103,541 | ||||||
| 2,393 | Republic Services, Inc. | 73,824 | ||||||
| 3,176 | Waste Management, Inc. | 118,370 | ||||||
|
| |||||||
| 589,724 | ||||||||
|
| |||||||
| Containers & Packaging — 0.2% | ||||||||
| 3,020 | Sonoco Products Co. | 107,331 | ||||||
|
| |||||||
| Distributors — 0.2% | ||||||||
| 2,888 | Genuine Parts Co. | 157,107 | ||||||
|
| |||||||
| Diversified Telecommunication Services — 0.6% | ||||||||
| 5,173 | AT&T, Inc. | 162,484 | ||||||
| 5,830 | CenturyLink, Inc. | 235,707 | ||||||
|
| |||||||
| 398,191 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
61 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Electric Utilities — 3.0% | ||||||||
| 4,617 | American Electric Power Co., Inc. | $ | 173,969 | |||||
| 2,933 | Cleco Corp. | 102,215 | ||||||
| �� | 4,217 | DPL, Inc. | 127,185 | |||||
| 2,967 | Edison International | 114,971 | ||||||
| 4,220 | Entergy Corp. | 288,142 | ||||||
| 4,705 | Exelon Corp. | 201,562 | ||||||
| 5,485 | FirstEnergy Corp. | 242,163 | ||||||
| 3,475 | NextEra Energy, Inc. | 199,673 | ||||||
| 2,904 | Northeast Utilities | 102,134 | ||||||
| 4,599 | Pinnacle West Capital Corp. | 205,023 | ||||||
| 4,932 | PPL Corp. | 137,258 | ||||||
| 3,831 | Unisource Energy Corp. | 143,011 | ||||||
|
| |||||||
| 2,037,306 | ||||||||
|
| |||||||
| Electrical Equipment — 0.4% | ||||||||
| 2,165 | Emerson Electric Co. | 121,781 | ||||||
| 2,116 | Hubbell, Inc., Class B | 137,434 | ||||||
|
| |||||||
| 259,215 | ||||||||
|
| |||||||
| Food & Staples Retailing — 0.1% | ||||||||
| 3,142 | Sysco Corp. | 97,968 | ||||||
|
| |||||||
| Food Products — 0.7% | ||||||||
| 2,798 | General Mills, Inc. | 104,142 | ||||||
| 3,235 | H.J. Heinz Co. | 172,361 | ||||||
| 3,324 | Kraft Foods, Inc., Class A | 117,104 | ||||||
| 2,562 | Sara Lee Corp. | 48,652 | ||||||
|
| |||||||
| 442,259 | ||||||||
|
| |||||||
| Gas Utilities — 1.1% | ||||||||
| 4,368 | AGL Resources, Inc. | 177,821 | ||||||
| 3,004 | New Jersey Resources Corp. | 134,008 | ||||||
| 3,318 | Nicor, Inc. | 181,627 | ||||||
| 3,145 | Oneok, Inc. | 232,762 | ||||||
|
| |||||||
| 726,218 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 0.9% | ||||||||
| 2,298 | Darden Restaurants, Inc. | 114,348 | ||||||
| 2,790 | McDonald’s Corp. | 235,253 | ||||||
| 4,500 | Starwood Hotels & Resorts Worldwide, Inc. | 252,180 | ||||||
|
| |||||||
| 601,781 | ||||||||
|
| |||||||
| Household Durables — 0.6% | ||||||||
| 901 | Brookfield Residential Properties, Inc.(h) | 8,938 | ||||||
| 4,437 | Garmin Ltd. | 146,554 | ||||||
| 375 | KB Home | 3,667 | ||||||
| 4,326 | Leggett & Platt, Inc. | 105,468 | ||||||
| 2,248 | Tupperware Brands Corp. | 151,628 | ||||||
|
| |||||||
| 416,255 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 62
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Household Products — 0.7% | ||||||||
| 3,134 | Clorox Co. (The) | $ | 211,357 | |||||
| 3,780 | Kimberly-Clark Corp. | 251,597 | ||||||
|
| |||||||
| 462,954 | ||||||||
|
| |||||||
| Industrial Conglomerates — 0.1% | ||||||||
| 2,483 | General Electric Co. | 46,829 | ||||||
|
| |||||||
| Insurance — 0.7% | ||||||||
| 2,323 | Allstate Corp. (The) | 70,921 | ||||||
| 3,909 | Arthur J. Gallagher & Co. | 111,563 | ||||||
| 4,522 | Cincinnati Financial Corp. | 131,952 | ||||||
| 4,845 | Mercury General Corp. | 191,329 | ||||||
|
| |||||||
| 505,765 | ||||||||
|
| |||||||
| Leisure Equipment & Products — 0.1% | ||||||||
| 2,904 | Mattel, Inc. | 79,831 | ||||||
|
| |||||||
| Machinery — 0.6% | ||||||||
| 1,999 | Briggs & Stratton Corp. | 39,700 | ||||||
| 1,741 | Caterpillar, Inc. | 185,347 | ||||||
| 4,144 | Eaton Corp. | 213,209 | ||||||
|
| |||||||
| 438,256 | ||||||||
|
| |||||||
| Media — 0.1% | ||||||||
| 2,311 | McGraw-Hill Cos., Inc. (The) | 96,854 | ||||||
|
| |||||||
| Metals & Mining — 0.1% | ||||||||
| 2,519 | Commercial Metals Co. | 36,148 | ||||||
|
| |||||||
| Multi Utilities — 3.0% | ||||||||
| 3,852 | Alliant Energy Corp. | 156,622 | ||||||
| 4,161 | Black Hills Corp. | 125,205 | ||||||
| 4,390 | CenterPoint Energy, Inc. | 84,947 | ||||||
| 4,247 | CMS Energy Corp. | 83,623 | ||||||
| 3,888 | Dominion Resources, Inc. | 187,674 | ||||||
| 4,353 | DTE Energy Co. | 217,737 | ||||||
| 4,974 | Integrys Energy Group, Inc. | 257,852 | ||||||
| 4,772 | NiSource, Inc. | 96,633 | ||||||
| 2,864 | OGE Energy Corp. | 144,117 | ||||||
| 3,448 | PG&E Corp. | 144,919 | ||||||
| 3,885 | Public Service Enterprise Group, Inc. | 126,806 | ||||||
| 4,196 | SCANA Corp. | 165,197 | ||||||
| 2,696 | Sempra Energy | 142,564 | ||||||
| 4,265 | TECO Energy, Inc. | 80,566 | ||||||
|
| |||||||
| 2,014,462 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.4% | ||||||||
| 2,950 | Chevron Corp. | 303,378 | ||||||
|
| |||||||
| Paper & Forest Products — 0.2% | ||||||||
| 3,450 | MeadWestvaco Corp. | 114,919 | ||||||
|
| |||||||
| Personal Products — 0.1% | ||||||||
| 2,676 | Avon Products, Inc. | 74,928 | ||||||
|
| |||||||
See accompanying notes to financial statements.
63 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Pharmaceuticals — 0.8% | ||||||||
| 4,404 | Bristol-Myers Squibb Co. | $ | 127,540 | |||||
| 5,017 | Eli Lilly & Co. | 188,288 | ||||||
| 3,781 | Merck & Co., Inc. | 133,431 | ||||||
| 3,808 | Pfizer, Inc. | 78,445 | ||||||
|
| |||||||
| 527,704 | ||||||||
|
| |||||||
| Real Estate Management & Development — 0.3% | ||||||||
| 8,800 | Brookfield Office Properties, Inc. | 169,664 | ||||||
|
| |||||||
| REITs — Apartments — 4.4% | ||||||||
| 2,500 | American Campus Communities, Inc. | 88,800 | ||||||
| 6,900 | AvalonBay Communities, Inc. | 885,960 | ||||||
| 6,900 | Camden Property Trust | 438,978 | ||||||
| 7,800 | Campus Crest Communities, Inc. | 100,932 | ||||||
| 21,000 | Equity Residential | 1,260,000 | ||||||
| 1,200 | Essex Property Trust, Inc. | 162,348 | ||||||
|
| |||||||
| 2,937,018 | ||||||||
|
| |||||||
| REITs — Diversified — 3.2% | ||||||||
| 5,022 | American Assets Trust, Inc. | 112,744 | ||||||
| 3,600 | CoreSite Realty Corp. | 59,040 | ||||||
| 1,700 | Digital Realty Trust, Inc. | 105,026 | ||||||
| 13,700 | DuPont Fabros Technology, Inc. | 345,240 | ||||||
| 6,100 | Entertainment Properties Trust | 284,870 | ||||||
| 13,500 | Liberty Property Trust | 439,830 | ||||||
| 8,900 | Vornado Realty Trust | 829,302 | ||||||
|
| |||||||
| 2,176,052 | ||||||||
|
| |||||||
| REITs — Healthcare — 2.6% | ||||||||
| 18,700 | HCP, Inc. | 686,103 | ||||||
| 3,400 | Health Care REIT, Inc. | 178,262 | ||||||
| 14,800 | Nationwide Health Properties, Inc. | 612,868 | ||||||
| 14,400 | Omega Healthcare Investors, Inc. | 302,544 | ||||||
|
| |||||||
| 1,779,777 | ||||||||
|
| |||||||
| REITs — Hotels — 1.3% | ||||||||
| 32,600 | Host Hotels & Resorts, Inc. | 552,570 | ||||||
| 7,700 | Pebblebrook Hotel Trust | 155,463 | ||||||
| 8,500 | RLJ Lodging Trust | 147,645 | ||||||
|
| |||||||
| 855,678 | ||||||||
|
| |||||||
| REITs — Manufactured Homes — 0.3% | ||||||||
| 3,100 | Equity Lifestyle Properties, Inc. | 193,564 | ||||||
|
| |||||||
| REITs — Office Property — 3.2% | ||||||||
| 3,000 | Alexandria Real Estate Equities, Inc. | 232,260 | ||||||
| 14,600 | BioMed Realty Trust, Inc. | 280,904 | ||||||
| 9,000 | Boston Properties, Inc. | 955,440 | ||||||
| 2,100 | Corporate Office Properties Trust | 65,331 | ||||||
| 11,700 | Kilroy Realty Corp. | 462,033 | ||||||
| 6,600 | Piedmont Office Realty Trust, Inc., Class A | 134,574 | ||||||
|
| |||||||
| 2,130,542 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 64
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| REITs — Regional Malls — 3.8% | ||||||||
| 11,400 | Macerich Co. (The) | $ | 609,900 | |||||
| 16,000 | Simon Property Group, Inc. | 1,859,680 | ||||||
| 1,100 | Taubman Centers, Inc. | 65,120 | ||||||
|
| |||||||
| 2,534,700 | ||||||||
|
| |||||||
| REITs — Shopping Centers — 2.3% | ||||||||
| 19,500 | Developers Diversified Realty Corp. | 274,950 | ||||||
| 6,000 | Federal Realty Investment Trust | 511,080 | ||||||
| 25,600 | Kite Realty Group Trust | 127,488 | ||||||
| 9,400 | Ramco-Gershenson Properties Trust | 116,372 | ||||||
| 9,300 | Regency Centers Corp. | 408,921 | ||||||
| 12,200 | Retail Opportunity Investments Corp. | 131,272 | ||||||
|
| |||||||
| 1,570,083 | ||||||||
|
| |||||||
| REITs — Single Tenant — 0.3% | ||||||||
| 6,200 | National Retail Properties, Inc. | 151,962 | ||||||
| 1,600 | Realty Income Corp. | 53,584 | ||||||
|
| |||||||
| 205,546 | ||||||||
|
| |||||||
| REITs — Storage — 1.9% | ||||||||
| 20,500 | Extra Space Storage, Inc. | 437,265 | ||||||
| 7,500 | Public Storage | 855,075 | ||||||
|
| |||||||
| 1,292,340 | ||||||||
|
| |||||||
| REITs — Warehouse/Industrials — 1.4% | ||||||||
| 32,000 | DCT Industrial Trust, Inc. | 167,360 | ||||||
| 15,400 | First Potomac Realty Trust | 235,774 | ||||||
| 15,800 | ProLogis, Inc. | 566,272 | ||||||
|
| |||||||
| 969,406 | ||||||||
|
| |||||||
| Specialty Retail — 0.1% | ||||||||
| 2,440 | Home Depot, Inc. (The) | 88,377 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 2,613 | VF Corp. | 283,667 | ||||||
|
| |||||||
| Thrifts & Mortgage Finance — 0.4% | ||||||||
| 3,396 | Astoria Financial Corp. | 43,435 | ||||||
| 4,017 | First Niagara Financial Group, Inc. | 53,024 | ||||||
| 4,303 | Hudson City Bancorp, Inc. | 35,242 | ||||||
| 5,025 | New York Community Bancorp, Inc. | 75,325 | ||||||
| 4,084 | People’s United Financial, Inc. | 54,889 | ||||||
|
| |||||||
| 261,915 | ||||||||
|
| |||||||
| Tobacco — 1.3% | ||||||||
| 5,485 | Altria Group, Inc. | 144,859 | ||||||
| 4,948 | Lorillard, Inc. | 538,689 | ||||||
| 4,312 | Universal Corp. | 162,433 | ||||||
|
| |||||||
| 845,981 | ||||||||
|
| |||||||
| Trading Companies & Distributors — 0.3% | ||||||||
| 2,965 | Watsco, Inc. | 201,590 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $29,797,543) | 31,059,620 | |||||||
|
| |||||||
See accompanying notes to financial statements.
65 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Preferred Stocks — 1.7% | ||||||||
| Convertible Preferred Stocks — 1.2% | ||||||||
| Automotive — 0.9% | ||||||||
| 10,600 | General Motors Co., Series B, 4.750% | $ | 516,644 | |||||
| 1,250 | Goodyear Tire & Rubber Co. (The), 5.875% | 69,525 | ||||||
|
| |||||||
| 586,169 | ||||||||
|
| |||||||
| Banking — 0.1% | ||||||||
| 275 | Sovereign Capital Trust IV, 4.375% | 13,612 | ||||||
| 70 | Wells Fargo & Co., Series L, Class A, 7.500% | 74,200 | ||||||
|
| |||||||
| 87,812 | ||||||||
|
| |||||||
| Construction Machinery — 0.0% | ||||||||
| 150 | United Rentals Trust I, 6.500% | 6,788 | ||||||
|
| |||||||
| Consumer Products — 0.1% | ||||||||
| 725 | Newell Financial Trust I, 5.250% | 34,075 | ||||||
|
| |||||||
| REITs — Healthcare — 0.1% | ||||||||
| 1,450 | Health Care REIT, Inc., Series I, 6.500% | 74,689 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $810,126) | 789,533 | |||||||
|
| |||||||
| Non-Convertible Preferred Stocks — 0.5% | ||||||||
| Banking — 0.2% | ||||||||
| 4,125 | Countrywide Capital IV, 6.750% | 102,094 | ||||||
|
| |||||||
| Non-Captive Diversified — 0.3% | ||||||||
| 4,375 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% | 109,506 | ||||||
| 129 | Ally Financial, Inc., Series G, 7.000%, 144A | 121,236 | ||||||
|
| |||||||
| 230,742 | ||||||||
|
| |||||||
| Total Non-Convertible Preferred Stocks (Identified Cost $215,036) | 332,836 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $1,025,162) | 1,122,369 | |||||||
|
| |||||||
| Principal Amount (‡) | ||||||||
| Short-Term Investments — 3.8% | ||||||||
| $ | 2,579,324 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $2,579,324 on 7/01/2011 collateralized by $2,190,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $2,220,113; $410,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $419,632 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,579,324) | 2,579,324 | |||||
|
| |||||||
| Total Investments — 98.7% (Identified Cost $63,581,180)(a) | 66,580,337 | |||||||
| Other assets less liabilities —1.3% | 874,397 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 67,454,734 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 66
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| * | Formerly Natixis Income Diversified Portfolio. | |||||||
| (‡) | Principal amount stated in U.S. dollars unless otherwise noted. | |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
| (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. Amortization of premium on debt securities is excluded for tax purposes.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $63,636,049 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 | $ | 6,220,013 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,275,725 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 2,944,288 | ||||||
|
| |||||||
| (b) | Variable rate security. Rate as of June 30, 2011 is disclosed. | |||||||
| (c) | Illiquid security. At June 30, 2011, the value of these securities amounted to $406,299 or 0.6% of net assets. | |||||||
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
| (e) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts. | |||||||
| (f) | Treasury Inflation Protected Security (TIPS). | |||||||
| (g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. | |||||||
| (h) | Non-income producing security. | |||||||
| 144A | All or a portion of these securities are 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, 2011, the value of Rule 144A holdings amounted to $4,779,772 or 7.1% of net assets. | |||||||
| ABS | Asset-Backed Securities | |||||||
| ARMs | Adjustable Rate Mortgages | |||||||
| EMTN | Euro Medium Term Note | |||||||
| FDIC | Federal Deposit Insurance Corporation | |||||||
| GMTN | Global Medium Term Note | |||||||
| MTN | Medium Term Note | |||||||
| REITs | Real Estate Investment Trusts | |||||||
| STRIPS | Separate Trading of Registered Interest and Principal of Securities | |||||||
| AUD | Australian Dollar | |||||||
| BRL | Brazilian Real | |||||||
| CAD | Canadian Dollar | |||||||
| COP | Colombian Peso | |||||||
| EUR | Euro | |||||||
| IDR | Indonesian Rupiah | |||||||
| INR | Indian Rupee | |||||||
| KRW | South Korean Won | |||||||
See accompanying notes to financial statements.
67 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| MXN | Mexican Peso | |||||
| NZD | New Zealand Dollar | |||||
| PHP | Philippine Peso | |||||
| SGD | Singapore Dollar |
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Sell | 07/29/2011 | Euro | 210,000 | $ | 304,328 | $ | 3,000 | |||||||||||
