Natixis Funds Trust II Oakmark Fund NCSRS Certified semi-annual shareholder report (management investment company)

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)

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

NGAM Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

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:

SEMIANNUAL REPORT

June 30, 2017

LOGO

Natixis Oakmark Fund

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 20

Financial Statements page 37

Notes to Financial Statements page 63

Shareholder Supplement enclosed

NATIXIS OAKMARK FUND


Managers		Symbols
William C. Nygren, CFA^®		Class A NEFOX
Kevin G. Grant, CFA^®		Class C NECOX
M. Colin Hudson, CFA^®		Class N NOANX
Michael J. Mangan, CFA^®		Class Y NEOYX
Harris Associates L.P.

Investment Goal

The Fund seeks long-term capital appreciation.

1 |

Average Annual Total Returns — June 30, 2017³


																Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 11/18/98)
NAV		8.11	%		27.52	%		15.32	%		6.93	%		—	%		0.92	%		0.92	%

Class A (Inception 5/6/31)
NAV		7.96			27.18			15.02			6.63			—			1.18			1.18
With 5.75% Maximum Sales Charge		1.77			19.89			13.67			6.00			—

Class C (Inception 5/1/95)
NAV		7.60			26.21			14.17			5.84			—			1.93			1.93
With CDSC¹		6.60			25.21			14.17			5.84			—

Class N (Inception 5/1/17)
NAV		—			—			—			—			3.03			0.81			0.81

Comparative Performance
S&P 500^® Index²		9.34			17.90			14.63			7.18			1.86

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total 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 ngam.natixis.com/performance. 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(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

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. It also measures the performance of the large cap segment of the US equities market.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 4/30/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

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NATIXIS OAKMARK INTERNATIONAL FUND


Managers		Symbols
David G. Herro, CFA^®		Class A NOIAX
Michael L. Manelli, CFA^®		Class C NOICX
Harris Associates L.P.		Class N NIONX
		Class Y NOIYX

Investment Goal

The Fund seeks long-term capital appreciation.

3 |

Average Annual Total Returns — June 30, 2017³



															Expense Ratios⁴
	6 Months			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 5/1/17)											Class A/C		Class Y/N
NAV		16.79	%		40.66	%		11.93	%		—	%	1.50	%		1.09	%		1.09	%

Class A (Inception 12/15/10)
NAV		16.71			40.56			11.91			7.54		—			1.34			1.34
With 5.75% Maximum Sales Charge		10.01			32.43			10.60			6.57		—

Class C (Inception 12/15/10)
NAV		16.30			39.67			11.09			6.75		—			2.09			2.09
With CDSC¹		15.30			38.67			11.09			6.75		—

Class N (Inception 5/1/17)
NAV		—			—			—			—		1.50			0.97			0.97

Comparative Performance
MSCI World ex USA Index (Net)²		12.82			19.49			8.15			4.69		3.16

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

2	MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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VAUGHAN NELSON SMALL CAP VALUE FUND


Managers		Symbols
Dennis G. Alff, CFA^®		Class A NEFJX
Chad D. Fargason		Class C NEJCX
Chris D. Wallis, CFA^®		Class N VSCNX
Scott J. Weber, CFA^®		Class Y NEJYX
Vaughan Nelson Investment Management, L.P.

Effective July 31, 2009, the fund was closed to new investors.

Investment Goal

The Fund seeks capital appreciation.

5 |

Average Annual Total Returns — June 30, 2017³


																Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 8/31/06)
NAV		-1.20	%		14.53	%		14.38	%		9.46	%		—	%		1.28	%		1.28	%

Class A (Inception 12/31/96)
NAV		-1.39			14.23			14.08			9.17			—			1.53			1.53
With 5.75% Maximum Sales Charge		-7.07			7.67			12.75			8.53			—

Class C (Inception 12/31/96)
NAV		-1.70			13.42			13.25			8.36			—			2.28			2.28
With CDSC¹		-2.63			12.43			13.25			8.36			—

Class N (Inception 5/1/17)
NAV		—			—			—			—			-0.77			1.19			1.19

Comparative Performance
Russell 2000^® Value Index²		0.54			24.86			13.39			5.92			-0.15

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“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	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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VAUGHAN NELSON VALUE OPPORTUNITY FUND


Managers		Symbols
Dennis G. Alff, CFA^®		Class A VNVAX
Chad D. Fargason		Class C VNVCX
Chris D. Wallis, CFA^®		Class N VNVNX
Scott J. Weber, CFA^®		Class Y VNVYX
Vaughan Nelson Investment Management, L.P.

Investment Goal

The Fund seeks long-term capital appreciation.

7 |

Average Annual Total Returns — June 30, 2017³



															Expense Ratios⁴
	6 Months			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 10/31/08)											Class A/C/Y		Class N
NAV		4.00	%		12.60	%		12.83	%		13.00	%	—	%		1.23	%		1.23	%

Class A (Inception 10/31/08)
NAV		3.84			12.33			12.56			12.72		—			1.48			1.48
With 5.75% Maximum Sales Charge		-2.11			5.88			11.22			11.95		—

Class C (Inception 10/31/08)
NAV		3.49			11.49			11.72			11.88		—			2.23			2.23
With CDSC¹		2.49			10.49			11.72			11.88		—

Class N (Inception 5/1/13)
NAV		4.05			12.68			—			—		9.90			1.13			1.13

Comparative Performance
Russell Midcap^® Value Index²		5.18			15.93			15.14			15.16		12.18

1	Performance for Class C shares assumes a 1.00% 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	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis 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, 2017 through June 30, 2017. 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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NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,079.60		$6.24	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,018.79		$6.06	*
Class C
Actual		$1,000.00		$1,076.00		$10.09	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,015.08		$9.79	*
Class N
Actual		$1,000.00		$1,030.30		$1.54	²
Hypothetical (5% return before expenses)		$1,000.00		$1,020.23		$4.61	*
Class Y
Actual		$1,000.00		$1,081.10		$4.95	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,020.03		$4.81	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.21%, 1.96%, 0.92% and 0.96% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio: 1.21%, 1.96% and 0.96%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.92%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).

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NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,167.10		$7.20	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,018.15		$6.71	*
Class C
Actual		$1,000.00		$1,163.00		$11.16	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,014.48		$10.39	*
Class N
Actual		$1,000.00		$1,015.00		$1.71	²
Hypothetical (5% return before expenses)		$1,000.00		$1,019.69		$5.16	*
Class Y
Actual		$1,000.00		$1,015.00		$1.90	³
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.34%, 2.08%, 1.03% and 1.15% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

¹	Actual expenses for Class A and C are equal to the Fund’s annualized expense ratio: 1.34% and 2.08%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 1.03%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).

³	Class Y commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio of 1.15%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$986.10		$6.75	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$6.85	*
Class C
Actual		$1,000.00		$983.00		$10.42	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,014.28		$10.59	*
Class N
Actual		$1,000.00		$992.30		$1.78	²
Hypothetical (5% return before expenses)		$1,000.00		$1,019.39		$5.46	*
Class Y
Actual		$1,000.00		$988.00		$5.52	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,019.24		$5.61	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.12%, 1.09% and 1.12% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.12% and 1.12%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 1.09%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).

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VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,038.40		$6.17
Hypothetical (5% return before expenses)		$1,000.00		$1,018.75		$6.11
Class C
Actual		$1,000.00		$1,034.90		$9.94
Hypothetical (5% return before expenses)		$1,000.00		$1,015.03		$9.84
Class N
Actual		$1,000.00		$1,040.50		$4.45
Hypothetical (5% return before expenses)		$1,000.00		$1,020.43		$4.41
Class Y
Actual		$1,000.00		$1,040.00		$4.91
Hypothetical (5% return before expenses)		$1,000.00		$1,019.98		$4.86

Expenses are equal to the Fund’s annualized expense ratio: 1.22%, 1.97%, 0.88% and 0.97% for Class A, C, N 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 (181), 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 of the Trusts (the “Board”), 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 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 Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or 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 by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the 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, (v) 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, (vi) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (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 that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each

15 |

Fund’s performance and fee differentials against each Fund’s peer group/category, 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 similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, 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 most recently approved the continuation of the Agreements at its meeting held in June 2017. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, 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 NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by NGAM 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 that 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 that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

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The Board noted that, through December 31, 2016, each Fund’s one- and three-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):


	One-Year			Three-Year
Natixis Oakmark Fund		1	%		28	%
Natixis Oakmark International Fund		2	%		34	%
Vaughan Nelson Small Cap Value Fund		56	%		10	%
Vaughan Nelson Value Opportunity Fund		94	%		77	%

In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median 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 Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category; and (3) that the Fund’s long-term performance was strong when compared to relevant performance benchmarks and/or peer groups.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, 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 and/or other relevant factors 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 and the reasons for any such differences. 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 mutual fund assets and the greater regulatory costs associated with the management of such 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 and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had

17 |

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 the Funds in this report have expense caps in place, and they considered that current expenses of all the Funds are below the cap. The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) that the Fund’s advisory fee rate was not significantly above its peer group median (2) that the Fund’s investment discipline was capacity constrained; and (3) that the Fund’s performance supports a fee premium.

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 compensation or profitability were issues, 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 also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that Natixis Oakmark Fund and Vaughan Nelson Value Opportunity Fund had breakpoints in their advisory fees and that each of the Funds in this report was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on 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.

| 18

The Trustees also considered other factors, which included but were not limited to the following:

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services.

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. 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.

19 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 96.1% of Net Assets
		Air Freight & Logistics — 2.4%
	30,965	FedEx Corp.	$	6,729,624

		Auto Components — 1.1%
	34,400	Delphi Automotive PLC		3,015,160

		Automobiles — 3.8%
	364,300	Fiat Chrysler Automobiles NV(b)		3,872,509
	109,000	General Motors Co.		3,807,370
	54,600	Harley-Davidson, Inc.		2,949,492

				10,629,371

		Banks — 10.8%
	303,200	Bank of America Corp.		7,355,632
	152,100	Citigroup, Inc.		10,172,448
	74,100	JPMorgan Chase & Co.		6,772,740
	103,245	Wells Fargo & Co.		5,720,806

				30,021,626

		Beverages — 2.1%
	49,100	Diageo PLC, Sponsored ADR		5,883,653

		Capital Markets — 6.7%
	100,400	Bank of New York Mellon Corp. (The)		5,122,408
	17,540	Goldman Sachs Group, Inc. (The)		3,892,126
	22,945	Moody’s Corp.		2,791,948
	74,000	State Street Corp.		6,640,020

				18,446,502

		Consumer Finance — 4.3%
	275,100	Ally Financial, Inc.		5,749,590
	72,765	Capital One Financial Corp.		6,011,844

				11,761,434

		Electronic Equipment, Instruments & Components — 2.2%
	77,300	TE Connectivity Ltd.		6,081,964

		Energy Equipment & Services — 1.0%
	86,100	National Oilwell Varco, Inc.		2,836,134

		Food Products — 2.2%
	71,290	Nestle S.A., Sponsored ADR		6,216,488

		Health Care Equipment & Supplies — 3.1%
	84,100	Baxter International, Inc.		5,091,414
	38,680	Medtronic PLC		3,432,850

				8,524,264

		Health Care Providers & Services — 3.4%
	34,800	HCA Healthcare, Inc.(b)		3,034,560
	34,295	UnitedHealth Group, Inc.		6,358,979

				9,393,539

		Hotels, Restaurants & Leisure — 1.5%
	133,000	MGM Resorts International		4,161,570

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Household Durables — 2.1%
	30,240	Whirlpool Corp.	$	5,794,589

		Industrial Conglomerates — 2.3%
	236,700	General Electric Co.		6,393,267

		Insurance — 6.7%
	76,400	Aflac, Inc.		5,934,752
	110,200	American International Group, Inc.		6,889,704
	41,975	Aon PLC		5,580,576

				18,405,032

		Internet & Direct Marketing Retail — 1.6%
	181,300	Liberty Interactive Corp./QVC Group, Class A(b)		4,449,102

		Internet Software & Services — 3.4%
	10,000	Alphabet, Inc., Class A(b)		9,296,800

		IT Services — 6.7%
	53,200	Automatic Data Processing, Inc.		5,450,872
	51,775	MasterCard, Inc., Class A		6,288,074
	72,320	Visa, Inc., Class A		6,782,169

				18,521,115

		Machinery — 6.4%
	52,700	Caterpillar, Inc.		5,663,142
	36,200	Cummins, Inc.		5,872,364
	38,720	Parker Hannifin Corp.		6,188,230

				17,723,736

		Media — 3.7%
	7,400	Charter Communications, Inc., Class A(b)		2,492,690
	105,400	Comcast Corp., Class A		4,102,168
	262,800	News Corp., Class A		3,600,360

				10,195,218

		Oil, Gas & Consumable Fuels — 3.9%
	81,000	Anadarko Petroleum Corp.		3,672,540
	117,900	Apache Corp.		5,650,947
	315,100	Chesapeake Energy Corp.(b)		1,566,047

				10,889,534

		Personal Products — 2.1%
	107,075	Unilever PLC, Sponsored ADR		5,794,899

		Semiconductors & Semiconductor Equipment — 5.5%
	158,900	Intel Corp.		5,361,286
	67,800	QUALCOMM, Inc.		3,743,916
	79,900	Texas Instruments, Inc.		6,146,707

				15,251,909

		Software — 3.7%
	45,900	Microsoft Corp.		3,163,887
	139,200	Oracle Corp.		6,979,488

				10,143,375

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Specialty Retail — 1.0%
	66,500	AutoNation, Inc.(b)	$	2,803,640

		Technology Hardware, Storage & Peripherals — 2.4%
	46,550	Apple, Inc.		6,704,131

		Total Common Stocks (Identified Cost $208,483,054)		266,067,676


Principal Amount
	Short-Term Investments — 4.1%
$	11,214,824	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $11,215,142 on 7/03/2017 collateralized by $11,485,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $11,443,275 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,214,824)		11,214,824


		Total Investments — 100.2% (Identified Cost $219,697,878)(a)		277,282,500
		Other assets less liabilities — (0.2)%		(485,251	)

		Net Assets — 100.0%	$	276,797,249


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized appreciation on investments based on a cost of $219,697,878 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	$	65,610,649
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,026,027	)

		Net unrealized appreciation	$	57,584,622


	(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.

| 22

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark Fund – (continued)

Industry Summary at June 30, 2017 (Unaudited)


Banks	10.8	%
IT Services	6.7
Capital Markets	6.7
Insurance	6.7
Machinery	6.4
Semiconductors & Semiconductor Equipment	5.5
Consumer Finance	4.3
Oil, Gas & Consumable Fuels	3.9
Automobiles	3.8
Media	3.7
Software	3.7
Health Care Providers & Services	3.4
Internet Software & Services	3.4
Health Care Equipment & Supplies	3.1
Air Freight & Logistics	2.4
Technology Hardware, Storage & Peripherals	2.4
Industrial Conglomerates	2.3
Food Products	2.2
Electronic Equipment, Instruments & Components	2.2
Beverages	2.1
Personal Products	2.1
Household Durables	2.1
Other Investments, less than 2% each	6.2
Short-Term Investments	4.1

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 94.9% of Net Assets
		Australia — 3.4%
	4,542,768	AMP Ltd.	$	18,126,691
	936,816	Orica Ltd.		14,886,904

				33,013,595

		China — 2.3%
	121,315	Baidu, Inc., Sponsored ADR(b)		21,698,401

		France — 14.6%
	504,000	BNP Paribas S.A.(c)		36,284,320
	709,200	Bureau Veritas S.A.		15,698,434
	198,665	Danone		14,911,305
	19,480	Kering		6,633,168
	18,150	LVMH Moet Hennessy Louis Vuitton SE		4,538,504
	83,090	Pernod-Ricard S.A.		11,126,344
	260,000	Publicis Groupe S.A.		19,378,580
	170,300	Safran S.A.		15,617,567
	25,100	Sanofi		2,405,080
	195,900	Valeo S.A.		13,179,929

				139,773,231

		Germany — 12.8%
	178,500	Allianz SE, (Registered)		35,225,540
	311,800	Bayerische Motoren Werke AG		28,999,659
	91,550	Continental AG		19,804,985
	536,000	Daimler AG, (Registered)		38,875,352

				122,905,536

		Hong Kong — 0.3%
	112,795	Melco Resorts & Entertainment Ltd., Sponsored ADR		2,532,248

		India — 0.9%
	605,900	Infosys Ltd., Sponsored ADR		9,100,618

		Indonesia — 2.0%
	20,026,300	Bank Mandiri Persero Tbk PT		19,195,622

		Italy — 3.4%
	9,099,400	Intesa Sanpaolo SpA		28,943,465
	966,400	Prada SpA		3,593,147

				32,536,612

		Japan — 5.9%
	1,584,700	Daiwa Securities Group, Inc.		9,436,422
	141,100	Komatsu Ltd.		3,621,674
	210,000	Olympus Corp.		7,694,060
	110,800	Omron Corp.		4,823,056
	591,500	Toyota Motor Corp.		31,091,289

				56,666,501

		Korea — 0.6%
	2,990	Samsung Electronics Co. Ltd.		6,227,633

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark International Fund – (continued)


Shares		Description	Value (†)
		Mexico — 1.8%
	705,400	Grupo Televisa SAB, Sponsored ADR	$	17,190,598

		Netherlands — 5.0%
	50,731	Akzo Nobel NV		4,412,002
	77,330	ASML Holding NV		10,080,170
	383,582	EXOR NV		20,814,281
	349,639	Koninklijke Philips NV		12,446,685

				47,753,138

		Sweden — 5.5%
	80,800	Atlas Copco AB, B Shares		2,792,830
	1,188,600	Hennes & Mauritz AB, B Shares		29,634,205
	638,200	SKF AB, B Shares		12,959,535
	450,000	Volvo AB, B Shares		7,674,138

				53,060,708

		Switzerland — 16.2%
	205,400	Cie Financiere Richemont S.A., (Registered)		16,996,606
	3,015,036	Credit Suisse Group AG, (Registered)(c)		43,871,761
	13,103,100	Glencore PLC(c)		49,100,274
	80,935	Kuehne & Nagel International AG, (Registered)		13,530,988
	314,295	LafargeHolcim Ltd., (Registered)		18,063,498
	48,300	Nestle S.A., (Registered)		4,212,613
	27,205	Swatch Group AG (The)		10,062,152

				155,837,892

		Taiwan — 0.3%
	392,000	Taiwan Semiconductor Manufacturing Co. Ltd.		2,678,228

		United Kingdom — 18.0%
	811,500	Ashtead Group PLC		16,792,055
	2,593,500	CNH Industrial NV		29,412,217
	633,400	Diageo PLC		18,718,074
	460,431	Experian PLC		9,449,349
	1,963,600	G4S PLC		8,351,036
	41,463,100	Lloyds Banking Group PLC		35,731,914
	1,260,004	Meggitt PLC		7,829,355
	4,603,100	Royal Bank of Scotland Group PLC(b)		14,852,777
	405,889	Schroders PLC		16,412,495
	100	Schroders PLC, (Non Voting)		2,877
	340,800	Smiths Group PLC		7,085,881
	47,000	Wolseley PLC		2,884,752
	250,800	WPP PLC		5,281,011

				172,803,793

		United States — 1.9%
	127,392	Willis Towers Watson PLC		18,530,440

		Total Common Stocks (Identified Cost $806,916,514)		911,504,794

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark International Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 5.2%
$	49,407,476	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $49,408,876 on 7/03/2017 collateralized by $58,580,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $50,396,243 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $49,407,476)	$	49,407,476


		Total Investments — 100.1% (Identified Cost $856,323,990)(a)		960,912,270
		Other assets less liabilities — (0.1)%		(499,605	)

		Net Assets — 100.0%	$	960,412,665


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized appreciation on investments based on a cost of $856,323,990 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	$	124,558,658
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(19,970,378	)

		Net unrealized appreciation	$	104,588,280


	(b)	Non-income producing security.
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

	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.

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		9/20/2017	Swiss Franc		9,621,000	$	10,082,528	$	(448,908	)

¹ Counterparty is State Street Bank and Trust Company

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis Oakmark International Fund – (continued)

Industry Summary at June 30, 2017 (Unaudited)


Banks	14.0	%
Automobiles	10.2
Capital Markets	7.3
Machinery	5.9
Insurance	5.6
Metals & Mining	5.1
Media	4.4
Textiles, Apparel & Luxury Goods	4.4
Diversified Financial Services	4.1
Auto Components	3.5
Beverages	3.2
Specialty Retail	3.1
Professional Services	2.6
Aerospace & Defense	2.4
Internet Software & Services	2.3
Trading Companies & Distributors	2.0
Industrial Conglomerates	2.0
Chemicals	2.0
Food Products	2.0
Other Investments, less than 2% each	8.8
Short-Term Investments	5.2

Total Investments	100.1
Other assets less liabilities (including forward foreign currency contracts)	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 91.8% of Net Assets
		Banks — 17.0%
	39,400	Community Trust Bancorp, Inc.	$	1,723,750
	244,650	First Financial Bancorp		6,776,805
	184,450	First Merchants Corp.		7,403,823
	86,725	Hope Bancorp, Inc.		1,617,421
	340,000	Investors Bancorp, Inc.		4,542,400
	65,300	Lakeland Financial Corp.		2,995,964
	95,425	Old National Bancorp		1,646,081
	123,525	Pacific Premier Bancorp, Inc.(b)		4,558,073
	82,847	Pinnacle Financial Partners, Inc.		5,202,792
	99,100	Prosperity Bancshares, Inc.		6,366,184
	191,025	Union Bankshares Corp.		6,475,747
	134,800	United Community Banks, Inc.		3,747,440

				53,056,480

		Building Products — 2.5%
	45,850	American Woodmark Corp.(b)		4,380,967
	62,825	JELD-WEN Holding, Inc.(b)		2,039,300
	32,425	Simpson Manufacturing Co., Inc.		1,417,297

				7,837,564

		Chemicals — 1.0%
	38,800	Minerals Technologies, Inc.		2,840,160
	16,000	Tronox Ltd., Class A		241,920

				3,082,080

		Commercial Services & Supplies — 4.3%
	60,525	ABM Industries, Inc.		2,512,998
	48,350	Brink’s Co. (The)		3,239,450
	72,825	KAR Auction Services, Inc.		3,056,465
	56,050	Multi-Color Corp.		4,573,680

				13,382,593

		Construction Materials — 0.9%
	97,725	Summit Materials, Inc., Class A(b)		2,821,321

		Consumer Finance — 1.7%
	91,550	FirstCash, Inc.		5,337,365

		Containers & Packaging — 4.5%
	77,600	Berry Global Group, Inc.(b)		4,423,976
	487,925	Graphic Packaging Holding Co.		6,723,606
	91,250	Silgan Holdings, Inc.		2,899,925

				14,047,507

		Distributors — 0.6%
	55,225	Core-Mark Holding Co., Inc.		1,825,739

		Electrical Equipment — 2.9%
	255,050	Atkore International Group, Inc.(b)		5,751,377
	46,075	EnerSys		3,338,134

				9,089,511

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Electronic Equipment, Instruments & Components — 2.9%
	26,950	Littelfuse, Inc.	$	4,446,750
	34,150	Plexus Corp.(b)		1,795,265
	27,700	Zebra Technologies Corp., Class A(b)		2,784,404

				9,026,419

		Energy Equipment & Services — 0.8%
	67,525	Smart Sand, Inc.(b)		601,648
	52,400	U.S. Silica Holdings, Inc.		1,859,676

				2,461,324

		Food Products — 1.5%
	283,400	Hostess Brands, Inc.(b)		4,562,740

		Gas Utilities — 1.5%
	69,025	Spire, Inc.		4,814,494

		Health Care Equipment & Supplies — 1.3%
	72,650	Integra LifeSciences Holdings Corp.(b)		3,960,152

		Health Care Providers & Services — 2.6%
	119,825	AMN Healthcare Services, Inc.(b)		4,679,166
	53,875	Envision Healthcare Corp.(b)		3,376,346

				8,055,512

		Health Care Technology — 1.1%
	94,675	Cotiviti Holdings, Inc.(b)		3,516,230

		Hotels, Restaurants & Leisure — 1.3%
	42,725	Jack in the Box, Inc.		4,208,413

		Household Durables — 0.7%
	69,025	Ethan Allen Interiors, Inc.		2,229,508

		Insurance — 6.2%
	69,725	Aspen Insurance Holdings Ltd.		3,475,791
	150,675	Brown & Brown, Inc.		6,489,572
	136,075	First American Financial Corp.		6,081,192
	24,516	RenaissanceRe Holdings Ltd.		3,408,950

				19,455,505

		Internet Software & Services — 0.5%
	82,950	CommerceHub, Inc., Series A(b)		1,444,989

		IT Services — 4.0%
	131,025	Booz Allen Hamilton Holding Corp.		4,263,553
	38,450	CACI International, Inc., Class A(b)		4,808,172
	89,850	Presidio, Inc.(b)		1,285,754
	71,650	Virtusa Corp.(b)		2,106,510

				12,463,989

		Life Sciences Tools & Services — 3.4%
	38,700	PRA Health Sciences, Inc.(b)		2,902,887
	236,125	VWR Corp.(b)		7,794,486

				10,697,373

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Machinery — 4.5%
	33,225	Albany International Corp., Class A	$	1,774,215
	102,450	Franklin Electric Co., Inc.		4,241,430
	187,300	Hillenbrand, Inc.		6,761,530
	50,150	REV Group, Inc.		1,388,152

				14,165,327

		Media — 3.2%
	4,850	Cable One, Inc.		3,447,865
	48,050	Nexstar Media Group, Inc., Class A		2,873,390
	140,050	TEGNA, Inc.		2,018,120
	100,800	WideOpenWest, Inc.(b)		1,753,920

				10,093,295

		Metals & Mining — 1.7%
	71,025	Reliance Steel & Aluminum Co.		5,171,330

		Multi-Utilities — 2.9%
	74,650	NorthWestern Corp.		4,555,143
	76,475	Vectren Corp.		4,469,199

				9,024,342

		Oil, Gas & Consumable Fuels — 2.0%
	232,075	Callon Petroleum Co.(b)		2,462,315
	229,275	Laredo Petroleum, Inc.(b)		2,411,973
	111,775	Oasis Petroleum, Inc.(b)		899,789
	31,625	Ring Energy, Inc.(b)		411,125

				6,185,202

		Professional Services — 0.8%
	15,075	Dun & Bradstreet Corp. (The)		1,630,361
	15,175	ICF International, Inc.(b)		714,743

				2,345,104

		REITs – Diversified — 0.9%
	126,825	Outfront Media, Inc.		2,932,194

		REITs – Office Property — 1.7%
	295,400	Brandywine Realty Trust		5,178,362

		REITs – Storage — 0.9%
	121,900	National Storage Affiliates Trust		2,817,109

		Road & Rail — 1.1%
	48,925	Genesee & Wyoming, Inc., Class A(b)		3,345,981

		Semiconductors & Semiconductor Equipment — 4.5%
	200,850	Integrated Device Technology, Inc.(b)		5,179,921
	109,675	MaxLinear, Inc., Class A(b)		3,058,836
	84,500	Silicon Laboratories, Inc.(b)		5,775,575

				14,014,332

		Software — 2.0%
	62,025	BroadSoft, Inc.(b)		2,670,176
	40,025	Manhattan Associates, Inc.(b)		1,923,601
	37,475	Verint Systems, Inc.(b)		1,525,233

				6,119,010

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Textiles, Apparel & Luxury Goods — 0.6%
	43,675	Steven Madden Ltd.(b)	$	1,744,816

		Thrifts & Mortgage Finance — 1.5%
	41,850	Essent Group Ltd.(b)		1,554,309
	146,050	MGIC Investment Corp.(b)		1,635,760
	84,550	Radian Group, Inc.		1,382,393

				4,572,462

		Trading Companies & Distributors — 0.3%
	29,825	GMS, Inc.(b)		838,083

		Total Common Stocks (Identified Cost $254,464,638)		285,923,757


	Exchange-Traded Funds — 4.9%
	128,500	iShares^® Russell 2000 Value Index ETF (Identified Cost $15,161,208)		15,274,795


	Closed-End Investment Companies — 1.4%
	258,175	TCP Capital Corp. (Identified Cost $4,212,184)		4,363,157


Principal Amount
	Short-Term Investments — 1.7%
$	5,395,623	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $5,395,776 on 7/03/2017 collateralized by $5,525,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $5,504,928 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,395,623)		5,395,623


		Total Investments — 99.8% (Identified Cost $279,233,653)(a)		310,957,332
		Other assets less liabilities — 0.2%		500,330

		Net Assets — 100.0%	$	311,457,662


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized appreciation on investments based on a cost of $279,233,653 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	$	37,264,367
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,540,688	)

		Net unrealized appreciation	$	31,723,679

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)



	(b)			Non-income producing security.

	ETF			Exchange-Traded Fund
	REITs			Real Estate Investment Trusts

Industry Summary at June 30, 2017 (Unaudited)


Banks	17.0	%
Insurance	6.2
Exchange-Traded Funds	4.9
Machinery	4.5
Containers & Packaging	4.5
Semiconductors & Semiconductor Equipment	4.5
Commercial Services & Supplies	4.3
IT Services	4.0
Life Sciences Tools & Services	3.4
Media	3.2
Electrical Equipment	2.9
Electronic Equipment, Instruments & Components	2.9
Multi-Utilities	2.9
Health Care Providers & Services	2.6
Building Products	2.5
Oil, Gas & Consumable Fuels	2.0
Software	2.0
Other Investments, less than 2% each	23.8
Short-Term Investments	1.7

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks — 93.4% of Net Assets
		Banks — 6.9%
	336,825	Chemical Financial Corp.	$	16,305,698
	1,024,400	Huntington Bancshares, Inc.		13,849,888
	1,676,575	Investors Bancorp, Inc.		22,399,042
	467,675	PacWest Bancorp		21,840,423

				74,395,051

		Building Products — 1.5%
	456,950	Caesarstone Ltd.(b)		16,016,098

		Capital Markets — 2.9%
	198,450	Nasdaq, Inc.		14,187,191
	315,375	SEI Investments Co.		16,960,867

				31,148,058

		Chemicals — 1.7%
	473,300	PolyOne Corp.		18,335,642

		Commercial Services & Supplies — 1.2%
	310,000	KAR Auction Services, Inc.		13,010,700

		Communications Equipment — 1.7%
	488,050	CommScope Holding Co., Inc.(b)		18,560,541

		Consumer Finance — 1.5%
	536,575	Synchrony Financial		16,000,667

		Containers & Packaging — 5.2%
	195,225	Avery Dennison Corp.		17,252,033
	385,075	Crown Holdings, Inc.(b)		22,973,574
	145,450	Packaging Corp. of America		16,201,676

				56,427,283

		Diversified Consumer Services — 3.1%
	130,675	Grand Canyon Education, Inc.(b)		10,246,227
	427,075	Laureate Education, Inc., Class A(b)		7,486,625
	408,675	ServiceMaster Global Holdings, Inc.(b)		16,015,973

				33,748,825

		Electrical Equipment — 1.2%
	114,775	Hubbell, Inc.		12,989,087

		Energy Equipment & Services — 2.1%
	228,475	Baker Hughes, Inc.		12,454,172
	645,750	Forum Energy Technologies, Inc.(b)		10,073,700

				22,527,872

		Health Care Providers & Services — 3.2%
	209,175	Centene Corp.(b)		16,708,899
	284,250	Envision Healthcare Corp.(b)		17,813,947

				34,522,846

		Hotels, Restaurants & Leisure — 3.4%
	584,600	Aramark		23,956,908
	659,475	Extended Stay America, Inc.		12,767,436

				36,724,344

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Household Durables — 4.7%
	118,000	Mohawk Industries, Inc.(b)	$	28,519,420
	420,835	Newell Brands, Inc.		22,565,173

				51,084,593

		Independent Power & Renewable Electricity Producers — 2.1%
	1,046,975	Abengoa Yield PLC		22,363,386

		Insurance — 9.1%
	416,275	Arthur J. Gallagher & Co.		23,831,744
	350,750	Athene Holding Ltd., Class A(b)		17,400,707
	471,975	First American Financial Corp.		21,092,563
	310,000	Hartford Financial Services Group, Inc. (The)		16,296,700
	152,050	Reinsurance Group of America, Inc., Class A		19,521,699

				98,143,413

		IT Services — 8.1%
	61,150	Alliance Data Systems Corp.		15,696,593
	144,800	CACI International, Inc., Class A(b)		18,107,240
	307,850	Fidelity National Information Services, Inc.		26,290,390
	72,950	Fiserv, Inc.(b)		8,924,703
	203,800	Global Payments, Inc.		18,407,216

				87,426,142

		Leisure Products — 1.4%
	245,650	Brunswick Corp.		15,409,625

		Life Sciences Tools & Services — 2.3%
	127,912	Quintiles IMS Holdings, Inc.(b)		11,448,124
	415,125	VWR Corp.(b)		13,703,276

				25,151,400

		Machinery — 5.4%
	1,070,525	Milacron Holdings Corp.(b)		18,830,535
	312,150	Pentair PLC		20,770,461
	120,150	Snap-on, Inc.		18,983,700

				58,584,696

		Media — 2.8%
	673,625	Interpublic Group of Cos., Inc. (The)		16,571,175
	229,550	Nexstar Media Group, Inc., Class A		13,727,090

				30,298,265

		Metals & Mining — 3.0%
	2,069,175	Constellium NV, Class A(b)		14,277,308
	246,725	Reliance Steel & Aluminum Co.		17,964,047

				32,241,355

		Oil, Gas & Consumable Fuels — 4.0%
	458,025	Continental Resources, Inc.(b)		14,807,948
	1,190,650	QEP Resources, Inc.(b)		12,025,565
	1,714,125	WPX Energy, Inc.(b)		16,558,448

				43,391,961

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Pharmaceuticals — 0.6%
	541,700	Endo International PLC(b)	$	6,050,789

		REITs – Diversified — 2.4%
	1,689,450	New Residential Investment Corp.		26,287,842

		REITs – Warehouse/Industrials — 1.1%
	220,975	CyrusOne, Inc.		12,319,356

		Semiconductors & Semiconductor Equipment — 2.4%
	201,650	Analog Devices, Inc.		15,688,370
	342,175	Micron Technology, Inc.(b)		10,217,345

				25,905,715

		Software — 2.7%
	169,475	Check Point Software Technologies Ltd.(b)		18,486,333
	276,750	RingCentral, Inc., Class A(b)		10,115,212

				28,601,545

		Specialty Retail — 0.8%
	138,375	Signet Jewelers Ltd.		8,750,835

		Technology Hardware, Storage & Peripherals — 2.3%
	595,575	NCR Corp.(b)		24,323,283

		Textiles, Apparel & Luxury Goods — 1.5%
	139,450	PVH Corp.		15,967,025

		Trading Companies & Distributors — 1.1%
	395,825	HD Supply Holdings, Inc.(b)		12,124,120

		Total Common Stocks (Identified Cost $923,316,407)		1,008,832,360


	Closed-End Investment Companies — 2.6%
	1,701,250	Ares Capital Corp. (Identified Cost $26,425,999)		27,866,475


Principal Amount
	Short-Term Investments — 2.4%
$	25,616,257	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $25,616,983 on 7/03/2017 collateralized by $26,155,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $26,132,637 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $25,616,257)		25,616,257


		Total Investments — 98.4% (Identified Cost $975,358,663)(a)		1,062,315,092
		Other assets less liabilities — 1.6%		17,012,481

		Net Assets — 100.0%	$	1,079,327,573

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2017, the net unrealized appreciation on investments based on a cost of $975,358,663 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	$	131,253,610
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(44,297,181	)

	Net unrealized appreciation	$	86,956,429


(b)	Non-income producing security.

REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2017 (Unaudited)


Insurance	9.1	%
IT Services	8.1
Banks	6.9
Machinery	5.4
Containers & Packaging	5.2
Household Durables	4.7
Oil, Gas & Consumable Fuels	4.0
Hotels, Restaurants & Leisure	3.4
Health Care Providers & Services	3.2
Diversified Consumer Services	3.1
Metals & Mining	3.0
Capital Markets	2.9
Media	2.8
Software	2.7
Closed-End Investment Companies	2.6
REITs – Diversified	2.4
Semiconductors & Semiconductor Equipment	2.4
Life Sciences Tools & Services	2.3
Technology Hardware, Storage & Peripherals	2.3
Energy Equipment & Services	2.1
Independent Power & Renewable Electricity Producers	2.1
Other Investments, less than 2% each	15.3
Short-Term Investments	2.4

Total Investments	98.4
Other assets less liabilities	1.6

Net Assets	100.0	%

See accompanying notes to financial statements.

| 36

Statements of Assets and Liabilities

June 30, 2017 (Unaudited)


	Natixis Oakmark Fund		Natixis Oakmark International Fund			Vaughan Nelson Small Cap Value Fund
ASSETS
Investments at cost	$	219,697,878	$	856,323,990		$	279,233,653
Net unrealized appreciation		57,584,622		104,588,280			31,723,679

Investments at value		277,282,500		960,912,270			310,957,332
Cash		—		126,310			—
Foreign currency at value (identified cost $0, $749 and $0, respectively)		—		749			—
Receivable for Fund shares sold		445,295		3,131,396			155,927
Receivable for securities sold		409,603		4,301,253			6,497,475
Dividends and interest receivable		161,524		928,235			192,631
Tax reclaims receivable		58,668		2,403,454			—
Prepaid expenses (Note 8)		603		1,827			689

TOTAL ASSETS		278,358,193		971,805,494			317,804,054

LIABILITIES
Payable for securities purchased		164,933		6,928,635			4,612,759
Payable for Fund shares redeemed		688,740		3,100,006			1,204,785
Unrealized depreciation on forward foreign currency contracts (Note 2)		—		448,908			—
Management fees payable (Note 6)		155,485		662,695			233,007
Deferred Trustees’ fees (Note 6)		477,069		82,891			219,639
Administrative fees payable (Note 6)		9,833		34,989			11,226
Payable to distributor (Note 6d)		1,683		10,825			2,345
Other accounts payable and accrued expenses		63,201		123,880			62,631

TOTAL LIABILITIES		1,560,944		11,392,829			6,346,392

NET ASSETS	$	276,797,249	$	960,412,665		$	311,457,662

NET ASSETS CONSIST OF:
Paid-in capital	$	216,221,137	$	968,609,895		$	268,552,264
Undistributed (Distributions in excess of) net investment income		82,160		11,139,803			(353,366	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		2,909,330		(123,484,925	)		11,535,085
Net unrealized appreciation on investments and foreign currency translations		57,584,622		104,147,892			31,723,679

NET ASSETS	$	276,797,249	$	960,412,665		$	311,457,662

See accompanying notes to financial statements.

37 |

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Natixis Oakmark Fund			Natixis Oakmark International Fund			Vaughan Nelson Small Cap Value Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	180,498,547		$	659,412,346		$	97,827,581

Shares of beneficial interest		7,932,821			46,495,917			5,200,017

Net asset value and redemption price per share	$	22.75		$	14.18		$	18.81

Offering price per share (100/94.25 of net asset value) (Note 1)	$	24.14		$	15.05		$	19.96

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	58,236,025		$	296,041,592		$	17,115,700

Shares of beneficial interest		2,920,667			21,286,029			1,388,553

Net asset value and offering price per share	$	19.94		$	13.91		$	12.33

Class N shares:
Net assets	$	1,031		$	1,015		$	992

Shares of beneficial interest		43			72			51

Net asset value, offering and redemption price per share	$	23.83	*	$	14.19	*	$	19.40	*

Class Y shares:
Net assets	$	38,061,646		$	4,957,712		$	196,513,389

Shares of beneficial interest		1,597,067			349,316			10,126,434

Net asset value, offering and redemption price per share	$	23.83		$	14.19		$	19.41

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

| 38

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	975,358,663
Net unrealized appreciation		86,956,429

Investments at value		1,062,315,092
Receivable for Fund shares sold		18,515,389
Receivable for securities sold		11,087,082
Dividends and interest receivable		1,352,195
Prepaid expenses (Note 8)		2,334

TOTAL ASSETS		1,093,272,092

LIABILITIES
Payable for securities purchased		11,259,070
Payable for Fund shares redeemed		1,706,899
Management fees payable (Note 6)		701,981
Deferred Trustees’ fees (Note 6)		113,598
Administrative fees payable (Note 6)		39,382
Payable to distributor (Note 6d)		10,319
Other accounts payable and accrued expenses		113,270

TOTAL LIABILITIES		13,944,519

NET ASSETS	$	1,079,327,573

NET ASSETS CONSIST OF:
Paid-in capital	$	1,000,941,573
Undistributed net investment income		2,764,973
Accumulated net realized loss on investments		(11,335,402	)
Net unrealized appreciation on investments		86,956,429

NET ASSETS	$	1,079,327,573

See accompanying notes to financial statements.

39 |

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	72,142,871

Shares of beneficial interest		3,380,894

Net asset value and redemption price per share	$	21.34

Offering price per share (100/94.25 of net asset value) (Note 1)	$	22.64

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	53,534,988

Shares of beneficial interest		2,651,565

Net asset value and offering price per share	$	20.19

Class N shares:
Net assets	$	151,764,364

Shares of beneficial interest		7,030,090

Net asset value, offering and redemption price per share	$	21.59

Class Y shares:
Net assets	$	801,885,350

Shares of beneficial interest		37,129,766

Net asset value, offering and redemption price per share	$	21.60

See accompanying notes to financial statements.

| 40

Statements of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


	Natixis Oakmark Fund			Natixis Oakmark International Fund			Vaughan Nelson Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	2,321,784		$	20,497,425		$	1,858,224
Interest		14,542			44,091			26,693
Less net foreign taxes withheld		(24,539	)		(2,102,662	)		—

		2,311,787			18,438,854			1,884,917

Expenses
Management fees (Note 6)		915,576			3,655,065			1,405,938
Service and distribution fees (Note 6)		512,491			2,100,443			222,030
Administrative fees (Note 6)		59,231			192,244			69,843
Trustees’ fees and expenses (Note 6)		52,051			25,941			32,008
Transfer agent fees and expenses (Note 6 and 7)		136,941			446,285			130,173
Audit and tax services fees		21,412			22,097			21,433
Custodian fees and expenses		4,742			168,515			12,572
Legal fees		3,256			10,164			3,960
Registration fees		53,796			61,948			53,436
Shareholder reporting expenses		14,747			53,197			13,016
Miscellaneous expenses (Note 8)		11,722			31,771			12,329

Total expenses		1,785,965			6,767,670			1,976,738
Less waiver and/or expense reimbursement (Note 6)		(24	)		(24	)		(24	)

Net expenses		1,785,941			6,767,646			1,976,714

Net investment income (loss)		525,846			11,671,208			(91,797	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		3,516,904			16,307,745			12,365,128
Foreign currency transactions		—			1,205,980			—
Net change in unrealized appreciation (depreciation) on:
Investments		16,337,972			102,809,239			(16,408,294	)
Foreign currency translations		—			(1,774,036	)		—

Net realized and unrealized gain (loss) on investments and foreign currency transactions		19,854,876			118,548,928			(4,043,166	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	20,380,722		$	130,220,136		$	(4,134,963	)

See accompanying notes to financial statements.

41 |

Statements of Operations (continued)

For the Six Months Ended June 30, 2017 (Unaudited)


	Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	8,667,921
Interest		19,729

		8,687,650

Expenses
Management fees (Note 6)		4,506,753
Service and distribution fees (Note 6)		406,351
Administrative fees (Note 6)		251,902
Trustees’ fees and expenses (Note 6)		30,933
Transfer agent fees and expenses (Notes 6 and 7)		442,173
Audit and tax services fees		21,938
Custodian fees and expenses		20,078
Legal fees		15,293
Registration fees		46,174
Shareholder reporting expenses		48,707
Miscellaneous expenses (Note 8)		31,118

Total expenses		5,821,420

Net investment income		2,866,230

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		34,240,875
Net change in unrealized appreciation (depreciation) on:
Investments		8,521,957

Net realized and unrealized gain on investments		42,762,832

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	45,629,062

See accompanying notes to financial statements.

| 42

Statements of Changes in Net Assets


	Natixis Oakmark Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	525,846		$	1,539,968
Net realized gain on investments		3,516,904			6,222,168
Net change in unrealized appreciation (depreciation) on investments		16,337,972			29,078,941

Net increase in net assets resulting from operations		20,380,722			36,841,077

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(10,356	)		(1,258,918	)
Class C		(3,958	)		(41,500	)
Class Y		(1,815	)		(236,527	)
Net realized capital gains
Class A		(2,437,051	)		(5,328,126	)
Class C		(931,236	)		(2,180,741	)
Class Y		(427,138	)		(565,289	)

Total distributions		(3,811,554	)		(9,611,101	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		5,029,806			(38,299,982	)

Net increase (decrease) in net assets		21,598,974			(11,070,006	)
NET ASSETS
Beginning of the period		255,198,275			266,268,281

End of the period	$	276,797,249		$	255,198,275

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	82,160		$	(427,557	)

See accompanying notes to financial statements.

43 |

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund
	Six Months Ended June 30, 2017 (Unaudited)		Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	11,671,208	$	11,533,880
Net realized gain (loss) on investments and foreign currency transactions		17,513,725		(132,927,173	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		101,035,203		171,238,190

Net increase in net assets resulting from operations		130,220,136		49,844,897

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—		(9,085,209	)
Class C		—		(2,323,459	)
Net realized capital gains
Class A		—		(2,775,676	)
Class C		—		(1,263,983	)

Total distributions		—		(15,448,327	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		41,831,044		(310,799,653	)

Net increase (decrease) in net assets		172,051,180		(276,403,083	)
NET ASSETS
Beginning of the period		788,361,485		1,064,764,568

End of the period	$	960,412,665	$	788,361,485

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	11,139,803	$	(531,405	)

See accompanying notes to financial statements.

| 44

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income (loss)	$	(91,797	)	$	638,070
Net realized gain on investments		12,365,128			30,916,492
Net change in unrealized appreciation (depreciation) on investments		(16,408,294	)		24,284,297

Net increase (decrease) in net assets resulting from operations		(4,134,963	)		55,838,859

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(8,823	)		(69,535	)
Class C		(1,998	)		—
Class Y		(13,614	)		(533,444	)
Net realized capital gains
Class A		(3,720,056	)		(7,594,180	)
Class C		(1,005,357	)		(2,160,752	)
Class Y		(6,849,524	)		(13,003,298	)

Total distributions		(11,599,372	)		(23,361,209	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		17,220,204			(26,130,394	)

Net increase in net assets		1,485,869			6,347,256
NET ASSETS
Beginning of the period		309,971,793			303,624,537

End of the period	$	311,457,662		$	309,971,793

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(353,366	)	$	(237,134	)

See accompanying notes to financial statements.

45 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	2,866,230		$	7,419,520
Net realized gain (loss) on investments		34,240,875			(46,134,274	)
Net change in unrealized appreciation (depreciation) on investments		8,521,957			116,689,577

Net increase in net assets resulting from operations		45,629,062			77,974,823

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(208,980	)
Class C		—			(4,215	)
Class N		—			(1,086,141	)
Class Y		—			(5,786,437	)
Net realized capital gains
Class A		—			(4,375,048	)
Class C		—			(2,641,165	)
Class N		—			(1,943,672	)
Class Y		—			(32,526,948	)

Total distributions		—			(48,572,606	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(174,669,984	)		(251,794,180	)

Net decrease in net assets		(129,040,922	)		(222,391,963	)
NET ASSETS
Beginning of the period		1,208,368,495			1,430,760,458

End of the period	$	1,079,327,573		$	1,208,368,495

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	2,764,973		$	(101,257	)

See accompanying notes to financial statements.

| 46

Financial Highlights

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	21.37		$	18.79		$	20.43		$	21.40		$	16.09		$	13.86

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.16			0.14			0.10			0.06			0.12
Net realized and unrealized gain (loss)		1.63			3.20			(1.02	)		2.11			6.03			2.24

Total from Investment Operations		1.69			3.36			(0.88	)		2.21			6.09			2.36

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.16	)		(0.13	)		(0.07	)		(0.07	)		(0.13	)
Net realized capital gains		(0.31	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)		—

Total Distributions		(0.31	)		(0.78	)		(0.76	)		(3.18	)		(0.78	)		(0.13	)

Net asset value, end of the period	$	22.75		$	21.37		$	18.79		$	20.43		$	21.40		$	16.09

Total return(c)		7.96	%(d)		18.37	%		(4.41	)%		10.43	%		37.82	%		17.03	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	180,499		$	173,036		$	173,925		$	195,061		$	145,270		$	113,870
Net expenses		1.21	%(f)		1.18	%		1.14	%		1.22	%		1.30	%(g)		1.30	%(h)
Gross expenses		1.21	%(f)		1.18	%		1.14	%		1.22	%		1.30	%(g)		1.33	%
Net investment income		0.53	%(f)		0.82	%		0.68	%		0.44	%		0.33	%		0.77	%
Portfolio turnover rate		5	%		16	%		23	%		64	%(i)		29	%		25	%

(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.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes fee/expense recovery of less than 0.01%.

(h)	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, expenses would have been higher.

(i)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

47 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	18.83		$	16.65		$	18.19		$	19.48		$	14.75		$	12.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.01			(0.01	)		(0.06	)		(0.07	)		0.00	(b)
Net realized and unrealized gain (loss)		1.44			2.80			(0.90	)		1.90			5.51			2.05

Total from Investment Operations		1.42			2.81			(0.91	)		1.84			5.44			2.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.01	)		(0.00	)(b)		(0.02	)		—			(0.02	)
Net realized capital gains		(0.31	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)		—

Total Distributions		(0.31	)		(0.63	)		(0.63	)		(3.13	)		(0.71	)		(0.02	)

Net asset value, end of the period	$	19.94		$	18.83		$	16.65		$	18.19		$	19.48		$	14.75

Total return(c)		7.60	%(d)		17.45	%		(5.07	)%		9.55	%		36.88	%		16.13	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	58,236		$	55,910		$	70,616		$	62,941		$	8,425		$	6,016
Net expenses		1.96	%(f)		1.93	%		1.89	%		1.97	%		2.05	%(g)		2.05	%(h)
Gross expenses		1.96	%(f)		1.93	%		1.89	%		1.97	%		2.05	%(g)		2.08	%
Net investment income (loss)		(0.22	)%(f)		0.09	%		(0.07	)%		(0.30	)%		(0.42	)%		0.02	%
Portfolio turnover rate		5	%		16	%		23	%		64	%(i)		29	%		25	%

(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.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes fee/expense recovery of less than 0.01%.

(h)	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, expenses would have been higher.

(i)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	23.13

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03
Net realized and unrealized gain (loss)		0.67

Total from Investment Operations		0.70

Net asset value, end of the period	$	23.83

Total return(b)(c)		3.03	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		0.92	%
Gross expenses(e)		15.30	%
Net investment income(e)		0.81	%
Portfolio turnover rate		5	%(f)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	22.34		$	19.60		$	21.28		$	22.16		$	16.63		$	14.32

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.21			0.19			0.15			0.11			0.17
Net realized and unrealized gain (loss)		1.71			3.36			(1.06	)		2.20			6.24			2.31

Total from Investment Operations		1.80			3.57			(0.87	)		2.35			6.35			2.48

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.21	)		(0.18	)		(0.12	)		(0.11	)		(0.17	)
Net realized capital gains		(0.31	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)		—

Total Distributions		(0.31	)		(0.83	)		(0.81	)		(3.23	)		(0.82	)		(0.17	)

Net asset value, end of the period	$	23.83		$	22.34		$	19.60		$	21.28		$	22.16		$	16.63

Total return		8.11	%(c)		18.69	%		(4.18	)%		10.70	%		38.21	%		17.33	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	38,062		$	26,252		$	21,696		$	26,694		$	14,176		$	12,100
Net expenses		0.96	%(e)		0.92	%		0.89	%		0.97	%		1.05	%(f)		1.05	%(g)
Gross expenses		0.96	%(e)		0.92	%		0.89	%		0.97	%		1.05	%(f)		1.09	%
Net investment income		0.78	%(e)		1.05	%		0.92	%		0.67	%		0.54	%		1.04	%
Portfolio turnover rate		5	%		16	%		23	%		64	%(h)		29	%		25	%

(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.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	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, expenses would have been higher.

(h)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	12.15		$	11.47		$	12.44		$	13.74		$	10.94		$	8.68

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.17			0.15			0.18			0.07			0.14
Net realized and unrealized gain (loss)		1.83			0.76			(0.80	)		(1.01	)		2.99			2.35

Total from Investment Operations		2.03			0.93			(0.65	)		(0.83	)		3.06			2.49

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.21	)		(0.20	)		(0.25	)		(0.08	)		(0.23	)
Net realized capital gains		—			(0.04	)		(0.12	)		(0.22	)		(0.18	)		—

Total Distributions		—			(0.25	)		(0.32	)		(0.47	)		(0.26	)		(0.23	)

Net asset value, end of the period	$	14.18		$	12.15		$	11.47		$	12.44		$	13.74		$	10.94

Total return(b)		16.71	%(c)		8.19	%		(5.35	)%		(6.05	)%		28.13	%		28.78	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	659,412		$	533,112		$	722,805		$	617,383		$	314,579		$	35,555
Net expenses		1.34	%(f)		1.34	%		1.31	%		1.31	%		1.44	%(e)		1.45	%(g)
Gross expenses		1.34	%(f)		1.34	%		1.31	%		1.31	%		1.44	%(e)		1.64	%
Net investment income		2.97	%(f)		1.54	%		1.17	%		1.34	%		0.52	%		1.50	%
Portfolio turnover rate		24	%		41	%		51	%		31	%		20	%		53	%

(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 is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Includes fee/expense recovery of 0.05%.

(f)	Computed on an annualized basis for periods less than one year.

(g)	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, expenses would have been higher.