| Sell | 07/29/2011 | Euro | 115,000 | 166,656 | (2,512 | ) | ||||||||||||
|
| |||||||||||||||||
| Total | $ | 488 | ||||||||||||||||
|
| |||||||||||||||||
1 Counterparty is Barclays.
Industry Summary at June 30, 2011 (Unaudited)
Treasuries | 15.4 | % | ||
REITs — Apartments | 4.4 | |||
REITs — Regional Malls | 3.8 | |||
REITs — Diversified | 3.2 | |||
REITs — Office Property | 3.2 | |||
Electric Utilities | 3.0 | |||
Multi Utilities | 3.0 | |||
Retailers | 2.8 | |||
Banking | 2.8 | |||
REITs — Healthcare | 2.7 | |||
Technology | 2.6 | |||
REITs — Shopping Centers | 2.3 | |||
Wirelines | 2.3 | |||
Healthcare | 2.0 | |||
Other Investments, less than 2% each | 41.4 | |||
Short-Term Investments | 3.8 | |||
|
| |||
Total Investments | 98.7 | |||
Other assets less liabilities (including open forward foreign currency contracts) | 1.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 64
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund*
| Shares | Description | Value (†) | ||||||
| Common Stocks — 97.3% of Net Assets | ||||||||
| Aerospace & Defense — 2.4% | ||||||||
| 50,100 | Boeing Co. (The) | $ | 3,703,893 | |||||
| 12,300 | General Dynamics Corp. | 916,596 | ||||||
| 54,111 | GeoEye, Inc.(b) | 2,023,751 | ||||||
| 16,300 | Northrop Grumman Corp. | 1,130,405 | ||||||
| 15,036 | TransDigm Group, Inc.(b) | 1,371,133 | ||||||
|
| |||||||
| 9,145,778 | ||||||||
|
| |||||||
| Air Freight & Logistics — 1.8% | ||||||||
| 41,782 | Expeditors International of Washington, Inc. | 2,138,821 | ||||||
| 25,100 | FedEx Corp. | 2,380,735 | ||||||
| 33,327 | United Parcel Service, Inc., Class B | 2,430,538 | ||||||
|
| |||||||
| 6,950,094 | ||||||||
|
| |||||||
| Auto Components — 0.7% | ||||||||
| 52,138 | Lear Corp. | 2,788,340 | ||||||
|
| |||||||
| Automobiles — 0.5% | ||||||||
| 22,300 | Toyota Motor Corp., Sponsored ADR | 1,837,966 | ||||||
|
| |||||||
| Beverages — 1.1% | ||||||||
| 23,093 | Coca-Cola Co. (The) | 1,553,928 | ||||||
| 55,597 | Coca-Cola Enterprises, Inc. | 1,622,320 | ||||||
| 11,339 | Diageo PLC, Sponsored ADR | 928,324 | ||||||
|
| |||||||
| 4,104,572 | ||||||||
|
| |||||||
| Biotechnology — 1.8% | ||||||||
| 30,056 | Alexion Pharmaceuticals, Inc.(b) | 1,413,534 | ||||||
| 42,746 | Amgen, Inc.(b) | 2,494,229 | ||||||
| 7,524 | Biogen Idec, Inc.(b) | 804,466 | ||||||
| 5,703 | Pharmasset, Inc.(b) | 639,877 | ||||||
| 12,924 | Regeneron Pharmaceuticals, Inc.(b) | 732,920 | ||||||
| 18,959 | Vertex Pharmaceuticals, Inc.(b) | 985,678 | ||||||
|
| |||||||
| 7,070,704 | ||||||||
|
| |||||||
| Building Products — 0.3% | ||||||||
| 23,337 | Armstrong World Industries, Inc. | 1,063,234 | ||||||
|
| |||||||
| Capital Markets — 3.4% | ||||||||
| 36,368 | Franklin Resources, Inc. | 4,774,755 | ||||||
| 11,925 | Greenhill & Co., Inc. | 641,803 | ||||||
| 77,914 | Legg Mason, Inc. | 2,552,463 | ||||||
| 51,400 | Raymond James Financial, Inc. | 1,652,510 | ||||||
| 114,564 | SEI Investments Co. | 2,578,836 | ||||||
| 17,128 | Virtus Investment Partners, Inc.(b) | 1,039,669 | ||||||
|
| |||||||
| 13,240,036 | ||||||||
|
| |||||||
| Chemicals — 1.8% | ||||||||
| 97,633 | Chemtura Corp.(b) | 1,776,921 | ||||||
| 35,622 | Cytec Industries, Inc. | 2,037,222 | ||||||
| 43,976 | Kronos Worldwide, Inc. | 1,383,045 | ||||||
| 8,131 | Quaker Chemical Corp. | 349,714 | ||||||
| 26,720 | Rockwood Holdings, Inc.(b) | 1,477,349 | ||||||
|
| |||||||
| 7,024,251 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
69 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Commercial Banks — 2.2% | ||||||||
| 188,398 | KeyCorp | $ | 1,569,355 | |||||
| 21,093 | Prosperity Bancshares, Inc. | 924,295 | ||||||
| 25,125 | SVB Financial Group(b) | 1,500,214 | ||||||
| 159,300 | Wells Fargo & Co. | 4,469,958 | ||||||
|
| |||||||
| 8,463,822 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 1.5% | ||||||||
| 93,600 | Republic Services, Inc. | 2,887,560 | ||||||
| 31,612 | Rollins, Inc. | 644,253 | ||||||
| 19,937 | Stericycle, Inc.(b) | 1,776,785 | ||||||
| 25,696 | Viad Corp. | 572,764 | ||||||
|
| |||||||
| 5,881,362 | ||||||||
|
| |||||||
| Communications Equipment — 2.8% | ||||||||
| 22,920 | Acme Packet, Inc.(b) | 1,607,380 | ||||||
| 194,864 | Cisco Systems, Inc. | 3,041,827 | ||||||
| 37,110 | NETGEAR, Inc.(b) | 1,622,449 | ||||||
| 54,423 | Qualcomm, Inc. | 3,090,682 | ||||||
| 35,830 | Riverbed Technology, Inc.(b) | 1,418,510 | ||||||
|
| |||||||
| 10,780,848 | ||||||||
|
| |||||||
| Computers & Peripherals — 0.3% | ||||||||
| 29,795 | Western Digital Corp.(b) | 1,083,942 | ||||||
|
| |||||||
| Consumer Finance — 1.6% | ||||||||
| 53,557 | American Express Co. | 2,768,897 | ||||||
| 127,712 | Discover Financial Services | 3,416,296 | ||||||
|
| |||||||
| 6,185,193 | ||||||||
|
| |||||||
| Containers & Packaging — 0.7% | ||||||||
| 34,893 | Crown Holdings, Inc.(b) | 1,354,547 | ||||||
| 41,226 | Temple-Inland, Inc. | 1,226,061 | ||||||
|
| |||||||
| 2,580,608 | ||||||||
|
| |||||||
| Diversified Consumer Services — 0.1% | ||||||||
| 8,090 | Ascent Media Corp., Class A(b) | 428,527 | ||||||
|
| |||||||
| Diversified Financial Services — 2.9% | ||||||||
| 11,900 | CME Group, Inc., Class A | 3,469,921 | ||||||
| 99,400 | JPMorgan Chase & Co.(b) | 4,069,436 | ||||||
| 94,971 | NASDAQ OMX Group, Inc. (The)(b) | 2,402,766 | ||||||
| 62,586 | PHH Corp.(b) | 1,284,265 | ||||||
|
| |||||||
| 11,226,388 | ||||||||
|
| |||||||
| Electrical Equipment — 1.4% | ||||||||
| 46,775 | Babcock & Wilcox Co.(b) | 1,296,135 | ||||||
| 26,121 | Polypore International, Inc.(b) | 1,772,049 | ||||||
| 25,900 | Rockwell Automation, Inc. | 2,247,084 | ||||||
|
| |||||||
| 5,315,268 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 0.5% | ||||||||
| 35,803 | Amphenol Corp., Class A | 1,933,004 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 70
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Energy Equipment & Services — 3.4% | ||||||||
| 9,154 | CARBO Ceramics, Inc. | $ | 1,491,644 | |||||
| 19,162 | Dresser-Rand Group, Inc.(b) | 1,029,957 | ||||||
| 24,239 | Helix Energy Solutions Group, Inc.(b) | 401,398 | ||||||
| 16,835 | Lufkin Industries, Inc. | 1,448,652 | ||||||
| 106,628 | McDermott International, Inc.(b) | 2,112,301 | ||||||
| 30,700 | National-Oilwell Varco, Inc. | 2,401,047 | ||||||
| 22,096 | Schlumberger Ltd. | 1,909,094 | ||||||
| 33,900 | Transocean Ltd. | 2,188,584 | ||||||
|
| |||||||
| 12,982,677 | ||||||||
|
| |||||||
| Food & Staples Retailing — 0.3% | ||||||||
| 26,300 | Walgreen Co. | 1,116,698 | ||||||
|
| |||||||
| Food Products — 2.6% | ||||||||
| 35,790 | Corn Products International, Inc. | 1,978,471 | ||||||
| 144,575 | Danone SA, Sponsored ADR | 2,161,396 | ||||||
| 20,623 | Diamond Foods, Inc. | 1,574,360 | ||||||
| 39,933 | J.M. Smucker Co. (The) | 3,052,478 | ||||||
| 16,903 | McCormick & Co., Inc. | 837,882 | ||||||
| 8,827 | Mead Johnson Nutrition Co. | 596,264 | ||||||
|
| |||||||
| 10,200,851 | ||||||||
|
| |||||||
| Gas Utilities — 0.9% | ||||||||
| 58,620 | Questar Corp. | 1,038,160 | ||||||
| 73,740 | UGI Corp. | 2,351,569 | ||||||
|
| |||||||
| 3,389,729 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies — 4.1% | ||||||||
| 37,421 | Alere, Inc.(b) | 1,370,357 | ||||||
| 71,500 | Baxter International, Inc. | 4,267,835 | ||||||
| 73,502 | CareFusion Corp.(b) | 1,997,049 | ||||||
| 30,176 | DENTSPLY International, Inc. | 1,149,102 | ||||||
| 16,059 | Edwards Lifesciences Corp.(b) | 1,400,024 | ||||||
| 93,616 | Medtronic, Inc. | 3,607,025 | ||||||
| 30,975 | Zimmer Holdings, Inc.(b) | 1,957,620 | ||||||
|
| |||||||
| 15,749,012 | ||||||||
|
| |||||||
| Health Care Providers & Services — 2.6% | ||||||||
| 28,764 | Healthspring, Inc.(b) | 1,326,308 | ||||||
| 15,936 | HMS Holdings Corp.(b) | 1,225,001 | ||||||
| 24,202 | Humana, Inc. | 1,949,229 | ||||||
| 36,119 | Lincare Holdings, Inc. | 1,057,203 | ||||||
| 13,621 | MEDNAX, Inc.(b) | 983,300 | ||||||
| 25,004 | Universal Health Services, Inc., Class B | 1,288,456 | ||||||
| 43,532 | WellCare Health Plans, Inc.(b) | 2,237,980 | ||||||
|
| |||||||
| 10,067,477 | ||||||||
|
| |||||||
| Health Care Technology — 0.5% | ||||||||
| 32,428 | SXC Health Solutions Corp.(b) | 1,910,658 | ||||||
|
| |||||||
See accompanying notes to financial statements.
71 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Hotels, Restaurants & Leisure — 4.3% | ||||||||
| 40,771 | Arcos Dorados Holdings, Inc., Class A | $ | 859,860 | |||||
| 121,600 | Carnival Corp. | 4,575,808 | ||||||
| 37,033 | Interval Leisure Group, Inc.(b) | 506,982 | ||||||
| 64,800 | Marriott International, Inc., Class A | 2,299,752 | ||||||
| 22,500 | McDonald’s Corp. | 1,897,200 | ||||||
| 20,252 | Six Flags Entertainment Corp. | 758,438 | ||||||
| 17,100 | Starwood Hotels & Resorts Worldwide, Inc. | 958,284 | ||||||
| 86,720 | Wyndham Worldwide Corp. | 2,918,128 | ||||||
| 13,063 | Wynn Resorts Ltd. | 1,875,063 | ||||||
|
| |||||||
| 16,649,515 | ||||||||
|
| |||||||
| Household Durables — 0.7% | ||||||||
| 19,800 | Fortune Brands, Inc. | 1,262,646 | ||||||
| 23,801 | Tempur-Pedic International, Inc.(b) | 1,614,184 | ||||||
|
| |||||||
| 2,876,830 | ||||||||
|
| |||||||
| Household Products — 1.1% | ||||||||
| 13,471 | Clorox Co. (The) | 908,484 | ||||||
| 21,000 | Colgate-Palmolive Co. | 1,835,610 | ||||||
| 25,768 | Procter & Gamble Co. (The) | 1,638,072 | ||||||
|
| |||||||
| 4,382,166 | ||||||||
|
| |||||||
| Independent Power Producers & Energy Traders — 0.2% | ||||||||
| 54,800 | Calpine Corp.(b) | 883,924 | ||||||
|
| |||||||
| Insurance — 0.9% | ||||||||
| 81,700 | Allstate Corp. (The) | 2,494,301 | ||||||
| 83,959 | Old Republic International Corp. | 986,518 | ||||||
|
| |||||||
| 3,480,819 | ||||||||
|
| |||||||
| Internet & Catalog Retail — 3.2% | ||||||||
| 21,161 | Amazon.com, Inc.(b) | 4,327,213 | ||||||
| 18,882 | Blue Nile, Inc.(b) | 830,430 | ||||||
| 60,864 | Expedia, Inc. | 1,764,447 | ||||||
| 109,858 | Liberty Media Corp. - Interactive, Class A(b) | 1,842,319 | ||||||
| 7,916 | Netflix, Inc.(b) | 2,079,454 | ||||||
| 3,127 | Priceline.com, Inc.(b) | 1,600,805 | ||||||
|
| |||||||
| 12,444,668 | ||||||||
|
| |||||||
| Internet Software & Services — 2.8% | ||||||||
| 26,392 | Ancestry.com, Inc.(b) | 1,092,365 | ||||||
| 6,898 | Google, Inc., Class A(b) | 3,493,009 | ||||||
| 48,137 | IAC/InterActiveCorp(b) | 1,837,389 | ||||||
| 18,399 | MercadoLibre, Inc. | 1,459,777 | ||||||
| 41,686 | Rackspace Hosting, Inc.(b) | 1,781,659 | ||||||
| 9,517 | SINA Corp.(b)(c) | 990,720 | ||||||
|
| |||||||
| 10,654,919 | ||||||||
|
| |||||||
| IT Services — 4.9% | ||||||||
| 20,711 | Alliance Data Systems Corp.(b) | 1,948,284 | ||||||
| 18,332 | Automatic Data Processing, Inc. | 965,730 | ||||||
See accompanying notes to financial statements.
| 72
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| IT Services — continued | ||||||||
| 29,567 | Fidelity National Information Services, Inc. | $ | 910,368 | |||||
| 12,600 | MasterCard, Inc., Class A | 3,796,884 | ||||||
| 34,534 | Teradata Corp.(b) | 2,078,947 | ||||||
| 85,341 | Visa, Inc., Class A | 7,190,832 | ||||||
| 36,260 | Wright Express Corp.(b) | 1,888,058 | ||||||
|
| |||||||
| 18,779,103 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 1.7% | ||||||||
| 28,503 | Illumina, Inc.(b) | 2,142,000 | ||||||
| 14,298 | Mettler-Toledo International, Inc.(b) | 2,411,644 | ||||||
| 34,664 | PerkinElmer, Inc. | 932,808 | ||||||
| 33,046 | Pharmaceutical Product Development, Inc. | 886,955 | ||||||
|
| |||||||
| 6,373,407 | ||||||||
|
| |||||||
| Machinery — 3.5% | ||||||||
| 71,409 | Actuant Corp., Class A | 1,915,903 | ||||||
| 9,300 | Caterpillar, Inc. | 990,078 | ||||||
| 59,300 | Illinois Tool Works, Inc. | 3,349,857 | ||||||
| 54,121 | John Bean Technologies Corp. | 1,045,618 | ||||||
| 26,883 | Kadant, Inc.(b) | 847,083 | ||||||
| 9,294 | Middleby Corp. (The)(b) | 874,008 | ||||||
| 23,828 | SPX Corp. | 1,969,622 | ||||||
| 35,102 | TriMas Corp.(b) | 868,775 | ||||||
| 23,361 | WABCO Holdings, Inc.(b) | 1,613,311 | ||||||
|
| |||||||
| 13,474,255 | ||||||||
|
| |||||||
| Marine — 0.4% | ||||||||
| 26,826 | Kirby Corp.(b) | 1,520,229 | ||||||
|
| |||||||
| Media — 3.1% | ||||||||
| 156,100 | Comcast Corp., Special Class A | 3,782,303 | ||||||
| 32,351 | Liberty Media-Starz, Series A(b) | 2,434,089 | ||||||
| 30,746 | Madison Square Garden, Inc., Class A(b) | 846,437 | ||||||
| 77,085 | Omnicom Group, Inc. | 3,712,414 | ||||||
| 29,300 | Walt Disney Co. (The) | 1,143,872 | ||||||
|
| |||||||
| 11,919,115 | ||||||||
|
| |||||||
| Metals & Mining — 0.6% | ||||||||
| 43,572 | Reliance Steel & Aluminum Co. | 2,163,350 | ||||||
|
| |||||||
| Multi Utilities — 0.3% | ||||||||
| 51,956 | MDU Resources Group, Inc. | 1,169,010 | ||||||
|
| |||||||
| Multiline Retail — 0.8% | ||||||||
| 8,002 | Big Lots, Inc.(b) | 265,266 | ||||||
| 37,579 | Dollar Tree, Inc.(b) | 2,503,513 | ||||||
| 3,457 | Target Corp. | 162,168 | ||||||
|
| |||||||
| 2,930,947 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 5.5% | ||||||||
| 24,800 | Apache Corp. | 3,060,072 | ||||||
| 41,003 | Brigham Exploration Co.(b) | 1,227,220 | ||||||
See accompanying notes to financial statements.
73 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Oil, Gas & Consumable Fuels — continued | ||||||||
| 77,400 | Cloud Peak Energy, Inc.(b) | $ | 1,648,620 | |||||
| 16,352 | Concho Resources, Inc.(b) | 1,501,931 | ||||||
| 55,889 | QEP Resources, Inc. | 2,337,837 | ||||||
| 48,400 | Range Resources Corp. | 2,686,200 | ||||||
| 19,998 | SemGroup Corp., Class A(b) | 513,348 | ||||||
| 19,406 | SM Energy Co. | 1,425,953 | ||||||
| 55,100 | Ultra Petroleum Corp.(b) | 2,523,580 | ||||||
| 146,300 | Williams Cos., Inc. (The) | 4,425,575 | ||||||
|
| |||||||
| 21,350,336 | ||||||||
|
| |||||||
| Personal Products — 0.7% | ||||||||
| 16,466 | Estee Lauder Cos., Inc. (The), Class A | 1,732,059 | ||||||
| 76,498 | Prestige Brands Holdings, Inc.(b) | 982,234 | ||||||
|
| |||||||
| 2,714,293 | ||||||||
|
| |||||||
| Pharmaceuticals — 1.9% | ||||||||
| 35,251 | Merck & Co., Inc. | 1,244,008 | ||||||
| 35,472 | Novartis AG, ADR | 2,167,694 | ||||||
| 21,856 | Perrigo Co. | 1,920,487 | ||||||
| 41,848 | Valeant Pharmaceuticals International, Inc. | 2,174,422 | ||||||
|
| |||||||
| 7,506,611 | ||||||||
|
| |||||||
| Professional Services — 0.3% | ||||||||
| 35,231 | Verisk Analytics, Inc., Class A(b) | 1,219,697 | ||||||
|
| |||||||
| Real Estate Management & Development — 0.7% | ||||||||
| 63,218 | CB Richard Ellis Group, Inc., Class A(b) | 1,587,404 | ||||||
| 13,540 | Jones Lang LaSalle, Inc. | 1,276,822 | ||||||
|
| |||||||
| 2,864,226 | ||||||||
|
| |||||||
| REITs — Diversified — 0.8% | ||||||||
| 17,585 | Digital Realty Trust, Inc. | 1,086,401 | ||||||
| 39,115 | Potlatch Corp. | 1,379,586 | ||||||
| 27,294 | Weyerhaeuser Co. | 596,647 | ||||||
|
| |||||||
| 3,062,634 | ||||||||
|
| |||||||
| REITs — Healthcare — 0.3% | ||||||||
| 71,405 | Sabra Healthcare REIT, Inc. | 1,193,178 | ||||||
|
| |||||||
| Road & Rail — 1.1% | ||||||||
| 97,492 | Avis Budget Group, Inc.(b) | 1,666,138 | ||||||
| 78,106 | Celadon Group, Inc.(b) | 1,090,360 | ||||||
| 27,368 | Kansas City Southern(b) | 1,623,744 | ||||||
|
| |||||||
| 4,380,242 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 5.4% | ||||||||
| 24,665 | Altera Corp. | 1,143,223 | ||||||
| 16,998 | Analog Devices, Inc. | 665,302 | ||||||
| 295,500 | Applied Materials, Inc. | 3,844,455 | ||||||
| 62,107 | ARM Holdings PLC, Sponsored ADR | 1,765,702 | ||||||
| 23,749 | Avago Technologies Ltd. | 902,462 | ||||||
See accompanying notes to financial statements.
| 74
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Semiconductors & Semiconductor Equipment — continued | ||||||||
| 204,441 | Integrated Device Technology, Inc.(b) | $ | 1,606,906 | |||||
| 280,600 | Intel Corp. | 6,218,096 | ||||||
| 33,349 | Microchip Technology, Inc. | 1,264,260 | ||||||
| 103,000 | Texas Instruments, Inc. | 3,381,490 | ||||||
|
| |||||||
| 20,791,896 | ||||||||
|
| |||||||
| Software — 4.7% | ||||||||
| 17,399 | Citrix Systems, Inc.(b) | 1,391,920 | ||||||
| 21,791 | FactSet Research Systems, Inc. | 2,229,655 | ||||||
| 65,201 | Fortinet, Inc.(b) | 1,779,335 | ||||||
| 41,632 | Informatica Corp.(b) | 2,432,558 | ||||||
| 28,714 | MICROS Systems, Inc.(b) | 1,427,373 | ||||||
| 45,126 | Microsoft Corp. | 1,173,276 | ||||||
| 106,016 | Oracle Corp. | 3,488,986 | ||||||
| 31,993 | QLIK Technologies, Inc.(b) | 1,089,682 | ||||||
| 12,113 | Salesforce.com, Inc.(b) | 1,804,595 | ||||||
| 50,659 | Synopsys, Inc.(b) | 1,302,443 | ||||||
|
| |||||||
| 18,119,823 | ||||||||
|
| |||||||
| Specialty Retail — 2.2% | ||||||||
| 18,389 | Abercrombie & Fitch Co., Class A | 1,230,592 | ||||||
| 4,611 | AutoZone, Inc.(b) | 1,359,553 | ||||||
| 39,500 | CarMax, Inc.(b) | 1,306,265 | ||||||
| 24,316 | Home Depot, Inc. (The) | 880,726 | ||||||
| 16,620 | Lowe’s Cos., Inc. | 387,412 | ||||||
| 32,955 | PetSmart, Inc. | 1,495,168 | ||||||
| 108,718 | Sally Beauty Holdings, Inc.(b) | 1,859,078 | ||||||
|
| |||||||
| 8,518,794 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 1.8% | ||||||||
| 29,383 | Fossil, Inc.(b) | 3,458,967 | ||||||
| 22,864 | Lululemon Athletica, Inc.(b) | 2,556,652 | ||||||
| 10,400 | NIKE, Inc., Class B | 935,792 | ||||||
|
| |||||||
| 6,951,411 | ||||||||
|
| |||||||
| Water Utilities — 0.9% | ||||||||
| 110,863 | American Water Works Co., Inc. | 3,264,915 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 0.3% | ||||||||
| 59,835 | NTELOS Holdings Corp. | 1,221,831 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $300,726,805) | 375,383,183 | |||||||
|
| |||||||
| Closed End Investment Companies — 0.4% | ||||||||
| 93,158 | Ares Capital Corp. (Identified Cost $1,239,646) | 1,497,049 | ||||||
|
| |||||||
See accompanying notes to financial statements.