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	11.96		$	11.29		$	12.25		$	13.53		$	10.82		$	8.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.14			0.08			0.05			0.08			(0.02	)		0.06
Net realized and unrealized gain (loss)		1.81			0.74			(0.78	)		(0.98	)		2.94			2.34

Total from Investment Operations		1.95			0.82			(0.73	)		(0.90	)		2.92			2.40

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.11	)		(0.11	)		(0.16	)		(0.03	)		(0.19	)
Net realized capital gains		—			(0.04	)		(0.12	)		(0.22	)		(0.18	)		—

Total Distributions		—			(0.15	)		(0.23	)		(0.38	)		(0.21	)		(0.19	)

Net asset value, end of the period	$	13.91		$	11.96		$	11.29		$	12.25		$	13.53		$	10.82

Total return(b)		16.30	%(c)		7.36	%		(6.08	)%		(6.67	)%		27.13	%		27.93	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	296,042		$	255,249		$	341,959		$	327,319		$	237,250		$	34,142
Net expenses		2.08	%(f)		2.09	%		2.06	%		2.05	%		2.19	%(e)		2.20	%(g)
Gross expenses		2.08	%(f)		2.09	%		2.06	%		2.05	%		2.19	%(e)		2.39	%
Net investment income (loss)		2.17	%(f)		0.73	%		0.39	%		0.61	%		(0.14	)%		0.59	%
Portfolio turnover rate		24	%		41	%		51	%		31	%		20	%		53	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Includes fee/expense recovery of 0.04%.

(f)	Computed on an annualized basis for periods less than one year.

(g)	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, expenses would have been higher.

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15
Net realized and unrealized gain (loss)		0.06

Total from Investment Operations		0.21

Net asset value, end of the period	$	14.19

Total return(b)(c)		1.50	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		1.03	%
Gross expenses(e)		15.46	%
Net investment income(e)		6.14	%
Portfolio turnover rate		24	%(f)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11
Net realized and unrealized gain (loss)		0.10

Total from Investment Operations		0.21

Net asset value, end of the period	$	14.19

Total return(b)		1.50	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,958
Net expenses(c)		1.15	%
Gross expenses(c)		1.15	%
Net investment income(c)		4.45	%
Portfolio turnover rate		24	%(d)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

(d)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	19.79		$	17.74		$	20.65		$	22.34		$	18.97		$	17.74

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.02			0.06	(b)		(0.06	)		0.07	(c)		0.13	(d)
Net realized and unrealized gain (loss)		(0.26	)		3.49			(0.07	)		1.95			7.14			2.50

Total from Investment Operations		(0.28	)		3.51			(0.01	)		1.89			7.21			2.63

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(e)		(0.01	)		(0.04	)		—			(0.06	)		(0.14	)
Net realized capital gains		(0.70	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)		(1.26	)

Total Distributions		(0.70	)		(1.46	)		(2.90	)		(3.58	)		(3.84	)		(1.40	)
																��
Net asset value, end of the period	$	18.81		$	19.79		$	17.74		$	20.65		$	22.34		$	18.97

Total return(f)		(1.39	)%(g)		20.24	%		(0.29	)%(b)		8.79	%		39.01	%(c)		14.93	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	97,828		$	106,447		$	103,092		$	125,201		$	152,792		$	160,400
Net expenses		1.37	%(h)		1.35	%		1.35	%		1.37	%		1.39	%(i)		1.39	%
Gross expenses		1.37	%(h)		1.35	%		1.35	%		1.37	%		1.39	%(i)		1.39	%
Net investment income (loss)		(0.17	)%(h)		0.11	%		0.26	%(b)		(0.27	)%		0.33	%(c)		0.67	%(d)
Portfolio turnover rate		50	%		74	%		62	%		58	%		58	%		73	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.04), total return would have been (0.77)% and the ratio of net investment loss to average net assets would have been (0.20)%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 38.63% and the ratio of net investment income to average net assets would have been 0.02%.

(d)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.04, total return would have been 14.42% and the ratio of net investment income to average net assets would have been 0.22%.

(e)	Amount rounds to less than $0.01 per share.

(f)	A sales charge for Class A shares is not reflected in total return calculations.

(g)	Periods less than one year are not annualized.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Includes interest expense of less than 0.01%.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	13.26		$	12.39		$	15.36		$	17.61		$	15.64		$	14.85

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.08	)		(0.08	)(b)		(0.18	)		(0.07	)(c)		(0.01	)(d)
Net realized and unrealized gain (loss)		(0.17	)		2.40			(0.03	)		1.51			5.83			2.08

Total from Investment Operations		(0.23	)		2.32			(0.11	)		1.33			5.76			2.07

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(e)		—			—			—			(0.01	)		(0.02	)
Net realized capital gains		(0.70	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)		(1.26	)

Total Distributions		(0.70	)		(1.45	)		(2.86	)		(3.58	)		(3.79	)		(1.28	)

Net asset value, end of the period	$	12.33		$	13.26		$	12.39		$	15.36		$	17.61		$	15.64

Total return(f)		(1.70	)%(g)		19.32	%		(1.02	)%(b)		7.94	%		37.99	%(c)		14.08	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	17,116		$	20,379		$	21,188		$	27,292		$	31,476		$	26,980
Net expenses		2.12	%(h)		2.10	%		2.10	%		2.12	%		2.14	%(i)		2.14	%
Gross expenses		2.12	%(h)		2.10	%		2.10	%		2.12	%		2.14	%(i)		2.14	%
Net investment loss		(0.93	)%(h)		(0.64	)%		(0.48	)%(b)		(1.02	)%		(0.40	)%(c)		(0.07	)%(d)
Portfolio turnover rate		50	%		74	%		62	%		58	%		58	%		73	%

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.15), total return would have been (1.48)% and the ratio of net investment loss to average net assets would have been (0.96)%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.13), total return would have been 37.59% and the ratio of net investment income loss to average net assets would have been (0.73)%.

(d)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 13.52% and the ratio of net investment income loss to average net assets would have been (0.51)%.

(e)	Amount rounds to less than $0.01 per share.

(f)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(g)	Periods less than one year are not annualized.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Includes interest expense of less than 0.01%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	19.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02
Net realized and unrealized gain (loss)		(0.17	)

Total from Investment Operations		(0.15	)

Net asset value, end of the period	$	19.40

Total return(b)(c)		(0.77	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		1.09	%
Gross expenses(d)		15.79	%
Net investment income(d)		0.54	%
Portfolio turnover rate		50	%(f)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(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, expenses would have been higher.

(f)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	20.36		$	18.21		$	21.13		$	22.73		$	19.24		$	17.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			0.07			0.11	(b)		(0.00	)(c)		0.13	(d)		0.18	(e)
Net realized and unrealized gain (loss)		(0.26	)		3.59			(0.07	)		1.98			7.26			2.53

Total from Investment Operations		(0.25	)		3.66			0.04			1.98			7.39			2.71

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.06	)		(0.10	)		—			(0.12	)		(0.20	)
Net realized capital gains		(0.70	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)		(1.26	)

Total Distributions		(0.70	)		(1.51	)		(2.96	)		(3.58	)		(3.90	)		(1.46	)

Net asset value, end of the period	$	19.41		$	20.36		$	18.21		$	21.13		$	22.73		$	19.24

Total return		(1.20	)%(f)		20.53	%		(0.05	)%(b)		9.04	%		39.43	%(d)		15.18	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	196,513		$	183,145		$	179,322		$	176,905		$	163,836		$	132,970
Net expenses		1.12	%(g)		1.10	%		1.10	%		1.12	%		1.14	%(h)		1.14	%
Gross expenses		1.12	%(g)		1.10	%		1.10	%		1.12	%		1.14	%(h)		1.14	%
Net investment income (loss)		0.09	%(g)		0.36	%		0.50	%(b)		(0.01	)%		0.59	%(d)		0.95	%(e)
Portfolio turnover rate		50	%		74	%		62	%		58	%		58	%		73	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been (0.53)% and the ratio of net investment income to average net assets would have been 0.07%.

(c)	Amount rounds to less than $0.01 per share.

(d)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.06, total return would have been 39.06% and the ratio of net investment income to average net assets would have been 0.27%.

(e)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.10, total return would have been 14.73% and the ratio of net investment income to average net assets would have been 0.50%.

(f)	Periods less than one year are not annualized.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Includes interest expense of less than 0.01%.

See accompanying notes to financial statements.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	20.55		$	20.04		$	21.29		$	20.63		$	15.49		$	13.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			0.07			0.03	(b)		(0.08	)		(0.03	)		0.15	(c)
Net realized and unrealized gain (loss)		0.76			1.05			(0.79	)		2.31			6.36			2.05

Total from Investment Operations		0.79			1.12			(0.76	)		2.23			6.33			2.20

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.05	)		(0.02	)		—			—			(0.14	)
Net realized capital gains		—			(0.56	)		(0.47	)		(1.57	)		(1.19	)		(0.40	)

Total Distributions		—			(0.61	)		(0.49	)		(1.57	)		(1.19	)		(0.54	)

Net asset value, end of the period	$	21.34		$	20.55		$	20.04		$	21.29		$	20.63		$	15.49

Total return(d)		3.84	%(e)		5.85	%		(3.66	)%(b)		10.92	%		41.22	%		15.93	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	72,143		$	87,536		$	142,833		$	73,237		$	67,716		$	28,381
Net expenses		1.22	%(f)		1.23	%		1.23	%		1.25	%		1.27	%		1.31	%
Gross expenses		1.22	%(f)		1.23	%		1.23	%		1.25	%		1.27	%		1.31	%
Net investment income (loss)		0.31	%(f)		0.35	%		0.16	%(b)		(0.37	)%		(0.13	)%		0.97	%(c)
Portfolio turnover rate		24	%		57	%		32	%		58	%		39	%		65	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (3.94)% and the ratio of net investment loss to average net assets would have been (0.04)%.

(c)	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been 15.06% and the ratio of net investment income to average net assets would have been 0.16%.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

(e)	Periods less than one year are not annualized.

(f)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	19.51		$	19.16		$	20.51		$	20.07		$	15.21		$	13.60

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.04	)		(0.07	)		(0.13	)(b)		(0.23	)		(0.17	)		0.04	(c)
Net realized and unrealized gain (loss)		0.72			0.98			(0.75	)		2.24			6.22			2.01

Total from Investment Operations		0.68			0.91			(0.88	)		2.01			6.05			2.05

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(d)		—			—			—			(0.04	)
Net realized capital gains		—			(0.56	)		(0.47	)		(1.57	)		(1.19	)		(0.40	)

Total Distributions		—			(0.56	)		(0.47	)		(1.57	)		(1.19	)		(0.44	)

Net asset value, end of the period	$	20.19		$	19.51		$	19.16		$	20.51		$	20.07		$	15.21

Total return(e)		3.49	%(f)		5.03	%		(4.39	)%(b)		10.12	%		40.13	%		15.10	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	53,535		$	68,923		$	89,284		$	35,894		$	21,005		$	3,090
Net expenses		1.97	%(g)		1.98	%		1.98	%		2.00	%		2.02	%		2.06	%
Gross expenses		1.97	%(g)		1.98	%		1.98	%		2.00	%		2.02	%		2.06	%
Net investment income (loss)		(0.45	)%(g)		(0.38	)%		(0.61	)%(b)		(1.10	)%		(0.89	)%		0.24	%(c)
Portfolio turnover rate		24	%		57	%		32	%		58	%		39	%		65	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (4.68)% and the ratio of net investment loss to average net assets would have been (0.77)%.

(c)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.08), total return would have been 14.21% and the ratio of net investment loss to average net assets would have been (0.57)%.

(d)	Amount rounds to less than $0.01 per share.

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(f)	Periods less than one year are not annualized.

(g)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class N
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	20.75		$	20.26		$	21.50		$	20.76		$	17.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.07			0.16			0.11	(b)		(0.00	)(c)		(0.04	)
Net realized and unrealized gain (loss)		0.77			1.04			(0.81	)		2.31			4.35

Total from Investment Operations		0.84			1.20			(0.70	)		2.31			4.31

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.15	)		(0.07	)		—			(0.02	)
Net realized capital gains		—			(0.56	)		(0.47	)		(1.57	)		(1.06	)

Total Distributions		—			(0.71	)		(0.54	)		(1.57	)		(1.08	)

Net asset value, end of the period	$	21.59		$	20.75		$	20.26		$	21.50		$	20.76

Total return		4.05	%(e)		6.21	%		(3.35	)%(b)		11.24	%		24.70	%(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	151,764		$	148,365		$	65,010		$	12,024		$	1
Net expenses		0.88	%(g)		0.88	%		0.89	%		0.91	%(f)		1.03	%(g)(h)
Gross expenses		0.88	%(g)		0.88	%		0.89	%		0.91	%(f)		2.07	%(g)
Net investment income (loss)		0.67	%(g)		0.78	%		0.50	%(b)		(0.00	)%(i)		(0.33	)%(g)
Portfolio turnover rate		24	%		57	%		32	%		58	%		39	%

*	From commencement of operations on May 1, 2013 through December 31, 2013.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been (3.59)% and the ratio of net investment income to average net assets would have been 0.35%.

(c)	Amount rounds to less than $0.01 per share.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	Computed on an annualized basis for periods less than one year.

(h)	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, expenses would have been higher.

(i)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	20.77		$	20.27		$	21.52		$	20.78		$	15.57		$	13.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.06			0.12			0.09	(b)		(0.02	)		0.02			0.18	(c)
Net realized and unrealized gain (loss)		0.77			1.07			(0.82	)		2.33			6.39			2.08

Total from Investment Operations		0.83			1.19			(0.73	)		2.31			6.41			2.26

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.05	)		—			(0.01	)		(0.18	)
Net realized capital gains		—			(0.56	)		(0.47	)		(1.57	)		(1.19	)		(0.40	)

Total Distributions		—			(0.69	)		(0.52	)		(1.57	)		(1.20	)		(0.58	)

Net asset value, end of the period	$	21.60		$	20.77		$	20.27		$	21.52		$	20.78		$	15.57

Total return		4.00	%(d)		6.14	%		(3.47	)%(b)		11.23	%		41.52	%		16.28	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	801,885		$	903,545		$	1,133,634		$	656,071		$	360,820		$	163,589
Net expenses		0.97	%(e)		0.98	%		0.98	%		1.00	%		1.02	%		1.06	%
Gross expenses		0.97	%(e)		0.98	%		0.98	%		1.00	%		1.02	%		1.06	%
Net investment income (loss)		0.57	%(e)		0.62	%		0.39	%(b)		(0.10	)%		0.12	%		1.22	%(c)
Portfolio turnover rate		24	%		57	%		32	%		58	%		39	%		65	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (3.70)% and the ratio of net investment income to average net assets would have been 0.20%.

(c)	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.06, total return would have been 15.41% and the ratio of net investment income to average net assets would have been 0.42%.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

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Notes to Financial Statements

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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 (the “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:

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A shares, Class C shares, Class N shares (effective May 1, 2017 for Natixis Oakmark Fund, Natixis Oakmark International Fund and Small Cap Value Fund) and Class Y shares (effective May 1, 2017 for Natixis Oakmark International Fund). As of the close of business on January 11, 2016, Class B shares of Natixis Oakmark Fund and Small Cap Value Fund were converted into Class A shares and are no longer offered.

Effective July 31, 2009, the Small Cap Value Fund was closed to new investors. The Fund, in its sole discretion, may permit an investor in another Vaughan Nelson-managed fund or product that follows the same investment strategy as the Fund to transfer assets from that fund or product into the Fund.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher 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 N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

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Notes to Financial Statements (continued)

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and Loomis Sayles Funds II (“Loomis Sayles Funds 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 the class (such as the Rule 12b-1 fees applicable to Class A and Class C) and transfer agent fees for each Fund are borne collectively for Class A, Class C and Class Y and individually for Class N. 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 follow the accounting and reporting guidelines provided for investment companies and 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. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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Notes to Financial Statements (continued)

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price and a last sale price may be available from the foreign exchange or market.

In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of June 30, 2017, securities held by the Funds’ were fair valued as follows:


Fund	Equity securities¹		Percentage of Net Assets
Natixis Oakmark International Fund	$	842,452,489		87.7	%

¹	Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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Notes to Financial Statements (continued)

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by the amortization of premium, if applicable. 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. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The 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 into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The Funds 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.

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Notes to Financial Statements (continued)

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d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to 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 a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. 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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e. Federal and Foreign Income Taxes. The Trusts treat 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, 2017, as applicable, 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.

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

f. 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 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 distribution redesignations, distributions in excess of income and/or capital gain, return of capital and capital gain distributions received, foreign currency gains and losses and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, forward foreign currency contracts mark-to-market and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2016 was as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Natixis Oakmark Fund	$	1,798,205	$	7,812,896	$	9,611,101
Natixis Oakmark International Fund		15,448,327		—		15,448,327
Small Cap Value Fund		2,299,100		21,062,109		23,361,209
Value Opportunity Fund		7,189,189		41,383,417		48,572,606

Differences between these amounts and those reported in the Statements 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, 2017 (Unaudited)

As of December 31, 2016, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Natixis Oakmark Fund		Natixis Oakmark International Fund			Small Cap Value Fund		Value Opportunity Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—	$	(15,874,753	)	$	—	$	(30,427,421	)
Long-term:
No expiration date		—		(96,925,655	)		—		—

Total capital loss carryforward	$	—	$	(112,800,408	)	$	—	$	(30,427,421	)

Late-year ordinary and post-October capital loss deferrals*	$	—	$	(447,104	)	$	—	$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Natixis Oakmark International Fund deferred foreign currency losses.

g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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. As of June 30, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h. Securities Lending. Certain 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

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

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, 2017, none of the Funds had loaned securities under this agreement.

i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

j. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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.); and

•

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

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, 2017, at value:

Natixis Oakmark Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	266,067,676	$	—	$	—	$	266,067,676
Short-Term Investments		—		11,214,824		—		11,214,824

Total	$	266,067,676	$	11,214,824	$	—	$	277,282,500

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

Natixis Oakmark International Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	33,013,595	$	—	$	33,013,595
France		—		139,773,231		—		139,773,231
Germany		—		122,905,536		—		122,905,536
Indonesia		—		19,195,622		—		19,195,622
Italy		—		32,536,612		—		32,536,612
Japan		—		56,666,501		—		56,666,501
Korea		—		6,227,633		—		6,227,633
Netherlands		—		47,753,138		—		47,753,138
Sweden		—		53,060,708		—		53,060,708
Switzerland		—		155,837,892		—		155,837,892
Taiwan		—		2,678,228		—		2,678,228
United Kingdom		—		172,803,793		—		172,803,793
All Other Common Stocks(a)		69,052,305		—		—		69,052,305

Total Common Stocks		69,052,305		842,452,489		—		911,504,794

Short-Term Investments		—		49,407,476		—		49,407,476

Total	$	69,052,305	$	891,859,965	$	—	$	960,912,270

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(448,908	)	$	—	$	(448,908	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

Vaughan Nelson Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	285,923,757	$	—	$	—	$	285,923,757
Exchange-Traded Funds		15,274,795		—		—		15,274,795
Closed-End Investment Companies		4,363,157		—		—		4,363,157
Short-Term Investments		—		5,395,623		—		5,395,623

Total	$	305,561,709	$	5,395,623	$	—	$	310,957,332

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

Vaughan Nelson Value Opportunity Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,008,832,360	$	—	$	—	$	1,008,832,360
Closed-End Investment Companies		27,866,475		—		—		27,866,475
Short-Term Investments		—		25,616,257		—		25,616,257

Total	$	1,036,698,835	$	25,616,257	$	—	$	1,062,315,092

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The Fund is 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 Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2017, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(448,908	)

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2017, as reflected within the Statements of Operations were as follows:


Net Realized Gain on:	Foreign currency transactions¹
Foreign exchange contracts	$	1,115,419

Net Change in Unrealized Appreciation (Depreciation) on:	Foreign currency translations¹
Foreign exchange contracts	$	(1,925,625	)

¹	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2017:


Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		2.50	%
Highest Notional Amount Outstanding		4.28	%
Lowest Notional Amount Outstanding		1.05	%
Notional Amount Outstanding as of June 30, 2017		1.05	%

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

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 is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

The Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.

As of June 30, 2017, gross amounts of derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Natixis Oakmark International Fund


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Amount
State Street Bank and Trust Company	$	(448,908	)	$	—	$	(448,908	)


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund		—		—

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Notes to Financial Statements (continued)

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5. Purchases and Sales of Securities. For the six months ended June 30, 2017, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:


Fund	Purchases		Sales
Natixis Oakmark Fund	$	21,030,638	$	12,257,299
Natixis Oakmark International Fund		217,316,611		197,762,300
Small Cap Value Fund		162,142,649		149,887,786
Value Opportunity Fund		262,601,514		482,354,541

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to each 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 $500 million			Next $500 million			Over $2 billion
Natixis Oakmark Fund		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Value Opportunity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.75	%		0.75	%

NGAM Advisors has entered into subadvisory agreements for each Fund as listed below.


Natixis Oakmark Fund		Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund		Harris
Small Cap Value Fund		Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund		Vaughan Nelson

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory 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	Subadviser	First $200 million			Next $1.3 billion			Over $1.5 billion
Natixis Oakmark Fund	Harris		0.52	%		0.50	%		0.50	%
Natixis Oakmark International Fund	Harris		0.60	%		0.60	%		0.60	%
Small Cap Value Fund	Vaughan Nelson		0.55	%		0.55	%		0.55	%
Value Opportunity Fund	Vaughan Nelson		0.50	%		0.50	%		0.47	%

NGAM Advisors has given binding undertakings to the 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, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees, 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 six months ended June 30, 2017 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 N			Class Y
Natixis Oakmark Fund		1.30	%		2.05	%		1.00	%		1.05	%
Natixis Oakmark International Fund		1.45	%		2.20	%		1.15	%		1.20	%
Small Cap Value Fund		1.45	%		2.20	%		1.15	%		1.20	%
Value Opportunity Fund		1.40	%		2.15	%		1.10	%		1.15	%

NGAM 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 annual operating 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.

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, the management fees for each Fund were as follows:


Fund	Gross Management Fees		Percentage of Average Daily Net Assets
Natixis Oakmark Fund	$	915,576		0.69	%
Natixis Oakmark International Fund		3,655,065		0.85	%
Small Cap Value Fund		1,405,938		0.90	%
Value Opportunity Fund		4,506,753		0.80	%

No expenses were recovered during the six months ended June 30, 2017 under the terms of the expense limitation agreement.

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Natixis AM US is a subsidiary of Natixis Asset Management (“NAM”), which is in turn a subsidiary of Natixis Global Asset Management.

b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution 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 C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by NGAM Distribution 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 (or paid) NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution 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 (or paid) NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.

77 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Natixis Oakmark Fund	$	220,496	$	72,999	$	218,996
Natixis Oakmark International Fund		731,908		342,134		1,026,401
Small Cap Value Fund		128,518		23,378		70,134
Value Opportunity Fund		99,414		76,734		230,203

c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM 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 and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Natixis Oakmark Fund	$	59,231
Natixis Oakmark International Fund		192,244
Small Cap Value Fund		69,843
Value Opportunity Fund		251,902

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

| 78

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Natixis Oakmark Fund	$	67,254
Natixis Oakmark International Fund		417,542
Small Cap Value Fund		92,362
Value Opportunity Fund		396,638

As of June 30, 2017, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
Natixis Oakmark Fund	$	1,683
Natixis Oakmark International Fund		10,825
Small Cap Value Fund		2,345
Value Opportunity Fund		10,319

Sub-transfer agent fees attributable to Class A, Class C and Class Y 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 those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2017, were as follows:


Fund	Commissions
Natixis Oakmark Fund	$	20,873
Natixis Oakmark International Fund		74,233
Small Cap Value Fund		1,477
Value Opportunity Fund		6,405

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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

79 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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.

g. Payment by Affiliates. During the six months ended June 30, 2017, Vaughan Nelson reimbursed Small Cap Value Fund $1,678 in connection with a trading error.

h. Affiliated Ownership. As of June 30, 2017, Natixis US held shares of the Natixis Oakmark Fund, Natixis Oakmark International Fund, and the Value Opportunity Fund, all representing less than 0.01% of the Funds’ net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

i. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors has given a binding contractual undertaking to Natixis Oakmark Fund, Natixis Oakmark International Fund and Small Cap Value Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2018 and is not subject to recovery under the expense limitation agreement described above.

| 80

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, NGAM Advisors reimbursed the Funds for transfer agency expenses as follows:


Fund	Reimbursement of Transfer Agency Expenses
	Class N
Natixis Oakmark Fund	$	24
Natixis Oakmark International Fund		24
Small Cap Value Fund		24

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2017, Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable)


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Value Opportunity Fund	$	35,517	$	27,399	$	544	$	378,713

For the period from May 1, 2017 through June 30, 2017, all other Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Natixis Oakmark Fund	$	31,013	$	10,208	$	24	$	6,085
Natixis Oakmark International Fund		99,051		45,137		24		360
Small Cap Value Fund		13,924		2,443		24		27,555

Transfer agent fees and expenses attributable to Class A, Class C and Class Y 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 those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time) subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days

81 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the six months ended June 30, 2017, none of the Funds had borrowings under these agreements.

9. Concentration of Risk. The Natixis Oakmark International 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, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Account Holders		Percentage of Ownership
Natixis Oakmark International Fund		1		10.03	%
Small Cap Value Fund		2		21.60	%
Value Opportunity Fund		2		21.19	%(a)

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

(a)

Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund (AlphaSimplex Group, LLC, which is a subsidiary of Natixis US)(“ASG”). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. ASG has no involvement in the decisions to invest in the models provided.

| 82

Notes to Financial Statements (continued)

June 30, 2017 (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, 2017					Year Ended December 31, 2016
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	471,614		$	10,388,615		1,253,674		$	23,788,547
Issued in connection with the reinvestment of distributions	103,054			2,245,541		310,173			5,971,567
Redeemed	(739,736	)		(16,407,554	)	(2,722,428	)		(50,444,998	)

Net change	(165,068	)	$	(3,773,398	)	(1,158,581	)	$	(20,684,884	)

Class B(a)
Redeemed	—		$	—		(1,891	)	$	(29,216	)

Net change	—		$	—		(1,891	)	$	(29,216	)

Class C
Issued from the sale of shares	493,618		$	9,545,295		806,782		$	13,902,509
Issued in connection with the reinvestment of distributions	37,344			714,021		89,633			1,486,762
Redeemed	(579,283	)		(11,268,051	)	(2,169,451	)		(36,029,587	)

Net change	(48,321	)	$	(1,008,735	)	(1,273,036	)	$	(20,640,316	)

Class N(b)
Issued from the sale of shares	43		$	1,000		—		$	—

Net change	43		$	1,000		—		$	—

Class Y
Issued from the sale of shares	646,800		$	15,000,662		920,373		$	19,279,606
Issued in connection with the reinvestment of distributions	13,907			317,212		31,858			655,095
Redeemed	(238,808	)		(5,506,935	)	(883,863	)		(16,880,267	)

Net change	421,899		$	9,810,939		68,368		$	3,054,434

Increase (decrease) from capital share transactions	208,553		$	5,029,806		(2,365,140	)	$	(38,299,982	)

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

(b)	From commencement of Class operations on May 1, 2017 through June 30, 2017.

83 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	10,339,466		$	139,566,363		17,316,910		$	189,288,241
Issued in connection with the reinvestment of distributions	—			—		958,477			11,230,103
Redeemed	(7,722,461	)		(102,628,188	)	(37,402,741	)		(413,700,664	)

Net change	2,617,005		$	36,938,175		(19,127,354	)	$	(213,182,320	)

Class C
Issued from the sale of shares	3,481,910		$	46,364,650		2,591,697		$	28,122,303
Issued in connection with the reinvestment of distributions	—			—		233,485			2,645,525
Redeemed	(3,539,507	)		(46,401,583	)	(11,772,884	)		(128,385,161	)

Net change	(57,597	)	$	(36,933	)	(8,947,702	)	$	(97,617,333	)

Class N(a)
Issued from the sale of shares	72		$	1,000		—		$	—

Net change	72		$	1,000		—		$	—

Class Y(a)
Issued from the sale of shares	359,514		$	5,072,813		—		$	—
Redeemed	(10,198	)		(144,011	)	—			—

Net change	349,316		$	4,928,802		—		$	—

Increase (decrease) from capital share transactions	2,908,796		$	41,831,044		(28,075,056	)	$	(310,799,653	)

(a)	From commencement of Class operations on May 1, 2017 through June 30, 2017.

| 84

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	391,223		$	7,656,678		636,491		$	11,812,924
Issued in connection with the reinvestment of distributions	173,907			3,272,906		353,938			6,758,819
Redeemed	(744,521	)		(14,424,348	)	(1,423,762	)		(25,938,444	)

Net change	(179,391	)	$	(3,494,764	)	(433,333	)	$	(7,366,701	)

Class B(a)
Issued from the sale of shares	—		$	—		—		$	—
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	—			—		(1,791	)		(20,887	)

Net change	—		$	—		(1,791	)	$	(20,887	)

Class C
Issued from the sale of shares	38,235		$	483,230		53,331		$	672,153
Issued in connection with the reinvestment of distributions	69,781			861,797		137,010			1,766,472
Redeemed	(256,320	)		(3,286,073	)	(364,140	)		(4,604,493	)

Net change	(148,304	)	$	(1,941,046	)	(173,799	)	$	(2,165,868	)

Class N(b)
Issued from the sale of shares	51		$	1,000		—		$	—

Net change	51		$	1,000		—		$	—

Class Y
Issued from the sale of shares	1,893,671		$	37,889,750		1,398,050		$	25,550,473
Issued in connection with the reinvestment of distributions	306,135			5,939,016		591,961			11,610,546
Redeemed	(1,066,743	)		(21,173,752	)	(2,844,796	)		(53,737,957	)

Net change	1,133,063		$	22,655,014		(854,785	)	$	(16,576,938	)

Increase (decrease) from capital share transactions	805,419		$	17,220,204		(1,463,708	)	$	(26,130,394	)

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

(b)	From commencement of Class operations on May 1, 2017 through June 30, 2017.

85 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	348,238		$	7,384,943		2,179,717		$	40,891,195
Issued in connection with the reinvestment of distributions	—			—		212,252			4,019,870
Redeemed	(1,227,855	)		(26,032,650	)	(5,260,596	)		(102,702,359	)

Net change	(879,617	)	$	(18,647,707	)	(2,868,627	)	$	(57,791,294	)

Class C
Issued from the sale of shares	85,874		$	1,718,707		585,856		$	10,632,845
Issued in connection with the reinvestment of distributions	—			—		116,224			2,089,713
Redeemed	(966,436	)		(19,391,169	)	(1,830,738	)		(34,208,799	)

Net change	(880,562	)	$	(17,672,462	)	(1,128,658	)	$	(21,486,241	)

Class N
Issued from the sale of shares	1,144,037		$	24,632,041		5,270,883		$	105,086,789
Issued in connection with the reinvestment of distributions	—			—		153,597			3,029,813
Redeemed	(1,263,836	)		(26,826,770	)	(1,483,482	)		(29,622,654	)

Net change	(119,799	)	$	(2,194,729	)	3,940,998		$	78,493,948

Class Y
Issued from the sale of shares	3,807,158		$	81,510,698		16,682,481		$	321,963,213
Issued in connection with the reinvestment of distributions	—			—		1,675,760			32,458,565
Redeemed	(10,181,599	)		(217,665,784	)	(30,771,971	)		(605,432,371	)

Net change	(6,374,441	)	$	(136,155,086	)	(12,413,730	)	$	(251,010,593	)

Increase (decrease) from capital share transactions	(8,254,419	)	$	(174,669,984	)	(12,470,017	)	$	(251,794,180	)

| 86

NATIXIS FUNDS

Supplement dated June 30, 2017 to the Natixis Funds Summary Prospectuses, dated February 28, 2017, March 31, 2017, and May 1, 2017, as may be revised or supplemented from time to time, for the following funds:


AEW Real Estate Fund		Loomis Sayles Limited Term Government and Agency Fund
ASG Dynamic Allocation Fund		Loomis Sayles Multi-Asset Income Fund
ASG Global Alternatives Fund		Loomis Sayles Senior Floating Rate and Fixed Income Fund
ASG Managed Futures Strategy Fund		Loomis Sayles Strategic Alpha Fund
ASG Tactical U.S. Market Fund		Loomis Sayles Strategic Income Fund
Gateway Equity Call Premium Fund		Loomis Sayles Value Fund
Gateway Fund		Mirova Global Green Bond Fund
Loomis Sayles Core Plus Bond Fund		Mirova Global Sustainable Equity Fund
Loomis Sayles Dividend Income Fund		McDonnell Intermediate Municipal Bond Fund
Loomis Sayles Global Equity and Income Fund		Natixis Oakmark Fund
Loomis Sayles Global Growth Fund		Natixis Oakmark International Fund
Loomis Sayles Growth Fund		Natixis U.S. Equity Opportunities Fund
Loomis Sayles High Income Fund		Vaughan Nelson Select Fund
Loomis Sayles Intermediate Duration Bond Fund		Vaughan Nelson Small Cap Value Fund
Loomis Sayles Investment Grade Bond Fund		Vaughan Nelson Value Opportunity Fund

Effective July 1, 2017, the information under sub-sections “Class A and C Shares” and “Class A Shares,” as applicable, in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

The following chart shows the investment minimums for various types of accounts:


Type of Account	Minimum Initial Purchase		Minimum Subsequent Purchase
Any account other than those listed below	$	2,500	$	50
For shareholders participating in Natixis Funds’ Investment Builder Program	$	1,000	$	50

This page not part of shareholder report


Type of Account	Minimum Initial Purchase		Minimum Subsequent Purchase
For Traditional IRA, Roth IRA, Rollover IRA, SEP-IRA and Keogh plans using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	1,000	$	50
Coverdell Education Savings Accounts using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	500	$	50

There is no initial or subsequent investment minimum for:

•

Wrap Fee Programs of certain broker-dealers, the advisers or NGAM Distribution, L.P. Please consult your financial representative to determine if your wrap fee program is subject to additional or different conditions or fees.

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

Effective July 1, 2017, the information under sub-section “Class Y Shares” in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

Class Y shares of the Fund are generally subject to a minimum initial investment of $100,000 and a minimum subsequent investment of $50, except there is no minimum initial or subsequent investment for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

This page not part of shareholder report

•

Fund Trustees, former Fund trustees, employees of affiliates of the Natixis Funds and other individuals who are affiliated with any Natixis Fund (this also applies to any spouse, parents, children, siblings, grandparents, grandchildren and in-laws of those mentioned) and Natixis affiliate employee benefit plans.

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Class Y shares of the Fund below the stated minimums.

VAUGHAN NELSON SMALL CAP VALUE FUND

Effective July 1, 2017, the third sentence in the section “Purchase and Sale of Fund Shares” in the Fund’s Summary is hereby amended and restated as follows:

For more information, please see the section “How To Purchase Shares” in the Prospectus.

This page not part of shareholder report

SEMIANNUAL REPORT

June 30, 2017

LOGO

Loomis Sayles Multi-Asset Income Fund

Loomis Sayles Strategic Alpha Fund

McDonnell Intermediate Municipal Bond Fund

Natixis U.S. Equity Opportunities Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 19

Financial Statements page 68

Notes to Financial Statements page 93

LOOMIS SAYLES MULTI-ASSET INCOME FUND


Managers		Symbols
Thomas Fahey		Class A IIDPX
Kevin P. Kearns		Class C CIDPX
Maura T. Murphy, CFA^®		Class N LMINX
Loomis, Sayles & Company, L.P.		Class Y YIDPX

Investment Goal

The Fund seeks current income with a secondary objective of capital appreciation.

1 |

Average Annual Total Returns — June 30, 2017^4,5



																Expense Ratios⁶
	6 Months			1 Year			5 Years			10 Years			Life of Class			Gross			Net

Class Y (Inception 12/3/12)¹
NAV		5.53	%		9.52	%		7.51	%		6.61	%		—	%		0.97	%		0.83	%

Class A (Inception 11/17/05)
NAV		5.37			9.20			7.36			6.53			—			1.22			1.08
With 4.25% Maximum Sales Charge		0.87			4.55			6.43			6.07			—

Class C (Inception 11/17/05)
NAV		5.08			8.42			6.55			5.73			—			1.97			1.83
With CDSC²		4.08			7.42			6.55			5.73			—

Class N (Inception 8/31/15)
NAV		5.63			9.66			—			—			9.95			13.66			0.78

Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index³		2.27			-0.31			2.21			4.48			2.75

1	Prior to the inception of Class Y shares (12/3/2012), performance is that of Class A shares and reflects the higher net expenses of that share class.

2	Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

The Bloomberg Barclays 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.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

5	Prior to the stock market close August 31, 2015, the Fund had multiple subadvisers. The performance results shown above for the periods prior to the stock market close August 31, 2015 reflect results achieved by those subadvisers using different investment strategies.

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LOOMIS SAYLES STRATEGIC ALPHA FUND


Managers		Symbols
Matthew J. Eagan, CFA^®		Class A LABAX
Kevin P. Kearns		Class C LABCX
Todd P. Vandam, CFA^®		Class N LASNX
Loomis, Sayles & Company, L.P.		Class Y LASYX

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

3 |

Average Annual Total Returns — June 30, 2017⁴



															Expense Ratios⁵
	6 Months			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 12/15/10)											Class A/C/Y		Class N
NAV		1.30	%		5.51	%		3.19	%		2.88	%	—	%		0.85	%		0.85	%

Class A (Inception 12/15/10)
NAV		1.17			5.24			2.93			2.63		—			1.10			1.10
With 4.25% Maximum Sales Charge		-3.15			0.81			2.03			1.96		—

Class C (Inception 12/15/10)
NAV		0.89			4.47			2.18			1.85		—			1.85			1.85
With CDSC¹		-0.11			3.47			2.18			1.85		—

Class N (Inception 5/1/17)
NAV		—			—			—			—		-0.07			0.78			0.78

Comparative Performance
3-Month LIBOR²		0.50			0.85			0.43			0.41		0.18
3-Month LIBOR + 300 basis points³		2.00			3.91			3.48			3.47		0.68

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 at which 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 return of 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND


Managers		Symbols
Dawn Mangerson		Class A MIMAX
James Grabovac, CFA^®		Class C MIMCX
Lawrence Jones		Class Y MIMYX
Steve Wlodarski, CFA^®
McDonnell Investment Management, LLC

Investment Goal

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

5 |

Average Annual Total Returns — June 30, 2017⁵



										Expense Ratios⁶
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 12/31/12)¹
NAV		3.67	%		-0.64	%		2.13	%		0.63	%		0.45	%

Class A (Inception 12/31/12)¹
NAV		3.55			-0.89			1.83			0.88			0.70
With 3.00% Maximum Sales Charge		0.40			-3.85			1.13

Class C (Inception 12/31/12)¹
NAV		3.06			-1.63			1.08			1.63			1.45
With CDSC²		2.06			-2.60			1.08

Comparative Performance
Bloomberg Barclays Municipal Bond Index³		3.57			-0.49			2.95
Bloomberg Barclays 3-15 Year Blend Municipal Bond Index⁴		3.49			-0.23			2.68

1	December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only.

2	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

Bloomberg Barclays Municipal Bond Index is a market value — weighted index of investment-grade municipal bonds with maturities of one year or more. Effective May 22, 2017, the Bloomberg Barclays Municipal Bond Index replaced the Bloomberg Barclays 3-15 Year Blend Municipal Bond Index as the Fund’s primary benchmark because the Fund believes the Bloomberg Barclays Municipal Bond Index, an index which covers the U.S. dollar-denominated long-term tax exempt bond market, is a more appropriate comparison to the Fund’s investment strategies.

4	Bloomberg Barclays 3-15 Year Blend Municipal Bond Index tracks the performance of municipal bonds issued after December 31, 1990 with remaining maturities between 2 and 17 years and at least $5 million in principal amount outstanding.

5	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND


Managers		Symbols
Large Cap Value Segment		Class A NEFSX
Harris Associates L.P.		Class C NECCX
All Cap Growth Segment		Class N NESNX
Loomis, Sayles & Company, L.P.		Class Y NESYX

Investment Goal

The Fund seeks long-term growth of capital.

7 |

Average Annual Total Returns — June 30, 2017⁴



													Life of Class N			Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 11/15/94)
NAV		13.27	%		25.24	%		17.61	%		9.40	%		—	%		0.98	%		0.98	%

Class A (Inception 7/7/94)
NAV		13.13			24.94			17.32			9.13			—			1.23			1.23
With 5.75% Maximum Sales Charge		6.62			17.75			15.95			8.48			—

Class C (Inception 7/7/94)
NAV		12.70			24.02			16.44			8.31			—			1.98			1.98
With CDSC¹		11.70			23.02			16.44			8.31			—

Class N (Inception 5/1/17)
NAV		—			—			—			—			4.39			0.89			0.89

Comparative Performance
S&P 500^® Index²		9.34			17.90			14.63			7.18			1.86
Russell 1000^® Index³		9.27			18.03			14.67			7.29			1.79

1	Performance for Class C shares assumes a 1.00% 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.

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

QUARTERLY PORTFOLIO SCHEDULES

9 |

UNDERSTANDING FUND EXPENSES

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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LOOMIS SAYLES MULTI-ASSET INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,053.70		$4.84
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76
Class C
Actual		$1,000.00		$1,050.80		$8.64
Hypothetical (5% return before expenses)		$1,000.00		$1,016.36		$8.50
Class N
Actual		$1,000.00		$1,056.30		$3.31
Hypothetical (5% return before expenses)		$1,000.00		$1,021.57		$3.26
Class Y
Actual		$1,000.00		$1,055.30		$3.57
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.65% and 0.70% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

11 |


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,011.70		$5.54	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,019.29		$5.56	*
Class C
Actual		$1,000.00		$1,008.90		$9.26	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,015.57		$9.30	*
Class N
Actual		$1,000.00		$999.30		$1.36	²
Hypothetical (5% return before expenses)		$1,000.00		$1,020.68		$4.16	*
Class Y
Actual		$1,000.00		$1,013.00		$4.29	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,020.53		$4.31	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio: 1.11%, 1.86%, 0.83% and 0.86% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio: 1.11%, 1.86% and 0.86%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.83%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).


MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,035.50		$3.53
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class C
Actual		$1,000.00		$1,030.60		$7.30
Hypothetical (5% return before expenses)		$1,000.00		$1,017.60		$7.25
Class Y
Actual		$1,000.00		$1,036.70		$2.27
Hypothetical (5% return before expenses)		$1,000.00		$1,022.56		$2.26

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% 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 (181), divided by 365 (to reflect the half-year period).

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,131.30		$6.61	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.26	*
Class C
Actual		$1,000.00		$1,127.00		$10.55	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$9.99	*
Class N
Actual		$1,000.00		$1,043.90		$1.60	²
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76	*
Class Y
Actual		$1,000.00		$1,132.70		$5.29	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

Expenses are equal to the Fund’s annualized expense ratio: 1.25%, 2.00% and 1.00% 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 (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.95%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).

13 |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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Fund’s performance and fee differentials against each Fund’s peer group/category, 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 similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, 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.

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 that 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 that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

15 |


	One-Year			Three-Year
Loomis Sayles Multi-Asset Income Fund		20	%		7	%
Loomis Sayles Strategic Alpha Fund		23	%		34	%
McDonnell Intermediate Municipal Bond Fund		89	%		81	%
Natixis U.S. Equity Opportunities Fund		2	%		1	%

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 and the reasons for any such differences. 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 mutual fund assets and the greater regulatory costs associated with the management of such 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 and the potential need to expend additional resources to the extent the Fund grows in size. 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

| 16

various funds in the fund family. They noted that the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for Funds with current expenses above their. The Trustees also considered that Loomis Sayles Strategic Alpha Fund and Natixis U.S. Equity Opportunities Fund were below their caps. The Trustees further noted that management had proposed to reduce the expense cap of Loomis Sayles Strategic Alpha Fund and Natixis U.S. Equity Opportunities Fund.

The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates. These factors included one or more of the following: (1) that the Fund has achieved excess performance returns during the one- and three-year periods relative to the median of a peer group of funds; and (2) that management had proposed to reduce the expense cap and advisory fee of the Fund and/or add a breakpoint 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 compensation or profitability were issues, 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.

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 also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that Loomis Sayles Multi-Asset Income Fund had breakpoints in its advisory fees and that each of the Funds in this report was subject to an expense cap or waiver. The Trustees considered management’s proposal to reduce the expense cap and advisory fee of Loomis Sayles Strategic Alpha Fund and Natixis U.S. Equity Opportunities Fund and add a breakpoint for Loomis Sayles Strategic Alpha Fund. In considering these issues, the Trustees also took note of the costs of the

17 |

services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

The Trustees also considered other factors, which included but were not limited to the following:

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

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, with the reduction in the advisory fee and expense cap for Loomis Sayles Strategic Alpha Fund and Natixis U.S. Equity Opportunities Fund and addition of a breakpoint for Loomis Sayles Strategic Alpha Fund described above, should be continued through June 30, 2018.

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Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund


Shares		Description	Value (†)
	Common Stocks — 48.5% of Net Assets
		Aerospace & Defense — 0.8%
	1,426	Boeing Co. (The)	$	281,991
	6,114	United Technologies Corp.		746,581

				1,028,572

		Air Freight & Logistics — 1.0%
	10,163	bpost S.A.		245,460
	31,194	Cia de Distribucion Integral Logista Holdings S.A.		820,946
	1,134	FedEx Corp.		246,452

				1,312,858

		Airlines — 0.5%
	29,200	Deutsche Lufthansa AG		665,454

		Auto Components — 0.1%
	2,090	Delphi Automotive PLC		183,189

		Automobiles — 1.1%
	7,000	Daimler AG, (Registered)		507,700
	25,650	General Motors Co.		895,955

				1,403,655

		Banks — 7.4%
	102,361	Banco Bilbao Vizcaya Argentaria S.A.		852,661
	126,500	Banco Santander S.A.		839,944
	28,063	Bank of America Corp.		680,808
	1,800	Bank of Nova Scotia		108,280
	8,495	BB&T Corp.		385,758
	59,500	BOC Hong Kong Holdings Ltd.		284,750
	203,068	CaixaBank S.A.		970,741
	3,300	Canadian Imperial Bank of Commerce		268,189
	10,368	Citigroup, Inc.		693,412
	59,061	Credit Agricole S.A.		951,375
	12,819	JPMorgan Chase & Co.		1,171,656
	918,896	Lloyds Banking Group PLC		791,883
	6,700	National Bank of Canada		281,733
	3,633	PNC Financial Services Group, Inc. (The)		453,653
	9,183	U.S. Bancorp		476,781
	9,400	Wells Fargo & Co.		520,854

				9,732,478

		Beverages — 1.4%
	3,962	Coca-Cola Co. (The)		177,696
	1,788	Constellation Brands, Inc., Class A		346,389
	9,423	PepsiCo, Inc.		1,088,262
	5,620	Royal Unibrew AS		269,590

				1,881,937

		Biotechnology — 0.2%
	3,845	AbbVie, Inc.		278,801

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Building Products — 0.5%
	15,707	Johnson Controls International PLC	$	681,056

		Capital Markets — 0.9%
	11,550	3i Group PLC		135,800
	21,967	BGC Partners, Inc., Class A		277,663
	1,512	Bolsas y Mercados Espanoles SHMSF S.A.		54,649
	14,861	Morgan Stanley		662,206

				1,130,318

		Chemicals — 2.5%
	7,000	Asahi Kasei Corp.		75,518
	10,519	E.I. du Pont de Nemours & Co.		848,989
	32,731	Huntsman Corp.		845,769
	3,170	LyondellBasell Industries NV, Class A		267,516
	2,913	Monsanto Co.		344,783
	13,463	Trinseo S.A.		924,908

				3,307,483

		Commercial Services & Supplies — 0.2%
	3,525	Waste Management, Inc.		258,559

		Construction & Engineering — 1.0%
	19,872	ACS Actividades de Construccion y Servicios S.A.		768,328
	19,872	ACS Actividades de Construccion y Servicios S.A., Rights(b)		15,888
	21,257	Peab AB		257,905
	30,000	Taisei Corp.		274,396

				1,316,517

		Containers & Packaging — 0.8%
	1,771	Packaging Corp. of America		197,271
	15,689	WestRock Co.		888,939

				1,086,210

		Distributors — 0.1%
	3,100	Canon Marketing Japan, Inc.		70,668

		Diversified Consumer Services — 0.4%
	7,000	Benesse Holdings, Inc.		264,629
	8,205	H&R Block, Inc.		253,617

				518,246

		Diversified Telecommunication Services — 1.1%
	9,467	CenturyLink, Inc.		226,072
	203,000	HKT Trust & HKT Ltd.		266,246
	427,000	PCCW Ltd.		242,670
	16,538	Verizon Communications, Inc.		738,587

				1,473,575

		Electric Utilities — 1.8%
	2,756	Avangrid, Inc.		121,677
	22,500	CLP Holdings Ltd.		237,923
	41,232	Contact Energy Ltd.		157,417
	7,756	Exelon Corp.		279,759

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Electric Utilities — continued
	8,882	FirstEnergy Corp.	$	258,999
	283,000	HK Electric Investments & HK Electric Investments Ltd., 144A		260,194
	111,515	Mercury NZ Ltd.		271,304
	3,602	NextEra Energy, Inc.		504,748
	4,433	PG&E Corp.		294,218

				2,386,239

		Electrical Equipment — 0.2%
	2,910	Vestas Wind Systems AS		268,789

		Energy Equipment & Services — 0.2%
	6,871	Halliburton Co.		293,460

		Food & Staples Retailing — 0.5%
	1,275	Costco Wholesale Corp.		203,911
	3,190	CVS Health Corp.		256,667
	3,360	Wal-Mart Stores, Inc.		254,285

				714,863

		Food Products — 0.8%
	4,613	Campbell Soup Co.		240,568
	1,819	J.M. Smucker Co. (The)		215,242
	13,611	Mondelez International, Inc., Class A		587,859

				1,043,669

		Health Care Equipment & Supplies — 0.7%
	763	Becton Dickinson and Co.		148,869
	8,112	Medtronic PLC		719,940

				868,809

		Health Care Providers & Services — 2.0%
	4,315	Aetna, Inc.		655,147
	2,817	AmerisourceBergen Corp.		266,291
	2,406	Quest Diagnostics, Inc.		267,451
	7,722	UnitedHealth Group, Inc.		1,431,813

				2,620,702

		Hotels, Restaurants & Leisure — 1.4%
	1,528	Cracker Barrel Old Country Store, Inc.		255,558
	2,877	Darden Restaurants, Inc.		260,196
	9,172	Hilton Worldwide Holdings, Inc.		567,288
	4,045	McDonald’s Corp.		619,532
	1,917	Wyndham Worldwide Corp.		192,486

				1,895,060

		Household Durables — 0.1%
	12,300	Haseko Corp.		149,782

		Household Products — 0.6%
	8,914	Procter & Gamble Co. (The)		776,855

		Independent Power & Renewable Electricity Producers — 0.2%
	22,676	AES Corp. (The)		251,930

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Industrial Conglomerates — 1.4%
	26,378	General Electric Co.	$	712,470
	5,375	Honeywell International, Inc.		716,434
	3,800	Jardine Matheson Holdings Ltd.		243,944
	683	Roper Technologies, Inc.		158,135

				1,830,983

		Insurance — 1.3%
	2,501	Assured Guaranty Ltd.		104,392
	3,486	Chubb Ltd.		506,795
	20,529	MetLife, Inc.		1,127,863

				1,739,050

		Internet Software & Services — 0.4%
	2,900	j2 Global, Inc.		246,761
	4,000	Mixi, Inc.		222,597

				469,358

		IT Services — 1.6%
	2,011	Accenture PLC, Class A		248,720
	13,030	Automatic Data Processing, Inc.		1,335,054
	7,500	ITOCHU Techno-Solutions Corp.		263,005
	2,964	Science Applications International Corp.		205,761

				2,052,540

		Machinery — 0.9%
	6,890	Allison Transmission Holdings, Inc.		258,444
	3,912	Cummins, Inc.		634,605
	4,139	Dover Corp.		332,030

				1,225,079

		Media — 0.7%
	10,791	Comcast Corp., Class A		419,986
	2,974	Meredith Corp.		176,804
	2,835	Walt Disney Co. (The)		301,219

				898,009

		Multi-Utilities — 0.5%
	9,409	CenterPoint Energy, Inc.		257,618
	2,382	Consolidated Edison, Inc.		192,513
	4,503	E.ON AG		42,508
	2,050	Sempra Energy		231,138

				723,777

		Oil, Gas & Consumable Fuels — 2.0%
	10,526	Canadian Natural Resources Ltd.		303,570
	5,837	Chevron Corp.		608,974
	28,683	Encana Corp.		252,410
	2,108	EQT Corp.		123,508
	4,548	Exxon Mobil Corp.		367,160
	8,699	Golar LNG Ltd.		193,553
	1,916	PDC Energy, Inc.(b)		82,599

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	5,462	Valero Energy Corp.	$	368,467
	10,130	Williams Cos., Inc. (The)		306,736

				2,606,977

		Personal Products — 0.2%
	9,000	Pola Orbis Holdings, Inc.		238,109

		Pharmaceuticals — 3.0%
	5,370	Bristol-Myers Squibb Co.		299,216
	12,017	Eli Lilly & Co.		988,999
	5,062	Johnson & Johnson		669,652
	44,799	Pfizer, Inc.		1,504,798
	5,300	Sanofi		507,846

				3,970,511

		REITs – Mortgage — 0.2%
	26,822	Two Harbors Investment Corp.		265,806

		Road & Rail — 0.2%
	5,357	CSX Corp.		292,278

		Semiconductors & Semiconductor Equipment — 1.2%
	5,415	Maxim Integrated Products, Inc.		243,133
	11,004	QUALCOMM, Inc.		607,641
	10,055	Teradyne, Inc.		301,952
	3,227	Texas Instruments, Inc.		248,253
	1,700	Tokyo Electron Ltd.		229,828