75 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 3.0% | ||||||||
| $ | 11,463,991 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $11,463,991 on 7/01/2011 collateralized by $2,040,000 Federal Farm Credit Bank, 2.750% due 5/16/2017 valued at $2,050,200; $5,610,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $5,687,138; $3,970,000 Federal Home Loan Mortgage Corp., 2.000% due 12/03/2015 valued at $3,970,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,463,991) | $ | 11,463,991 | ||||
|
| |||||||
| Total Investments — 100.7% (Identified Cost $313,430,442)(a) | 388,344,223 | |||||||
| Other assets less liabilities — (0.7)% | (2,520,175 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 385,824,048 | ||||||
|
| |||||||
| Shares | ||||||||
| Written Options — (0.0%) | ||||||||
| Options on Securities — (0.0%) | ||||||||
| 9,400 | SINA Corp., Call expiring August 20, 2011 at 105 (Premiums Received $59,875) | $ | (108,570 | ) | ||||
|
| |||||||
| * | Formerly Natixis U.S. Diversified Portfolio. | |||||||
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $313,430,442 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 | $ | 78,569,175 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,655,394 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 74,913,781 | ||||||
|
| |||||||
| (b) | Non-income producing security. | |||||||
| (c) | All or a portion of this security has been pledged as collateral for outstanding 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 may be significantly influenced by trading on exchanges not located in the United States. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
See accompanying notes to financial statements.
| 72
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
Industry Summary at June 30, 2011 (Unaudited)
Oil, Gas & Consumable Fuels | 5.5 | % | ||
Semiconductors & Semiconductor Equipment | 5.4 | |||
IT Services | 4.9 | |||
Software | 4.7 | |||
Hotels, Restaurants & Leisure | 4.3 | |||
Health Care Equipment & Supplies | 4.1 | |||
Machinery | 3.5 | |||
Capital Markets | 3.4 | |||
Energy Equipment & Services | 3.4 | |||
Internet & Catalog Retail | 3.2 | |||
Media | 3.1 | |||
Diversified Financial Services | 2.9 | |||
Communications Equipment | 2.8 | |||
Internet Software & Services | 2.8 | |||
Food Products | 2.6 | |||
Health Care Providers & Services | 2.6 | |||
Aerospace & Defense | 2.4 | |||
Specialty Retail | 2.2 | |||
Commercial Banks | 2.2 | |||
Other Investments, less than 2% each | 31.7 | |||
Short-Term Investments | 3.0 | |||
|
| |||
Total Investments | 100.7 | |||
Other assets less liabilities (including written options) | (0.7 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
73 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 91.4% of Net Assets | ||||||||
| Aerospace & Defense — 0.6% | ||||||||
| 49,625 | Alliant Techsystems, Inc. | $ | 3,539,751 | |||||
|
| |||||||
| Auto Components — 1.8% | ||||||||
| 218,475 | Tenneco, Inc.(b) | 9,628,193 | ||||||
|
| |||||||
| Building Products — 2.3% | ||||||||
| 144,587 | A.O. Smith Corp. | 6,116,030 | ||||||
| 150,625 | Lennox International, Inc. | 6,487,419 | ||||||
|
| |||||||
| 12,603,449 | ||||||||
|
| |||||||
| Capital Markets — 4.4% | ||||||||
| 789,550 | Apollo Investment Corp. | 8,061,305 | ||||||
| 419,150 | Fifth Street Finance Corp. | 4,862,140 | ||||||
| 120,925 | KBW, Inc. | 2,261,298 | ||||||
| 233,675 | Waddell & Reed Financial, Inc., Class A | 8,494,086 | ||||||
|
| |||||||
| 23,678,829 | ||||||||
|
| |||||||
| Chemicals — 4.2% | ||||||||
| 213,075 | Scotts Miracle-Gro Co. (The), Class A | 10,932,878 | ||||||
| 262,425 | Sensient Technologies Corp. | 9,728,095 | ||||||
| 82,500 | Solutia, Inc.(b) | 1,885,125 | ||||||
|
| |||||||
| 22,546,098 | ||||||||
|
| |||||||
| Commercial Banks — 5.9% | ||||||||
| 538,300 | Associated Banc-Corp | 7,482,370 | ||||||
| 102,425 | Bank of Hawaii Corp. | 4,764,811 | ||||||
| 569,480 | FirstMerit Corp. | 9,402,115 | ||||||
| 232,725 | Prosperity Bancshares, Inc. | 10,198,009 | ||||||
|
| |||||||
| 31,847,305 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 5.6% | ||||||||
| 97,550 | Consolidated Graphics, Inc.(b) | 5,360,372 | ||||||
| 397,600 | Corrections Corp. of America(b) | 8,608,040 | ||||||
| 246,325 | KAR Auction Services, Inc.(b) | 4,658,006 | ||||||
| 184,325 | McGrath Rentcorp | 5,175,846 | ||||||
| 203,403 | Waste Connections, Inc. | 6,453,977 | ||||||
|
| |||||||
| 30,256,241 | ||||||||
|
| |||||||
| Communications Equipment — 0.4% | ||||||||
| 103,275 | Calix, Inc.(b) | 2,150,186 | ||||||
|
| |||||||
| Computers & Peripherals — 1.8% | ||||||||
| 422,650 | QLogic Corp.(b) | 6,728,588 | ||||||
| 185,325 | Super Micro Computer, Inc.(b) | 2,981,879 | ||||||
|
| |||||||
| 9,710,467 | ||||||||
|
| |||||||
| Construction & Engineering — 1.4% | ||||||||
| 219,150 | MasTec, Inc.(b) | 4,321,638 | ||||||
| 147,325 | MYR Group, Inc.(b) | 3,447,405 | ||||||
|
| |||||||
| 7,769,043 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 78
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Construction Materials — 0.7% | ||||||||
| 137,725 | Eagle Materials, Inc. | $ | 3,838,396 | |||||
|
| |||||||
| Consumer Finance — 1.3% | ||||||||
| 169,525 | First Cash Financial Services, Inc.(b) | 7,118,355 | ||||||
|
| |||||||
| Containers & Packaging — 3.9% | ||||||||
| 240,500 | Packaging Corp. of America | 6,731,595 | ||||||
| 350,200 | Silgan Holdings, Inc. | 14,347,694 | ||||||
|
| |||||||
| 21,079,289 | ||||||||
|
| |||||||
| Electric Utilities — 3.0% | ||||||||
| 228,600 | Cleco Corp. | 7,966,710 | ||||||
| 250,125 | El Paso Electric Co. | 8,079,038 | ||||||
|
| |||||||
| 16,045,748 | ||||||||
|
| |||||||
| Electrical Equipment — 2.3% | ||||||||
| 159,675 | EnerSys(b) | 5,496,013 | ||||||
| 133,475 | Thomas & Betts Corp.(b) | 7,187,629 | ||||||
|
| |||||||
| 12,683,642 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 1.2% | ||||||||
| 25,100 | ScanSource, Inc.(b) | 940,748 | ||||||
| 116,475 | Tech Data Corp.(b) | 5,694,463 | ||||||
|
| |||||||
| 6,635,211 | ||||||||
|
| |||||||
| Energy Equipment & Services — 3.6% | ||||||||
| 136,050 | Oil States International, Inc.(b) | 10,871,755 | ||||||
| 144,150 | Unit Corp.(b) | 8,783,060 | ||||||
|
| |||||||
| 19,654,815 | ||||||||
|
| |||||||
| Gas Utilities — 0.6% | ||||||||
| 94,525 | Atmos Energy Corp. | 3,142,956 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 3.1% | ||||||||
| 172,300 | Teleflex, Inc. | 10,520,638 | ||||||
| 143,125 | West Pharmaceutical Services, Inc. | 6,263,150 | ||||||
|
| |||||||
| 16,783,788 | ||||||||
|
| |||||||
| Household Products — 0.0% | ||||||||
| 325 | WD-40 Co. | 12,688 | ||||||
|
| |||||||
| Insurance — 5.8% | ||||||||
| 1,360,050 | CNO Financial Group, Inc.(b) | 10,757,995 | ||||||
| 389,037 | HCC Insurance Holdings, Inc. | 12,254,665 | ||||||
| 347,975 | Tower Group, Inc. | 8,288,765 | ||||||
|
| |||||||
| 31,301,425 | ||||||||
|
| |||||||
| IT Services — 2.3% | ||||||||
| 193,700 | CACI International, Inc., Class A(b) | 12,218,596 | ||||||
|
| |||||||
| Machinery — 4.1% | ||||||||
| 358,975 | Actuant Corp., Class A | 9,631,299 | ||||||
| 788,400 | Mueller Water Products, Inc., Class A | 3,137,832 | ||||||
See accompanying notes to financial statements.
79 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Machinery — continued | ||||||||
| 97,625 | Valmont Industries, Inc. | $ | 9,410,074 | |||||
|
| |||||||
| 22,179,205 | ||||||||
|
| |||||||
| Media — 1.7% | ||||||||
| 175,125 | John Wiley & Sons, Inc., Class A | 9,108,251 | ||||||
|
| |||||||
| Multi Utilities — 1.7% | ||||||||
| 283,700 | NorthWestern Corp. | 9,393,307 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 3.0% | ||||||||
| 225,075 | Brigham Exploration Co.(b) | 6,736,495 | ||||||
| 188,089 | Oasis Petroleum, Inc.(b) | 5,582,481 | ||||||
| 240,900 | Resolute Energy Corp.(b) | 3,892,944 | ||||||
|
| |||||||
| 16,211,920 | ||||||||
|
| |||||||
| Professional Services — 2.1% | ||||||||
| 171,075 | Towers Watson & Co., Class A | 11,241,338 | ||||||
|
| |||||||
| REITs — Healthcare — 1.3% | ||||||||
| 615,350 | Medical Properties Trust, Inc. | 7,076,525 | ||||||
|
| |||||||
| REITs — Hotels — 0.9% | ||||||||
| 184,725 | LaSalle Hotel Properties | 4,865,657 | ||||||
|
| |||||||
| REITs — Mortgage — 0.9% | ||||||||
| 230,025 | Invesco Mortgage Capital, Inc. | 4,860,428 | ||||||
|
| |||||||
| REITs — Office Property — 1.5% | ||||||||
| 298,825 | Government Properties Income Trust | 8,074,252 | ||||||
|
| |||||||
| Road & Rail — 1.0% | ||||||||
| 208,300 | Werner Enterprises, Inc. | 5,217,915 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 1.7% | ||||||||
| 134,700 | Silicon Laboratories, Inc.(b) | 5,557,722 | ||||||
| 373,725 | TriQuint Semiconductor, Inc.(b) | 3,808,258 | ||||||
|
| |||||||
| 9,365,980 | ||||||||
|
| |||||||
| Software — 1.2% | ||||||||
| 42,800 | Tyler Technologies, Inc.(b) | 1,146,184 | ||||||
| 147,725 | Verint Systems, Inc.(b) | 5,471,734 | ||||||
|
| |||||||
| 6,617,918 | ||||||||
|
| |||||||
| Specialty Retail — 3.9% | ||||||||
| 301,722 | Aaron’s, Inc. | 8,526,664 | ||||||
| 122,400 | DSW, Inc., Class A(b) | 6,194,664 | ||||||
| 198,700 | Penske Automotive Group, Inc. | 4,518,438 | ||||||
| 195,050 | PEP Boys-Manny Moe & Jack | 2,131,896 | ||||||
|
| |||||||
| 21,371,662 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 5.1% | ||||||||
| 256,625 | Hanesbrands, Inc.(b) | 7,326,644 | ||||||
| 187,750 | Phillips-Van Heusen Corp. | 12,291,992 | ||||||
| 196,550 | Wolverine World Wide, Inc. | 8,205,963 | ||||||
|
| |||||||
| 27,824,599 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 80
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Thrifts & Mortgage Finance — 3.0% | ||||||||
| 593,400 | Capitol Federal Financial, Inc. | $ | 6,978,384 | |||||
| 566,525 | Washington Federal, Inc. | 9,308,006 | ||||||
|
| |||||||
| 16,286,390 | ||||||||
|
| |||||||
| Trading Companies & Distributors — 2.1% | ||||||||
| 76,825 | United Rentals, Inc.(b) | 1,951,355 | ||||||
| 179,250 | WESCO International, Inc.(b) | 9,695,633 | ||||||
|
| |||||||
| 11,646,988 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $422,287,397) | 495,586,806 | |||||||
|
| |||||||
| Exchange Traded Funds — 4.0% | ||||||||
| 292,450 | iShares Russell 2000 Value Index Fund (Identified Cost $20,964,040) | 21,468,754 | ||||||
|
| |||||||
| Closed End Investment Companies — 1.9% | ||||||||
| 651,750 | Ares Capital Corp. (Identified Cost $9,910,005) | 10,473,622 | ||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 3.1% | ||||||||
| $ | 16,856,805 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $16,856,805 on 7/01/2011 collateralized by $14,855,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $17,194,663 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,856,805) | 16,856,805 | |||||
|
| |||||||
| Total Investments — 100.4% (Identified Cost $470,018,247)(a) | 544,385,987 | |||||||
| Other assets less liabilities — (0.4)% | (2,331,475 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 542,054,512 | ||||||
|
| |||||||
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $470,018,247 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 | $ | 79,853,100 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (5,485,360 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 74,367,740 | ||||||
|
| |||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
See accompanying notes to financial statements.
81 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
Commercial Banks | 5.9 | % | ||
Insurance | 5.8 | |||
Commercial Services & Supplies | 5.6 | |||
Textiles, Apparel & Luxury Goods | 5.1 | |||
Capital Markets | 4.4 | |||
Chemicals | 4.2 | |||
Machinery | 4.1 | |||
Exchange Traded Funds | 4.0 | |||
Specialty Retail | 3.9 | |||
Containers & Packaging | 3.9 | |||
Energy Equipment & Services | 3.6 | |||
Health Care Equipment & Supplies | 3.1 | |||
Thrifts & Mortgage Finance | 3.0 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Electric Utilities | 3.0 | |||
Electrical Equipment | 2.3 | |||
Building Products | 2.3 | |||
IT Services | 2.3 | |||
Trading Companies & Distributors | 2.1 | |||
Professional Services | 2.1 | |||
Other Investments, less than 2% each | 23.6 | |||
Short-Term Investments | 3.1 | |||
|
| |||
Total Investments | 100.4 | |||
Other assets less liabilities | (0.4 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 82
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 92.6% of Net Assets | ||||||||
| Auto Components — 2.2% | ||||||||
| 15,275 | Autoliv, Inc. | $ | 1,198,324 | |||||
| 20,575 | Tenneco, Inc.(b) | 906,740 | ||||||
|
| |||||||
| 2,105,064 | ||||||||
|
| |||||||
| Beverages — 1.6% | ||||||||
| 19,325 | Hansen Natural Corp.(b) | 1,564,359 | ||||||
|
| |||||||
| Capital Markets — 5.5% | ||||||||
| 13,950 | Affiliated Managers Group, Inc.(b) | 1,415,227 | ||||||
| 131,650 | Apollo Investment Corp. | 1,344,147 | ||||||
| 55,700 | Invesco Ltd. | 1,303,380 | ||||||
| 53,600 | SEI Investments Co. | 1,206,536 | ||||||
|
| |||||||
| 5,269,290 | ||||||||
|
| |||||||
| Chemicals — 7.7% | ||||||||
| 15,100 | Airgas, Inc. | 1,057,604 | ||||||
| 41,300 | Celanese Corp., Series A | 2,201,703 | ||||||
| 17,775 | FMC Corp. | 1,529,005 | ||||||
| 28,500 | International Flavors & Fragrances, Inc. | 1,830,840 | ||||||
| 33,800 | Solutia, Inc.(b) | 772,330 | ||||||
|
| |||||||
| 7,391,482 | ||||||||
|
| |||||||
| Computers & Peripherals — 1.8% | ||||||||
| 90,975 | NCR Corp.(b) | 1,718,518 | ||||||
|
| |||||||
| Construction & Engineering — 0.9% | ||||||||
| 13,225 | Fluor Corp. | 855,129 | ||||||
|
| |||||||
| Consumer Finance — 1.5% | ||||||||
| 40,200 | Ezcorp, Inc., Class A(b) | 1,430,115 | ||||||
|
| |||||||
| Containers & Packaging — 4.1% | ||||||||
| 58,175 | Crown Holdings, Inc.(b) | 2,258,354 | ||||||
| 60,675 | Packaging Corp. of America | 1,698,293 | ||||||
|
| |||||||
| 3,956,647 | ||||||||
|
| |||||||
| Electrical Equipment — 1.8% | ||||||||
| 16,125 | Cooper Industries PLC | 962,179 | ||||||
| 11,875 | Hubbell, Inc., Class B | 771,281 | ||||||
|
| |||||||
| 1,733,460 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 1.3% | ||||||||
| 30,525 | Arrow Electronics, Inc.(b) | 1,266,788 | ||||||
|
| |||||||
| Energy Equipment & Services — 3.4% | ||||||||
| 18,800 | Dresser-Rand Group, Inc.(b) | 1,010,500 | ||||||
| 61,425 | McDermott International, Inc.(b) | 1,216,829 | ||||||
| 27,625 | Superior Energy Services, Inc.(b) | 1,025,993 | ||||||
|
| |||||||
| 3,253,322 | ||||||||
|
| |||||||
| Food Products — 2.6% | ||||||||
| 17,525 | J.M. Smucker Co. (The) | 1,339,611 | ||||||
See accompanying notes to financial statements.
83 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Food Products — continued | ||||||||
| 12,925 | Ralcorp Holdings, Inc.(b) | $ | 1,119,046 | |||||
|
| |||||||
| 2,458,657 | ||||||||
|
| |||||||
| Household Durables — 2.0% | ||||||||
| 55,850 | Jarden Corp. | 1,927,383 | ||||||
|
| |||||||
| Insurance — 6.9% | ||||||||
| 58,925 | Lincoln National Corp. | 1,678,773 | ||||||
| 35,400 | Reinsurance Group of America, Inc., Class A | 2,154,444 | ||||||
| 40,850 | Willis Group Holdings PLC | 1,679,344 | ||||||
| 47,450 | XL Group PLC | 1,042,951 | ||||||
|
| |||||||
| 6,555,512 | ||||||||
|
| |||||||
| Internet Software & Services — 1.6% | ||||||||
| 47,025 | Digital River, Inc.(b) | 1,512,324 | ||||||
|
| |||||||
| Life Sciences Tools & Services — 3.5% | ||||||||
| 29,250 | Agilent Technologies, Inc.(b) | 1,494,967 | ||||||
| 34,700 | Life Technologies Corp.(b) | 1,806,829 | ||||||
|
| |||||||
| 3,301,796 | ||||||||
|
| |||||||
| Machinery — 8.0% | ||||||||
| 14,100 | AGCO Corp.(b) | 695,976 | ||||||
| 13,675 | Flowserve Corp. | 1,502,746 | ||||||
| 14,675 | Ingersoll-Rand PLC | 666,392 | ||||||
| 24,875 | Kennametal, Inc. | 1,049,974 | ||||||
| 28,750 | Navistar International Corp.(b) | 1,623,225 | ||||||
| 7,975 | SPX Corp. | 659,213 | ||||||
| 21,275 | WABCO Holdings, Inc.(b) | 1,469,251 | ||||||
|
| |||||||
| 7,666,777 | ||||||||
|
| |||||||
| Media — 3.7% | ||||||||
| 81,250 | CBS Corp., Class B | 2,314,812 | ||||||
| 29,250 | Discovery Communications, Inc., Class A(b) | 1,198,080 | ||||||
|
| |||||||
| 3,512,892 | ||||||||
|
| |||||||
| Metals & Mining — 0.6% | ||||||||
| 5,150 | Walter Energy, Inc. | 596,370 | ||||||
|
| |||||||
| Multiline Retail — 2.3% | ||||||||
| 37,750 | Big Lots, Inc.(b) | 1,251,412 | ||||||
| 26,450 | Dollar General Corp.(b) | 896,391 | ||||||
|
| |||||||
| 2,147,803 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 3.6% | ||||||||
| 8,975 | Cimarex Energy Co. | 807,032 | ||||||
| 37,475 | El Paso Corp. | 756,995 | ||||||
| 10,575 | Noble Energy, Inc. | 947,837 | ||||||
| 9,850 | Pioneer Natural Resources Co. | 882,265 | ||||||
|
| |||||||
| 3,394,129 | ||||||||
|
| |||||||
| Pharmaceuticals — 1.4% | ||||||||
| 14,886 | Valeant Pharmaceuticals International, Inc. | 773,477 | ||||||
| 25,100 | Warner Chilcott PLC, Class A | 605,663 | ||||||
|
| |||||||
| 1,379,140 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 84
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Professional Services — 2.4% | ||||||||
| 34,825 | Towers Watson & Co., Class A | $ | 2,288,351 | |||||
|
| |||||||
| REITs — Apartments — 1.5% | ||||||||
| 55,475 | Apartment Investment & Management Co., Class A | 1,416,277 | ||||||
|
| |||||||
| REITs — Hotels — 1.6% | ||||||||
| 89,923 | Host Hotels & Resorts, Inc. | 1,524,195 | ||||||
|
| |||||||
| Road & Rail — 1.8% | ||||||||
| 124,550 | Swift Transportation Co.(b) | 1,687,652 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 4.7% | ||||||||
| 30,550 | Altera Corp. | 1,415,992 | ||||||
| 46,150 | Avago Technologies Ltd. | 1,753,700 | ||||||
| 59,075 | Skyworks Solutions, Inc.(b) | 1,357,544 | ||||||
|
| |||||||
| 4,527,236 | ||||||||
|
| |||||||
| Software — 4.8% | ||||||||
| 22,325 | Adobe Systems, Inc.(b) | 702,121 | ||||||
| 11,175 | Intuit, Inc.(b) | 579,536 | ||||||
| 101,525 | Nuance Communications, Inc.(b) | 2,179,742 | ||||||
| 47,925 | Parametric Technology Corp.(b) | 1,098,920 | ||||||
|
| |||||||
| 4,560,319 | ||||||||
|
| |||||||
| Specialty Retail — 1.9% | ||||||||
| 37,175 | Collective Brands, Inc.(b) | 546,101 | ||||||
| 30,275 | Guess?, Inc. | 1,273,366 | ||||||
|
| |||||||
| 1,819,467 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 2.6% | ||||||||
| 26,000 | Phillips-Van Heusen Corp. | 1,702,220 | ||||||
| 6,900 | VF Corp. | 749,064 | ||||||
|
| |||||||
| 2,451,284 | ||||||||
|
| |||||||
| Tobacco — 1.7% | ||||||||
| 14,850 | Lorillard, Inc. | 1,616,720 | ||||||
|
| |||||||
| Trading Companies & Distributors — 1.6% | ||||||||
| 28,425 | WESCO International, Inc.(b) | 1,537,508 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $80,383,235) | 88,425,966 | |||||||
|
| |||||||
| Closed End Investment Companies — 1.4% | ||||||||
| 82,875 | Ares Capital Corp. (Identified Cost $1,235,427) | 1,331,801 | ||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 4.2% | ||||||||
| $ | 4,059,678 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,059,678 on 7/01/2011 collateralized by $4,050,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $4,145,145 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,059,678) | 4,059,678 | |||||
|
| |||||||
See accompanying notes to financial statements.