				1,630,807

		Software — 1.5%
	12,277	Microsoft Corp.		846,254
	22,300	Oracle Corp.		1,118,122

				1,964,376

		Specialty Retail — 0.2%
	4,480	Best Buy Co., Inc.		256,838

		Technology Hardware, Storage & Peripherals — 2.0%
	14,598	Apple, Inc.		2,102,404
	13,442	HP, Inc.		234,966
	6,058	Seagate Technology PLC		234,748

				2,572,118

		Thrifts & Mortgage Finance — 0.2%
	10,500	Genworth MI Canada, Inc.		288,896

		Tobacco — 1.9%
	14,671	Altria Group, Inc.		1,092,549
	7,700	British American Tobacco PLC		524,700
	5,635	Imperial Brands PLC		253,221
	7,100	Japan Tobacco, Inc.		249,551
	893	Philip Morris International, Inc.		104,883
	11,869	Vector Group Ltd.		253,047

				2,477,951

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Trading Companies & Distributors — 0.6%
	17,700	ITOCHU Corp.	$	263,534
	11,300	Mitsubishi Corp.		237,538
	19,900	Sumitomo Corp.		259,499

				760,571

		Transportation Infrastructure — 0.0%
	449	Macquarie Infrastructure Corp.		35,202

		Total Common Stocks (Identified Cost $59,750,851)		63,898,970


Principal Amount (‡)
	Bonds and Notes — 33.1%
	Non-Convertible Bonds — 32.4%
		Airlines — 0.5%
$	640,000	United Continental Holdings, Inc., 5.000%, 2/01/2024		648,800

		Banking — 10.1%
	625,000	Ally Financial, Inc., 5.750%, 11/20/2025		657,812
	610,000	Australia & New Zealand Banking Group Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 6.750%, 144A(c)		674,040
	2,320,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		138,004
	1,000,000	Banco Santander S.A., (fixed rate to 5/19/2019, variable rate thereafter), 6.375%(c)		1,023,750
	455,000	Barclays Bank PLC, 4.836%, 5/09/2028		465,142
	3,600,000	BNP Paribas S.A., (fixed rate to 3/14/2022, variable rate thereafter), 6.750%, 144A(c)		3,798,000
	1,150,000	BNP Paribas S.A., (fixed rate to 3/30/2021, variable rate thereafter), 7.625%, 144A(c)		1,265,000
	625,000	Credit Suisse AG, 6.500%, 8/08/2023, 144A		702,375
	620,000	Credit Suisse Group AG, (fixed rate to 12/11/2023, variable rate thereafter), 7.500%, 144A(c)		695,200
	1,200,000	Deutsche Bank AG, (fixed rate to 4/30/2020, variable rate thereafter), 6.250%(c)		1,182,000
	550,000	Dresdner Funding Trust I, 8.151%, 6/30/2031, 144A		690,556
	1,020,000	Societe Generale S.A., (fixed rate to 1/27/2020, variable rate thereafter), 6.000%(c)		1,020,375
	975,000	UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A		1,001,510

				13,313,764

		Cable Satellite — 1.2%
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		639,062
	830,000	DISH DBS Corp., 7.750%, 7/01/2026		983,550

				1,622,612

		Chemicals — 0.5%
	650,000	Hercules LLC, 6.500%, 6/30/2029(d)(e)		653,250

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Consumer Cyclical Services — 0.7%
$	985,000	eBay, Inc., 3.600%, 6/05/2027	$	973,483

		Consumer Products — 0.4%
	460,000	ACWA Power Management And Investments One Ltd., 5.950%, 12/15/2039, 144A		469,257

		Electric — 0.3%
	435,000	NRG Energy, Inc., 7.250%, 5/15/2026		450,225

		Finance Companies — 0.5%
	295,000	Cia Latinoamericana de Infraestructura & Servicios S.A., 9.500%, 7/20/2023, 144A		307,484
	395,000	Mexico City Airport Trust, 4.250%, 10/31/2026, 144A		404,982

				712,466

		Financial Other — 0.5%
	625,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., Series WI, 6.250%, 2/01/2022		651,563

		Food & Beverage — 0.5%
	635,000	Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		645,122

		Government Owned – No Guarantee — 2.3%
	2,040,000	Banco do Brasil S.A., (fixed rate to 4/15/2024, variable rate thereafter), 6.250%, 144A(c)		1,736,040
	1,150,000	Petrobras Global Finance BV, 8.750%, 5/23/2026		1,322,500

				3,058,540

		Independent Energy — 0.4%
	305,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		299,663
	300,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		231,750

				531,413

		Midstream — 0.5%
	640,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.875%, 8/20/2026		656,000

		Non-Agency Commercial Mortgage-Backed Securities — 0.3%
	370,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 4.159%, 10/15/2034, 144A(f)		371,854

		Packaging — 0.4%
	540,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023(g)		576,396

		Retailers — 0.5%
	625,000	Coach, Inc., 4.125%, 7/15/2027		618,196

		Sovereigns — 1.6%
	280,000	Panama Government International Bond, 4.500%, 5/15/2047		283,500
	1,250,000	Republic of Argentina, 6.875%, 1/26/2027		1,295,000
	485,000	Republic of Argentina, 7.500%, 4/22/2026		522,587

				2,101,087

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — 0.7%
$	410,000	Dell International LLC/EMC Corp., 8.100%, 7/15/2036, 144A	$	515,328
	290,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		374,269

				889,597

		Treasuries — 8.4%
	8,400(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)		2,343,146
	12,308,000,000	Indonesia Government International Bond, Series FR72, 8.250%, 5/15/2036, (IDR)		990,458
	206,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		1,352,327
	6,230,000	U.S. Treasury Bonds,3.000%, 5/15/2047		6,429,553

				11,115,484

		Wireless — 0.8%
	900,000	Sprint Corp., 7.250%, 9/15/2021		1,000,125

		Wirelines — 1.3%
	380,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		353,400
	385,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		402,402
	910,000	Qwest Corp., 6.875%, 9/15/2033		895,434

				1,651,236

		Total Non-Convertible Bonds (Identified Cost $41,061,656)		42,710,470


	Convertible Bonds — 0.7%
		Cable Satellite — 0.7%
	770,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		933,625

		Midstream — 0.0%
	25,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		21,125

		Total Convertible Bonds (Identified Cost $861,774)		954,750


		Total Bonds and Notes (Identified Cost $41,923,430)		43,665,220


	Senior Loans — 9.3%
		Airlines — 2.4%
	3,063,636	Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020(f)		3,132,568

		Chemicals — 1.0%
	337,471	ASP Chromaflo Dutch I BV, Term Loan B2, 5.226%, 11/18/2023(f)		338,527
	259,529	ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1, 5.226%, 11/18/2023(f)		260,341
	768,075	Avantor Performance Materials Holdings LLC, 2017 1st Lien Term Loan, 5.230%, 3/10/2024(f)		769,358

				1,368,226

		Electric — 0.8%
	1,057,350	Dynegy, Inc., 2017 Term Loan C, 4.476%, 2/07/2024(f)		1,054,654

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description		Value (†)
		Financial Other — 0.7%
$	880,553	Russell Investment Group, Term Loan B, 6.976%, 6/01/2023(f)		$	892,660

		Food & Beverage — 0.6%
	1,149,470	Agrokor d.d., PIK Term Loan, 10.500%, 6/04/2018, (EUR)(d)(e)(f)(g)			12,472
	773,063	Aramark Services, Inc., 2017 USD Term Loan B, 3.226%, 3/28/2024(f)			776,928

					789,400

		Independent Energy — 0.4%
	392,811	Chesapeake Energy Corp., Term Loan, 8.686%, 8/23/2021(f)			415,005
	148,743	MEG Energy Corp., 2017 Term Loan B, 4.696%, 12/31/2023(f)			144,746

					559,751

		Lodging — 0.6%
	768,075	Hilton Worldwide Finance LLC, Term Loan B2, 3.216%, 10/25/2023(f)			770,080

		Media Entertainment — 0.5%
	596,030	Camelot UK Holdco Ltd., 2017 Term Loan B, 4.726%, 10/03/2023(f)			599,225

		Retailers — 0.4%
	596,954	PetSmart, Inc., Term Loan B2, 4.220%, 3/11/2022(f)			554,505

		Technology — 1.9%
	1,709,345	Dell, Inc, 2017 Term Loan B, 3.730%, 9/07/2023(f)			1,715,037
	766,150	Western Digital Corp., 2017 USD Term Loan B, 3.976%, 4/29/2023(f)			768,740

					2,483,777

		Total Senior Loans (Identified Cost $12,702,291)			12,204,846


Shares
	Preferred Stocks — 3.0%
	Non-Convertible Preferred Stocks — 2.6%
		Banking — 1.3%
	64,000	Bank of America Corp., Series CC, 6.200%			1,713,920

		Electric — 0.8%
	39,047	SCE Trust VI, 5.000%			974,223

		Integrated Energy — 0.5%
	26,000	NuStar Energy LP, Series B, (fixed rate to 6/15/2022, variable rate thereafter), 7.625%(b)			653,900

		Total Non-Convertible Preferred Stocks (Identified Cost $3,226,175)			3,342,043


	Convertible Preferred Stock — 0.4%
		Midstream — 0.4%
	932	Chesapeake Energy Corp., 5.750% (Identified Cost $631,845)			559,782

		Total Preferred Stocks (Identified Cost $3,858,020)			3,901,825
			��

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
	Exchange Traded Funds — 2.5%
	280,176	Alerian MLP ETF (Identified Cost $3,326,277)	$	3,350,905


Principal Amount (‡)
	Short-Term Investments — 3.0%
$	3,941,634	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $3,941,746 on 7/03/2017 collateralized by $4,040,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $4,025,323 (Note 2 of Notes to Financial Statements) (Identified Cost $3,941,634)		3,941,634


		Total Investments — 99.4% (Identified Cost $125,502,503)(a)		130,963,400
		Other assets less liabilities — 0.6%		795,970

		Net Assets — 100.0%	$	131,759,370


	(†)	See Note 2 of Notes to Financial Statements.
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2017, the net unrealized appreciation on investments based on a cost of $125,517,376 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	7,430,977
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,984,953	)

		Net unrealized appreciation	$	5,446,024


	(b)	Non-income producing security.
	(c)	Perpetual bond with no specified maturity date.
	(d)	Illiquid security.
	(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $665,722 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	Variable rate security. Rate as of June 30, 2017 is disclosed.
	(g)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2017, interest payments were made in cash.

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)



	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, 2017, the value of Rule 144A holdings amounted to $16,555,717 or 12.6% of net assets.
	ETF			Exchange-Traded Fund
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

	ARS			Argentine Peso
	BRL			Brazilian Real
	EUR			Euro
	IDR			Indonesian Rupiah
	MXN			Mexican Peso

Industry Summary at June 30, 2017 (Unaudited)


Banking	11.4	%
Treasuries	8.4
Banks	7.4
Chemicals	4.0
Airlines	3.4
Pharmaceuticals	3.0
Technology	2.6
Exchange-Traded Funds	2.5
Government Owned – No Guarantee	2.3
Health Care Providers & Services	2.0
Oil, Gas & Consumable Fuels	2.0
Technology Hardware, Storage & Peripherals	2.0
Other Investments, less than 2% each	45.4
Short-Term Investments	3.0

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 76.5% of Net Assets
	Non-Convertible Bonds — 74.4%
		ABS Car Loan — 6.1%
$	2,135,000	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(b)	$	2,132,625
	1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(b)		1,486,209
	295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(b)		301,311
	600,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(b)		613,474
	3,065,000	CPS Auto Receivables Trust, Series 2016-B, Class E, 8.140%, 5/15/2023, 144A		3,289,581
	2,175,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(b)		2,184,536
	655,000	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(b)		669,633
	1,070,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A(b)		1,092,506
	4,075,000	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(b)		4,152,350
	3,045,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(b)		3,172,679
	270,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(b)		271,936
	440,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(b)		443,651
	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(b)		348,520
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(b)		1,749,768
	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(b)		219,788
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(b)		609,628
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(b)		656,395
	735,305	Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019(b)		734,506
	1,471,287	Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(b)		1,470,241
	1,265,578	Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/2019(b)		1,263,832
	3,171,335	Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(b)		3,169,960
	471,064	Ford Credit Auto Owner Trust, Series 2016-B, Class A2B, 1.469%, 3/15/2019(b)(c)		471,369

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	9,359,761	Ford Credit Auto Owner Trust, Series 2016-C, Class A2B, 1.299%, 9/15/2019(b)(c)	$	9,363,836
	4,275,000	Ford Credit Auto Owner Trust, Series 2017-A, Class A2B, 1.279%, 12/15/2019(b)(c)		4,274,999
	575,153	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018(b)		574,652
	2,341,304	Honda Auto Receivables Owner Trust, Series 2015-3, Class A3, 1.270%, 4/18/2019(b)		2,339,537
	2,135,000	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(b)		2,130,478
	5,570,000	Honda Auto Receivables Owner Trust, Series 2016-4, Class A3, 1.210%, 12/18/2020(b)		5,524,835
	1,290,000	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021(b)		1,290,821
	3,045,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 2.009%, 4/18/2022, 144A(b)(c)		3,049,245
	970,000	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(b)		963,007
	950,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A2B, 1.219%, 1/15/2020(b)(c)		950,034
	1,525,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(b)		1,526,588
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(b)		3,169,489
	2,565,603	Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019(b)		2,564,443
	795,000	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(b)		790,550
	1,832,348	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2B, 1.289%, 5/15/2019(b)(c)		1,832,510
	2,940,000	Toyota Auto Receivables Owner Trust, Series 2017-B, Class A2B, 1.050%, 1/15/2020(b)(c)		2,939,069
	1,345,000	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(b)		1,340,195
	595,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class D, 3.460%, 10/17/2022, 144A(b)		598,061

				75,726,847

		ABS Credit Card — 7.3%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 1.579%, 2/16/2021(b)(c)		3,156,547
	2,695,000	American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020(b)		2,695,531
	2,295,000	American Express Credit Account Master Trust, Series 2014-5, Class A, 1.449%, 5/15/2020(b)(c)		2,296,496
	4,050,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 1.399%, 5/15/2020(b)(c)		4,052,407

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Credit Card — continued
$	2,765,000	American Express Issuance Trust II, Series 2013-2, Class A, 1.589%, 8/15/2019(b)(c)	$	2,776,755
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 1.539%, 6/15/2021(b)(c)		2,058,615
	5,865,000	BA Credit Card Trust, Series 2015-A1, Class A, 1.489%, 6/15/2020(b)(c)		5,874,351
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1.549%, 10/15/2021(b)(c)		1,000,310
	4,385,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(b)		4,399,647
	3,600,000	Capital One Multi-Asset Execution Trust, Series 2004-A7, Class A7, 1.450%, 8/16/2021(b)		3,592,770
	2,585,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(b)		2,595,689
	3,370,000	Chase Issuance Trust, Series 2007-A12, Class A12, 1.209%, 8/15/2019(b)(c)		3,370,000
	6,640,000	Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019(b)		6,640,541
	3,560,000	Chase Issuance Trust, Series 2015-A1, Class A, 1.479%, 2/18/2020(b)(c)		3,565,616
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A, 1.840%, 4/15/2022(b)		3,499,589
	6,090,000	Chase Issuance Trust, Series 2016-A1, Class A, 1.569%, 5/17/2021(b)(c)		6,122,745
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(b)		3,099,889
	5,990,000	Chase Issuance Trust, Series 2017-A1, Class A, 1.459%, 1/18/2022(b)(c)		6,009,770
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 1.547%, 9/10/2020(b)(c)		5,846,792
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(b)		3,051,507
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(b)		5,794,835
	5,995,000	Citibank Credit Card Issuance Trust, Series 2017-A1, Class A1, 1.459%, 1/19/2021(b)(c)		6,007,564
	2,405,000	Discover Card Execution Note Trust, Series 2013-A1, Class A1, 1.459%, 8/17/2020(b)(c)		2,407,849

				89,915,815

		ABS Home Equity — 9.3%
	629,691	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.377%, 3/25/2035(b)(c)		610,978
	1,351,330	Adjustable Rate Mortgage Trust, Series 2005-1, Class 3A1, 3.257%, 5/25/2035(c)		1,350,280
	1,858,672	Ajax Mortgage Loan Trust, Series 2016-B, Class A, 4.000%, 9/25/2065, 144A(b)(c)		1,855,532

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,412,604	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(b)(c)	$	1,406,778
	454,913	Ajax Mortgage Loan Trust, Series 2017-A, Class A, 3.470%, 4/25/2057, 144A(c)		454,085
	533,526	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033		530,058
	571,009	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(b)		582,139
	641,773	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(b)		659,346
	416,518	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		418,524
	1,243,955	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		1,265,202
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(b)		322,179
	1,980,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A		2,195,650
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A		1,346,578
	782,732	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		797,735
	2,816,642	Banc of America Alternative Loan Trust, Series 2004-6, Class 2A1, 6.000%, 7/25/2034		2,938,294
	1,459,914	Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.241%, 11/20/2034(c)		1,446,479
	424,606	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b)		444,342
	859,313	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		904,441
	679,902	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		694,837
	593,723	Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 3.598%, 9/29/2031, 144A(b)(c)		596,972
	499,580	Bayview Opportunity Master Fund IIIb Trust, Series 2017-RN2, Class A1, 3.475%, 4/28/2032, 144A(b)(c)		499,059
	999,796	Bayview Opportunity Master Fund IIIb Trust, Series 2017-RN3, Class A1, 3.228%, 5/28/2032, 144A(c)		998,436
	1,341,638	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL1, Class A1, 3.598%, 1/28/2032, 144A(b)(c)		1,338,848
	345,370	Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1, 3.475%, 7/28/2031, 144A(b)(c)		343,853
	91,560	Bayview Opportunity Master Fund Trust, Series 2016-LT1, Class A1, 3.475%, 10/28/2031, 144A(b)(c)		91,520
	892,263	BCAP LLC Trust, Series 2007-AA2, Class 22A1,6.000%, 3/25/2022		886,762
	261,039	CAM Mortgage Trust, Series 2016-1, Class A, 4.000%, 1/15/2056, 144A(b)(c)		262,839

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	2,055,000	CAM Mortgage Trust, Series 2016-1, Class M, 5.000%, 1/15/2056, 144A(c)	$	1,991,629
	2,287,991	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 3.058%, 8/25/2035(c)		2,268,781
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A(b)		2,230,577
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(b)(c)		1,088,702
	326,016	Colony American Homes, Series 2014-2A, Class E, 4.420%, 7/17/2031, 144A(c)		328,362
	3,190,000	Colony American Homes, Series 2015-1A, Class D, 3.322%, 7/17/2032, 144A(c)		3,206,226
	766,356	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(b)		784,267
	671,004	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		699,386
	1,249,865	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,285,421
	670,425	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(b)		680,486
	1,625	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.098%, 8/25/2034(b)(c)(d)		1,619
	796,880	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 1.426%, 5/25/2035(c)		661,786
	743,508	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 3.358%, 8/25/2034(c)		730,565
	104,965	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.312%, 9/20/2034(b)(c)(d)		100,509
	826,873	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035		741,121
	263,719	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 4A4, 5.750%, 11/25/2033(b)		272,549
	651,267	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 3.207%, 11/25/2033(b)(c)		650,834
	456,955	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 3.314%, 12/25/2033(b)(c)(d)		449,157
	1,063,201	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1.566%, 6/25/2034(c)		998,768
	735,800	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.539%, 9/19/2045(c)		566,320
	1,973,800	Dukinfield 2 PLC, Series 2, Class A, 1.537%, 12/20/2052, (GBP)(b)(c)		2,601,198
	722,688	Eurosail PLC, Series 2007-2X, Class A3C, 0.439%, 3/13/2045, (GBP)(b)(c)		917,666
	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.466%, 11/25/2023(c)		558,139
	1,993,385	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 3.416%, 2/25/2024(b)(c)		2,049,244

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,319,442	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 2.866%, 4/25/2024(b)(c)	$	1,340,476
	2,585,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 3.066%, 10/25/2027(b)(c)		2,651,374
	1,526,767	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(b)(c)		1,520,393
	987,569	GCAT LLC, Series 2017-3, Class A1, 3.352%, 4/25/2047, 144A(c)		987,388
	188,329	GCAT LLC, Series 2017-4, Class A1, 3.228%, 5/25/2022, 144A(c)		187,944
	1,145,000	GCAT LLC, Series 2017-5, Class A1, 3.228%, 7/25/2047, 144A(c)		1,147,863
	457,851	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.891%, 7/19/2035(c)		444,119
	390,978	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.709%, 7/25/2035(c)		383,780
	2,678,136	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1.996%, 12/25/2034(c)		2,366,674
	868,537	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 2.436%, 9/25/2034(c)		763,137
	1,798,839	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.856%, 7/25/2045(c)		1,652,980
	3,772,471	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1.426%, 2/25/2046(c)		3,231,534
	860,000	Invitation Homes Trust, Series 2015-SFR1, Class E, 5.409%, 3/17/2032, 144A(c)		865,822
	568,861	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 2.980%, 11/25/2033(b)(c)		543,496
	2,003,963	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		2,023,956
	1,485,786	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 3.454%, 4/25/2035(b)(c)		1,476,146
	484,297	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 3.087%, 6/25/2035(b)(c)		488,347
	1,081,029	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 3.231%, 2/25/2036(c)		1,000,391
	620,136	Lehman XS Trust, Series 2005-7N, Class 3A1, 1.496%, 12/25/2035(c)		451,243
	374	Lehman XS Trust, Series 2006-12N, Class A2A1, 1.366%, 8/25/2046(c)(d)		370
	749,871	Lehman XS Trust, Series 2006-2N, Class 1A1, 1.476%, 2/25/2046(c)		604,930
	552,234	Ludgate Funding PLC, Series 2007-1, Class A2B, Zero Coupon, 1/01/2061, (EUR)(b)(c)		603,982
	2,096,761	Ludgate Funding PLC, Series 2008-W1X, Class A1, 0.939%, 1/01/2061, (GBP)(b)(c)		2,665,165
	360,755	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.557%, 5/25/2034(b)(c)(d)		349,309
	1,615,656	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.958%, 7/25/2034(b)(c)		1,570,640
	371,657	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 3.473%, 4/25/2036(c)		367,981
	521,379	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b)		538,891

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	579,726	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b)	$	594,037
	685,623	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b)		710,363
	1,842,978	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		1,958,721
	204,254	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 3.038%, 5/25/2036(b)(c)		198,089
	671,146	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d)		637,941
	1,334,248	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		1,372,095
	1,585,424	National City Mortgage Capital Trust, Series 2008-1, Class 2A1, 6.000%, 3/25/2038		1,647,100
	812,351	Newgate Funding, Series 2007-3X, Class A2B, 0.269%, 12/15/2050, (EUR)(b)(c)		916,516
	488,416	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(b)(c)		484,753
	1,051,067	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 1.406%, 4/25/2046(c)		945,670
	1,587,984	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,385,976
	514,693	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(d)		511,692
	256,494	RMAC PLC, Series 2005-NS3X, Class A2C, 0.030%, 6/12/2043, (EUR)(b)(c)		285,075
	452,917	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, Zero Coupon, 6/12/2044, (EUR)(b)(c)		500,977
	352,075	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, 0.439%, 6/12/2044, (GBP)(b)(c)		436,817
	779,948	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 3.309%, 6/25/2034(b)(c)		771,731
	3,816,579	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1.526%, 7/25/2035(c)		3,056,900
	720,485	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b)		728,559
	411,652	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		423,277
	1,200,000	Towd Point Mortgage Funding PLC, Series 16-GR1X, Class B, 1.736%, 7/20/2046, (GBP)(b)(c)		1,573,246
	1,383,235	VOLT LIV LLC, Series 2017-NPL1, Class A1, 3.625%, 2/25/2047, 144A(b)(c)		1,384,144
	2,400,000	VOLT LIV LLC, Series 2017-NPL1, Class A2, 6.000%, 2/25/2047, 144A(c)		2,426,250
	1,029,533	VOLT LV LLC, Series 2017-NPL2, Class A1, 3.500%, 3/25/2047, 144A(b)(c)		1,031,233
	1,834,226	VOLT LVI LLC, Series 2017-NPL3, Class A1, 3.500%, 3/25/2047, 144A(b)(c)		1,840,029
	1,145,000	VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.125%, 6/25/2047, 144A(c)		1,145,000
	58,659	VOLT XIX LLC, Series 2014-NP11, Class A1, 3.875%, 4/25/2055, 144A(c)		58,685
	1,565,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(c)		1,563,799

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	427,776	VOLT XXII LLC, Series 2015-NPL4, Class A1, 3.500%, 2/25/2055, 144A(c)	$	429,280
	199,384	VOLT XXII LLC, Series 2015-NPL4, Class A2, 4.250%, 2/25/2055, 144A(b)(c)		199,435
	138,387	VOLT XXIV LLC, Series 2015-NPL6, Class A1, 3.500%, 2/25/2055, 144A(c)		138,656
	771,467	VOLT XXIV LLC, Series 2015-NPL6, Class A2, 4.250%, 2/25/2055, 144A(c)		769,839
	1,373,189	VOLT XXXIII LLC, Series 2015-NPL5, Class A1, 3.500%, 3/25/2055, 144A(b)(c)		1,378,217
	360,184	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 3.009%, 8/25/2034(b)(c)		367,552
	206,523	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035(d)		211,448
	908,418	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		914,440
	499,934	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.152%, 5/01/2035(b)(c)		510,142
	641,603	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 3.161%, 6/25/2035(c)		646,877

				115,487,950

		ABS Other — 3.9%
	920,000	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A		921,430
	4,062,500	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)(c)		3,986,328
	1,333,333	AIM Aviation Finance Ltd., Series 2015-1A, Class C1, 4.750%, 2/15/2040, 144A		1,200,000
	1,207,708	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(b)(c)		1,237,546
	1,378,151	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(b)(c)		1,403,225
	2,602,315	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b)		2,598,460
	2,008,766	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)		1,355,917
	790,874	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)		227,930
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)		3,410
	1,317,885	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(e)(g)		1,270,689
	3,120,000	OneMain Financial Issuance Trust, 4.160%, 11/20/2028, 144A(b)		3,018,033
	167,211	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(b)		167,274
	193,859	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b)		194,111
	745,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(b)		747,967
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A		6,525,265
	1,265,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(b)		1,277,609
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A		3,174,344

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	2,685,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(b)	$	2,806,985
	4,025,236	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)		4,118,301
	486,004	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(b)		485,062
	959,023	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(b)		958,692
	955,867	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(b)		961,497
	2,380,583	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b)		2,378,004
	1,710,000	Tidewater Sales Finance Master Trust, Series 2017-AA, Class A, 4.550%, 4/15/2021, 144A(e)(g)		1,710,417
	5,700,000	Working Capital Solutions Funding LLC, 7.711%, 8/27/2017, 144A(c)(d)(e)		5,700,000