81 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Description | Value (†) | |||||||
| Total Investments — 98.2% (Identified Cost $85,678,340)(a) | $ | 93,817,445 | ||||||
| Other assets less liabilities — 1.8% | 1,689,440 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 95,506,885 | ||||||
|
| |||||||
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $85,678,340 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 | $ | 9,767,592 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,628,487 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 8,139,105 | ||||||
|
| |||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
Industry Summary at June 30, 2011 (Unaudited)
Machinery | 8.0 | % | ||
Chemicals | 7.7 | |||
Insurance | 6.9 | |||
Capital Markets | 5.5 | |||
Software | 4.8 | |||
Semiconductors & Semiconductor Equipment | 4.7 | |||
Containers & Packaging | 4.1 | |||
Media | 3.7 | |||
Oil, Gas & Consumable Fuels | 3.6 | |||
Life Sciences Tools & Services | 3.5 | |||
Energy Equipment & Services | 3.4 | |||
Food Products | 2.6 | |||
Textiles, Apparel & Luxury Goods | 2.6 | |||
Professional Services | 2.4 | |||
Multiline Retail | 2.3 | |||
Auto Components | 2.2 | |||
Household Durables | 2.0 | |||
Other Investments, less than 2% each | 24.0 | |||
Short-Term Investments | 4.2 | |||
|
| |||
Total Investments | 98.2 | |||
Other assets less liabilities | 1.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 82
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 99.7% of Net Assets | ||||||||
| Aerospace & Defense — 2.9% | ||||||||
| 276 | General Dynamics Corp. | $ | 20,567 | |||||
| 338 | Honeywell International, Inc. | 20,141 | ||||||
| 220 | ITT Corp. | 12,965 | ||||||
| 306 | L-3 Communications Holdings, Inc. | 26,760 | ||||||
| 95 | Lockheed Martin Corp. | 7,692 | ||||||
| 333 | Northrop Grumman Corp. | 23,094 | ||||||
| 31 | Precision Castparts Corp. | 5,104 | ||||||
| 323 | Raytheon Co. | 16,102 | ||||||
| 817 | Textron, Inc. | 19,289 | ||||||
| 255 | United Technologies Corp. | 22,570 | ||||||
|
| |||||||
| 174,284 | ||||||||
|
| |||||||
| Air Freight & Logistics — 0.2% | ||||||||
| 98 | C.H. Robinson Worldwide, Inc. | 7,726 | ||||||
| 81 | United Parcel Service, Inc., Class B | 5,908 | ||||||
|
| |||||||
| 13,634 | ||||||||
|
| |||||||
| Airlines — 0.3% | ||||||||
| 1,737 | Southwest Airlines Co. | 19,837 | ||||||
|
| |||||||
| Auto Components — 0.1% | ||||||||
| 113 | Johnson Controls, Inc. | 4,708 | ||||||
|
| |||||||
| Automobiles — 0.5% | ||||||||
| 2,146 | Ford Motor Co.(b) | 29,593 | ||||||
|
| |||||||
| Beverages — 1.9% | ||||||||
| 558 | Coca-Cola Co. (The) | 37,548 | ||||||
| 1,277 | Coca-Cola Enterprises, Inc. | 37,263 | ||||||
| 831 | Constellation Brands, Inc., Class A(b) | 17,301 | ||||||
| 247 | Dr Pepper Snapple Group, Inc. | 10,357 | ||||||
| 188 | PepsiCo, Inc. | 13,241 | ||||||
|
| |||||||
| 115,710 | ||||||||
|
| |||||||
| Biotechnology — 1.1% | ||||||||
| 198 | Amgen, Inc.(b) | 11,553 | ||||||
| 289 | Biogen Idec, Inc.(b) | 30,900 | ||||||
| 289 | Cephalon, Inc.(b) | 23,091 | ||||||
|
| |||||||
| 65,544 | ||||||||
|
| |||||||
| Building Products — 0.1% | ||||||||
| 618 | Masco Corp. | 7,435 | ||||||
|
| |||||||
| Capital Markets — 1.2% | ||||||||
| 230 | Ameriprise Financial, Inc. | 13,267 | ||||||
| 219 | Goldman Sachs Group, Inc. (The) | 29,147 | ||||||
| 1,225 | Morgan Stanley | 28,187 | ||||||
| 102 | State Street Corp. | 4,599 | ||||||
|
| |||||||
| 75,200 | ||||||||
|
| |||||||
| Chemicals — 1.4% | ||||||||
| 431 | Dow Chemical Co. (The) | 15,516 | ||||||
See accompanying notes to financial statements.
87 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Chemicals — continued | ||||||||
| 424 | E. I. du Pont de Nemours & Co. | $ | 22,917 | |||||
| 183 | Eastman Chemical Co. | 18,679 | ||||||
| 68 | International Flavors & Fragrances, Inc. | 4,368 | ||||||
| 131 | Monsanto Co. | 9,503 | ||||||
| 123 | PPG Industries, Inc. | 11,167 | ||||||
|
| |||||||
| 82,150 | ||||||||
|
| |||||||
| Commercial Banks — 1.8% | ||||||||
| 1,230 | Fifth Third Bancorp | 15,682 | ||||||
| 2,494 | KeyCorp | 20,775 | ||||||
| 319 | PNC Financial Services Group, Inc. | 19,016 | ||||||
| 126 | SunTrust Banks, Inc. | 3,251 | ||||||
| 1,780 | Wells Fargo & Co. | 49,947 | ||||||
|
| |||||||
| 108,671 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 0.7% | ||||||||
| 319 | Avery Dennison Corp. | 12,323 | ||||||
| 1,255 | R. R. Donnelley & Sons Co. | 24,611 | ||||||
| 92 | Stericycle, Inc.(b) | 8,199 | ||||||
|
| |||||||
| 45,133 | ||||||||
|
| |||||||
| Communications Equipment — 2.1% | ||||||||
| 972 | Cisco Systems, Inc. | 15,173 | ||||||
| 201 | F5 Networks, Inc.(b) | 22,160 | ||||||
| 1,338 | JDS Uniphase Corp.(b) | 22,291 | ||||||
| 569 | Motorola Solutions, Inc.(b) | 26,197 | ||||||
| 750 | Qualcomm, Inc. | 42,593 | ||||||
|
| |||||||
| 128,414 | ||||||||
|
| |||||||
| Computers & Peripherals — 4.2% | ||||||||
| 402 | Apple, Inc.(b) | 134,939 | ||||||
| 664 | Dell, Inc.(b) | 11,069 | ||||||
| 1,112 | EMC Corp.(b) | 30,636 | ||||||
| 862 | Hewlett-Packard Co. | 31,377 | ||||||
| 747 | Lexmark International, Inc., Class A(b) | 21,857 | ||||||
| 190 | SanDisk Corp.(b) | 7,885 | ||||||
| 412 | Western Digital Corp.(b) | 14,988 | ||||||
|
| |||||||
| 252,751 | ||||||||
|
| |||||||
| Construction & Engineering — 0.3% | ||||||||
| 270 | Fluor Corp. | 17,458 | ||||||
|
| |||||||
| Consumer Finance — 1.0% | ||||||||
| 609 | Capital One Financial Corp. | 31,467 | ||||||
| 1,079 | Discover Financial Services | 28,863 | ||||||
|
| |||||||
| 60,330 | ||||||||
|
| |||||||
| Containers & Packaging — 0.7% | ||||||||
| 435 | Ball Corp. | 16,730 | ||||||
| 275 | Bemis Co., Inc. | 9,289 | ||||||
See accompanying notes to financial statements.
| 88
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Containers & Packaging — continued | ||||||||
| 734 | Sealed Air Corp. | $ | 17,462 | |||||
|
| |||||||
| 43,481 | ||||||||
|
| |||||||
| Diversified Consumer Services — 0.8% | ||||||||
| 555 | Apollo Group, Inc., Class A(b) | 24,242 | ||||||
| 212 | DeVry, Inc. | 12,536 | ||||||
| 789 | H&R Block, Inc. | 12,656 | ||||||
|
| |||||||
| 49,434 | ||||||||
|
| |||||||
| Diversified Financial Services — 3.3% | ||||||||
| 2,550 | Bank of America Corp. | 27,948 | ||||||
| 1,287 | Citigroup, Inc. | 53,591 | ||||||
| 1,652 | JPMorgan Chase & Co. | 67,633 | ||||||
| 525 | Leucadia National Corp. | 17,902 | ||||||
| 560 | Moody’s Corp. | 21,476 | ||||||
| 382 | NASDAQ OMX Group, Inc. (The)(b) | 9,665 | ||||||
|
| |||||||
| 198,215 | ||||||||
|
| |||||||
| Diversified Telecommunication Services — 2.5% | ||||||||
| 2,524 | AT&T, Inc. | 79,279 | ||||||
| 112 | CenturyLink, Inc. | 4,528 | ||||||
| 1,762 | Verizon Communications, Inc. | 65,599 | ||||||
|
| |||||||
| 149,406 | ||||||||
|
| |||||||
| Electric Utilities — 0.4% | ||||||||
| 113 | Entergy Corp. | 7,716 | ||||||
| 173 | FirstEnergy Corp. | 7,638 | ||||||
| 105 | Northeast Utilities | 3,693 | ||||||
| 205 | Pepco Holdings, Inc. | 4,024 | ||||||
|
| |||||||
| 23,071 | ||||||||
|
| |||||||
| Electrical Equipment — 0.5% | ||||||||
| 253 | Rockwell Automation, Inc. | 21,950 | ||||||
| 124 | Roper Industries, Inc. | 10,329 | ||||||
|
| |||||||
| 32,279 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 0.2% | ||||||||
| 614 | Jabil Circuit, Inc. | 12,403 | ||||||
|
| |||||||
| Energy Equipment & Services — 3.6% | ||||||||
| 362 | Baker Hughes, Inc. | 26,267 | ||||||
| 350 | FMC Technologies, Inc.(b) | 15,676 | ||||||
| 677 | Halliburton Co. | 34,527 | ||||||
| 326 | Helmerich & Payne, Inc. | 21,555 | ||||||
| 559 | Nabors Industries Ltd.(b) | 13,774 | ||||||
| 618 | National-Oilwell Varco, Inc. | 48,334 | ||||||
| 286 | Rowan Cos., Inc.(b) | 11,099 | ||||||
| 537 | Schlumberger Ltd. | 46,397 | ||||||
|
| |||||||
| 217,629 | ||||||||
|
| |||||||
| Food & Staples Retailing — 1.9% | ||||||||
| 123 | Costco Wholesale Corp. | 9,992 | ||||||
See accompanying notes to financial statements.
89 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Food & Staples Retailing — continued | ||||||||
| 509 | CVS Caremark Corp. | $ | 19,128 | |||||
| 601 | Safeway, Inc. | 14,045 | ||||||
| 376 | SUPERVALU, Inc. | 3,538 | ||||||
| 448 | Wal-Mart Stores, Inc. | 23,807 | ||||||
| 708 | Walgreen Co. | 30,062 | ||||||
| 257 | Whole Foods Market, Inc. | 16,307 | ||||||
|
| |||||||
| 116,879 | ||||||||
|
| |||||||
| Food Products — 1.4% | ||||||||
| 281 | ConAgra Foods, Inc. | 7,253 | ||||||
| 2,429 | Dean Foods Co.(b) | 29,804 | ||||||
| 376 | Hormel Foods Corp. | 11,209 | ||||||
| 103 | J.M. Smucker Co. (The) | 7,873 | ||||||
| 267 | Sara Lee Corp. | 5,070 | ||||||
| 1,332 | Tyson Foods, Inc., Class A | 25,867 | ||||||
|
| |||||||
| 87,076 | ||||||||
|
| |||||||
| Gas Utilities — 0.3% | ||||||||
| 245 | Oneok, Inc. | 18,132 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 0.6% | ||||||||
| 282 | Baxter International, Inc. | 16,833 | ||||||
| 240 | Edwards Lifesciences Corp.(b) | 20,923 | ||||||
|
| |||||||
| 37,756 | ||||||||
|
| |||||||
| Health Care Providers & Services — 4.8% | ||||||||
| 529 | Aetna, Inc. | 23,324 | ||||||
| 499 | AmerisourceBergen Corp. | 20,658 | ||||||
| 279 | Cardinal Health, Inc. | 12,672 | ||||||
| 484 | CIGNA Corp. | 24,892 | ||||||
| 900 | Coventry Health Care, Inc.(b) | 32,823 | ||||||
| 39 | DaVita, Inc.(b) | 3,378 | ||||||
| 681 | Humana, Inc. | 54,848 | ||||||
| 161 | McKesson Corp. | 13,468 | ||||||
| 91 | Quest Diagnostics, Inc. | 5,378 | ||||||
| 1,173 | UnitedHealth Group, Inc. | 60,503 | ||||||
| 527 | WellPoint, Inc. | 41,512 | ||||||
|
| |||||||
| 293,456 | ||||||||
|
| |||||||
| Health Care Technology — 0.2% | ||||||||
| 180 | Cerner Corp.(b) | 11,000 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 1.9% | ||||||||
| 81 | Chipotle Mexican Grill, Inc.(b) | 24,963 | ||||||
| 93 | Darden Restaurants, Inc. | 4,628 | ||||||
| 135 | McDonald’s Corp. | 11,383 | ||||||
| 261 | Starbucks Corp. | 10,307 | ||||||
| 741 | Wyndham Worldwide Corp. | 24,935 | ||||||
| 223 | Wynn Resorts Ltd. | 32,009 | ||||||
| 171 | Yum! Brands, Inc. | 9,446 | ||||||
|
| |||||||
| 117,671 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 86
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Household Durables — 0.8% | ||||||||
| 1,864 | D.R. Horton, Inc. | $ | 21,473 | |||||
| 303 | Harman International Industries, Inc. | 13,808 | ||||||
| 326 | Lennar Corp., Class A | 5,917 | ||||||
| 416 | Newell Rubbermaid, Inc. | 6,564 | ||||||
|
| |||||||
| 47,762 | ||||||||
|
| |||||||
| Household Products — 0.9% | ||||||||
| 816 | Procter & Gamble Co. (The) | 51,873 | ||||||
|
| |||||||
| Independent Power Producers & Energy Traders — 1.0% | ||||||||
| 1,526 | AES Corp. (The)(b) | 19,441 | ||||||
| 496 | Constellation Energy Group, Inc. | 18,828 | ||||||
| 965 | NRG Energy, Inc.(b) | 23,720 | ||||||
|
| |||||||
| 61,989 | ||||||||
|
| |||||||
| Industrial Conglomerates — 2.0% | ||||||||
| 5,651 | General Electric Co. | 106,578 | ||||||
| 356 | Tyco International Ltd. | 17,597 | ||||||
|
| |||||||
| 124,175 | ||||||||
|
| |||||||
| Insurance — 2.1% | ||||||||
| 576 | American International Group, Inc.(b) | 16,888 | ||||||
| 262 | Berkshire Hathaway, Inc., Class B(b) | 20,276 | ||||||
| 911 | Hartford Financial Services Group, Inc. (The) | 24,023 | ||||||
| 441 | Lincoln National Corp. | 12,564 | ||||||
| 276 | Marsh & McLennan Cos., Inc. | 8,609 | ||||||
| 229 | Prudential Financial, Inc. | 14,562 | ||||||
| 222 | Travelers Cos., Inc. (The) | 12,960 | ||||||
| 728 | Unum Group | 18,550 | ||||||
|
| |||||||
| 128,432 | ||||||||
|
| |||||||
| Internet & Catalog Retail — 1.0% | ||||||||
| 174 | Amazon.com, Inc.(b) | 35,581 | ||||||
| 101 | Netflix, Inc.(b) | 26,532 | ||||||
|
| |||||||
| 62,113 | ||||||||
|
| |||||||
| Internet Software & Services — 0.9% | ||||||||
| 605 | eBay, Inc.(b) | 19,524 | ||||||
| 53 | Google, Inc., Class A(b) | 26,838 | ||||||
| 268 | VeriSign, Inc. | 8,967 | ||||||
|
| |||||||
| 55,329 | ||||||||
|
| |||||||
| IT Services — 3.9% | ||||||||
| 263 | Cognizant Technology Solutions Corp., Class A(b) | 19,289 | ||||||
| 554 | Computer Sciences Corp. | 21,030 | ||||||
| 680 | Fidelity National Information Services, Inc. | 20,937 | ||||||
| 248 | Fiserv, Inc.(b) | 15,532 | ||||||
| 606 | International Business Machines Corp. | 103,959 | ||||||
| 1,097 | SAIC, Inc.(b) | 18,452 | ||||||
| 442 | Teradata Corp.(b) | 26,608 | ||||||
See accompanying notes to financial statements.
91 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| IT Services — continued | ||||||||
| 627 | Total System Services, Inc. | $ | 11,650 | |||||
|
| |||||||
| 237,457 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 0.5% | ||||||||
| 385 | Agilent Technologies, Inc.(b) | 19,677 | ||||||
| 215 | Thermo Fisher Scientific, Inc.(b) | 13,844 | ||||||
|
| |||||||
| 33,521 | ||||||||
|
| |||||||
| Machinery — 2.6% | ||||||||
| 353 | Caterpillar, Inc. | 37,580 | ||||||
| 76 | Cummins, Inc. | 7,865 | ||||||
| 278 | Deere & Co. | 22,921 | ||||||
| 136 | Dover Corp. | 9,221 | ||||||
| 219 | Eaton Corp. | 11,268 | ||||||
| 280 | Joy Global, Inc. | 26,667 | ||||||
| 241 | Pall Corp. | 13,551 | ||||||
| 231 | Parker Hannifin Corp. | 20,730 | ||||||
| 97 | Snap-on, Inc. | 6,061 | ||||||
|
| |||||||
| 155,864 | ||||||||
|
| |||||||
| Media — 3.9% | ||||||||
| 453 | Cablevision Systems Corp., Class A | 16,403 | ||||||
| 1,589 | CBS Corp., Class B | 45,271 | ||||||
| 1,692 | Comcast Corp., Class A | 42,875 | ||||||
| 148 | DIRECTV, Class A(b) | 7,521 | ||||||
| 1,577 | Gannett Co., Inc. | 22,583 | ||||||
| 1,559 | Interpublic Group of Cos., Inc. (The) | 19,488 | ||||||
| 288 | McGraw-Hill Cos., Inc. (The) | 12,070 | ||||||
| 124 | Omnicom Group, Inc. | 5,972 | ||||||
| 307 | Time Warner Cable, Inc. | 23,958 | ||||||
| 413 | Viacom, Inc., Class B | 21,063 | ||||||
| 187 | Walt Disney Co. (The) | 7,301 | ||||||
| 31 | Washington Post Co. (The), Class B | 12,987 | ||||||
|
| |||||||
| 237,492 | ||||||||
|
| |||||||
| Metals & Mining — 1.5% | ||||||||
| 1,505 | Alcoa, Inc. | 23,869 | ||||||
| 201 | Cliffs Natural Resources, Inc. | 18,583 | ||||||
| 802 | Freeport-McMoRan Copper & Gold, Inc. | 42,426 | ||||||
| 85 | Newmont Mining Corp. | 4,587 | ||||||
|
| |||||||
| 89,465 | ||||||||
|
| |||||||
| Multi Utilities — 1.2% | ||||||||
| 624 | Ameren Corp. | 17,996 | ||||||
| 674 | CenterPoint Energy, Inc. | 13,042 | ||||||
| 172 | CMS Energy Corp. | 3,387 | ||||||
| 353 | DTE Energy Co. | 17,657 | ||||||
| 387 | Integrys Energy Group, Inc. | 20,062 | ||||||
|
| |||||||
| 72,144 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 92
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Multiline Retail — 1.0% | ||||||||
| 234 | Big Lots, Inc.(b) | $ | 7,757 | |||||
| 120 | Family Dollar Stores, Inc. | 6,307 | ||||||
| 71 | Kohl’s Corp. | 3,551 | ||||||
| 910 | Macy’s, Inc. | 26,609 | ||||||
| 363 | Target Corp. | 17,028 | ||||||
|
| |||||||
| 61,252 | ||||||||
|
| |||||||
| Office Electronics — 0.4% | ||||||||
| 2,096 | Xerox Corp. | 21,819 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 11.3% | ||||||||
| 31 | Apache Corp. | 3,825 | ||||||
| 248 | Cabot Oil & Gas Corp. | 16,445 | ||||||
| 1,191 | Chevron Corp. | 122,482 | ||||||
| 1,059 | ConocoPhillips | 79,626 | ||||||
| 1,036 | El Paso Corp. | 20,927 | ||||||
| 2,471 | ExxonMobil Corp. | 201,090 | ||||||
| 101 | Hess Corp. | 7,551 | ||||||
| 1,089 | Marathon Oil Corp. | 57,368 | ||||||
| 266 | Murphy Oil Corp. | 17,466 | ||||||
| 324 | Occidental Petroleum Corp. | 33,709 | ||||||
| 228 | Peabody Energy Corp. | 13,431 | ||||||
| 430 | Sunoco, Inc. | 17,935 | ||||||
| 1,871 | Tesoro Corp.(b) | 42,865 | ||||||
| 1,452 | Valero Energy Corp. | 37,128 | ||||||
| 499 | Williams Cos., Inc. (The) | 15,095 | ||||||
|
| |||||||
| 686,943 | ||||||||
|
| |||||||
| Paper & Forest Products — 0.6% | ||||||||
| 860 | International Paper Co. | 25,645 | ||||||
| 262 | MeadWestvaco Corp. | 8,727 | ||||||
|
| |||||||
| 34,372 | ||||||||
|
| |||||||
| Personal Products — 0.4% | ||||||||
| 231 | Estee Lauder Cos., Inc. (The), Class A | 24,299 | ||||||
|
| |||||||
| Pharmaceuticals — 3.8% | ||||||||
| 216 | Abbott Laboratories | 11,366 | ||||||
| 481 | Eli Lilly & Co. | 18,052 | ||||||
| 828 | Forest Laboratories, Inc.(b) | 32,574 | ||||||
| 786 | Johnson & Johnson | 52,285 | ||||||
| 307 | Merck & Co., Inc. | 10,834 | ||||||
| 4,314 | Pfizer, Inc. | 88,868 | ||||||
| 252 | Watson Pharmaceuticals, Inc.(b) | 17,320 | ||||||
|
| |||||||
| 231,299 | ||||||||
|
| |||||||
| Real Estate Management & Development — 0.4% | ||||||||
| 978 | CB Richard Ellis Group, Inc., Class A(b) | 24,558 | ||||||
|
| |||||||
| REITs — Apartments — 0.3% | ||||||||
| 26 | AvalonBay Communities, Inc. | 3,338 | ||||||
See accompanying notes to financial statements.
93 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| REITs — Apartments — continued | ||||||||
| 253 | Equity Residential | $ | 15,180 | |||||
|
| |||||||
| 18,518 | ||||||||
|
| |||||||
| REITs — Diversified — 0.8% | ||||||||
| 193 | Plum Creek Timber Co., Inc. | 7,824 | ||||||
| 160 | Vornado Realty Trust | 14,909 | ||||||
| 1,169 | Weyerhaeuser Co. | 25,554 | ||||||
|
| |||||||
| 48,287 | ||||||||
|
| |||||||
| REITs — Office Property — 0.1% | ||||||||
| 47 | Boston Properties, Inc. | 4,990 | ||||||
|
| |||||||
| REITs — Regional Malls — 0.2% | ||||||||
| 107 | Simon Property Group, Inc. | 12,437 | ||||||
|
| |||||||
| REITs — Shopping Centers — 0.1% | ||||||||
| 283 | Kimco Realty Corp. | 5,275 | ||||||
|
| |||||||
| Road & Rail — 0.9% | ||||||||
| 891 | CSX Corp. | 23,362 | ||||||
| 73 | Norfolk Southern Corp. | 5,470 | ||||||
| 236 | Union Pacific Corp. | 24,638 | ||||||
|
| |||||||
| 53,470 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 3.1% | ||||||||
| 591 | Altera Corp. | 27,393 | ||||||
| 165 | Analog Devices, Inc. | 6,458 | ||||||
| 1,057 | Applied Materials, Inc. | 13,751 | ||||||
| 1,413 | Intel Corp. | 31,312 | ||||||
| 175 | KLA-Tencor Corp. | 7,084 | ||||||
| 993 | LSI Corp.(b) | 7,070 | ||||||
| 188 | Microchip Technology, Inc. | 7,127 | ||||||
| 2,799 | Micron Technology, Inc.(b) | 20,936 | ||||||
| 345 | Novellus Systems, Inc.(b) | 12,468 | ||||||
| 699 | NVIDIA Corp.(b) | 11,139 | ||||||
| 1,577 | Teradyne, Inc.(b) | 23,340 | ||||||
| 449 | Texas Instruments, Inc. | 14,741 | ||||||
| 91 | Xilinx, Inc. | 3,319 | ||||||
|
| |||||||
| 186,138 | ||||||||
|
| |||||||
| Software — 4.3% | ||||||||
| 183 | Autodesk, Inc.(b) | 7,064 | ||||||
| 164 | BMC Software, Inc.(b) | 8,971 | ||||||
| 487 | CA, Inc. | 11,123 | ||||||
| 336 | Citrix Systems, Inc.(b) | 26,880 | ||||||
| 706 | Compuware Corp.(b) | 6,890 | ||||||
| 277 | Electronic Arts, Inc.(b) | 6,537 | ||||||
| 370 | Intuit, Inc.(b) | 19,188 | ||||||
| 2,576 | Microsoft Corp. | 66,976 | ||||||
| 1,678 | Oracle Corp. | 55,223 | ||||||
| 154 | Red Hat, Inc.(b) | 7,069 | ||||||
| 158 | Salesforce.com, Inc.(b) | 23,539 | ||||||
See accompanying notes to financial statements.
| 94
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Software — continued | ||||||||
| 1,006 | Symantec Corp.(b) | $ | 19,838 | |||||
|
| |||||||
| 259,298 | ||||||||
|
| |||||||
| Specialty Retail — 3.5% | ||||||||
| 331 | Abercrombie & Fitch Co., Class A | 22,150 | ||||||
| 628 | AutoNation, Inc.(b) | 22,991 | ||||||
| 81 | AutoZone, Inc.(b) | 23,883 | ||||||
| 136 | Best Buy Co., Inc. | 4,272 | ||||||
| 179 | CarMax, Inc.(b) | 5,920 | ||||||
| 934 | GameStop Corp., Class A(b) | 24,910 | ||||||
| 321 | Gap, Inc. (The) | 5,810 | ||||||
| 861 | Limited Brands, Inc. | 33,105 | ||||||
| 363 | Lowe’s Cos., Inc. | 8,462 | ||||||
| 1,323 | RadioShack Corp. | 17,609 | ||||||
| 119 | Ross Stores, Inc. | 9,534 | ||||||
| 855 | Staples, Inc. | 13,509 | ||||||
| 283 | Tiffany & Co. | 22,221 | ||||||
|
| |||||||
| 214,376 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 197 | Coach, Inc. | 12,594 | ||||||
| 107 | Polo Ralph Lauren Corp. | 14,189 | ||||||
|
| |||||||
| 26,783 | ||||||||
|
| |||||||
| Tobacco — 1.8% | ||||||||
| 781 | Altria Group, Inc. | 20,626 | ||||||
| 123 | Lorillard, Inc. | 13,391 | ||||||
| 876 | Philip Morris International, Inc. | 58,491 | ||||||
| 436 | Reynolds American, Inc. | 16,154 | ||||||
|
| |||||||
| 108,662 | ||||||||
|
| |||||||
| Trading Companies & Distributors — 0.1% | ||||||||
| 41 | W.W. Grainger, Inc. | 6,300 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 1.0% | ||||||||
| 1,795 | MetroPCS Communications, Inc.(b) | 30,892 | ||||||
| 5,924 | Sprint Nextel Corp.(b) | 31,930 | ||||||
|
| |||||||
| 62,822 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $5,331,738) | 6,058,254 | |||||||
|
| |||||||
| Total Investments — 99.7% (Identified Cost $5,331,738)(a) | 6,058,254 | |||||||
| Other assets less liabilities — 0.3% | 17,754 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 6,076,008 | ||||||
|
| |||||||
See accompanying notes to financial statements.
91 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| (†) | See Note 2 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, 2011, the net unrealized appreciation on investments based on a cost of $5,331,738 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 | $ | 806,977 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (80,461 | ) | ||||||
|
| |||||||
| Net unrealized appreciation | $ | 726,516 | ||||||
|
| |||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
Industry Summary at June 30, 2011 (Unaudited)
Oil, Gas & Consumable Fuels | 11.3 | % | ||
Health Care Providers & Services | 4.8 | |||
Software | 4.3 | |||
Computers & Peripherals | 4.2 | |||
Media | 3.9 | |||
IT Services | 3.9 | |||
Pharmaceuticals | 3.8 | |||
Energy Equipment & Services | 3.6 | |||
Specialty Retail | 3.5 | |||
Diversified Financial Services | 3.3 | |||
Semiconductors & Semiconductor Equipment | 3.1 | |||
Aerospace & Defense | 2.9 | |||
Machinery | 2.6 | |||
Diversified Telecommunication Services | 2.5 | |||
Insurance | 2.1 | |||
Communications Equipment | 2.1 | |||
Industrial Conglomerates | 2.0 | |||
Other Investments, less than 2% each | 35.8 | |||
|
| |||
Total Investments | 99.7 | |||
Other assets less liabilities | 0.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 92
Table of Contents
Statements of Assets & Liabilities
June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund | Harris Associates Large Cap Value Fund | Natixis Diversified Income Fund* | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 832,714,209 | $ | 123,200,509 | $ | 63,581,180 | ||||||
Net unrealized appreciation | 28,357,600 | 16,914,379 | 2,999,157 | |||||||||
|
|
|
|
|
| |||||||
Investments at value | 861,071,809 | 140,114,888 | 66,580,337 | |||||||||
Cash | 103,462 | 9,397 | 33,338 | |||||||||
Foreign currency at value (identified cost $0, $0 and $21,692) | — | — | 22,001 | |||||||||
Receivable for Fund shares sold | 551,777 | 6,701 | 436,517 | |||||||||
Receivable for securities sold | 16,938,743 | 1,854,639 | 426,342 | |||||||||
Dividends and interest receivable | 608,512 | 140,402 | 476,635 | |||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | 3,000 | |||||||||
Tax reclaims receivable | — | — | 2,298 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 879,274,303 | 142,126,027 | 67,980,468 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for securities purchased | 18,259,544 | 525,445 | 91,300 | |||||||||
Payable for Fund shares redeemed | 2,580,236 | 48,652 | 300,768 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 2,512 | |||||||||
Management fees payable (Note 6) | 475,428 | 90,643 | 30,275 | |||||||||
Deferred Trustees’ fees (Note 6) | 692,727 | 362,201 | 50,963 | |||||||||
Administrative fees payable (Note 6) | 31,711 | 5,191 | 2,538 | |||||||||
Other accounts payable and accrued expenses | 227,957 | 99,196 | 47,378 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 22,267,603 | 1,131,328 | 525,734 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 857,006,700 | $ | 140,994,699 | $ | 67,454,734 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 760,916,287 | $ | 144,908,050 | $ | 84,847,619 | ||||||
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) | (358,716 | ) | (105,476 | ) | 195,097 | |||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 68,091,529 | (20,722,254 | ) | (20,589,609 | ) | |||||||
Net unrealized appreciation on investments and foreign currency translations | 28,357,600 | 16,914,379 | 3,001,627 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 857,006,700 | $ | 140,994,699 | $ | 67,454,734 | ||||||
|
|
|
|
|
| |||||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
93 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Westpeak ActiveBeta® Equity Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments at cost | $ | 313,430,442 | $ | 470,018,247 | $ | 85,678,340 | $ | 5,331,738 | ||||||||
Net unrealized appreciation | 74,913,781 | 74,367,740 | 8,139,105 | 726,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments at value | 388,344,223 | 544,385,987 | 93,817,445 | 6,058,254 | ||||||||||||
Cash | 7,048 | — | — | 14,723 | ||||||||||||
Receivable for Fund shares sold | 142,423 | 93,046 | 1,776,482 | — | ||||||||||||
Receivable from investment adviser (Note 6) | — | — | — | 38,089 | ||||||||||||
Receivable for securities sold | 2,402,112 | — | 350,447 | — | ||||||||||||
Dividends and interest receivable | 255,865 | 960,648 | 103,911 | 6,083 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Tax reclaims receivable | — | — | — | 46 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | 391,151,671 | 545,439,681 | 96,048,285 | 6,117,195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Options written, at value (premiums received $59,875, $0, $0 and $0) (Note 2) | 108,570 | — | — | — | ||||||||||||
Payable for securities purchased | 4,042,045 | 2,073,194 | 312,677 | — | ||||||||||||
Payable for Fund shares redeemed | 337,005 | 559,189 | 106,175 | — | ||||||||||||
Management fees payable (Note 6) | 245,231 | 412,383 | 64,429 | — | ||||||||||||
Deferred Trustees’ fees (Note 6) | 403,290 | 148,891 | 25,728 | 8,182 | ||||||||||||
Administrative fees payable (Note 6) | 14,139 | 21,130 | 3,427 | 8,082 | ||||||||||||
Other accounts payable and accrued expenses | 177,343 | 170,382 | 28,964 | 24,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL LIABILITIES | 5,327,623 | 3,385,169 | 541,400 | 41,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 385,824,048 | $ | 542,054,512 | $ | 95,506,885 | $ | 6,076,008 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 307,268,811 | $ | 406,239,830 | $ | 81,589,962 | $ | 5,071,076 | ||||||||
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) | (1,242,140 | ) | 515,426 | (74,644 | ) | 19,548 | ||||||||||
Accumulated net realized gain (loss) on investments, options written and foreign currency transactions | 4,932,291 | 60,931,516 | 5,852,462 | 258,868 | ||||||||||||
Net unrealized appreciation on investments, options written and foreign currency translations | 74,865,086 | 74,367,740 | 8,139,105 | 726,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 385,824,048 | $ | 542,054,512 | $ | 95,506,885 | $ | 6,076,008 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 94
Table of Contents
Statements of Assets & Liabilities (continued)
June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund | Harris Associates Large Cap Value Fund | Natixis Diversified Income Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 663,945,562 | $ | 120,575,649 | $ | 38,237,115 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 61,859,111 | 8,074,156 | 3,487,850 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 10.73 | $ | 14.93 | $ | 10.96 | ||||||
|
|
|
|
|
| |||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 11.38 | $ | 15.84 | $ | 11.48 | ||||||
|
|
|
|
|
| |||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 7,660,126 | $ | 4,504,379 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 796,108 | 328,252 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 9.62 | $ | 13.72 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 68,339,258 | $ | 6,813,221 | $ | 29,217,619 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 7,138,293 | 498,236 | 2,671,555 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 9.57 | $ | 13.67 | $ | 10.94 | ||||||
|
|
|
|
|
| |||||||
Class Y shares: | ||||||||||||
Net assets | $ | 117,061,754 | $ | 9,101,450 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 10,631,139 | 588,968 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.01 | $ | 15.45 | $ | — | ||||||
|
|
|
|
|
| |||||||
See accompanying notes to financial statements.
95 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Westpeak ActiveBeta® Equity Fund | |||||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||||||
Class A shares: | ||||||||||||||||
Net assets | $ | 328,384,248 | $ | 297,231,977 | $ | 20,093,899 | $ | 1,210 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 12,162,521 | 12,774,067 | 1,224,472 | 101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and redemption price per share | $ | 27.00 | $ | 23.27 | $ | 16.41 | $ | 11.98 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 28.65 | $ | 24.69 | $ | 17.41 | $ | 12.71 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||
Net assets | $ | 23,127,860 | $ | 6,538,407 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 1,001,846 | 326,284 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 23.09 | $ | 20.04 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||
Net assets | $ | 32,585,864 | $ | 37,874,377 | $ | 2,093,824 | $ | 1,206 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 1,410,931 | 1,889,587 | 129,178 | 101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 23.10 | $ | 20.04 | $ | 16.21 | $ | 11.94 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y shares: | ||||||||||||||||
Net assets | $ | 1,726,076 | $ | 200,409,751 | $ | 73,319,162 | $ | 6,073,592 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 59,252 | 8,499,043 | 4,448,792 | 506,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 29.13 | $ | 23.58 | $ | 16.48 | $ | 12.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 96
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund | Harris Associates Large Cap Value Fund | Natixis Diversified Income Fund* | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends | $ | 5,874,941 | $ | 1,212,107 | $ | 572,102 | ||||||
Interest | 4,816 | — | 1,046,282 | |||||||||
Less net foreign taxes withheld | (222,466 | ) | (707 | ) | (1,704 | ) | ||||||
|
|
|
|
|
| |||||||
| 5,657,291 | 1,211,400 | 1,616,680 | ||||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 3,202,331 | 500,036 | 179,211 | |||||||||
Service and distribution fees (Note 6) | 1,315,187 | 212,526 | 186,885 | |||||||||
Administrative fees (Note 6) | 216,352 | 33,160 | 15,123 | |||||||||
Trustees’ fees and expenses (Note 6) | 34,144 | 18,709 | 9,897 | |||||||||
Transfer agent fees and expenses (Note 6) | 438,226 | 118,427 | 18,014 | |||||||||
Audit and tax services fees | 25,003 | 21,340 | 23,396 | |||||||||
Custodian fees and expenses | 23,934 | 11,845 | 18,547 | |||||||||
Legal fees | 8,146 | 1,201 | 571 | |||||||||
Registration fees | 37,475 | 29,526 | 19,062 | |||||||||
Shareholder reporting expenses | 18,001 | 6,202 | 1,036 | |||||||||
Miscellaneous expenses | 17,080 | 5,793 | 5,057 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 5,335,879 | 958,765 | 476,799 | |||||||||
Fee/expense recovery (Note 6) | — | 3,824 | — | |||||||||
|
|
|
|
|
| |||||||
Net expenses | 5,335,879 | 962,589 | 476,799 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 321,412 | 248,811 | 1,139,881 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 195,992,393 | 1,042,899 | 626,076 | |||||||||
Foreign currency transactions | — | — | (4,543 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (229,984,041 | ) | 6,277,693 | 2,595,441 | ||||||||
Foreign currency translations | — | — | 6,572 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments and foreign currency transactions | (33,991,648 | ) | 7,320,592 | 3,223,546 | ||||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (33,670,236 | ) | $ | 7,569,403 | $ | 4,363,427 | |||||
|
|
|
|
|
| |||||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
97 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | Westpeak ActiveBeta® Equity Fund | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends | $ | 1,997,138 | $ | 4,465,083 | $ | 400,692 | $ | 51,825 | ||||||||
Less net foreign taxes withheld | (502 | ) | — | — | (26 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| 1,996,636 | 4,465,083 | 400,692 | 51,799 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fees (Note 6) | 1,691,522 | 2,618,280 | 295,720 | 17,879 | ||||||||||||
Service and distribution fees (Note 6) | 693,687 | 605,268 | 28,758 | 7 | ||||||||||||
Administrative fees (Note 6) | 88,822 | 135,033 | 17,141 | 49,589 | ||||||||||||
Trustees’ fees and expenses (Note 6) | 21,777 | 16,616 | 9,175 | 8,200 | ||||||||||||
Transfer agent fees and expenses (Note 6) | 291,462 | 329,000 | 24,297 | 66 | ||||||||||||
Audit and tax services fees | 30,353 | 20,390 | 19,725 | 20,489 | ||||||||||||
Custodian fees and expenses | 27,075 | 18,089 | 12,562 | 8,884 | ||||||||||||
Legal fees | 3,407 | 4,633 | 499 | 51 | ||||||||||||
Registration fees | 29,056 | 34,920 | 29,070 | 40,144 | ||||||||||||
Shareholder reporting expenses | 13,122 | 14,013 | 7,429 | 1,500 | ||||||||||||
Miscellaneous expenses | 11,595 | 11,283 | 4,629 | 1,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,901,878 | 3,807,525 | 449,005 | 148,439 | ||||||||||||
Fee/expense recovery (Note 6) | — | — | 4,915 | — | ||||||||||||
Less waiver and/or expense reimbursement (Note 6) | (59,291 | ) | — | — | (120,123 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,842,587 | 3,807,525 | 453,920 | 28,316 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (845,951 | ) | 657,558 | (53,228 | ) | 23,483 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 43,549,940 | 64,899,400 | 6,206,055 | 262,591 | ||||||||||||
Options written | (52,633 | ) | — | — | — | |||||||||||
Foreign currency transactions | 4,555 | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (16,030,108 | ) | (30,897,251 | ) | 156,206 | 67,472 | ||||||||||
Options written | (48,695 | ) | — | — | — | |||||||||||
Foreign currency translations | (99 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) on investments, options written and foreign currency transactions | 27,422,960 | 34,002,149 | 6,362,261 | 330,063 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 26,577,009 | $ | 34,659,707 | $ | 6,309,033 | $ | 353,546 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 98
Table of Contents
Statements of Changes In Net Assets
| CGM Advisor Targeted Equity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 321,412 | $ | 4,542,096 | ||||
Net realized gain (loss) on investments | 195,992,393 | 145,665,093 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (229,984,041 | ) | 3,002,654 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (33,670,236 | ) | 153,209,843 | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (3,682,006 | ) | |||||
Class B | — | (375 | ) | |||||
Class C | — | (2,612 | ) | |||||
Class Y | — | (963,306 | ) | |||||
|
|
|
| |||||
Total distributions | — | (4,648,299 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (91,696,224 | ) | (212,514,662 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (125,366,460 | ) | (63,953,118 | ) | ||||
NET ASSETS | ||||||||
Beginning of the period | 982,373,160 | 1,046,326,278 | ||||||
|
|
|
| |||||
End of the period | $ | 857,006,700 | $ | 982,373,160 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (358,716 | ) | $ | (680,128 | ) | ||
|
|
|
| |||||
See accompanying notes to financial statements.
99 |
Table of Contents
| Harris Associates Large Cap Value Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 248,811 | $ | 401,990 | ||||
Net realized gain (loss) on investments | 1,042,899 | (1,313,526 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 6,277,693 | 17,456,589 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 7,569,403 | 16,545,053 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (32,259 | ) | (471,512 | ) | ||||
Class B | (1,388 | ) | (7,875 | ) | ||||
Class C | (2,052 | ) | (8,448 | ) | ||||
Class Y | (2,385 | ) | (58,296 | ) | ||||
|
| �� |
| |||||
Total distributions | (38,084 | ) | (546,131 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (8,073,973 | ) | (10,294,109 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (542,654 | ) | 5,704,813 | |||||
NET ASSETS | ||||||||
Beginning of the period | 141,537,353 | 135,832,540 | ||||||
|
|
|
| |||||
End of the period | $ | 140,994,699 | $ | 141,537,353 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (105,476 | ) | $ | (316,203 | ) | ||
|
|
|
| |||||
See accompanying notes to financial statements.
| 100
Table of Contents
Statements of Changes In Net Assets (continued)
| Natixis Diversified Income Fund* | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 1,139,881 | $ | 1,898,058 | ||||
Net realized gain (loss) on investments and foreign currency transactions | 621,533 | 966,526 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 2,602,013 | 6,183,219 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 4,363,427 | 9,047,803 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (651,728 | ) | (1,156,917 | ) | ||||
Class C | (388,118 | ) | (644,276 | ) | ||||
|
|
|
| |||||
Total distributions | (1,039,846 | ) | (1,801,193 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 989,231 | (3,201,800 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 4,312,812 | 4,044,810 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 63,141,922 | 59,097,112 | ||||||
|
|
|
| |||||
End of the period | $ | 67,454,734 | $ | 63,141,922 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | 195,097 | $ | 95,062 | ||||
|
|
|
| |||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
101 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (845,951 | ) | $ | 4,989 | |||
Net realized gain (loss) on investments, options written and foreign currency transactions | 43,501,862 | 40,357,533 | ||||||
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations | (16,078,902 | ) | 28,130,781 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 26,577,009 | 68,493,303 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (487,074 | ) | |||||
Class Y | — | (4,611 | ) | |||||
|
|
|
| |||||
Total distributions | — | (491,685 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (16,152,954 | ) | (44,819,314 | ) | ||||
|
|
|
| |||||
Increase from regulatory settlements | — | 61,116 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | 10,424,055 | 23,243,420 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 375,399,993 | 352,156,573 | ||||||
|
|
|
| |||||
End of the period | $ | 385,824,048 | $ | 375,399,993 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (1,242,140 | ) | $ | (396,189 | ) | ||
|
|
|
| |||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 102
Table of Contents
Statements of Changes In Net Assets (continued)
| Vaughan Nelson Small Cap Value Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 657,558 | $ | 91,305 | ||||
Net realized gain (loss) on investments | 64,899,400 | 119,759,809 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (30,897,251 | ) | (2,048,591 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 34,659,707 | 117,802,523 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net realized capital gains | ||||||||
Class A | (11,541,362 | ) | (49,985,276 | ) | ||||
Class B | (302,541 | ) | (1,639,642 | ) | ||||
Class C | (1,676,130 | ) | (7,933,438 | ) | ||||
Class Y | (8,809,381 | ) | (40,435,533 | ) | ||||
|
|
|
| |||||
Total distributions | (22,329,414 | ) | (99,993,889 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (1,623,173 | ) | (92,687,439 | ) | ||||
|
|
|
| |||||
Increase from regulatory settlements | — | 493,744 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | 10,707,120 | (74,385,061 | ) | |||||
NET ASSETS | ||||||||
Beginning of the period | 531,347,392 | 605,732,453 | ||||||
|
|
|
| |||||
End of the period | $ | 542,054,512 | $ | 531,347,392 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | 515,426 | $ | (142,132 | ) | |||
|
|
|
| |||||
See accompanying notes to financial statements.