				48,428,496

		ABS Student Loan — 0.7%
	1,460,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 3.200%, 6/15/2032(b)(c)		1,459,088
	3,550,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 3.320%, 3/15/2033(b)(c)		3,547,781
	242,846	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 2.241%, 8/25/2032, 144A(b)(c)		246,514
	1,226,175	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 2.191%, 3/25/2033, 144A(b)(c)		1,244,741
	2,429,685	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(b)		2,442,466

				8,940,590

		ABS Whole Business — 0.3%
	3,115,000	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A		3,165,048
	960,000	Five Guys Holdings, Inc., Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		965,422

				4,130,470

		Aerospace & Defense — 0.9%
	1,135,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025(b)		1,183,238
	1,605,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027(b)		1,677,225
	1,195,000	Embraer Overseas Ltd., 5.696%, 9/16/2023, 144A(b)		1,287,612
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		6,723,360

				10,871,435

		Airlines — 1.3%
	7,697,579	Air Canada Pass Through Trust, Series 2015-2, Class B, 5.000%, 6/15/2025, 144A(b)		7,895,330
	3,150,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026(b)		3,244,500

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	5,285,184	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025	$	5,199,299

				16,339,129

		Automotive — 3.4%
	5,875,000	American Honda Finance Corp., MTN, 1.458%, 11/19/2018(b)(c)		5,890,804
	3,700,000	American Honda Finance Corp., Series MTN, 1.724%, 9/20/2017(b)(c)		3,703,537
	5,785,000	BMW U.S. Capital LLC, 1.656%, 9/13/2019, 144A(b)(c)		5,815,082
	6,045,000	BMW U.S. Capital LLC, 1.679%, 4/06/2020, 144A(b)(c)		6,077,879
	5,980,000	Ford Motor Credit Co. LLC, 2.155%, 1/09/2020(b)(c)		6,022,290
	5,955,000	Nissan Motor Acceptance Corp., 1.735%, 1/13/2020, 144A(b)(c)		5,972,627
	5,980,000	Toyota Motor Credit Corp., MTN, 1.415%, 1/09/2019(b)(c)		5,996,648
	2,955,000	Toyota Motor Credit Corp., MTN, 1.598%, 10/18/2019(b)(c)		2,976,430

				42,455,297

		Banking — 3.6%
	44,895,000	Banco Hipotecario S.A., 21.354%, 1/12/2020, 144A, (ARS)(c)		2,716,376
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		1,306,873
	46,000,000	Banco Supervielle S.A., 24.167%, 8/09/2020, 144A, (ARS)(c)		2,855,161
	6,100,000	Citibank NA, 1.410%, 11/09/2018(b)(c)		6,102,867
	4,603,000	Citigroup, Inc., 1.892%, 11/24/2017(b)(c)		4,611,879
	5,980,000	Citigroup, Inc., 1.945%, 1/10/2020(b)(c)		6,023,217
	6,240,000	JPMorgan Chase & Co., 1.882%, 6/01/2021(c)		6,244,056
	5,800,000	JPMorgan Chase Bank NA, 1.879%, 9/23/2019(b)(c)		5,841,615
	6,000,000	Sumitomo Mitsui Banking Corp., 1.698%, 1/11/2019(b)(c)		6,017,076
	3,000,000	Toronto-Dominion Bank (The), MTN, 1.578%, 1/18/2019(b)(c)		3,009,024

				44,728,144

		Building Materials — 0.3%
	2,755,000	Cemex SAB de CV, 6.125%, 5/05/2025, 144A		2,968,513

		Cable Satellite — 0.8%
	2,865,000	Cox Communications, Inc., 4.500%, 6/30/2043, 144A(b)		2,572,340
	1,575,000	Cox Communications, Inc., 4.700%, 12/15/2042, 144A(b)		1,435,614
	1,740,000	DISH DBS Corp., 5.875%, 11/15/2024		1,856,528
	1,475,000	DISH DBS Corp., 7.750%, 7/01/2026		1,747,875
	2,065,000	Time Warner Cable LLC, 4.500%, 9/15/2042(b)		1,964,825

				9,577,182

		Collateralized Mortgage Obligations — 0.3%
	55,157,850	Government National Mortgage Association, Series 2012-135, Class IO, 0.615%, 1/16/2053(b)(c)(h)		2,122,430
	1,154,576	GSR Mortgage Loan Trust, Series 2005-AR5, Class 4A1, 3.515%, 10/25/2035(c)		1,144,639

				3,267,069

		Construction Machinery — 1.0%
	5,810,000	Caterpillar Financial Services Corp., GMTN, 1.886%, 2/23/2018(b)(c)		5,833,798
	6,000,000	Caterpillar Financial Services Corp., MTN, 1.665%, 1/10/2020(b)(c)		6,036,018

				11,869,816

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing — 0.5%
$	5,915,000	United Technologies Corp., 1.520%, 11/01/2019(b)(c)	$	5,954,039

		Electric — 1.6%
	12,170,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		14,482,300
	4,800,000	Pacific Gas & Electric Co., 1.402%, 11/30/2017(b)(c)		4,801,157

				19,283,457

		Finance Companies — 0.9%
	1,550,000	Aircastle Ltd., 5.000%, 4/01/2023		1,654,625
	3,225,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		3,297,563
	6,100,000	USAA Capital Corp., 1.400%, 2/01/2019, 144A(b)(c)		6,105,124

				11,057,312

		Financial Other — 0.8%
	1,815,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.750%, 2/01/2024		1,892,319
	1,415,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., Series WI, 6.250%, 2/01/2022		1,475,138
	6,780,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		6,881,700

				10,249,157

		Food & Beverage — 1.0%
	3,850,000	BRF GmbH, 4.350%, 9/29/2026, 144A(b)		3,602,368
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		3,178,484
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		679,607
	2,300,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		2,162,000
	2,900,000	PepsiCo, Inc., 1.569%, 10/04/2019(b)(c)		2,914,961

				12,537,420

		Government Owned – No Guarantee — 2.4%
	18,670,000,000	Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b)		6,231,124
	2,655,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		2,699,339
	4,640,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		3,850,040
	2,045,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		2,010,746
	8,135,000	Petrobras Global Finance BV, 7.375%, 1/17/2027		8,606,830
	940,000	Petrobras Global Finance BV, 8.750%, 5/23/2026		1,081,000
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		3,741,304
	1,930,000	YPF S.A., 23.083%, 7/07/2020, 144A(c)		1,996,347

				30,216,730

		Health Insurance — 0.5%
	5,665,000	Aetna, Inc., 1.869%, 12/08/2017(b)(c)		5,677,667

		Healthcare — 0.5%
	2,850,000	Grifols S.A., 3.200%, 5/01/2025, 144A, (EUR)		3,260,940
	2,800,000	Quintiles IMS, Inc., 3.250%, 3/15/2025, 144A, (EUR)		3,249,315

				6,510,255

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — 4.1%
$	2,390,000	Aker BP ASA, 6.000%, 7/01/2022, 144A	$	2,461,700
	2,280,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		2,280,000
	150,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		133,125
	665,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		568,575
	2,965,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		2,650,236
	74,000	California Resources Corp., 5.500%, 9/15/2021		42,879
	448,000	California Resources Corp., 6.000%, 11/15/2024		209,749
	1,095,000	California Resources Corp., 8.000%, 12/15/2022, 144A		692,588
	3,180,000	Callon Petroleum Co., 6.125%, 10/01/2024		3,235,650
	245,000	Canadian Natural Resources Ltd., 3.900%, 2/01/2025(b)		246,512
	1,190,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		1,178,100
	970,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		953,025
	3,635,000	Continental Resources, Inc., 3.800%, 6/01/2024		3,328,279
	560,000	Continental Resources, Inc., 4.500%, 4/15/2023		534,800
	11,465,000	Continental Resources, Inc., 5.000%, 9/15/2022		11,250,031
	3,650,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		3,285,000
	685,000	Marathon Oil Corp., 5.200%, 6/01/2045(b)		656,755
	4,519,000	Matador Resources Co., 6.875%, 4/15/2023		4,688,462
	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		977,212
	1,425,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		1,296,750
	2,055,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,597,762
	2,390,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		2,318,300
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(i)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(i)		—
	2,015,000	Parsley Energy LLC/Parsley Finance Corp., 6.250%, 6/01/2024, 144A		2,115,750
	725,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		735,875
	1,055,000	SM Energy Co., 5.000%, 1/15/2024		933,675
	1,750,000	SM Energy Co., 6.125%, 11/15/2022		1,662,500
	165,000	SM Energy Co., 6.500%, 1/01/2023		157,163
	535,000	SM Energy Co., 6.750%, 9/15/2026		510,754

				50,701,207

		Integrated Energy — 1.3%
	1,225,000	BP Capital Markets PLC, 1.607%, 2/13/2018(b)(c)		1,227,887
	3,040,000	Cenovus Energy, Inc., 5.400%, 6/15/2047, 144A(b)		2,837,505
	6,595,000	Chevron Corp., 1.352%, 11/15/2017(b)(c)		6,600,250
	5,795,000	Shell International Finance BV, 1.578%, 9/12/2019(b)(c)		5,821,095

				16,486,737

		Life Insurance — 0.5%
	5,785,000	Metropolitan Life Global Funding I, 1.582%, 9/14/2018, 144A(b)(c)		5,801,545

		Local Authorities — 1.6%
	2,900,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		2,995,700
	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		2,331,596
	2,015,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		2,086,130
	200,805,000	Provincia de Buenos Aires, 24.080%, 5/31/2022, 144A, (ARS)(c)		12,322,290

				19,735,716

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)			Description	Value (†)
			Media Entertainment — 0.8%
$	4,150,000		Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020	$	4,129,250
	27,290,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b)		1,182,044
	780,000		Myriad International Holdings BV, 4.850%, 7/06/2027, 144A		783,315
	2,670,000		Netflix, Inc., 3.625%, 5/15/2027, 144A, (EUR)		3,099,094
	725,000		Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		754,000

					9,947,703

			Metals & Mining — 0.4%
	3,085,000		Stillwater Mining Co., 6.125%, 6/27/2022, 144A		3,039,342
	1,900,000		Vale Overseas Ltd., 6.250%, 8/10/2026(b)		2,049,625

					5,088,967

			Midstream — 1.9%
	2,695,000		AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		2,748,900
	4,045,000		Energy Transfer LP, 6.125%, 12/15/2045(b)		4,378,235
	995,000		Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042(b)		972,662
	255,000		Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043(b)		245,999
	2,690,000		NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		2,685,373
	2,165,000		NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025, 144A		1,980,975
	415,000		NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		411,887
	3,200,000		NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023, 144A		3,156,000
	800,000		Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027(b)		952,353
	6,005,000		TransCanada Trust, (fixed rate to 3/15/2027, variable rate thereafter), 5.300%, 3/15/2077(b)		6,173,140

					23,705,524

			Non-Agency Commercial Mortgage-Backed Securities — 4.4%
	1,600,000		BLCP Hotel Trust, Series 2014-CLRN, Class D, 3.659%, 8/15/2029, 144A(b)(c)		1,602,513
	1,600,000		BLCP Hotel Trust, Series 2014-CLRN, Class E, 4.829%, 8/15/2029, 144A(c)		1,609,053
	3,442,048		BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 9.289%, 5/15/2020, 144A(c)(e)(g)		3,350,145
	4,565,000		CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.281%, 4/15/2044, 144A(c)		4,655,379
	1,900,000		Commercial Mortgage Trust, Series 2016-SAVA, Class C, 4.159%, 10/15/2034, 144A(b)(c)		1,909,520
	3,700,000	��	Credit Suisse Mortgage Capital Certificates, Series 2015-TOWN, Class A, 2.377%, 3/15/2028, 144A(b)(c)		3,697,033
	3,635,000		Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,159,874
	2,552,340		DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.871%, 11/10/2046, 144A(b)(c)		2,696,005
	4,549,324		GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.979%, 8/10/2045(c)		4,585,732

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	482,299	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)	$	481,952
	3,090,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 5.659%, 7/15/2036, 144A(b)(c)		3,120,818
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.666%, 6/15/2044, 144A(b)(c)		1,627,432
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.666%, 6/15/2044, 144A(b)(c)		2,010,811
	9,711,051	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(e)(g)		9,854,775
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 3.659%, 11/15/2026, 144A(b)(c)		2,203,128
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 4.409%, 11/15/2026, 144A(b)(c)		2,144,398
	3,165,000	SCG Trust, Series 2013-SRP1, Class D, 4.503%, 11/15/2026, 144A(b)(c)		2,992,540
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.788%, 2/15/2044, 144A(b)(c)		2,624,233

				54,325,341

		Oil, Gas & Consumable Fuels — 0.0%
	240,000	Bonanza Creek Energy, Inc., Zero Coupon, 4/15/2021		—
	905,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		—

				—

		Pharmaceuticals — 0.5%
	3,175,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		2,694,750
	4,025,000	Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/2025, 144A		3,406,156

				6,100,906

		Property & Casualty Insurance — 0.7%
	6,000,000	Berkshire Hathaway Finance Corp., 1.475%, 1/10/2020(b)(c)		6,030,318
	2,420,000	KISRS Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)		3,098,440

				9,128,758

		Refining — 0.5%
	5,520,000	HollyFrontier Corp., 5.875%, 4/01/2026(b)		5,849,539

		Retailers — 0.1%
	1,080,000	PVH Corp., 7.750%, 11/15/2023(b)		1,279,800

		Sovereigns — 2.1%
	29,460,000	Argentina Politica Monetaria, 26.250%, 6/21/2020, (ARS)(c)		1,828,233
	254,200,000	South Africa Government International Bond, 8.750%, 1/31/2044, (ZAR)		17,322,188
	100,300,000	South Africa Government International Bond, 8.750%, 2/28/2048, (ZAR)		6,834,890

				25,985,311

		Technology — 2.7%
	6,045,000	Apple, Inc., 1.252%, 5/11/2020(b)(c)		6,039,910
	6,955,000	Cisco Systems, Inc., 1.614%, 9/20/2019(b)(c)		6,999,901
	11,255,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A(b)		12,397,484
	2,210,000	Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024		2,342,600
	6,000,000	International Business Machines Corp., Series 3FRN, 1.400%, 1/27/2020(b)(c)		6,022,512

				33,802,407

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Treasuries — 4.8%
	42,200(†††)	Brazil Letras do Tesouro Nacional, 11.920%, 7/01/2017, (BRL)	$	12,733,168
	1,115,000(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b)		5,735,365
	164,370,000	Poland Government International Bond, Series 0727, 2.500%, 7/25/2027, (PLN)(b)		41,269,372

				59,737,905

		Wireless — 0.1%
	400,000	Nokia Oyj, 3.375%, 6/12/2022		402,948
	700,000	Nokia Oyj, 4.375%, 6/12/2027		712,691

				1,115,639

		Wirelines — 0.5%
	10,085,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(i)		791,482
	5,685,000	Verizon Communications, Inc., 2.992%, 9/14/2018(b)(c)		5,787,864

				6,579,346

		Total Non-Convertible Bonds (Identified Cost $931,937,193)		921,565,141


	Convertible Bonds — 2.1%
		Cable Satellite — 0.0%
	210,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		220,631

		Consumer Cyclical Services — 0.1%
	2,315,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023(b)		2,304,872

		Diversified Manufacturing — 0.1%
	930,000	Aerojet Rocketdyne Holdings, Inc., 2.250%, 12/15/2023, 144A		981,150

		Diversified Operations — 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		810,844

		Healthcare — 0.1%
	615,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		794,119

		Leisure — 0.1%
	650,000	Rovi Corp., 0.500%, 3/01/2020		642,083

		Media Entertainment — 0.1%
	885,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		952,481

		Midstream — 0.2%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		1,196,800
	385,000	SM Energy Co., 1.500%, 7/01/2021		346,019
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		908,375

				2,451,194

		Oil Field Services — 0.2%
	970,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A(b)		991,825
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A(b)		1,400,300

				2,392,125

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.9%
$	240,000	Acorda Therapeutics, Inc., 1.750%, 6/15/2021	$	205,950
	1,550,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		1,335,906
	3,090,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		2,628,431
	1,590,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		1,546,275
	2,660,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		2,821,263
	3,100,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024, 144A		3,078,687

				11,616,512

		Technology — 0.2%
	2,600,000	Finisar Corp., 0.500%, 12/15/2036, 144A		2,538,250
	825,000	Nuance Communications, Inc., 1.000%, 12/15/2035		795,044

				3,333,294

		Total Convertible Bonds (Identified Cost $26,034,572)		26,499,305


		Total Bonds and Notes (Identified Cost $957,971,765)		948,064,446


	Senior Loans — 9.9%
		Aerospace & Defense — 0.5%
	2,140,000	Avolon TLB Borrower 1 (Luxembourg) S.a.r.l., Term Loan B2, 3.962%, 3/20/2022(c)		2,152,519
	1,091,601	Engility Corp., Term Loan B2, 4.976%, 8/12/2023(c)		1,102,518
	333,821	TransDigm, Inc., 2015 Term Loan E, 4.249%, 5/14/2022(j)		333,153
	2,386,170	TransDigm, Inc., 2016 Extended Term Loan F, 4.226%, 6/09/2023(c)		2,381,278

				5,969,468

		Automotive — 0.3%
	1,164,016	Gates Global LLC, 2017 USD Term Loan B, 4.546%, 4/01/2024(c)		1,162,956
	2,784,053	Truck Hero, Inc., 1st Lien Term Loan, 5.156%, 4/21/2024(c)		2,761,447

				3,924,403

		Building Materials — 0.5%
	1,588,000	HD Supply, Inc., Incremental Term Loan B2, 4.046%, 10/17/2023(c)		1,595,940
	858,785	Ply Gem Industries, Inc., Term Loan, 4.296%, 2/01/2021(c)		862,272
	1,311,704	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 11/15/2023(k)		1,307,874
	2,358,150	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 3.976%, 11/15/2023(c)		2,351,264

				6,117,350

		Cable Satellite — 0.5%
	204,488	CSC Holdings LLC, 2017 1st Lien Term Loan, 3.459%, 7/17/2025(c)		202,903
	3,100,000	Unitymedia Hessen GmbH & Co. KG, Term Loan B, 9/30/2025(k)		3,085,058
	2,575,000	Virgin Media Bristol LLC, USD Term Loan I, 3.909%, 1/31/2025(c)		2,574,356

				5,862,317

		Chemicals — 0.3%
	365,000	Ashland, Inc., 2017 Term Loan B, 3.208%, 5/24/2024(j)		366,142
	766,245	Axalta Coating Systems Dutch Holding B B.V, USD Term Loan, 3.296%, 6/01/2024(c)		768,084

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Chemicals — continued
$	3,100,000	Klockner-Pentaplast of America, Inc., USD 2017 Term Loan B2, 6/13/2024(k)	$	3,065,125

				4,199,351

		Consumer Cyclical Services — 0.4%
	5,034,700	Xerox Business Services LLC, USD Term Loan B, 5.226%, 12/07/2023(c)		5,091,340

		Consumer Products — 0.2%
	3,111,494	Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.586%, 11/08/2023(j)		3,106,609

		Electric — 0.2%
	2,024,007	AES Corp., 2017 Term Loan B, 5/24/2022(k)		2,016,923
	1,069,205	AES Corp., 2017 Term Loan B, 3.192%, 5/24/2022(c)		1,065,462

				3,082,385

		Environmental — 0.1%
	749,338	GFL Environmental, Inc., USD Term Loan B, 4.046%, 9/29/2023(c)		751,833

		Food & Beverage — 0.1%
	656,818	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 5/24/2024(k)		657,285
	788,182	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 3.470%, 5/24/2024(c)		788,741

				1,446,026

		Gaming — 0.1%
	734,248	Boyd Gaming Corp., Term Loan B3, 3.688%, 9/15/2023(c)		735,629

		Health Insurance — 0.1%
	1,377,604	Hyperion Insurance Group Ltd., 2017 Term Loan B, 5.250%, 4/29/2022(c)		1,386,641

		Healthcare — 0.5%
	1,952,879	Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.976%, 3/01/2024(c)		1,952,058
	900,475	Envision Healthcare Corp., 2016 Term Loan B, 4.300%, 12/01/2023(c)		904,077
	2,979,355	Team Health Holdings, Inc., 1st Lien Term Loan, 3.976%, 2/06/2024(c)		2,952,362

				5,808,497

		Independent Energy — 0.5%
	3,385,000	California Resources Corp., Second Out Term Loan, 11.534%, 12/31/2021(c)		3,571,175
	2,649,896	Chesapeake Energy Corp., Term Loan, 8.686%, 8/23/2021(c)		2,799,615
	354,393	MEG Energy Corp., 2017 Term Loan B, 4.696%, 12/31/2023(c)(j)		344,870

				6,715,660

		Industrial Other — 0.4%
	2,932,875	Allied Universal Holdco LLC, 2015 Term Loan, 5.046%, 7/28/2022(c)		2,938,975
	1,901,505	Pinnacle Operating Corp., Term Loan (Extended), 8.476%, 11/15/2021(c)		1,751,762

				4,690,737

		Internet & Data — 0.1%
	1,355,000	Aerial Merger Sub, Inc., Term Loan B2, 2/28/2024(k)		1,363,049

		Leisure — 0.0%
	309,225	AMC Entertainment, Inc., New Term Loan B, 3.466%, 12/15/2023(c)		309,689

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media — 0.2%
$	1,000,000	Ziggo Secured Finance Partnership, USD Term Loan E, 4/15/2025(k)	$	996,590
	2,090,760	Ziggo Secured Finance Partnership, USD Term Loan E, 3.659%, 4/15/2025(c)		2,083,631

				3,080,221

		Media Entertainment — 0.3%
	1,504,977	Camelot UK Holdco Ltd., 2017 Term Loan B, 4.726%, 10/03/2023(c)		1,513,044
	1,044,766	CBS Radio, Inc., Term Loan B, 4.716%, 10/17/2023(c)		1,046,072
	845,143	Donnelley Financial Solutions, Inc., Term Loan B, 5.076%, 9/30/2023(c)		852,893

				3,412,009

		Midstream — 0.1%
	1,705,000	BCP Raptor LLC, Term Loan B, 5.466%, 6/06/2024(c)		1,683,687

		Natural Gas — 0.1%
	948,379	Southcross Energy Partners LP, 1st Lien Term Loan, 5.546%, 8/04/2021(c)		817,977

		Other Utility — 0.2%
	3,113,817	PowerTeam Services LLC, 1st Lien Term Loan, 4.546%, 5/06/2020(c)		3,082,678

		Packaging — 0.3%
	3,035,000	BWAY Holding Co., 2017 Term Loan B, 4.326%, 4/03/2024(c)		3,033,361
	267,188	Signode Industrial Group U.S., Inc., USD Term Loan B, 4.007%, 5/04/2021(j)		266,854

				3,300,215

		Pharmaceuticals — 0.4%
	5,402,850	inVentiv Health, Inc., 2016 Term Loan B, 4.952%, 11/09/2023(c)		5,409,604

		Property & Casualty Insurance — 0.3%
	3,267,065	USI, Inc., 2017 Term Loan B, 4.180%, 5/16/2024(c)		3,242,562

		Restaurants — 0.3%
	3,300,000	1011778 B.C. Unlimited Liability Co., Term Loan B3, 2/16/2024(k)		3,290,727
	354,111	1011778 B.C. Unlimited Liability Co., Term Loan B3, 3.503%, 2/16/2024(j)		353,116

				3,643,843

		Retailers — 0.6%
	3,000,000	Bass Pro Group LLC, Term Loan B, 6.296%, 12/16/2023(c)		2,911,500
	1,346,849	Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.476%, 8/18/2023(c)		1,345,341
	1,158,909	Men’s Wearhouse, Inc. (The), Term Loan B, 4.613%, 6/18/2021(j)		1,107,488
	1,670,806	Talbots, Inc. (The), 1st Lien Term Loan, 5.726%, 3/19/2020(c)		1,558,862

				6,923,191

		Supermarkets — 0.3%
	3,309,890	Albertsons LLC, USD 2017 Term Loan B4, 8/25/2021(k)		3,265,206

		Technology — 0.8%
	1,865,000	Almond, Inc., USD 1st Lien Term Loan, 4.736%, 6/13/2024(c)		1,864,310
	752,193	Cavium, Inc., 2017 Term Loan B, 3.466%, 8/16/2022(c)		750,312
	389,025	Gartner, Inc., Term Loan B, 3.226%, 4/05/2024(c)		389,998
	100,101	MA FinanceCo. LLC, USD Term Loan B3, 3.964%, 4/29/2024(c)		100,226
	987,525	Rackspace Hosting, Inc., 2017 1st Lien Term Loan, 11/03/2023(k)		986,597
	676,009	Seattle Spinco, Inc., USD Term Loan B3, 4.030%, 4/19/2024(c)		676,854

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	4,987,953	Veritas Bermuda Ltd., Repriced Term Loan B, 1/27/2023(k)	$	4,993,140

				9,761,437

		Transportation Services — 0.2%
	2,977,500	Uber Technologies, Term Loan B, 5.216%, 7/13/2023(c)		2,976,577

		Wireless — 0.6%
	282,710	Altice U.S. Finance I Corp., 2017 Term Loan, 3.466%, 7/28/2025(c)		279,883
	630,420	GTT Communications, Inc., 2017 Add on Term Loan B, 1/09/2024(k)		631,605
	628,840	GTT Communications, Inc., 2017 Term Loan B, 5.250%, 1/09/2024(c)		630,022
	2,965,000	Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.226%, 8/31/2021(c)(l)		3,048,405
	2,817,938	Sprint Communications, Inc., 1st Lien Term Loan B, 3.750%, 2/02/2024(c)		2,817,346

				7,407,261

		Wirelines — 0.4%
	3,120,000	CenturyLink, Inc., 2017 Term Loan B, 1.375%, 1/31/2025(c)		3,082,747
	1,160,000	Consolidated Communications, Inc., Delayed Draw Term Loan B2, 10/05/2023(k)		1,162,610
	479,804	Zayo Group LLC, 2017 Term Loan B2, 3.716%, 1/19/2024(c)		480,006

				4,725,363

		Total Senior Loans (Identified Cost $123,136,249)		123,292,815


	Loan Participations — 0.2%
		ABS Other — 0.2%
	1,950,203	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039 (b)(c) (Identified Cost $1,964,830)		1,950,203


Shares
	Preferred Stocks — 0.7%
	Convertible Preferred Stocks — 0.4%
		Food & Beverage — 0.3%
	29,228	Bunge Ltd., 4.875%		3,092,688

		Midstream — 0.1%
	1,714	Chesapeake Energy Corp., 5.750%		1,029,471

		Technology — 0.0%
	5,395	Belden, Inc., 6.750%		559,623

		Total Convertible Preferred Stocks (Identified Cost $4,326,084)		4,681,782

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
	Non-Convertible Preferred Stock — 0.3%
		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(b) (Identified Cost $4,040,000)	$	4,293,955

		Total Preferred Stocks (Identified Cost $8,366,084)		8,975,737


	Common Stocks — 4.6%
		Aerospace & Defense — 0.1%
	8,093	United Technologies Corp.		988,236