103 |
Table of Contents
| Vaughan Nelson Value Opportunity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (53,228 | ) | $ | 293,964 | |||
Net realized gain (loss) on investments | 6,206,055 | (366,346 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 156,206 | 7,380,666 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 6,309,033 | 7,308,284 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (53,709 | ) | |||||
Class C | — | (2,143 | ) | |||||
Class Y | — | (226,813 | ) | |||||
Net realized capital gains | ||||||||
Class A | — | (13,079 | ) | |||||
Class C | — | (823 | ) | |||||
Class Y | — | (51,747 | ) | |||||
Distributions from paid-in capital | ||||||||
Class A | — | (44,021 | ) | |||||
Class C | — | (1,747 | ) | |||||
Class Y | — | (186,046 | ) | |||||
|
|
|
| |||||
Total distributions | — | (580,128 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 36,391,083 | 33,438,367 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | 42,700,116 | 40,166,523 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 52,806,769 | 12,640,246 | ||||||
|
|
|
| |||||
End of the period | $ | 95,506,885 | $ | 52,806,769 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET | $ | (74,644 | ) | $ | (21,416 | ) | ||
|
|
|
| |||||
See accompanying notes to financial statements.
| 104
Table of Contents
Statements of Changes In Net Assets (continued)
| Westpeak ActiveBeta® Equity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) | Period Ended December 31, 2010(a) | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 23,483 | $ | 25,178 | ||||
Net realized gain (loss) on investments | 262,591 | 36,238 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 67,472 | 659,044 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 353,546 | 720,460 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (b) | (5 | ) | ||||
Class C | — | (b) | (1 | ) | ||||
Class Y | (1,257 | ) | (29,250 | ) | ||||
Net realized capital gains | ||||||||
Class A | (8 | ) | — | |||||
Class C | (8 | ) | — | |||||
Class Y | (41,465 | ) | — | |||||
|
|
|
| |||||
Total distributions | (42,738 | ) | (29,256 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 42,738 | 5,031,258 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | 353,546 | 5,722,462 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 5,722,462 | — | ||||||
|
|
|
| |||||
End of the period | $ | 6,076,008 | $ | 5,722,462 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | 19,548 | $ | (2,678 | ) | |||
|
|
|
| |||||
| (a) | From commencement of operations on July 30, 2010 through December 31, 2010. |
| (b) | Amount rounds to less than $1.00. |
See accompanying notes to financial statements.
105 |
Table of Contents
This Page Intentionally Left Blank
| 106
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) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions (b) | ||||||||||||||||||||||
CGM ADVISOR TARGETED EQUITY FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 11.12 | $ | 0.01 | $ | (0.40 | ) | $ | (0.39 | ) | $ | — | $ | — | $ | — | ||||||||||||
12/31/2010 | 9.54 | 0.05 | (h) | 1.58 | 1.63 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
12/31/2009 | 7.66 | 0.05 | 1.88 | 1.93 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
12/31/2008 | 13.01 | 0.09 | (4.94 | ) | (4.85 | ) | (0.06 | ) | (0.44 | ) | (0.50 | ) | ||||||||||||||||
12/31/2007 | 10.70 | 0.05 | 3.54 | 3.59 | (0.13 | ) | (1.15 | ) | (1.28 | ) | ||||||||||||||||||
12/31/2006 | 10.22 | 0.08 | 0.78 | 0.86 | (0.07 | ) | (0.31 | ) | (0.38 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2011(g) | 10.01 | (0.03 | ) | (0.36 | ) | (0.39 | ) | — | — | — | ||||||||||||||||||
12/31/2010 | 8.61 | (0.02 | )(h) | 1.42 | 1.40 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2009 | 6.92 | (0.01 | ) | 1.70 | 1.69 | — | — | — | ||||||||||||||||||||
12/31/2008 | 11.81 | (0.00 | ) | (4.45 | ) | (4.45 | ) | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||
12/31/2007 | 9.84 | (0.04 | ) | 3.24 | 3.20 | (0.08 | ) | (1.15 | ) | (1.23 | ) | |||||||||||||||||
12/31/2006 | 9.48 | 0.00 | 0.74 | 0.74 | (0.07 | ) | (0.31 | ) | (0.38 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 9.96 | (0.03 | ) | (0.36 | ) | (0.39 | ) | — | — | — | ||||||||||||||||||
12/31/2010 | 8.57 | (0.02 | )(h) | 1.41 | 1.39 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2009 | 6.89 | (0.01 | ) | 1.69 | 1.68 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2008 | 11.79 | 0.02 | (4.46 | ) | (4.44 | ) | (0.02 | ) | (0.44 | ) | (0.46 | ) | ||||||||||||||||
12/31/2007 | 9.84 | (0.03 | ) | 3.22 | 3.19 | (0.09 | ) | (1.15 | ) | (1.24 | ) | |||||||||||||||||
12/31/2006 | 9.48 | 0.00 | 0.74 | 0.74 | (0.07 | ) | (0.31 | ) | (0.38 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 11.40 | 0.02 | (0.41 | ) | (0.39 | ) | — | — | — | |||||||||||||||||||
12/31/2010 | 9.78 | 0.07 | (h) | 1.63 | 1.70 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
12/31/2009 | 7.84 | 0.06 | 1.96 | 2.02 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
12/31/2008 | 13.32 | 0.13 | (5.09 | ) | (4.96 | ) | (0.08 | ) | (0.44 | ) | (0.52 | ) | ||||||||||||||||
12/31/2007 | 10.93 | 0.09 | 3.61 | 3.70 | (0.16 | ) | (1.15 | ) | (1.31 | ) | ||||||||||||||||||
12/31/2006 | 10.42 | 0.11 | 0.82 | 0.93 | (0.11 | ) | (0.31 | ) | (0.42 | ) | ||||||||||||||||||
| (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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (d) | A sales charge for Class A 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) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
See accompanying notes to financial statements.
107 |
Table of Contents
| Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
| 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 (%) | |||||||||||||||||||||||
| $ | — | $ | 10.73 | (3.51 | ) | $ | 663,946 | 1.11 | 1.11 | 0.10 | 118 | |||||||||||||||||||
| — | 11.12 | 17.14 | 753,518 | 1.16 | 1.16 | 0.52 | (h) | 146 | ||||||||||||||||||||||
| — | 9.54 | 25.19 | 693,386 | 1.19 | 1.19 | 0.69 | 170 | |||||||||||||||||||||||
| 0.00 | (i) | 7.66 | (38.36 | ) | 796,146 | 1.10 | 1.10 | 0.83 | 211 | |||||||||||||||||||||
| 0.00 | 13.01 | 34.42 | 826,867 | 1.17 | 1.17 | 0.45 | 179 | |||||||||||||||||||||||
| 0.00 | 10.70 | 8.52 | 679,897 | 1.16 | 1.16 | 0.76 | 171 | |||||||||||||||||||||||
| — | 9.62 | (3.90 | ) | 7,660 | 1.86 | 1.86 | (0.65 | ) | 118 | |||||||||||||||||||||
| — | 10.01 | 16.26 | 9,934 | 1.91 | 1.91 | (0.28 | )(h) | 146 | ||||||||||||||||||||||
| — | 8.61 | 24.42 | 12,401 | 1.94 | 1.94 | (0.11 | ) | 170 | ||||||||||||||||||||||
| 0.00 | (i) | 6.92 | (38.90 | ) | 13,971 | 1.85 | 1.85 | (0.03 | ) | 211 | ||||||||||||||||||||
| 0.00 | 11.81 | 33.41 | 32,297 | 1.92 | 1.92 | (0.34 | ) | 179 | ||||||||||||||||||||||
| 0.00 | 9.84 | 7.83 | 43,032 | 1.91 | 1.91 | 0.02 | 171 | |||||||||||||||||||||||
| — | 9.57 | (3.92 | ) | 68,339 | 1.86 | 1.86 | (0.65 | ) | 118 | |||||||||||||||||||||
| — | 9.96 | 16.22 | 81,291 | 1.91 | 1.91 | (0.23 | )(h) | 146 | ||||||||||||||||||||||
| — | 8.57 | 24.42 | 75,098 | 1.95 | 1.95 | (0.14 | ) | 170 | ||||||||||||||||||||||
| 0.00 | (i) | 6.89 | (38.85 | ) | 59,544 | 1.85 | 1.85 | 0.17 | 211 | |||||||||||||||||||||
| 0.00 | 11.79 | 33.47 | 19,753 | 1.93 | 1.93 | (0.24 | ) | 179 | ||||||||||||||||||||||
| 0.00 | 9.84 | 7.72 | 8,688 | 1.90 | 1.90 | 0.04 | 171 | |||||||||||||||||||||||
| — | 11.01 | (3.42 | ) | 117,062 | 0.86 | 0.86 | 0.35 | 118 | ||||||||||||||||||||||
| — | 11.40 | 17.39 | 137,631 | 0.91 | 0.91 | 0.69 | (h) | 146 | ||||||||||||||||||||||
| — | 9.78 | 25.75 | 265,441 | 0.94 | 0.94 | 0.64 | 170 | |||||||||||||||||||||||
| 0.00 | (i) | 7.84 | (38.28 | ) | 44,240 | 0.85 | 0.85 | 1.21 | 211 | |||||||||||||||||||||
| 0.00 | 13.32 | 34.75 | 17,520 | 0.90 | 0.90 | 0.74 | 179 | |||||||||||||||||||||||
| 0.00 | 10.93 | 8.99 | 11,714 | 0.87 | 0.87 | 1.05 | 171 | |||||||||||||||||||||||
| (h) | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively. |
| (i) | Effective June 2, 2008, redemption fees were eliminated. |
See accompanying notes to financial statements.
| 108
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) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions (b) | ||||||||||||||||||||||
HARRIS ASSOCIATES LARGE CAP VALUE FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 14.17 | $ | 0.03 | $ | 0.73 | $ | 0.76 | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | ||||||||||||
12/31/2010 | 12.58 | 0.05 | 1.60 | 1.65 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
12/31/2009 | 8.77 | 0.05 | (i) | 3.81 | 3.86 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
12/31/2008 | 14.97 | 0.13 | (6.20 | ) | (6.07 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||
12/31/2007 | 15.49 | 0.05 | (0.48 | )(j) | (0.43 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
12/31/2006 | 13.33 | 0.06 | 2.13 | 2.19 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2011(g) | 13.07 | (0.02 | ) | 0.67 | 0.65 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2010 | 11.65 | (0.05 | ) | 1.48 | 1.43 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
12/31/2009 | 8.16 | (0.02 | )(i) | 3.52 | 3.50 | (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 | )(j) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
12/31/2006 | 12.48 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 13.02 | (0.02 | ) | 0.67 | 0.65 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2010 | 11.61 | (0.05 | ) | 1.47 | 1.42 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
12/31/2009 | 8.13 | (0.02 | )(i) | 3.51 | 3.49 | (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 | )(j) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
12/31/2006 | 12.46 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 14.65 | 0.05 | 0.75 | 0.80 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
12/31/2010 | 12.99 | 0.08 | 1.67 | 1.75 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
12/31/2009 | 9.05 | 0.08 | (i) | 3.93 | 4.01 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
12/31/2008 | 15.47 | 0.19 | (6.42 | ) | (6.23 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
12/31/2007 | 16.01 | 0.12 | (0.51 | )(j) | (0.39 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
12/31/2006 | 13.72 | 0.12 | 2.20 | 2.32 | (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 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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, 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.
109 |
Table of Contents
| Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
| Increase from regulatory settlements (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 (%) | |||||||||||||||||||||||
| $ — | $ | 14.93 | 5.39 | $ | 120,576 | 1.30 | (h) | 1.30 | (h) | 0.40 | 19 | |||||||||||||||||||
| — | 14.17 | 13.08 | 118,938 | 1.30 | 1.39 | 0.36 | 32 | |||||||||||||||||||||||
| 0.00 | 12.58 | 44.03 | 113,309 | 1.30 | 1.50 | 0.53 | 131 | |||||||||||||||||||||||
| — | 8.77 | (40.45 | ) | 85,761 | 1.28 | 1.28 | 1.04 | 38 | ||||||||||||||||||||||
| — | 14.97 | (2.94 | ) | 172,468 | 1.28 | (k)(l) | 1.28 | (k) | 0.35 | 30 | ||||||||||||||||||||
| — | 15.49 | 16.50 | 195,714 | 1.30 | 1.30 | 0.44 | 23 | |||||||||||||||||||||||
| — | 13.72 | 5.00 | 4,504 | 2.05 | (h) | 2.05 | (h) | (0.37 | ) | 19 | ||||||||||||||||||||
| — | 13.07 | 12.31 | 5,614 | 2.05 | 2.13 | (0.40 | ) | 32 | ||||||||||||||||||||||
| 0.00 | 11.65 | 42.88 | 7,864 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
| — | 8.16 | (40.87 | ) | 8,191 | 2.03 | 2.04 | 0.25 | 38 | ||||||||||||||||||||||
| — | 13.84 | (3.68 | ) | 23,916 | 2.04 | (k)(l) | 2.04 | (k) | (0.44 | ) | 30 | |||||||||||||||||||
| — | 14.39 | 15.61 | 42,894 | 2.05 | 2.07 | (0.33 | ) | 23 | ||||||||||||||||||||||
| — | 13.67 | 5.02 | 6,813 | 2.05 | (h) | 2.05 | (h) | (0.36 | ) | 19 | ||||||||||||||||||||
| — | 13.02 | 12.26 | 7,399 | 2.05 | 2.14 | (0.39 | ) | 32 | ||||||||||||||||||||||
| 0.00 | 11.61 | 42.91 | 7,208 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
| — | 8.13 | (40.90 | ) | 6,222 | 2.03 | 2.03 | 0.26 | 38 | ||||||||||||||||||||||
| — | 13.82 | (3.69 | ) | 15,616 | 2.04 | (k)(l) | 2.04 | (k) | (0.41 | ) | 30 | |||||||||||||||||||
| — | 14.37 | 15.64 | 18,089 | 2.05 | 2.06 | (0.32 | ) | 23 | ||||||||||||||||||||||
| — | 15.45 | 5.49 | 9,101 | 1.05 | (h) | 1.05 | (h) | 0.64 | 19 | |||||||||||||||||||||
| — | 14.65 | 13.47 | 9,586 | 1.05 | 1.14 | 0.61 | 32 | |||||||||||||||||||||||
| 0.00 | 12.99 | 44.39 | 7,450 | 1.05 | 1.12 | 0.77 | 131 | |||||||||||||||||||||||
| — | 9.05 | (40.18 | ) | 5,842 | 0.84 | 0.84 | 1.47 | 38 | ||||||||||||||||||||||
| — | 15.47 | (2.59 | ) | 11,840 | 0.91 | (l) | 0.91 | 0.72 | 30 | |||||||||||||||||||||
| — | 16.01 | 16.97 | 14,057 | 0.91 | (k) | 0.91 | (k) | 0.82 | 23 | |||||||||||||||||||||
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes fee/expense recovery of 0.01%, less than 0.01%, 0.01% and 0.01% for Class A, B, C and Y, respectively. |
| (i) | Includes a non-recurring dividend of $0.01 per share. |
| (j) | Includes a litigation payment of $0.02 per share. |
| (k) | Includes fee/expense recovery of less than 0.01%, 0.02%, 0.01% and 0.04% for Class A, B, C and Y, respectively. |
| (l) | Effect of voluntary waiver of expenses by adviser was less than 0.005%. |
See accompanying notes to financial statements.
| 110
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) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
NATIXIS DIVERSIFIED INCOME FUND* |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(f) | $ | 10.41 | $ | 0.20 | $ | 0.54 | $ | 0.74 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | ||||||||||||
12/31/2010 | 9.22 | 0.34 | 1.18 | 1.52 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
12/31/2009 | 7.18 | 0.36 | 1.97 | 2.33 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
12/31/2008 | 10.26 | 0.47 | (2.96 | ) | (2.49 | ) | (0.49 | ) | (0.10 | ) | (0.59 | ) | ||||||||||||||||
12/31/2007 | 11.15 | 0.41 | (0.71 | ) | (0.30 | ) | (0.45 | ) | (0.14 | ) | (0.59 | ) | ||||||||||||||||
12/31/2006 | 10.07 | 0.29 | 1.12 | 1.41 | (0.32 | ) | (0.01 | ) | (0.33 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(f) | 10.39 | 0.16 | 0.54 | 0.70 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
12/31/2010 | 9.20 | 0.27 | 1.17 | 1.44 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
12/31/2009 | 7.17 | 0.30 | 1.97 | 2.27 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
12/31/2008 | 10.24 | 0.40 | (2.95 | ) | (2.55 | ) | (0.42 | ) | (0.10 | ) | (0.52 | ) | ||||||||||||||||
12/31/2007 | 11.12 | 0.33 | (0.70 | ) | (0.37 | ) | (0.37 | ) | (0.14 | ) | (0.51 | ) | ||||||||||||||||
12/31/2006 | 10.07 | 0.22 | 1.09 | 1.31 | (0.25 | ) | (0.01 | ) | (0.26 | ) | ||||||||||||||||||
| * | Formerly Natixis Income Diversified Portfolio. |
| (a) | Per share net investment income 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, if applicable, are not annualized. |
| (c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
111 |
Table of Contents
| 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 (%) (d)(e) | Gross expenses (%) (e) | Net investment income (%) (e) | Portfolio turnover rate (%) | ||||||||||||||||||||
| $ | 10.96 | 7.12 | $ | 38,237 | 1.14 | 1.14 | 3.82 | 10 | ||||||||||||||||||
| 10.41 | 16.73 | 35,787 | 1.19 | 1.19 | 3.51 | 28 | ||||||||||||||||||||
| 9.22 | 33.32 | 33,796 | 1.21 | 1.21 | 4.67 | 22 | ||||||||||||||||||||
| 7.18 | (25.26 | ) | 31,709 | 1.09 | 1.10 | 5.10 | 23 | |||||||||||||||||||
| 10.26 | (2.80 | ) | 54,733 | 1.08 | (g) | 1.09 | (g) | 3.76 | 50 | |||||||||||||||||
| 11.15 | 14.24 | 37,117 | 1.25 | 1.30 | 2.72 | 52 | ||||||||||||||||||||
| 10.94 | 6.74 | 29,218 | 1.89 | 1.89 | 3.07 | 10 | ||||||||||||||||||||
| 10.39 | 15.90 | 27,355 | 1.94 | 1.94 | 2.76 | 28 | ||||||||||||||||||||
| 9.20 | 32.24 | 25,301 | 1.96 | 1.96 | 3.90 | 22 | ||||||||||||||||||||
| 7.17 | (25.78 | ) | 30,336 | 1.84 | 1.84 | 4.30 | 23 | |||||||||||||||||||
| 10.24 | (3.52 | ) | 70,179 | 1.83 | (g) | 1.84 | (g) | 3.00 | 50 | |||||||||||||||||
| 11.12 | 13.33 | 49,027 | 2.00 | 2.05 | 2.02 | 52 | ||||||||||||||||||||
| (d) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (e) | Computed on an annualized basis for periods less than one year, if applicable. |
| (f) | For the six months ended June 30, 2011 (Unaudited). |
| (g) | Includes fee/expense recovery of 0.01%. |
See accompanying notes to financial statements.
| 112
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) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
NATIXIS U.S. MULTI-CAP EQUITY FUND* |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 25.17 | $ | (0.04 | ) | $ | 1.87 | $ | 1.83 | $ | — | $ | — | $ | — | |||||||||||||
12/31/2010 | 20.68 | 0.03 | (i) | 4.50 | 4.53 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
12/31/2009 | 15.16 | (0.01 | ) | 5.53 | 5.52 | — | — | — | ||||||||||||||||||||
12/31/2008 | 25.76 | 0.02 | (j) | (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 | — | — | — | |||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2011(g) | 21.60 | (0.12 | ) | 1.61 | 1.49 | — | — | — | ||||||||||||||||||||
12/31/2010 | 17.85 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
12/31/2009 | 13.19 | (0.12 | ) | 4.78 | 4.66 | — | — | — | ||||||||||||||||||||
12/31/2008 | 22.63 | (0.13 | )(j) | (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 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 21.61 | (0.12 | ) | 1.61 | 1.49 | — | — | — | ||||||||||||||||||||
12/31/2010 | 17.86 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
12/31/2009 | 13.19 | (0.12 | ) | 4.79 | 4.67 | — | — | — | ||||||||||||||||||||
12/31/2008 | 22.65 | (0.13 | )(j) | (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 | — | — | — | ||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 27.12 | (0.01 | ) | 2.02 | 2.01 | — | — | — | ||||||||||||||||||||
12/31/2010 | 22.27 | 0.05 | (i) | 4.90 | 4.95 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
12/31/2009 | 16.29 | 0.04 | 5.94 | 5.98 | — | — | — | |||||||||||||||||||||
12/31/2008 | 27.58 | 0.07 | (j) | (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 | — | — | — | |||||||||||||||||||||
| * | Formerly Natixis U.S. Diversified Portfolio. |
| (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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (d) | A sales charge for Class A 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. |
| (f) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
See accompanying notes to financial statements.
113 |
Table of Contents
| Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
| Increase from regulatory settlements (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 (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | |||||||||||||||||||||||
| $ | — | $ | 27.00 | 7.27 | $ | 328,384 | 1.37 | (h) | 1.40 | (0.33 | ) | 55 | ||||||||||||||||||
| 0.00 | 25.17 | 21.90 | 314,384 | 1.40 | 1.50 | 0.14 | (i) | 79 | ||||||||||||||||||||||
| — | 20.68 | 36.41 | 280,846 | 1.40 | 1.56 | (0.05 | ) | 115 | ||||||||||||||||||||||
| — | 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 | |||||||||||||||||||||||
| — | 23.09 | 6.90 | 23,128 | 2.13 | (h) | 2.16 | (1.10 | ) | 55 | |||||||||||||||||||||
| 0.00 | 21.60 | 21.01 | 28,787 | 2.15 | 2.25 | (0.66 | )(i) | 79 | ||||||||||||||||||||||
| — | 17.85 | 35.33 | 37,406 | 2.15 | 2.31 | (0.80 | ) | 115 | ||||||||||||||||||||||
| — | 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 | ||||||||||||||||||||||
| — | 23.10 | 6.90 | 32,586 | 2.12 | (h) | 2.15 | (1.08 | ) | 55 | |||||||||||||||||||||
| 0.00 | 21.61 | 21.00 | 30,912 | 2.15 | 2.25 | (0.62 | )(i) | 79 | ||||||||||||||||||||||
| — | 17.86 | 35.41 | 28,580 | 2.15 | 2.31 | (0.80 | ) | 115 | ||||||||||||||||||||||
| — | 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 | ||||||||||||||||||||||
| — | 29.13 | 7.41 | 1,726 | 1.12 | (h) | 1.17 | (0.06 | ) | 55 | |||||||||||||||||||||
| 0.00 | 27.12 | 22.21 | 1,317 | 1.15 | 1.24 | 0.22 | (i) | 79 | ||||||||||||||||||||||
| — | 22.27 | 36.71 | 5,325 | 1.15 | 1.22 | 0.20 | 115 | |||||||||||||||||||||||
| — | 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 | |||||||||||||||||||||||
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Effective June 1, 2011, the expense limit decreased to 1.30%. 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively. |
| (i) | Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively. |
| (j) | Includes a non-recurring dividend of $0.02 per share. |
See accompanying notes to financial statements.
| 114
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) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
VAUGHAN NELSON SMALL CAP VALUE FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 22.69 | $ | 0.02 | $ | 1.45 | $ | 1.47 | $ | — | $ | (0.89 | ) | $ | (0.89 | ) | ||||||||||||
12/31/2010 | 22.31 | (0.01 | ) | 5.27 | 5.26 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 17.42 | 0.05 | (h) | 4.88 | 4.93 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2011(g) | 19.73 | (0.06 | ) | 1.26 | 1.20 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
12/31/2010 | 20.06 | (0.17 | ) | 4.72 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 15.76 | (0.09 | )(h) | 4.39 | 4.30 | — | — | — | ||||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
6/30/2011(g) | 19.74 | (0.06 | ) | 1.25 | 1.19 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
12/31/2010 | 20.07 | (0.16 | ) | 4.71 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 15.76 | (0.08 | )(h) | 4.39 | 4.31 | — | — | — | ||||||||||||||||||||
12/31/2008 | 20.16 | (0.13 | ) | (4.24 | ) | (4.37 | ) | — | (0.30 | ) | (0.03 | ) | ||||||||||||||||
12/31/2007 | 19.19 | (0.17 | ) | 1.14 | 0.97 | — | — | — | ||||||||||||||||||||
12/31/2006 | 16.37 | (0.19 | ) | 3.01 | 2.82 | — | — | — | ||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||
6/30/2011(g) | 22.96 | 0.05 | 1.46 | 1.51 | — | (0.89 | ) | (0.89 | ) | |||||||||||||||||||
12/31/2010 | 22.47 | 0.06 | 5.31 | 5.37 | — | (4.90 | ) | (4.90 | ) | |||||||||||||||||||
12/31/2009 | 17.55 | 0.12 | (h) | 4.90 | 5.02 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
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(l) | 19.02 | 0.02 | 1.87 | 1.89 | — | — | — | |||||||||||||||||||||
| (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 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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
See accompanying notes to financial statements.
115 |
Table of Contents
| Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
| Increase from regulatory settlements | 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 (%) | ||||||||||||||||||||||||||
| $ | — | $ | — | $ | 23.27 | 6.47 | $ | 297,232 | 1.35 | 1.35 | 0.19 | 48 | ||||||||||||||||||||||
| 0.02 | — | 22.69 | 23.67 | 267,192 | 1.41 | 1.41 | (0.03 | ) | 80 | |||||||||||||||||||||||||
| — | — | 22.31 | 28.30 | 322,961 | 1.45 | 1.49 | 0.27 | 102 | ||||||||||||||||||||||||||
| — | 0.00 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 20.04 | 6.07 | 6,538 | 2.10 | 2.10 | (0.63 | ) | 48 | |||||||||||||||||||||||||
| 0.02 | — | 19.73 | 22.78 | 7,996 | 2.16 | 2.16 | (0.78 | ) | 80 | |||||||||||||||||||||||||
| — | — | 20.06 | 27.28 | 10,630 | 2.20 | 2.24 | (0.56 | ) | 102 | |||||||||||||||||||||||||
| — | 0.00 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 20.04 | 6.01 | 37,874 | 2.10 | 2.10 | (0.58 | ) | 48 | |||||||||||||||||||||||||
| 0.02 | — | 19.74 | 22.78 | 38,855 | 2.16 | 2.16 | (0.76 | ) | 80 | |||||||||||||||||||||||||
| — | — | 20.07 | 27.35 | 39,238 | 2.20 | 2.24 | (0.48 | ) | 102 | |||||||||||||||||||||||||
| — | 0.00 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 23.58 | 6.57 | 200,410 | 1.10 | 1.10 | 0.43 | 48 | ||||||||||||||||||||||||||
| 0.02 | — | 22.96 | 24.00 | 217,305 | 1.16 | 1.16 | 0.24 | 80 | ||||||||||||||||||||||||||
| — | — | 22.47 | 28.61 | 232,903 | 1.18 | (j) | 1.18 | (j) | 0.60 | 102 | ||||||||||||||||||||||||
| — | 0.00 | (i) | 17.55 | (20.81 | ) | 71,568 | 1.20 | 1.21 | 0.65 | 124 | ||||||||||||||||||||||||
| — | 0.00 | 22.20 | 6.12 | 1,241 | 1.19 | (k) | 1.19 | (k) | 0.17 | 78 | ||||||||||||||||||||||||
| — | 0.00 | 20.91 | 9.94 | 427 | 1.35 | 1.90 | 0.35 | 88 | ||||||||||||||||||||||||||
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes a non-recurring dividend of $0.03 per share. |
| (i) | Effective June 2, 2008, redemption fees were eliminated. |
| (j) | Includes fee/expense recovery of less than 0.01%. |
| (k) | Includes fee/expense recovery of 0.04%. |
| (l) | From commencement of Class operations on August 31, 2006 through December 31, 2006. |
See accompanying notes to financial statements.
| 116
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) | 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 | |||||||||||||||||||||||||
VAUGHAN NELSON VALUE OPPORTUNITY FUND |
| |||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||
6/30/2011(g) | $ | 14.75 | $ | (0.03 | ) | $ | 1.69 | $ | 1.66 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
12/31/2010 | 12.46 | 0.08 | (i) | 2.36 | 2.44 | (0.07 | ) | (0.02 | ) | (0.06 | ) | (0.15 | ) | |||||||||||||||||||
12/31/2009 | 9.60 | 0.09 | 2.88 | 2.97 | (0.04 | ) | (0.07 | ) | — | (0.11 | ) | |||||||||||||||||||||
12/31/2008(j) | 10.00 | 0.03 | (0.41 | ) | (0.38 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||||||
6/30/2011(g) | 14.63 | (0.08 | ) | 1.66 | 1.58 | — | — | — | — | |||||||||||||||||||||||
12/31/2010 | 12.39 | (0.03 | )(i) | 2.36 | 2.33 | (0.04 | ) | (0.02 | ) | (0.03 | ) | (0.09 | ) | |||||||||||||||||||
12/31/2009 | 9.59 | (0.02 | ) | 2.89 | 2.87 | (0.00 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||
12/31/2008(j) | 10.00 | 0.02 | (0.41 | ) | (0.39 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||
6/30/2011(g) | 14.80 | (0.01 | ) | 1.69 | 1.68 | — | — | — | — | |||||||||||||||||||||||
12/31/2010 | 12.49 | 0.12 | (i) | 2.37 | 2.49 | (0.09 | ) | (0.02 | ) | (0.07 | ) | (0.18 | ) | |||||||||||||||||||
12/31/2009 | 9.60 | 0.10 | 2.90 | 3.00 | (0.04 | ) | (0.07 | ) | — | (0.11 | ) | |||||||||||||||||||||
12/31/2008(j) | 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 shares and a contingent deferred sales charge for 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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
See accompanying notes to financial statements.
117 |
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 (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | ||||||||||||||||||||
| $ | 16.41 | 11.25 | $ | 20,094 | 1.40 | (h) | 1.40 | (h) | (0.32 | ) | 36 | |||||||||||||||
| 14.75 | 19.64 | 11,268 | 1.40 | 1.69 | 0.62 | (i) | 143 | |||||||||||||||||||
| 12.46 | 30.98 | 3,645 | 1.40 | 5.24 | 0.79 | 45 | ||||||||||||||||||||
| 9.60 | (3.75 | ) | 16 | 1.40 | 39.61 | 1.92 | 12 | |||||||||||||||||||
| 16.21 | 10.80 | 2,094 | 2.15 | (h) | 2.15 | (h) | (1.04 | ) | 36 | |||||||||||||||||
| 14.63 | 18.85 | 824 | 2.15 | 2.46 | (0.23 | )(i) | 143 | |||||||||||||||||||
| 12.39 | 30.01 | 370 | 2.15 | 8.54 | (0.14 | ) | 45 | |||||||||||||||||||
| 9.59 | (3.90 | ) | 41 | 2.15 | 40.36 | 1.62 | 12 | |||||||||||||||||||
| 16.48 | 11.35 | 73,319 | 1.15 | (h) | 1.15 | (h) | (0.07 | ) | 36 | |||||||||||||||||
| 14.80 | 19.96 | 40,715 | 1.15 | 1.43 | 0.92 | (i) | 143 | |||||||||||||||||||
| 12.49 | 31.37 | 8,626 | 1.15 | 7.22 | 0.90 | 45 | ||||||||||||||||||||
| 9.60 | (3.74 | ) | 960 | 1.15 | 38.91 | 1.41 | 12 | |||||||||||||||||||
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes fee/expense recovery of 0.01%. |
| (i) | Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively. |
| (j) | For the period October 31, 2008 (inception) through December 31, 2008. |
See accompanying notes to financial statements.
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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) | Net realized and unrealized gain | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
WESTPEAK ACTIVEBETA® EQUITY FUND |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2011(g) | $ | 11.38 | $ | 0.03 | $ | 0.65 | $ | 0.68 | $ | (0.00 | ) | $ | (0.08 | ) | $ | (0.08 | ) | |||||||||||
12/31/2010(h) | 10.00 | 0.04 | 1.39 | 1.43 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2011(g) | 11.38 | (0.02 | ) | 0.66 | 0.64 | (0.00 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||||||
12/31/2010(h) | 10.00 | 0.01 | 1.38 | 1.39 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2011(g) | 11.38 | 0.05 | 0.65 | 0.70 | (0.00 | ) | (0.08 | ) | (0.08 | ) | ||||||||||||||||||
12/31/2010(h) | 10.00 | 0.05 | 1.39 | 1.44 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
| (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 waived/reimbursed during the period, if applicable, total returns would have been lower. |
| (d) | 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, if applicable, are not annualized. |
| (e) | Computed on an annualized basis for periods less than one year, if applicable. |
| (f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | For the period July 30, 2010 (inception) through December 31, 2010. |
See accompanying notes to financial statements.
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| 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 (%) | ||||||||||||||||||||
| $ | 11.98 | 6.02 | $ | 1 | 1.20 | 5.04 | 0.54 | 40 | ||||||||||||||||||
| 11.38 | 14.28 | 1 | 1.20 | 5.55 | 0.90 | 34 | ||||||||||||||||||||
| 11.94 | 5.67 | 1 | 1.95 | 5.91 | (0.20 | ) | 40 | |||||||||||||||||||
| 11.38 | 13.94 | 1 | 1.95 | 6.31 | 0.14 | 34 | ||||||||||||||||||||
| 12.00 | 6.20 | 6,074 | 0.95 | 4.98 | 0.79 | 40 | ||||||||||||||||||||
| 11.38 | 14.39 | 5,720 | 0.95 | 5.34 | 1.13 | 34 | ||||||||||||||||||||
See accompanying notes to financial statements.
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Notes to Financial Statements
June 30, 2011 (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. The financial statements for certain 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”)
Natixis Diversified Income Fund (formerly Natixis Income Diversified Portfolio) (the “Diversified Income Fund”)
Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) (the “U.S. Multi-Cap Equity Fund”)
Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)
Natixis Funds Trust II:
Harris Associates Large Cap Value Fund (the “Large Cap Value Fund”)
Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)
Westpeak ActiveBeta® Equity Fund (the “ActiveBeta Equity Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A and Class C shares. Targeted Equity Fund, U.S. Multi-Cap Equity Fund, Small Cap Value Fund, Large Cap Value Fund, Value Opportunity Fund and ActiveBeta Equity Fund 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 was closed to new investors.
Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Diversified Income Fund which is sold with a maximum front-end sales charge of 4.50%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher 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 of acquisition, except for reinvested distributions. 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’ prospectus.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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). 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 distributions 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 subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Equity securities, including shares of 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 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) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and 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 utilizing interpolated prices determined from information provided by an independent
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. 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 subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.
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.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported 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. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. 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.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values 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 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.
d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross 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’ Statements 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. Certain contracts may require the movement of cash or securities as collateral for the Funds’ or counterparty’s net obligations under the 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
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June 30, 2011 (Unaudited)
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 or closing sale transaction to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the equity underlying the written option.
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 Funds 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. For the six months ended June 30, 2011, the Funds were not party to any over-the-counter options.
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 of 1986, as amended, 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, 2011 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,
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 of items such as paydown gains and losses, ordinary loss netting to reduce short term capital gains, distribution redesignations, return of capital and capital gain distributions from REITs, foreign currency transactions, distributions in excess of ordinary earnings, premium amortization, non-deductible expenses, and regulatory settlements. 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 adjustment, straddle loss deferrals, wash sales, defaulted bond adjustments, return of capital distributions from REITs, contingent payment debt instruments, premium amortization, forward foreign currency contract mark to market and trust preferred securities. 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 year ended December 31, 2010 was as follows:
| 2010 Distributions Paid From: | ||||||||||||||||||
Fund | Ordinary Income | Long-Term | Return of | Total | ||||||||||||||
Target Equity Fund | $ | 4,648,299 | $ | — | $ | — | $ | 4,648,299 | ||||||||||
Large Cap Value Fund | 546,131 | — | — | 546,131 | ||||||||||||||
Diversified Income Fund | 1,801,193 | — | — | 1,801,193 | ||||||||||||||
U.S. Multi-Cap Equity Fund | 491,685 | — | — | 491,685 | ||||||||||||||
Small Cap Value Fund | 40,800,424 | 59,193,465 | — | 99,993,889 | ||||||||||||||
Value Opportunity Fund | 332,097 | 16,217 | 231,814 | 580,128 | ||||||||||||||
ActiveBeta Equity Fund | 29,256 | — | — | 29,256 | ||||||||||||||
Differences between these amounts and those reported in the Statement of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
As of December 31, 2010, the capital loss carryforwards and post-October losses were as follows:
| Targeted Equity Fund | Large Cap Value Fund | Diversified Income Fund | U.S. Multi-Cap Equity Fund | Small Cap Value Fund | Value Opportunity Fund | ActiveBeta Equity Fund | ||||||||||||||||||||||
Capital loss carryforward: | ||||||||||||||||||||||||||||
Expires December 31, 2011 | $ | — | $ | (9,965,466 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Expires December 31, 2016 | — | — | (6,715,998 | ) | — | — | — | — | ||||||||||||||||||||
Expires December 31, 2017 | (127,400,916 | ) | (9,206,549 | ) | (14,198,082 | ) | (35,486,708 | ) | — | — | — | |||||||||||||||||
Expires December 31, 2018 | — | (790,094 | ) | — | — | — | (279,086 | ) | — | |||||||||||||||||||
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Total capital loss carryfoward | $ | (127,400,916 | ) | $ | (19,962,109 | ) | $ | (20,914,080 | ) | $ | (35,486,708 | ) | $ | — | $ | (279,086 | ) | $ | — | |||||||||
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Deferred net capital losses (post-October 2010) | $ | — | $ | (618,746 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
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Deferred net currency losses (post-October 2010) | $ | — | $ | — | $ | — | $ | (1,327 | ) | $ | — | $ | — | $ | — | |||||||||||||
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On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
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. Certain 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.
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
i. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment.
Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in its portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
There were no delayed delivery securities held by the Funds as of June 30, 2011.
j. 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.
For the six months ended June 30, 2011, none of the Funds had loaned securities under this agreement.
k. 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.
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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.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| • | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities 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, 2011, at value:
Targeted Equity Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 846,463,516 | $ | — | $ | — | $ | 846,463,516 | ||||||||
Short-Term Investments | — | 14,608,293 | — | 14,608,293 | ||||||||||||
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Total | $ | 846,463,516 | $ | 14,608,293 | $ | — | $ | 861,071,809 | ||||||||
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| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Large Cap Value Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 135,352,413 | $ | — | $ | — | $ | 135,352,413 | ||||||||
Short-Term Investments | — | 4,762,475 | — | 4,762,475 | ||||||||||||
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Total | $ | 135,352,413 | $ | 4,762,475 | $ | — | $ | 140,114,888 | ||||||||
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| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Diversified Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 31,819,024 | $ | — | $ | 31,819,024 | ||||||||
Common Stocks(a) | 31,059,620 | — | — | 31,059,620 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Automotive | 586,169 | — | — | 586,169 | ||||||||||||
Banking | 74,200 | 13,612 | — | 87,812 | ||||||||||||
Construction Machinery | — | 6,788 | — | 6,788 | ||||||||||||
Consumer Products | — | 34,075 | — | 34,075 | ||||||||||||
REITs - Healthcare | 74,689 | — | — | 74,689 | ||||||||||||
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Total Convertible Preferred Stocks | 735,058 | 54,475 | — | 789,533 | ||||||||||||
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Non-Convertible Preferred Stocks(a) | 211,600 | 121,236 | — | 332,836 | ||||||||||||
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|
|
|
| |||||||||
Total Preferred Stocks | 946,658 | 175,711 | — | 1,122,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 2,579,324 | — | 2,579,324 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 32,006,278 | 34,574,059 | — | 66,580,337 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 3,000 | — | 3,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 32,006,278 | $ | 34,577,059 | $ | — | $ | 66,583,337 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (2,512 | ) | $ | — | $ | (2,512 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 130
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June 30, 2011 (Unaudited)
U.S. Multi-Cap Equity Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 375,383,183 | $ | — | $ | — | $ | 375,383,183 | ||||||||
Closed End Investment Companies | 1,497,049 | — | — | 1,497,049 | ||||||||||||
Short-Term Investments | — | 11,463,991 | — | 11,463,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 376,880,232 | $ | 11,463,991 | $ | — | $ | 388,344,223 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (108,570 | ) | $ | — | $ | — | $ | (108,570 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small Cap Value Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 495,586,806 | $ | — | $ | — | $ | 495,586,806 | ||||||||
Exchange Traded Funds | 21,468,754 | — | — | 21,468,754 | ||||||||||||
Closed End Investment Companies | 10,473,622 | — | — | 10,473,622 | ||||||||||||
Short-Term Investments | — | 16,856,805 | — | 16,856,805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 527,529,182 | $ | 16,856,805 | $ | — | $ | 544,385,987 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Value Opportunity Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 88,425,966 | $ | — | $ | — | $ | 88,425,966 | ||||||||
Closed End Investment Companies | 1,331,801 | — | — | 1,331,801 | ||||||||||||
Short-Term Investments | — | 4,059,678 | — | 4,059,678 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 89,757,767 | $ | 4,059,678 | $ | — | $ | 93,817,445 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
131 |
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
ActiveBeta Equity Fund
Asset Valuation Inputs
Description(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,058,254 | $ | — | $ | — | $ | 6,058,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
4. Derivatives. 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 used during the period include forward foreign currency contracts and option contracts.
The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. Certain Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2011, Diversified Income Fund engaged in forward foreign currency transactions for hedging purposes.
The Funds are 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. U.S. Multi-Cap Equity Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of option contracts used for hedging purposes. The Fund may also use purchased call options to gain exposure to an equity security without committing the capital required to buy it, while also limiting the downside risk associated with owning it. During the six months ended June 30, 2011, the Fund engaged in purchased put and written call options for hedging purposes, in written put options to offset the cost of options used for hedging purposes, and in purchased call options to gain exposure to equity securities.
Certain Funds are party to agreements with counterparties that govern transactions in forward foreign currency contracts and over-the-counter options. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2011, there were no Funds that held derivative positions subject to credit-risk-related contingent features that were in a net liability position (unrealized depreciation) by counterparty.
Forward foreign currency contracts and over-the-counter option contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. Certain Funds have mitigated this risk by entering into master netting
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June 30, 2011 (Unaudited)
agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of June 30, 2011, the maximum amount of loss that Diversified Income Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $3,000 and the amount of loss that Diversified Income Fund would incur after taking into account master netting arrangements is $488.
Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.