		Air Freight & Logistics — 0.0%
	1,295	FedEx Corp.		281,442

		Auto Components — 0.0%
	3,092	Delphi Automotive PLC		271,014

		Automobiles — 0.0%
	10,620	General Motors Co.		370,957

		Banks — 0.3%
	11,770	BB&T Corp.		534,476
	16,585	JPMorgan Chase & Co.		1,515,869
	5,047	PNC Financial Services Group, Inc. (The)		630,219
	12,795	Wells Fargo & Co.		708,971

				3,389,535

		Beverages — 0.1%
	2,245	Constellation Brands, Inc., Class A		434,924
	11,633	PepsiCo, Inc.		1,343,495

				1,778,419

		Chemicals — 0.1%
	3,036	E.I. du Pont de Nemours & Co.		245,036
	4,974	Huntsman Corp.		128,528
	4,247	Monsanto Co.		502,675
	5,376	Trinseo S.A.		369,331

				1,245,570

		Containers & Packaging — 0.0%
	4,724	WestRock Co.		267,662

		Diversified Telecommunication Services — 0.1%
	13,670	CenturyLink, Inc.		326,439
	21,071	Verizon Communications, Inc.		941,031

				1,267,470

		Electric Utilities — 0.1%
	10,130	Exelon Corp.		365,389
	4,502	NextEra Energy, Inc.		630,865
	5,659	PG&E Corp.		375,588

				1,371,842

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Energy Equipment & Services — 0.1%
	45,024	Halliburton Co.	$	1,922,975

		Food & Staples Retailing — 0.0%
	1,451	Costco Wholesale Corp.		232,058

		Food Products — 0.1%
	15,338	Mondelez International, Inc., Class A		662,448

		Health Care Equipment & Supplies — 0.1%
	8,768	Medtronic PLC		778,160

		Health Care Providers & Services — 0.1%
	4,173	UnitedHealth Group, Inc.		773,758

		Hotels, Restaurants & Leisure — 0.1%
	12,595	Hilton Worldwide Holdings, Inc.		779,001
	5,599	McDonald’s Corp.		857,543

				1,636,544

		Household Products — 0.1%
	11,363	Procter & Gamble Co. (The)		990,285

		Industrial Conglomerates — 0.2%
	34,961	General Electric Co.		944,297
	6,664	Honeywell International, Inc.		888,244
	1,583	Roper Technologies, Inc.		366,512

				2,199,053

		Insurance — 0.1%
	4,388	Chubb Ltd.		637,928
	9,863	MetLife, Inc.		541,873

				1,179,801

		IT Services — 0.1%
	7,166	Automatic Data Processing, Inc.		734,228

		Machinery — 0.1%
	3,407	Cummins, Inc.		552,683
	5,590	Dover Corp.		448,430

				1,001,113

		Media — 0.1%
	12,882	Comcast Corp., Class A		501,367
	3,206	Walt Disney Co. (The)		340,638

				842,005

		Multi-Utilities — 0.0%
	2,202	Sempra Energy		248,276

		Oil, Gas & Consumable Fuels — 1.8%
	36,566	Anadarko Petroleum Corp.		1,657,902
	31,585	Bonanza Creek Energy, Inc.(f)		1,001,560
	14,810	Canadian Natural Resources Ltd.		427,120
	7,854	Chevron Corp.		819,408
	41,566	Encana Corp.		365,781
	1,986	EQT Corp.		116,360
	5,898	Exxon Mobil Corp.		476,146

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	50,446	Frontera Energy Corp.(f)	$	1,332,338
	13,058	Golar LNG Ltd.		290,540
	315,117	Halcon Resources Corp.(f)		1,430,631
	139,645	Jagged Peak Energy, Inc.(f)		1,864,261
	136,464	Marathon Oil Corp.		1,617,098
	188,463	OGX Petroleo e Gas S.A., Sponsored ADR(f)		131,924
	63,269	Parsley Energy, Inc., Class A(f)		1,755,715
	38,601	PDC Energy, Inc.(f)		1,664,089
	1,826	Valero Energy Corp.		123,182
	1,172,927	Whiting Petroleum Corp.(f)		6,462,828
	12,161	Williams Cos., Inc. (The)		368,235

				21,905,118

		Pharmaceuticals — 0.2%
	7,190	Bristol-Myers Squibb Co.		400,627
	5,729	Eli Lilly & Co.		471,497
	4,908	Johnson & Johnson		649,279
	30,885	Pfizer, Inc.		1,037,427

				2,558,830

		Road & Rail — 0.0%
	7,787	CSX Corp.		424,859

		Semiconductors & Semiconductor Equipment — 0.1%
	14,986	QUALCOMM, Inc.		827,527
	14,485	Teradyne, Inc.		434,985

				1,262,512

		Software — 0.2%
	14,762	Microsoft Corp.		1,017,545
	29,826	Oracle Corp.		1,495,475

				2,513,020

		Technology Hardware, Storage & Peripherals — 0.2%
	18,519	Apple, Inc.		2,667,106

		Tobacco — 0.1%
	14,595	Altria Group, Inc.		1,086,890

		Total Common Stocks (Identified Cost $70,130,651)		56,851,186


	Exchange-Traded Funds — 0.3%
	128,943	Financial Select Sector SPDR^® Fund (Identified Cost $3,091,808)		3,181,024


	Other Investments — 1.2%
		Aircraft ABS — 1.2%
	58,545	Aergen LLC(d)(e)		5,947,806
	900	ECAF I Blocker Ltd.(d)(e)		8,912,709

		Total Aircraft ABS (Identified Cost $14,854,500)		14,860,515

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares/Units of Currency(††††)		Description	Value (†)
	Purchased Options — 0.2%
	Options on Securities — 0.1%
	250,700	SPDR^® S&P 500^® ETF Trust Put expiring August 18, 2017 at 239(f)	$	570,343
	500,000	SPDR^® S&P^® Oil & Gas Exploration & Production ETF, Call expiring December 15, 2017 at 35(f)		755,000

		Total Options on Securities (Identified Cost $2,011,810)		1,325,343


	Over-the-Counter Options on Currency — 0.1%
	40,300,000	CAD Put expiring July 31, 2017 at 1.3646(f)(m)		6,327
	26,793,000	EUR Put expiring July 13, 2017 at 1.0500(f)(n)		—
	37,450,000	PHP Put expiring May 18, 2018 at 51.0550(f)(o)		1,050,697

		Total Over-the-Counter Options on Currency (Identified Cost $2,092,207)		1,057,024


		Total Purchased Options (Identified Cost $4,104,017)		2,382,367


Principal Amount (‡)
	Short-Term Investments — 6.6%
$	395,136	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2017 at 0.000% to be repurchased at $395,136 on 7/03/2017 collateralized by $400,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $403,097 including accrued interest (Note 2 of Notes to Financial Statements)		395,136
	76,174,126	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $76,176,284 on 7/03/2017 collateralized by $76,065,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $75,788,656; $1,915,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $1,913,363 including accrued interest (Note 2 of Notes to Financial Statements)		76,174,126
	5,400,000	U.S. Treasury Bills, 0.586%, 07/13/2017(p)(q)		5,398,839

		Total Short-Term Investments (Identified Cost $81,968,206)		81,968,101


		Total Investments — 100.2% (Identified Cost $1,265,588,110)(a)		1,241,526,394
		Other assets less liabilities – (0.2)%		(2,372,304	)

		Net Assets — 100.0%	$	1,239,154,090

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares (††††)		Description	Value (†)
	Written Options — (0.0%)
		Options on Securities — (0.0%)
	9,200	Apple, Inc., Call expiring July 21, 2017 at 165	$	(552	)
	128,900	Financial Select Sector SPDR^® Fund, Call expiring July 21, 2017 at 25		(25,136	)
	29,200	Oracle Corp. Call expiring July 21, 2017 at 48		(67,160	)
	26,400	Pfizer, Inc., Call expiring July 21, 2017 at 36		(264	)

				(93,112	)

		Total Written Options (Premiums Received $48,308)	$	(93,112	)


	(‡)	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.
	(†††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(††††)	Options on securities are expressed as shares. Options on currency are expressed as units of currency.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized depreciation on investments based on a cost of $1,265,858,094 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	$	28,448,503
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(52,780,203	)

		Net unrealized depreciation	$	(24,331,700	)


	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Variable rate security. Rate as of June 30, 2017 is disclosed.
	(d)	Fair valued by the Fund’s adviser. At June 30, 2017, the value of these securities amounted to $24,409,817 or 2.0% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Illiquid security.
	(f)	Non-income producing security.
	(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $16,186,026 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
	(h)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(j)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2017.
	(k)	Position is unsettled. Contract rate was not determined at June 30, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	(l)			Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2017, interest payments were made in cash.
	(m)			Counterparty is Deutsche Bank AG.
	(n)			Counterparty is Morgan Stanley Capital Services, Inc.
	(o)			Counterparty is Bank of America, N.A.
	(p)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(q)			Security has been pledged as collateral for open derivative contracts.

	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, 2017, the value of Rule 144A holdings amounted to $376,848,782 or 30.4% of net assets.
	ABS			Asset-Backed Securities
	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.
	EMTN			Euro Medium Term Note
	ETF			Exchange-Traded Fund
	GMTN			Global Medium Term Note
	JIBAR			Johannesburg Interbank Agreed Rate
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	SAFEX			South African Futures Exchange
	SLM			Sallie Mae
	TIIE			Equilibrium Interbank Interest Rate (Tasa de Interes de Equilibrio)

	ARS			Argentine Peso
	BRL			Brazilian Real
	CAD			Canadian Dollar
	COP			Colombian Peso
	EUR			Euro
	GBP			British Pound
	MXN			Mexican Peso
	PHP			Philippine Peso
	PLN			Polish Zloty
	USD			U.S. Dollar
	ZAR			South African Rand

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2017, the Fund had the following open bilateral credit default swap agreements:


Buy Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)
Bank of America, N.A.	CDX.EM Series 27, 5-Year	(1.00%)		6/20/2022		6,000,000	$	319,121		$	275,276		$	(43,845	)
Bank of America, N.A.	Republic of Turkey	(1.00%)		6/20/2022		10,675,000		674,745			455,663			(219,082	)
Barclays Bank PLC	Enel SpA	(1.00%)		6/20/2022		5,500,000	EUR	36,941			(94,027	)		(130,968	)
JPMorgan Chase Bank, N.A.	Enel SpA	(1.00%)		6/20/2022		5,500,000	EUR	32,780			(94,027	)		(126,807	)
JPMorgan Chase Bank, N.A.	Intesa Sanpaolo SpA, EMTN	(1.00%)		6/20/2022		11,000,000	EUR	306,503			(62,933	)		(369,436	)
Morgan Stanley Capital Services, Inc.	China Government International Bond	(1.00%)		6/20/2022		5,900,000		(34,129	)		(83,824	)		(49,695	)
Morgan Stanley Capital Services, Inc.	Markit iTraxx Asia ex-Japan Index Series 25, 5-Year	(1.00%)		6/20/2022		13,280,000		(9,175	)		(80,385	)		(71,210	)
Morgan Stanley Capital Services, Inc.	Republic of Korea	(1.00%)		6/20/2022		15,150,000		(341,694	)		(337,135	)		4,559

Total										$	(21,392	)	$	(1,006,484	)

Buy Protection

At June 30, 2017, the Fund had the following open centrally cleared credit default swap agreements:


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Market Value			Unrealized Appreciation (Depreciation)
CDX.HY Series 28, 5-Year		(5.00	%)		06/20/2022		1,600,000	$	(110,310	)	$	(13,662	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

At June 30, 2017, the Fund had the following open bilateral interest rate swap agreements:

Counterparty

Notional
Value

Currency

Expiration
Date

Fund Pays

Fund Receives

Market
Value¹

Bank of America, N.A.

36,000,000

ZAR

5/8/2025

7.950%

3-month SAFEX-JIBAR

(21,560

)

Bank of America, N.A.

330,558,000

MXN

7/3/2026

28-day TIIE

6.130%

(1,207,715

)

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Counterparty	Notional Value		Currency	Expiration Date		Fund Pays		Fund Receives		Market Value¹
Barclays Bank PLC		291,000,000	ZAR		5/5/2025		7.950%		3-month SAFEX-JIBAR	$	(175,448	)
Deutsche Bank AG		104,000,000	MXN		7/3/2026		28-day TIIE		6.135%		(378,035	)
JPMorgan Chase Bank, N.A.		57,120,000	ZAR		4/17/2025		7.720%		3-month SAFEX-JIBAR		23,130

Total										$	(1,759,628	)

At June 30, 2017, the Fund had the following open centrally cleared interest rate swap agreements:

Notional Value

Currency

Expiration
Date

Fund Pays

Fund Receives

Market
Value¹

19,195,200

USD

7/18/2026

1.410

3-month LIBOR

1,334,570

¹	There are no up front payments on interest rate swap agreements; therefore unrealized appreciation (depreciation) is equal to market value.

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		7/06/2017	Brazilian Real		6,035,000	$	1,821,251	$	(74,760	)
Sell¹		7/06/2017	Brazilian Real		37,900,000		11,437,514		(501,141	)
Sell²		7/17/2017	Brazilian Real		23,300,000		7,014,704		(1,912	)
Sell¹		7/12/2017	British Pound		1,225,000		1,595,868		(12,302	)
Sell³		7/17/2017	British Pound		5,095,000		6,638,547		(145,683	)
Sell²		9/08/2017	British Pound		2,420,000		3,158,138		(29,659	)
Buy⁴		7/20/2017	Canadian Dollar		24,885,000		19,195,135		388,099
Sell⁴		7/20/2017	Canadian Dollar		24,885,000		19,195,135		(720,268	)
Sell⁵		7/31/2017	Colombian Peso		18,400,000,000		6,016,014		30,650
Sell²		7/12/2017	Euro		16,925,000		19,337,822		(311,584	)
Sell³		7/19/2017	Euro		2,000,000		2,285,937		(52,153	)
Sell³		7/26/2017	Euro		2,800,000		3,201,457		(71,897	)
Sell²		7/31/2017	Euro		33,850,000		38,713,231		(228,353	)
Sell²		8/11/2017	Euro		2,850,000		3,261,298		(148,792	)
Sell⁶		9/13/2017	Euro		2,730,000		3,129,402		(60,606	)
Buy²		7/12/2017	Hungarian Forint		5,221,490,000		19,315,083		276,616
Sell⁵		7/24/2017	Indonesian Rupiah		196,800,000,000		14,735,714		14,698
Buy¹		7/03/2017	Mexican Peso		236,150,000		13,011,915		365,923
Buy¹		8/03/2017	Mexican Peso		236,150,000		12,952,143		(109,251	)
Sell¹		7/03/2017	Mexican Peso		236,150,000		13,011,915		113,071
Sell²		7/19/2017	Mexican Peso		92,400,000		5,079,936		1,454
Sell¹		8/24/2017	New Russian Ruble		695,000,000		11,660,947		292,443

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		7/31/2017	Norwegian Krone		154,915,000	$	18,565,437	$	268,430
Buy²		5/21/2018	Philippine Peso		1,845,925,000		36,061,311		(168,817	)
Buy¹		7/03/2017	Polish Zloty		157,705,000		42,557,986		61,354
Sell¹		7/03/2017	Polish Zloty		157,705,000		42,557,986		(140,828	)
Sell¹		8/03/2017	Polish Zloty		157,705,000		42,551,926		(62,737	)
Buy¹		7/03/2017	South African Rand		161,645,000		12,355,819		(94,981	)
Sell¹		7/03/2017	South African Rand		161,645,000		12,355,819		(164,201	)
Sell¹		8/03/2017	South African Rand		161,645,000		12,294,939		90,228
Sell¹		9/22/2017	South African Rand		169,075,000		12,754,190		101,661
Sell¹		9/22/2017	South African Rand		166,930,000		12,592,381		(26,515	)
Buy¹		7/19/2017	Swedish Krona		161,100,000		19,137,172		690,516
Buy¹		7/03/2017	Turkish Lira		43,195,000		12,276,713		175,409
Buy¹		8/03/2017	Turkish Lira		43,195,000		12,170,005		6,169
Buy¹		8/24/2017	Turkish Lira		42,700,000		11,959,864		355,815
Sell¹		7/03/2017	Turkish Lira		43,195,000		12,276,713		(6,103	)
Buy²		9/19/2017	Yuan Renminbi		235,000,000		34,503,492		1,173,941
Sell²		9/19/2017	Yuan Renminbi		235,000,000		34,503,492		(274,375	)

Total								$	999,559

¹ Counterparty is Morgan Stanley Capital Services, Inc.

² Counterparty is Bank of America, N.A.

³ Counterparty is Deutsche Bank AG

⁴ Counterparty is Goldman Sachs & Co.

⁵ Counterparty is Credit Suisse International

⁶ Counterparty is UBS AG

At June 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volatility Index		8/16/2017		222	$	2,813,850	$	(305,849	)

At June 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/15/2017		158	$	19,125,110	$	42,279
Eurodollar		3/18/2019		2,440		598,684,500		(1,256,771	)
German Euro Bund		9/07/2017		27		4,991,754		92,164

Total							$	(1,122,328	)

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Industry Summary at June 30, 2017 (Unaudited)


ABS Home Equity	9.3	%
ABS Credit Card	7.3
ABS Car Loan	6.1
Treasuries	4.8
Independent Energy	4.6
Non-Agency Commercial Mortgage-Backed Securities	4.4
ABS Other	4.1
Technology	3.7
Automotive	3.7
Banking	3.6
Government Owned – No Guarantee	2.4
Midstream	2.3
Sovereigns	2.1
Pharmaceuticals	2.0
Other Investments, less than 2% each	33.2
Short-Term Investments	6.6

Total Investments	100.2
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of June 30, 2017 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 92.4% of Net Assets
	Municipals — 92.4%
		Alabama — 1.3%
$	500,000	UAB Medicine Finance Authority Revenue, Series B-2, 3.500%, 9/01/2035	$	501,615

		California — 13.1%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		294,080
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		449,388
	1,000,000	California Municipal Finance Authority Revenue, University of La Verne, Series A, 3.750%, 6/01/2037		1,015,710
	485,000	California School Finance Authority Revenue, Aspire Public Schools Obligated Group, Refunding, 5.000%, 8/01/2027		543,850
	250,000	California Statewide Communities Development Authority, 4.000%, 11/01/2032		255,085
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		806,484
	1,000,000	Norman Y. Mineta San Jose International Airport Revenue, Refunding, Series A, AMT, (BAM insured), 4.000%, 3/01/2042		1,024,940
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		905,737

				5,295,274

		Colorado — 7.6%
	1,000,000	Adams & Weld Counties School District No. 27J Brighton, GO, (State Aid Withholding), 5.000%, 12/01/2028		1,206,910
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		306,007
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		447,020
	400,000	Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026		473,072
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		627,610

				3,060,619

		Florida — 13.2%
	250,000	City of Cape Coral FL Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		251,522
	100,000	City of Cape Coral FL Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		99,622
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		577,960
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		462,020
	1,000,000	Orlando & Orange County Expressway Authority, Refunding, (AGM insured), 5.000%, 7/01/2024		1,154,530
	1,000,000	Osceola County Sales Tax Revenue, Refunding, Series A, 5.000%, 10/01/2033		1,153,620
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022		704,364
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		477,256
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		458,428

				5,339,322

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Georgia — 0.7%
$	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027	$	296,035

		Illinois — 6.7%
	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		602,213
	210,000	Chicago O’Hare International Airport, General Revenue, Refunding, Series C, AMT, 5.000%, 1/01/2022		238,934
	1,000,000	Chicago O’Hare International Airport, Revenue, Series D, 5.000%, 1/01/2026		1,192,290
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		550,760
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		112,749

				2,696,946

		Iowa — 2.2%
	335,000	Xenia Rural Water District Revenue, Capital Loan Notes, Refunding, 5.000%, 12/01/2022		379,424
	450,000	Xenia Rural Water District Revenue, Capital Loan Notes, Refunding, 5.000%, 12/01/2023		516,744

				896,168

		Kansas — 2.0%
	720,000	Sedgwick County Unified School District No. 265 Goddard, GO, Refunding, Series B, 4.000%, 10/01/2022		804,528

		Kentucky — 0.9%
	325,000	Louisville & Jefferson County Metropolitan Government Health System Revenue, Norton Healthcare, Inc. Obligated Group, Refunding, Series A, 5.000%, 10/01/2020		357,650

		Louisiana — 1.3%
	200,000	New Orleans Aviation Board, General Airport Revenue, Series B, 5.000%, 1/01/2035		228,198
	250,000	New Orleans Aviation Board, General Airport Revenue, Series B, 5.000%, 1/01/2036		284,593

				512,791

		Massachusetts — 1.1%
	400,000	Massachusetts State Development Finance Agency Revenue, Emerson College, Series A, 5.000%, 1/01/2023		457,136

		Missouri — 2.0%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		822,955

		Nebraska — 2.9%
	1,000,000	Metropolitan Utilities District of Omaha Revenue, System Improvements, Refunding, 5.000%, 12/01/2022		1,174,160

		Nevada — 1.5%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		598,390

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of June 30, 2017 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		New Jersey — 6.5%
$	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023	$	310,784
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		577,245
	1,000,000	New Jersey State Turnpike Authority Revenue, Series E, 5.000%, 1/01/2032		1,154,220
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		590,135

				2,632,384

		New Mexico — 1.4%
	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		577,385

		New York — 2.6%
	1,000,000	New York State Transportation Development Corp. Special Facility Revenue, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, (AGM Insured), 4.000%, 7/01/2037		1,030,750

		Ohio — 3.7%
	250,000	American Municipal Power, Inc. Revenue, Meldahl Hydroelectric Project, Green Bond, Series A, 5.000%, 2/15/2022		285,342
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		601,125
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		585,525

				1,471,992

		Pennsylvania — 0.8%
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		306,726

		Rhode Island — 4.3%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		600,830
	1,000,000	Rhode Island Turnpike & Bridge Authority Motor Fuel Tax Revenue, Refunding, Series A, 5.000%, 10/01/2033		1,152,660

				1,753,490

		Tennessee — 3.2%
	500,000	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030		580,820
	615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023		711,457

				1,292,277

		Texas — 2.2%
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		401,163
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		470,784

				871,947

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Utah — 0.7%
$	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024	$	285,880

		Washington — 8.7%
	1,140,000	Grant County Public Utility District No. 2, Refunding, Priest Rapids Hydroelectric Project, Series B, AMT, 5.000%, 1/01/2025		1,349,703
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		583,990
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		566,125
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		438,300
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		589,895

				3,528,013

		Wisconsin — 1.8%
	450,000	Public Finance Authority Hospital Revenue, Renown Regional Medical Center Project Obligated Group, Refunding, Series A, 4.000%, 6/01/2020		479,453
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		248,949

				728,402

		Total Bonds and Notes (Identified Cost $36,021,061)		37,292,835

	Short-Term Investments — 6.5%
	2,636,211	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2016 at 0.340% to be repurchased at $2,636,286 on 7/03/2017 collateralized by $2,700,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $2,690,191 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,636,211)		2,636,211


		Total Investments — 98.9% (Identified Cost $38,657,272)(a)		39,929,046
		Other assets less liabilities — 1.1%		460,985

		Net Assets — 100.0%	$	40,390,031


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized appreciation on investments based on a cost of $38,657,272 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	$	1,326,811
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(55,037	)

		Net unrealized appreciation	$	1,271,774

See accompanying notes to financial statements.

| 62

Portfolio of Investments – as of June 30, 2017 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)



	AGM			Assured Guaranty Municipal Corporation
	AMT			Alternative Minimum Tax
	BAM			Build America Mutual
	GO			General Obligation

Holdings Summary at June 30, 2017 (Unaudited)


Transportation	13.6	%
Airport	13.2
Medical	12.7
Water	11.2
School District	9.7
General	8.2
Higher Education	7.9
General Obligation	7.7
Utilities	4.1
Power	2.7
Education	1.4
Short-Term Investments	6.5

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

63 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 96.3% of Net Assets
		Air Freight & Logistics — 4.4%
	310,949	Expeditors International of Washington, Inc.	$	17,562,399
	70,135	FedEx Corp.		15,242,440
	55,020	United Parcel Service, Inc., Class B		6,084,662

				38,889,501

		Automobiles — 1.0%
	242,400	General Motors Co.		8,467,032

		Banks — 7.5%
	682,870	Bank of America Corp.		16,566,426
	331,500	Citigroup, Inc.		22,170,720
	166,700	JPMorgan Chase & Co.		15,236,380
	233,900	Wells Fargo & Co.		12,960,399

				66,933,925

		Beverages — 5.0%
	203,201	Coca-Cola Co. (The)		9,113,565
	109,510	Diageo PLC, Sponsored ADR		13,122,583
	449,423	Monster Beverage Corp.(b)		22,327,335

				44,563,483

		Biotechnology — 2.3%
	35,286	Amgen, Inc.		6,077,308
	29,084	Regeneron Pharmaceuticals, Inc.(b)		14,284,316

				20,361,624

		Capital Markets — 3.6%
	49,932	FactSet Research Systems, Inc.		8,297,700
	86,997	MSCI, Inc.		8,959,821
	276,792	SEI Investments Co.		14,885,874

				32,143,395

		Communications Equipment — 2.2%
	631,525	Cisco Systems, Inc.		19,766,732

		Consumer Finance — 2.2%
	68,713	American Express Co.		5,788,383
	165,100	Capital One Financial Corp.		13,640,562

				19,428,945

		Energy Equipment & Services — 0.9%
	124,076	Schlumberger Ltd.		8,169,164

		Food Products — 2.8%
	743,505	Danone S.A., Sponsored ADR		11,167,445
	160,850	Nestle S.A., Sponsored ADR		14,026,120

				25,193,565

		Health Care Equipment & Supplies — 2.9%
	187,220	Baxter International, Inc.		11,334,299
	6,372	Varex Imaging Corp.(b)		215,373
	139,379	Varian Medical Systems, Inc.(b)		14,382,519

				25,932,191

See accompanying notes to financial statements.

| 64

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Health Care Providers & Services — 1.6%
	77,695	UnitedHealth Group, Inc.	$	14,406,207

		Health Care Technology — 1.0%
	133,425	Cerner Corp.(b)		8,868,760

		Hotels, Restaurants & Leisure — 2.6%
	401,901	Yum China Holdings, Inc.(b)		15,846,957
	100,270	Yum! Brands, Inc.		7,395,915

				23,242,872

		Household Durables — 1.5%
	69,150	Whirlpool Corp.		13,250,523

		Household Products — 1.0%
	99,836	Procter & Gamble Co. (The)		8,700,707

		Industrial Conglomerates — 1.6%
	531,950	General Electric Co.		14,367,970

		Insurance — 4.7%
	173,535	Aflac, Inc.		13,480,199
	246,260	American International Group, Inc.		15,396,175
	96,970	Aon PLC		12,892,161

				41,768,535

		Internet & Direct Marketing Retail — 4.9%
	34,277	Amazon.com, Inc.(b)		33,180,136
	405,900	Liberty Interactive Corp./QVC Group, Class A(b)		9,960,786

				43,140,922

		Internet Software & Services — 11.2%
	196,235	Alibaba Group Holding Ltd., Sponsored ADR(b)		27,649,511
	34,439	Alphabet, Inc., Class A(b)		32,017,250
	11,959	Alphabet, Inc., Class C(b)		10,867,502
	189,106	Facebook, Inc., Class A(b)		28,551,224

				99,085,487

		IT Services — 5.8%
	41,699	Automatic Data Processing, Inc.		4,272,479
	117,600	MasterCard, Inc., Class A		14,282,520
	356,301	Visa, Inc., Class A		33,413,908

				51,968,907

		Machinery — 4.3%
	118,600	Caterpillar, Inc.		12,744,756
	82,180	Cummins, Inc.		13,331,240
	98,662	Deere & Co.		12,193,636

				38,269,632

		Metals & Mining — 0.3%
	41,097	Compass Minerals International, Inc.		2,683,634

		Oil, Gas & Consumable Fuels — 2.3%
	180,400	Anadarko Petroleum Corp.		8,179,336
	262,700	Apache Corp.		12,591,211

				20,770,547

See accompanying notes to financial statements.