The following is a summary of derivative instruments for Diversified Income Fund as of June 30, 2011:
Statements of Assets and Liabilities Caption | Foreign Exchange Contracts | |||
Assets | ||||
Unrealized appreciation on forward foreign currency contracts | $ | 3,000 | ||
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | (2,512 | ) | ||
Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2011 were as follows:
Statements of Operations Caption | Foreign Exchange Contracts | |||
Net Realized Gain (Loss) on: | ||||
Foreign currency transactions* | $ | (4,356 | ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Foreign currency translations* | 2,547 | |||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
The following is a summary of derivative instruments for U.S. Multi-Cap Equity Fund as of June 30, 2011:
Statements of Assets and Liabilities Caption | Equity Contracts | |||
Liabilities | ||||
Options written, at value | $ | (108,570 | ) | |
133 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Transactions in derivative instruments for U.S. Multi-Cap Equity Fund during the six months ended June 30, 2011 were as follows:
Statements of Operations Caption | Equity Contracts | |||
Net Realized Gain (Loss) on: | ||||
Investments* | $ | (124,924 | ) | |
Options written | (52,633 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Options written | (48,695 | ) | ||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
Volume of forwards activity, as a percentage of net assets, for Diversified Income Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:
Diversified Income Fund | Forwards | |||
Average Notional Amount Outstanding | 0.40 | % | ||
Highest Notional Amount Outstanding | 0.70 | % | ||
Lowest Notional Amount Outstanding | 0.30 | % | ||
Notional Amount Outstanding as of June 30, 2011 | 0.70 | % | ||
Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on the month-end market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:
U.S. Multi-Cap Equity Fund* | Put Options Purchased | Call Options Written | ||||||
Average Market Value of Underlying Securities | 0.06 | % | 0.04 | % | ||||
Highest Market Value of Underlying Securities | 0.44 | % | 0.25 | % | ||||
Lowest Market Value of Underlying Securities | 0.00 | % | 0.00 | % | ||||
Market Value of Underlying Securities as of June 30, 2011 | 0.00 | % | 0.25 | % | ||||
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:
U.S. Multi-Cap Equity Fund* | Call Options Purchased | Put Options Written | ||||||
Average Market Value of Underlying Securities | 0.00 | %(+) | 0.00 | %(+) | ||||
Highest Market Value of Underlying Securities | 0.42 | % | 0.23 | % | ||||
Lowest Market Value of Underlying Securities | 0.00 | % | 0.60 | % | ||||
Market Value of Underlying Securities as of June 30, 2011 | 0.00 | % | 0.00 | % | ||||
| (+) | Amount is less than 0.01%. |
| * | Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures. |
Market value of underlying securities and notional amounts outstanding at the end of the prior period are included in the averages above.
The following is a summary of U.S. Multi-Cap Equity Fund’s written option activity:
| Number of Contracts | Premiums | |||||||
Outstanding at 12/31/2010 | — | $ | — | |||||
Options written | 299 | 98,771 | ||||||
Options terminated in closing purchase transactions | (205 | ) | (38,896 | ) | ||||
Options exercised | — | — | ||||||
Options expired | — | — | ||||||
|
|
|
| |||||
Outstanding at 6/30/2011 | 94 | $ | 59,875 | |||||
|
|
|
| |||||
5. Purchases and Sales of Securities. For the six months ended June 30, 2011, purchases and sales of securities (excluding short-term investments and U.S. Government/agency securities and including paydowns) were as follows:
Fund | Purchases | Sales | ||||||
Targeted Equity Fund | $ | 1,096,530,474 | $ | 1,181,697,035 | ||||
Large Cap Value Fund | 26,087,164 | 31,221,004 | ||||||
Diversified Income Fund | 7,559,647 | 5,946,846 | ||||||
U.S. Multi-Cap Equity Fund | 206,131,311 | 221,746,756 | ||||||
Small Cap Value Fund | 270,557,646 | 296,459,815 | ||||||
Value Opportunity Fund | 59,190,078 | 25,810,334 | ||||||
ActiveBeta Equity Fund | 2,413,941 | 2,427,802 | ||||||
For the six months ended June 30, 2011, purchases and sales of U.S. Government/agency securities by the Diversified Income Fund were $236,929 and $216,071, respectively.
135 |
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Notes to Financial Statements (continued)
June 30, 2011 (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. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity 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 | % | ||||||||||
Large Cap Value Fund | 0.70 | % | 0.65 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Diversified Income Fund | 0.55 | % | 0.55 | % | 0.55 | % | 0.50 | % | 0.50 | % | ||||||||||
U.S. Multi-Cap Equity Fund | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||
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 | % | ||||||||||
ActiveBeta Equity Fund | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Prior to June 1, 2011, U.S. Multi-Cap Equity Fund paid a management fee at an annual rate of 0.90% on the first $1 billion and 0.80% thereafter, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
Large Cap Value Fund | Harris Associates L.P. (“Harris”) | |
Diversified Income Fund | AEW Capital Management, L.P. (“AEW”) | |
| Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | ||
U.S. Multi-Cap Equity Fund | Harris | |
| Loomis Sayles | ||
Small Cap Value Fund | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) | |
Value Opportunity Fund | Vaughan Nelson | |
ActiveBeta Equity Fund | Westpeak Global Advisors, L.P. (“Westpeak”) |
Prior to June 1, 2011, a segment of U.S. Multi-Cap Equity Fund was subadvised by BlackRock Investment Management, LLC. This segment is now subadvised by Loomis Sayles.
Payments to Natixis Advisors are reduced by the amount of payments to the subadvisers.
| 136
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Natixis Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ 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, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the period from June 1, 2011 to June 30, 2011, 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 | ||||||||||||
Large Cap Value Fund | 1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % | ||||||||
Diversified Income Fund | 1.25 | % | — | 2.00 | % | — | ||||||||||
U.S. Multi-Cap Equity Fund | 1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % | ||||||||
Small Cap Value Fund | 1.45 | % | 2.20 | % | 2.20 | % | 1.20 | % | ||||||||
Value Opportunity Fund | 1.40 | % | — | 2.15 | % | 1.15 | % | |||||||||
ActiveBeta Equity Fund | 1.20 | % | — | 1.95 | % | 0.95 | % | |||||||||
Prior to June 1, 2011 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 | ||||||||||||
Large Cap Value Fund | 1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % | ||||||||
Diversified Income Fund | 1.25 | % | — | 2.00 | % | — | ||||||||||
U.S. Multi-Cap Equity Fund | 1.40 | % | 2.15 | % | 2.15 | % | 1.15 | % | ||||||||
Small Cap Value Fund | 1.45 | % | 2.20 | % | 2.20 | % | 1.20 | % | ||||||||
Value Opportunity Fund | 1.40 | % | — | 2.15 | % | 1.15 | % | |||||||||
ActiveBeta Equity Fund | 1.20 | % | — | 1.95 | % | 0.95 | % | |||||||||
Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver 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 waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
137 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross Management Fees | Waivers of Management Fees 1 | Net Management Fees | Percentage of Average Daily Net Assets | ||||||||||||||||
| Gross | Net | |||||||||||||||||||
Targeted Equity Fund | $ | 3,202,331 | $ | — | $ | 3,202,331 | 0.69 | % | 0.69 | % | ||||||||||
Large Cap Value Fund | 500,036 | — | 500,036 | 0.70 | % | 0.70 | % | |||||||||||||
Diversified Income Fund | 179,211 | — | 179,211 | 0.55 | % | 0.55 | % | |||||||||||||
U.S. Multi-Cap Equity Fund | 1,691,522 | 59,291 | 1,632,231 | 0.88 | % | 0.85 | % | |||||||||||||
Small Cap Value Fund | 2,618,280 | — | 2,618,280 | 0.90 | % | 0.90 | % | |||||||||||||
Value Opportunity Fund | 295,720 | — | 295,720 | 0.80 | % | 0.80 | % | |||||||||||||
ActiveBeta Equity Fund | 17,879 | 17,879 | — | 0.60 | % | — | ||||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011, expenses have been reimbursed as follows:
Fund | Reimbursement 2 | |||
ActiveBeta Equity Fund | $ | 102,244 | ||
| 2 | Expense reimbursements are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:
| Recovered Expenses | ||||||||||||||||||||
Fund | Class A | Class B | Class C | Class Y | Total | |||||||||||||||
Large Cap Value Fund | $3,241 | $ | 124 | $ | 194 | $ | 265 | $ | 3,824 | |||||||||||
Value Opportunity Fund | 1,143 | — | 114 | 3,658 | 4,915 | |||||||||||||||
Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, AEW, CGM, Harris, Loomis Sayles 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.
b. 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”).
| 138
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 (if applicable) and Class C shares, as compensation for services provided by Natixis Distributors in providing personal services to investors in Class B (if applicable) 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 (if applicable) and Class C shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Class B (if applicable) and Class C shares.
For the six months ended June 30, 2011, the Funds paid the following service and distribution fees:
| Service Fees | Distribution Fees | |||||||||||||||||||
Fund | Class A | Class B | Class C | Class B | Class C | |||||||||||||||
Targeted Equity Fund | $ | 889,568 | $ | 10,882 | $ | 95,523 | $ | 32,645 | $ | 286,569 | ||||||||||
Large Cap Value Fund | 151,571 | 6,308 | 8,931 | 18,923 | 26,793 | |||||||||||||||
Diversified Income Fund | 46,317 | — | 35,142 | — | 105,426 | |||||||||||||||
U.S. Multi-Cap Equity Fund | 403,976 | 32,415 | 40,012 | 97,247 | 120,037 | |||||||||||||||
Small Cap Value Fund | 373,640 | 9,127 | 48,780 | 27,381 | 146,340 | |||||||||||||||
Value Opportunity Fund | 20,974 | — | 1,946 | — | 5,838 | |||||||||||||||
ActiveBeta Equity Fund | 1 | — | 1 | — | 5 | |||||||||||||||
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts 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 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, 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% 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. Funds that commenced operations prior to July 1, 2011 are subject to a new fund fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. ActiveBeta Equity Fund was subject to the new fund fee during the peroid.
139 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:
Fund | Administrative Fees | |||
Targeted Equity Fund | $ | 216,352 | ||
Large Cap Value Fund | 33,160 | |||
Diversified Income Fund | 15,123 | |||
U.S. Multi-Cap Equity Fund | 88,822 | |||
Small Cap Value Fund | 135,033 | |||
Value Opportunity Fund | 17,141 | |||
ActiveBeta Equity Fund | 49,589 | |||
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 Funds held by the intermediaries (which generally are a percentage of the value of shares held) not to exceed what the Funds would have paid their 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.
For the six months ended June 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:
Fund | Sub-Transfer Agent Fees | |||
Targeted Equity Fund | $ | 228,794 | ||
Large Cap Value Fund | 17,398 | |||
Diversified Income Fund | 13,961 | |||
U.S. Multi-Cap Equity Fund | 47,432 | |||
Small Cap Value Fund | 214,657 | |||
Value Opportunity Fund | 23,500 | |||
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011, were as follows:
Fund | Commissions | |||
Targeted Equity Fund | $ | 168,148 | ||
Large Cap Value Fund | 22,658 | |||
Diversified Income Fund | 18,295 | |||
U.S. Multi-Cap Equity Fund | 164,717 | |||
Small Cap Value Fund | 28,427 | |||
Value Opportunity Fund | 16,693 | |||
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
f. Trustees Fees and Expenses. The Trusts 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 $250,000. 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 $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 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 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 normally 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. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured 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, plus 1.25%. 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.
141 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Prior to April 21, 2011, 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 committed unsecured 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 greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% 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, 2011, none of the Funds had borrowings under these agreements.
8. Brokerage Commission Recapture. Certain Fund have 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, 2011, amounts rebated under these agreements were as follows:
Fund | Rebates | |||
Targeted Equity Fund | $ | 271,555 | ||
Diversified Income Fund | 405 | |||
U.S. Multi-Cap Equity Fund | 17,168 | |||
Small Cap Value Fund | 27,719 | |||
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. Concentration of Ownership. From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of June 30, 2011, Natixis US and its affiliates owned shares equating to 100% of ActiveBeta Equity Fund’s net assets. As of June 30, 2011, certain Funds had shareholders that held greater than 5% of the fund’s outstanding shares. Such ownership may be beneficially held by multiple individuals or entities other than the owner of record. The number of greater than 5% shareholders and the aggregate percentage of net assets represented by such ownership was as follows:
Fund | Number of Greater Than 5% Shareholders | Percentage of Ownership | ||||||
Small Cap Value Fund | 1 | 13.74 | % | |||||
Value Opportunity Fund | 2 | 19.53 | % | |||||
| 142
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. 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, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
Targeted Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 1,991,792 | $ | 22,003,758 | 7,738,827 | $ | 76,552,424 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 311,600 | 3,451,189 | ||||||||||||
Redeemed | (7,864,725 | ) | (86,141,314 | ) | (12,966,098 | ) | (127,132,727 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (5,872,933 | ) | $ | (64,137,556 | ) | (4,915,671 | ) | $ | (47,129,114 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class B | ||||||||||||||||
Issued from the sale of shares | 15,722 | $ | 157,057 | 30,077 | $ | 270,580 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 38 | 356 | ||||||||||||
Redeemed | (212,042 | ) | (2,101,417 | ) | (478,236 | ) | (4,192,463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (196,320 | ) | $ | (1,944,360 | ) | (448,121 | ) | $ | (3,921,527 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 630,474 | $ | 6,255,384 | 2,115,687 | $ | 18,787,778 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 170 | 1,588 | ||||||||||||
Redeemed | (1,653,784 | ) | (16,191,871 | ) | (2,720,024 | ) | (23,660,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,023,310 | ) | $ | (9,936,487 | ) | (604,167 | ) | $ | (4,871,458 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 2,068,519 | $ | 23,537,265 | 5,946,373 | $ | 59,945,503 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 22,586 | 256,277 | ||||||||||||
Redeemed | (3,511,077 | ) | (39,215,086 | ) | (21,046,408 | ) | (216,794,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,442,558 | ) | $ | (15,677,821 | ) | (15,077,449 | ) | $ | (156,592,563 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (8,535,121 | ) | $ | (91,696,224 | ) | (21,045,408 | ) | $ | (212,514,662 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
143 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| | Six Months Ended June 30, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 185,078 | $ | 2,749,920 | 584,698 | $ | 7,591,609 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,804 | 26,867 | 28,036 | 394,129 | ||||||||||||
Redeemed | (506,361 | ) | (7,509,367 | ) | (1,229,322 | ) | (15,876,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (319,479 | ) | $ | (4,732,580 | ) | (616,588 | ) | $ | (7,890,839 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class B | ||||||||||||||||
Issued from the sale of shares | 3,164 | $ | 43,552 | 13,200 | $ | 158,473 | ||||||||||
Issued in connection with the reinvestment of distributions | 95 | 1,299 | 582 | 7,425 | ||||||||||||
Redeemed | (104,546 | ) | (1,427,287 | ) | (259,196 | ) | (3,105,680 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (101,287 | ) | $ | (1,382,436 | ) | (245,414 | ) | $ | (2,939,782 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 9,770 | $ | 132,072 | 81,762 | $ | 989,577 | ||||||||||
Issued in connection with the reinvestment of distributions | 75 | 1,019 | 322 | 4,092 | ||||||||||||
Redeemed | (79,648 | ) | (1,079,403 | ) | (134,778 | ) | (1,585,523 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (69,803 | ) | $ | (946,312 | ) | (52,694 | ) | $ | (591,854 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 33,325 | $ | 512,902 | 195,195 | $ | 2,647,773 | ||||||||||
Issued in connection with the reinvestment of distributions | 131 | 2,022 | 3,104 | 45,227 | ||||||||||||
Redeemed | (99,044 | ) | (1,527,569 | ) | (117,144 | ) | (1,564,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (65,588 | ) | $ | (1,012,645 | ) | 81,155 | $ | 1,128,366 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (556,157 | ) | $ | (8,073,973 | ) | (833,541 | ) | $ | (10,294,109 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| | Six Months Ended June 30, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
Diversified Income Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 397,068 | $ | 4,277,979 | 676,041 | $ | 6,828,409 | ||||||||||
Issued in connection with the reinvestment of distributions | 50,278 | 541,470 | 100,890 | 990,220 | ||||||||||||
Redeemed | (395,927 | ) | (4,256,915 | ) | (1,007,048 | ) | (10,074,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 51,419 | $ | 562,534 | (230,117 | ) | $ | (2,255,550 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 384,675 | $ | 4,132,421 | 612,602 | $ | 6,157,456 | ||||||||||
Issued in connection with the reinvestment of distributions | 15,932 | 171,370 | 29,035 | 284,425 | ||||||||||||
Redeemed | (361,958 | ) | (3,877,094 | ) | (759,919 | ) | (7,388,131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 38,649 | $ | 426,697 | (118,282 | ) | $ | (946,250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 90,068 | $ | 989,231 | (348,399 | ) | $ | (3,201,800 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 144
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| | Six Months Ended June 30, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
U.S. Multi-Cap Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 672,349 | $ | 17,840,234 | 911,448 | $ | 20,451,387 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 18,717 | 466,442 | ||||||||||||
Redeemed | (999,694 | ) | (26,394,215 | ) | (2,022,798 | ) | (44,172,568 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (327,345 | ) | $ | (8,553,981 | ) | (1,092,633 | ) | $ | (23,254,739 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class B | ||||||||||||||||
Issued from the sale of shares | 12,414 | $ | 282,414 | 28,907 | $ | 535,647 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | — | — | ||||||||||||
Redeemed | (343,063 | ) | (7,789,686 | ) | (791,810 | ) | (14,786,760 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (330,649 | ) | $ | (7,507,272 | ) | (762,903 | ) | $ | (14,251,113 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 124,629 | $ | 2,837,445 | 85,590 | $ | 1,613,257 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | — | — | ||||||||||||
Redeemed | (143,997 | ) | (3,298,011 | ) | (255,548 | ) | (4,769,722 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (19,368 | ) | $ | (460,566 | ) | (169,958 | ) | $ | (3,156,465 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 81,346 | $ | 2,361,782 | 10,018 | $ | 239,190 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 134 | 3,603 | ||||||||||||
Redeemed | (70,661 | ) | (1,992,917 | ) | (200,693 | ) | (4,399,790 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 10,685 | $ | 368,865 | (190,541 | ) | $ | (4,156,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (666,677 | ) | $ | (16,152,954 | ) | (2,216,035 | ) | $ | (44,819,314 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
145 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| | Six Months Ended June 30, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
Small Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 2,788,065 | $ | 65,400,688 | 1,568,273 | $ | 37,116,627 | ||||||||||
Issued in connection with the reinvestment of distributions | 317,575 | 7,389,980 | 1,686,885 | 38,516,551 | ||||||||||||
Redeemed | (2,106,032 | ) | (49,305,459 | ) | (5,956,654 | ) | (142,473,851 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 999,608 | $ | 23,485,209 | (2,701,496 | ) | $ | (66,840,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class B | ||||||||||||||||
Issued from the sale of shares | 10,577 | $ | 217,041 | 18,984 | $ | 406,070 | ||||||||||
Issued in connection with the reinvestment of distributions | 14,666 | 294,492 | 79,966 | 1,589,861 | ||||||||||||
Redeemed | (104,202 | ) | (2,133,246 | ) | (223,637 | ) | (4,732,199 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (78,959 | ) | $ | (1,621,713 | ) | (124,687 | ) | $ | (2,736,268 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 68,223 | $ | 1,388,881 | 186,557 | $ | 3,849,819 | ||||||||||
Issued in connection with the reinvestment of distributions | 59,922 | 1,203,224 | 282,744 | 5,618,352 | ||||||||||||
Redeemed | (207,376 | ) | (4,236,662 | ) | (455,474 | ) | (9,570,079 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (79,231 | ) | $ | (1,644,557 | ) | 13,827 | $ | (101,908 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 1,454,225 | $ | 34,463,876 | 1,291,230 | $ | 30,400,662 | ||||||||||
Issued in connection with the reinvestment of distributions | 299,009 | 7,047,654 | 1,369,166 | 31,615,425 | ||||||||||||
Redeemed | (2,720,061 | ) | (63,353,642 | ) | (3,559,389 | ) | (85,024,677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (966,827 | ) | $ | (21,842,112 | ) | (898,993 | ) | $ | (23,008,590 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (125,409 | ) | $ | (1,623,173 | ) | (3,711,349 | ) | $ | (92,687,439 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| | Six Months Ended June 30, 2011 | | | Year Ended December 31, 2010 | | |||||||||||
Value Opportunity Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 700,637 | $ | 11,258,252 | 845,322 | $ | 10,950,063 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 7,026 | 102,623 | ||||||||||||
Redeemed | (239,865 | ) | (3,827,606 | ) | (381,175 | ) | (4,994,591 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 460,772 | $ | 7,430,646 | 471,173 | $ | 6,058,095 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 80,533 | $ | 1,285,635 | 33,713 | $ | 447,990 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 313 | 4,512 | ||||||||||||
Redeemed | (7,658 | ) | (123,556 | ) | (7,556 | ) | (94,316 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 72,875 | $ | 1,162,079 | 26,470 | $ | 358,186 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 2,215,082 | $ | 36,091,080 | 2,494,934 | $ | 32,571,037 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 21,928 | 321,089 | ||||||||||||
Redeemed | (517,294 | ) | (8,292,722 | ) | (456,608 | ) | (5,870,040 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,697,788 | $ | 27,798,358 | 2,060,254 | $ | 27,022,086 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 2,231,435 | $ | 36,391,083 | 2,557,897 | $ | 33,438,367 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| 146
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| | Six Months Ended June 30, 2011 | | | Period Ended December 31, 2010* | | |||||||||||
ActiveBeta Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | — | $ | — | 100 | $ | 1,001 | ||||||||||
Issued in connection with the reinvestment of distributions | 1 | 8 | — | (a) | 5 | |||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1 | $ | 8 | 100 | $ | 1,006 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | — | $ | — | 100 | $ | 1,001 | ||||||||||
Issued in connection with the reinvestment of distributions | 1 | 8 | — | (a) | 1 | |||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1 | $ | 8 | 100 | $ | 1,002 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | — | $ | — | 500,000 | $ | 5,000,000 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,580 | 42,722 | 2,601 | 29,250 | ||||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 3,580 | $ | 42,722 | 502,601 | $ | 5,029,250 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 3,582 | $ | 42,738 | 502,801 | $ | 5,031,258 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| * | From commencement of operations on July 30, 2010 through December 31, 2010. |
| (a) | Amount rounds to less than one share. |
147 |
Table of Contents
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). | |
Table of Contents
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 23, 2011 | ||
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 23, 2011 | ||
| By: | /s/ Michael C. Kardok | |
| Name: Michael C. Kardok | ||
| Title: Treasurer | ||
| Date: August 23, 2011 | ||