65 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Personal Products — 1.5%
	241,800	Unilever PLC, Sponsored ADR	$	13,086,216

		Pharmaceuticals — 2.7%
	57,117	Merck & Co., Inc.		3,660,629
	84,876	Novartis AG, Sponsored ADR		7,084,600
	304,496	Novo Nordisk AS, Sponsored ADR		13,059,833

				23,805,062

		Semiconductors & Semiconductor Equipment — 4.7%
	27,850	Analog Devices, Inc.		2,166,730
	358,830	Intel Corp.		12,106,924
	239,185	QUALCOMM, Inc.		13,207,796
	180,865	Texas Instruments, Inc.		13,913,944

				41,395,394

		Software — 7.0%
	177,285	Autodesk, Inc.(b)		17,873,874
	119,983	Microsoft Corp.		8,270,428
	714,184	Oracle Corp.		35,809,186

				61,953,488

		Technology Hardware, Storage & Peripherals — 1.8%
	110,755	Apple, Inc.		15,950,935

		Textiles, Apparel & Luxury Goods — 1.0%
	92,960	adidas AG, Sponsored ADR		8,921,371

		Total Common Stocks (Identified Cost $634,811,291)		855,486,726


Principal Amount		Description
	Short-Term Investments — 4.1%
$	36,100,944	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $36,101,967 on 7/03/2017 collateralized by $36,960,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $36,825,724 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $36,100,944)		36,100,944


		Total Investments — 100.4% (Identified Cost $670,912,235)(a)		891,587,670
		Other assets less liabilities — (0.4)%		(3,758,952	)

		Net Assets — 100.0%	$	887,828,718

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2017, the net unrealized appreciation on investments based on a cost of $670,912,235 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	$	233,469,522
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,794,087	)

		Net unrealized appreciation	$	220,675,435

See accompanying notes to financial statements.

| 66

Portfolio of Investments – as of June 30, 2017 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)



	(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, 2017 (Unaudited)


Internet Software & Services	11.2	%
Banks	7.5
Software	7.0
IT Services	5.8
Beverages	5.0
Internet & Direct Marketing Retail	4.9
Insurance	4.7
Semiconductors & Semiconductor Equipment	4.7
Air Freight & Logistics	4.4
Machinery	4.3
Capital Markets	3.6
Health Care Equipment & Supplies	2.9
Food Products	2.8
Pharmaceuticals	2.7
Hotels, Restaurants & Leisure	2.6
Oil, Gas & Consumable Fuels	2.3
Biotechnology	2.3
Communications Equipment	2.2
Consumer Finance	2.2
Other Investments, less than 2% each	13.2
Short-Term Investments	4.1

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

67 |

Statements of Assets and Liabilities

June 30, 2017 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund		Loomis Sayles Strategic Alpha Fund			McDonnell Intermediate Municipal Bond Fund
ASSETS
Investments at cost	$	125,502,503	$	1,265,588,110		$	38,657,272
Net unrealized appreciation (depreciation)		5,460,897		(24,061,716	)		1,271,774

Investments at value		130,963,400		1,241,526,394			39,929,046
Cash		23,141		—			—
Due from brokers (Note 2)		—		13,155,672			—
Foreign currency at value (identified cost $8,112, $18,570,097 and $0, respectively)		8,099		18,403,522			—
Receivable for Fund shares sold		268,806		3,995,239			117,105
Receivable for securities sold		3,416,487		2,906,429			—
Collateral received for open forward foreign currency contracts, options, swaptions or swap agreements (Notes 2 and 4)		—		750,000			—
Dividends and interest receivable		888,146		7,973,191			494,167
Unrealized appreciation on bilateral swap agreements (Note 2)		—		27,689			—
Unrealized appreciation on forward foreign currency contracts (Note 2)		—		4,406,477			—
Tax reclaims receivable		4,264		10,890			—
Receivable for variation margin on futures contracts (Note 2)		—		225,711			—
Receivable for variation margin on centrally cleared swap agreements (Note 2)		—		50,959			—
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—		1,370,090			—
Fees receivable on swap agreements (Note 2)		—		399,802			—
Prepaid expenses (Note 8)		301		2,708			98

TOTAL ASSETS		135,572,644		1,295,204,773			40,540,416

LIABILITIES
Options written, at value (premiums received $0, $48,308 and $0, respectively) (Note 2)		—		93,112			—
Payable for securities purchased		3,367,808		45,009,484			—
Unrealized depreciation on bilateral swap agreements (Note 2)		—		2,793,801			—
Payable for Fund shares redeemed		238,007		2,014,264			26,891
Unrealized depreciation on forward foreign currency contracts (Note 2)		—		3,406,918			—
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		—		384,998			—
Foreign taxes payable (Note 2)		3,583		—			—
Due to brokers (Note 2)		—		750,000			—
Distributions payable		—		—			51,230
Fees payable on swap agreements (Note 2)		—		460,431			—
Management fees payable (Note 6)		38,179		715,323			612
Deferred Trustees’ fees (Note 6)		108,601		104,186			40,760
Administrative fees payable (Note 6)		4,723		45,847			1,510
Payable to distributor (Note 6d)		910		8,855			121
Other accounts payable and accrued expenses		51,463		263,464			29,261

TOTAL LIABILITIES		3,813,274		56,050,683			150,385

NET ASSETS	$	131,759,370	$	1,239,154,090		$	40,390,031

See accompanying notes to financial statements.

| 68

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			McDonnell Intermediate Municipal Bond Fund
NET ASSETS CONSIST OF:
Paid-in capital	$	123,571,257		$	1,318,522,178		$	39,951,984
Distributions in excess of net investment income		(135,320	)		(575,161	)		(23,502	)
Accumulated net realized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions		2,865,833			(52,631,993	)		(810,225	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		5,457,600			(26,160,934	)		1,271,774

NET ASSETS	$	131,759,370		$	1,239,154,090		$	40,390,031

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	63,953,770		$	65,993,556		$	4,942,164

Shares of beneficial interest		4,659,969			6,710,500			486,831

Net asset value and redemption price per share	$	13.72		$	9.83		$	10.15

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	14.33		$	10.27		$	10.46

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	38,225,278		$	37,264,889		$	2,771,468

Shares of beneficial interest		2,797,038			3,802,353			272,935

Net asset value and offering price per share	$	13.67		$	9.80		$	10.15

Class N shares:
Net assets	$	32,789		$	999		$	—

Shares of beneficial interest		2,403			102			—

Net asset value, offering and redemption price per share	$	13.65		$	9.82	*	$	—

Class Y shares:
Net assets	$	29,547,533		$	1,135,894,646		$	32,676,399

Shares of beneficial interest		2,164,501			115,648,615			3,214,885

Net asset value, offering and redemption price per share	$	13.65		$	9.82		$	10.16

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

69 |

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	670,912,235
Net unrealized appreciation		220,675,435

Investments at value		891,587,670
Cash		266,294
Receivable for Fund shares sold		3,411,391
Receivable for securities sold		432,020
Dividends and interest receivable		430,956
Tax reclaims receivable		112,315
Prepaid expenses (Note 8)		1,939

TOTAL ASSETS		896,242,585

LIABILITIES
Payable for securities purchased		6,596,293
Payable for Fund shares redeemed		560,228
Management fees payable (Note 6)		588,197
Deferred Trustees’ fees (Note 6)		492,088
Administrative fees payable (Note 6)		32,223
Payable to distributor (Note 6d)		4,384
Other accounts payable and accrued expenses		140,454

TOTAL LIABILITIES		8,413,867

NET ASSETS	$	887,828,718

NET ASSETS CONSIST OF:
Paid-in capital	$	661,731,234
Undistributed net investment income		657,608
Accumulated net realized gain on investments		4,764,441
Net unrealized appreciation on investments		220,675,435

NET ASSETS	$	887,828,718

See accompanying notes to financial statements.

| 70

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	Natixis U.S. Equity Opportunities Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	555,291,439

Shares of beneficial interest		16,269,312

Net asset value and redemption price per share	$	34.13

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	36.21

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	94,272,853

Shares of beneficial interest		3,901,221

Net asset value and offering price per share	$	24.16

Class N shares:
Net assets	$	1,044

Shares of beneficial interest		27

Net asset value, offering and redemption price per share	$	39.28	*

Class Y shares:
Net assets	$	238,263,382

Shares of beneficial interest		6,066,823

Net asset value, offering and redemption price per share	$	39.27

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

71 |

Statements of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			McDonnell Intermediate Municipal Bond Fund
INVESTMENT INCOME
Dividends	$	1,257,794		$	1,359,154		$	—
Interest		1,876,137			24,480,314			648,103
Less net foreign taxes withheld		(37,155	)		(11,002	)		—

		3,096,776			25,828,466			648,103

Expenses
Management fees (Note 6)		352,538			4,232,226			104,155
Service and distribution fees (Note 6)		296,260			293,853			23,226
Administrative fees (Note 6)		28,658			270,288			11,645
Trustees’ fees and expenses (Note 6)		19,572			31,376			12,059
Transfer agent fees and expenses (Note 6 and 7)		45,130			384,580			7,511
Audit and tax services fees		25,100			42,431			27,156
Custodian fees and expenses		45,202			103,236			2,994
Legal fees		1,604			15,085			829
Registration fees		28,846			49,445			22,414
Shareholder reporting expenses		8,579			24,412			2,012
Miscellaneous expenses (Note 8)		12,038			42,776			7,739

Total expenses		863,527			5,489,708			221,740
Less waiver and/or expense reimbursement (Note 6)		(118,589	)		(24	)		(81,296	)

Net expenses		744,938			5,489,684			140,444

Net investment income		2,351,838			20,338,782			507,659

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		3,852,729			10,568,267			(51,265	)
Futures contracts		—			(2,410,568	)		—
Options written		—			(335,653	)		—
Swap agreements		—			(2,548,793	)		—
Foreign currency transactions		(102,351	)		(2,884,791	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		497,188			(3,279,089	)		1,462,015
Futures contracts		—			(1,588,135	)		—
Options written		—			(44,804	)		—
Swap agreements		—			315,785			—
Foreign currency translations		(403	)		(2,200,516	)		—

Net realized and unrealized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions		4,247,163			(4,408,297	)		1,410,750

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	6,599,001		$	15,930,485		$	1,918,409

See accompanying notes to financial statements.

| 72

Statements of Operations (continued)

For the Six Months Ended June 30, 2017 (Unaudited)


	Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	6,331,576
Interest		52,436
Less net foreign taxes withheld		(168,070	)

		6,215,942

Expenses
Management fees (Note 6)		3,171,535
Service and distribution fees (Note 6)		1,070,852
Administrative fees (Note 6)		177,226
Trustees’ fees and expenses (Note 6)		63,097
Transfer agent fees and expenses (Note 6 and 7)		347,861
Audit and tax services fees		21,874
Custodian fees and expenses		15,881
Legal fees		9,287
Registration fees		83,657
Shareholder reporting expenses		42,467
Miscellaneous expenses (Note 8)		19,609

Total expenses		5,023,346
Less waiver and/or expense reimbursement (Note 6)		(24	)

Net expenses		5,023,322

Net investment income		1,192,620

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		5,378,725
Net change in unrealized appreciation (depreciation) on:
Investments		91,185,158

Net realized and unrealized gain on investments		96,563,883

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	97,756,503

See accompanying notes to financial statements.

73 |

Statements of Changes in Net Assets


	Loomis Sayles Multi-Asset Income Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	2,351,838		$	4,062,634
Net realized gain on investments and foreign currency transactions		3,750,378			3,661,490
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		496,785			2,916,632

Net increase in net assets resulting from operations		6,599,001			10,640,756

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,009,211	)		(1,712,251	)
Class C		(572,529	)		(1,054,549	)
Class N		(520	)		(36	)
Class Y		(445,387	)		(466,918	)
Net realized capital gains
Class A		(6,281	)		(2,049,190	)
Class C		(4,732	)		(1,689,864	)
Class N		(3	)		(41	)
Class Y		(2,399	)		(730,396	)

Total distributions		(2,041,062	)		(7,703,245	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		3,428,121			(1,482,318	)

Net increase in net assets		7,986,060			1,455,193
NET ASSETS
Beginning of the period		123,773,310			122,318,117

End of the period	$	131,759,370		$	123,773,310

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(135,320	)	$	(459,511	)

See accompanying notes to financial statements.

| 74

Statements of Changes in Net Assets (continued)


	Loomis Sayles Strategic Alpha Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	20,338,782		$	40,432,517
Net realized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions		2,388,462			(20,628,896	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		(6,796,759	)		56,823,237

Net increase in net assets resulting from operations		15,930,485			76,626,858

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(997,552	)		(1,492,404	)
Class C		(440,069	)		(703,920	)
Class N		(7	)		—
Class Y		(17,806,745	)		(25,810,102	)

Total distributions		(19,244,373	)		(28,006,426	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		45,520,955			(213,904,671	)

Net increase (decrease) in net assets		42,207,067			(165,284,239	)
NET ASSETS
Beginning of the period		1,196,947,023			1,362,231,262

End of the period	$	1,239,154,090		$	1,196,947,023

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(575,161	)	$	(1,669,570	)

See accompanying notes to financial statements.

75 |

Statements of Changes in Net Assets (continued)


	McDonnell Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	507,659		$	1,255,518
Net realized loss on investments		(51,265	)		(382,050	)
Net change in unrealized appreciation (depreciation) on investments		1,462,015			(1,492,330	)

Net increase (decrease) in net assets resulting from operations		1,918,409			(618,862	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(46,238	)		(136,816	)
Class C		(17,695	)		(25,208	)
Class Y		(443,726	)		(1,093,491	)

Total distributions		(507,659	)		(1,255,515	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(19,688,799	)		(18,953,089	)

Net decrease in net assets		(18,278,049	)		(20,827,466	)
NET ASSETS
Beginning of the period		58,668,080			79,495,546

End of the period	$	40,390,031		$	58,668,080

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(23,502	)	$	(23,502	)

See accompanying notes to financial statements.

| 76

Statements of Changes in Net Assets (continued)


	Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	1,192,620		$	2,160,900
Net realized gain on investments		5,378,725			7,563,829
Net change in unrealized appreciation (depreciation) on investments		91,185,158			56,605,558

Net increase in net assets resulting from operations		97,756,503			66,330,287

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(33,841	)		(1,829,987	)
Class C		(6,490	)		(75,717	)
Class Y		(10,244	)		(689,276	)
Net realized capital gains
Class A		(1,756,664	)		(6,990,778	)
Class C		(396,537	)		(1,442,071	)
Class Y		(543,516	)		(1,298,700	)

Total distributions		(2,747,292	)		(12,326,529	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		104,383,695			79,688,302

Net increase in net assets		199,392,906			133,692,060
NET ASSETS
Beginning of the period		688,435,812			554,743,752

End of the period	$	887,828,718		$	688,435,812

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	657,608		$	(484,437	)

See accompanying notes to financial statements.

77 |

Financial Highlights

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	13.24		$	12.85		$	13.45		$	12.21		$	11.83		$	10.74

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.49			0.32			0.32			0.29			0.29
Net realized and unrealized gain (loss)		0.45			0.80			(0.58	)		1.26			0.40			1.12

Total from Investment Operations		0.71			1.29			(0.26	)		1.58			0.69			1.41

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.40	)		(0.34	)		(0.34	)		(0.31	)		(0.32	)
Net realized capital gains		(0.00	)(b)		(0.50	)		—			—			—			—

Total Distributions		(0.23	)		(0.90	)		(0.34	)		(0.34	)		(0.31	)		(0.32	)

Net asset value, end of the period	$	13.72		$	13.24		$	12.85		$	13.45		$	12.21		$	11.83

Total return(c)		5.37	%(d)(e)		10.14	%(d)		(1.96	)%(d)		13.08	%		5.84	%		13.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	63,954		$	57,320		$	63,254		$	110,874		$	79,039		$	78,216
Net expenses		0.95	%(f)(h)		0.95	%(f)		1.04	%(f)(g)		1.06	%		1.09	%		1.11	%
Gross expenses		1.14	%(h)		1.09	%		1.11	%		1.06	%		1.09	%		1.11	%
Net investment income		3.88	%(h)		3.70	%		2.40	%		2.46	%		2.34	%		2.53	%
Portfolio turnover rate		92	%		341	%(i)		93	%(j)		41	%		41	%		29	%

(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.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(g)	Effective September 1, 2015, the expense limit decreased from 1.25% to 0.95%.

(h)	Computed on an annualized basis for periods less than one year.

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

(j)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund.

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	13.18		$	12.80		$	13.41		$	12.17		$	11.80		$	10.71

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.39			0.24			0.22			0.19			0.20
Net realized and unrealized gain (loss)		0.46			0.79			(0.60	)		1.27			0.39			1.12

Total from Investment Operations		0.67			1.18			(0.36	)		1.49			0.58			1.32

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.30	)		(0.25	)		(0.25	)		(0.21	)		(0.23	)
Net realized capital gains		(0.00	)(b)		(0.50	)		—			—			—			—

Total Distributions		(0.18	)		(0.80	)		(0.25	)		(0.25	)		(0.21	)		(0.23	)

Net asset value, end of the period	$	13.67		$	13.18		$	12.80		$	13.41		$	12.17		$	11.80

Total return(c)		5.08	%(d)(e)		9.27	%(d)		(2.73	)%(d)		12.28	%		4.98	%		12.43	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	38,225		$	46,351		$	47,791		$	53,074		$	48,512		$	49,697
Net expenses		1.70	%(f)(g)		1.70	%(g)		1.80	%(g)(h)		1.81	%		1.84	%		1.86	%
Gross expenses		1.88	%(f)		1.84	%		1.87	%		1.81	%		1.84	%		1.86	%
Net investment income		3.11	%(f)		2.96	%		1.78	%		1.70	%		1.59	%		1.79	%
Portfolio turnover rate		92	%		341	%(i)		93	%(j)		41	%		41	%		29	%

(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.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	Computed on an annualized basis for periods less than one year.

(g)	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, expenses would have been higher.

(h)	Effective September 1, 2015, the expense limit decreased from 2.00% to 1.70%.

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

(j)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class N
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Period Ended December 31, 2015*
Net asset value, beginning of the period	$	13.16		$	12.77		$	12.70

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.53			0.14
Net realized and unrealized gain (loss)		0.45			0.80			0.10

Total from Investment Operations		0.74			1.33			0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.44	)		(0.17	)
Net realized capital gains		(0.00	)(b)		(0.50	)		—

Total Distributions		(0.25	)		(0.94	)		(0.17	)

Net asset value, end of the period	$	13.65		$	13.16		$	12.77

Total return(c)		5.63	%(d)		10.53	%		1.91	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	33		$	1		$	1
Net expenses(e)		0.65	%(f)		0.65	%		0.65	%(f)
Gross expenses		1.40	%(f)		13.53	%		13.66	%(f)
Net investment income		4.38	%(f)		4.02	%		3.22	%(f)
Portfolio turnover rate		92	%		341	%(g)		93	%

*	From commencement of Class operations on August 31, 2015 through December 31, 2015 for Class N shares.

(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.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	13.17		$	12.79		$	13.39		$	12.19		$	11.83		$	11.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.28			0.53			0.36			0.38			0.33			(0.02	)
Net realized and unrealized gain (loss)		0.44			0.78			(0.59	)		1.19			0.37			0.18

Total from Investment Operations		0.72			1.31			(0.23	)		1.57			0.70			0.16

LESS DISTRIBUTIONS FROM:
Net investment income		(0.24	)		(0.43	)		(0.37	)		(0.37	)		(0.34	)		(0.05	)
Net realized capital gains		(0.00	)(b)		(0.50	)		—			—			—			—

Total Distributions		(0.24	)		(0.93	)		(0.37	)		(0.37	)		(0.34	)		(0.05	)

Net asset value, end of the period	$	13.65		$	13.17		$	12.79		$	13.39		$	12.19		$	11.83

Total return		5.53	%(c)(d)		10.38	%(c)		(1.72	)%(c)		13.05	%		5.93	%		1.35	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,548		$	20,101		$	11,272		$	14,428		$	628		$	1
Net expenses		0.70	%(g)(e)		0.70	%(e)		0.80	%(e)(f)		0.82	%		0.83	%		1.00	%(g)
Gross expenses		0.89	%(g)		0.84	%		0.86	%		0.82	%		0.83	%		1.00	%(g)
Net investment income (loss)		4.18	%(g)		4.00	%		2.73	%		2.92	%		2.71	%		(2.37	)%(g)
Portfolio turnover rate		92	%		341	%(h)		93	%(i)		41	%		41	%		29	%

*	From commencement of operations on December 3, 2012, through December 31, 2012.

(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.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Effective September 1, 2015, the expense limit decreased from 1.00% to 0.70%.

(g)	Computed on an annualized basis for periods less than one year.

(h)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

(i)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.86		$	9.45		$	9.96		$	10.06		$	10.20		$	9.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.30			0.26			0.29	(b)		0.37			0.37
Net realized and unrealized gain (loss)		(0.04	)		0.31			(0.42	)		(0.07	)		(0.28	)		0.77

Total from Investment Operations		0.12			0.61			(0.16	)		0.22			0.09			1.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.20	)		(0.35	)		(0.32	)		(0.23	)		(0.28	)

Net asset value, end of the period	$	9.83		$	9.86		$	9.45		$	9.96		$	10.06		$	10.20

Total return(c)		1.17	%(d)		6.57	%		(1.68	)%		2.24	%(b)		0.96	%		12.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	65,994		$	67,746		$	116,055		$	104,056		$	177,339		$	80,704
Net expenses		1.11	%(e)		1.10	%		1.10	%		1.10	%		1.11	%		1.12	%
Gross expenses		1.11	%(e)		1.10	%		1.10	%		1.10	%		1.11	%		1.12	%
Net investment income		3.16	%(e)		3.14	%		2.66	%		2.90	%(b)		3.68	%		3.77	%
Portfolio turnover rate		37	%		72	%		72	%		87	%		115	%		116	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.28, total return would have been 2.14% and the ratio of net investment income to average net assets would have been 2.81%.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.82		$	9.42		$	9.93		$	10.03		$	10.16		$	9.31

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.23			0.19			0.21	(b)		0.30			0.30
Net realized and unrealized gain (loss)		(0.03	)		0.30			(0.43	)		(0.06	)		(0.28	)		0.76

Total from Investment Operations		0.09			0.53			(0.24	)		0.15			0.02			1.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(0.13	)		(0.27	)		(0.25	)		(0.15	)		(0.21	)

Net asset value, end of the period	$	9.80		$	9.82		$	9.42		$	9.93		$	10.03		$	10.16

Total return(c)		0.89	%(d)		5.70	%		(2.44	)%		1.47	%(b)		0.22	%		11.44	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	37,265		$	45,674		$	62,453		$	71,215		$	91,694		$	67,748
Net expenses		1.86	%(e)		1.85	%		1.85	%		1.85	%		1.86	%		1.87	%
Gross expenses		1.86	%(e)		1.85	%		1.85	%		1.85	%		1.86	%		1.87	%
Net investment income		2.41	%(e)		2.40	%		1.91	%		2.13	%(b)		2.96	%		3.05	%
Portfolio turnover rate		37	%		72	%		72	%		87	%		115	%		116	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.21, total return would have been 1.37% and the ratio of net investment income to average net assets would have been 2.05%.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class N
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07
Net realized and unrealized gain (loss)		(0.08	)

Total from Investment Operations		(0.01	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)

Net asset value, end of the period	$	9.82

Total return(b)(c)		(0.07	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		0.83	%
Gross expenses(d)		15.42	%
Net investment income(d)		3.25	%
Portfolio turnover rate		37	%(f)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(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, expenses would have been higher.

(f)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

| 84

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015				Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.85		$	9.44		$	9.95		��	$	10.05		$	10.19		$	9.33

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.32			0.29				0.31	(b)		0.40			0.41
Net realized and unrealized gain (loss)		(0.04	)		0.32			(0.43	)			(0.06	)		(0.29	)		0.76

Total from Investment Operations		0.13			0.64			(0.14	)			0.25			0.11			1.17

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.23	)		(0.37	)			(0.35	)		(0.25	)		(0.31	)

Net asset value, end of the period	$	9.82		$	9.85		$	9.44			$	9.95		$	10.05		$	10.19

Total return		1.30	%(c)		6.86	%		(1.43	)%			2.52	%(b)		1.19	%		12.57	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,135,895		$	1,083,527		$	1,183,723			$	1,188,605		$	970,539		$	497,648
Net expenses		0.86	%(d)		0.85	%		0.85	%			0.85	%		0.86	%		0.87	%
Gross expenses		0.86	%(d)		0.85	%		0.85	%			0.85	%		0.86	%		0.87	%
Net investment income		3.41	%(d)		3.39	%		2.91	%			3.10	%(b)		3.92	%		4.09	%
Portfolio turnover rate		37	%		72	%		72	%			87	%		115	%		116	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.31, total return would have been 2.42% and the ratio of net investment income to average net assets would have been 3.03%.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

85 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.89		$	10.09		$	10.00		$	9.54		$	9.89		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.09			0.12			0.13			0.11			0.09			(0.01	)
Net realized and unrealized gain (loss)		0.26			(0.20	)		0.10			0.47			(0.35	)		(0.10	)

Total from Investment Operations		0.35			(0.08	)		0.23			0.58			(0.26	)		(0.11	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.12	)		(0.14	)		(0.12	)		(0.09	)		—

Net asset value, end of the period	$	10.15		$	9.89		$	10.09		$	10.00		$	9.54		$	9.89

Total return(b)(c)		3.55	%(d)		(0.79	)%		2.28	%		6.08	%		(2.66	)%		(1.10	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,942		$	5,474		$	6,427		$	2,399		$	1,047		$	1
Net expenses(e)		0.70	%(f)		0.70	%		0.74	%(g)		0.80	%		0.80	%		2.19	%(f)(h)
Gross expenses		1.01	%(f)		0.88	%		1.12	%		1.26	%		1.37	%		2.23	%(f)
Net investment income (loss)		1.80	%(f)		1.19	%		1.27	%		1.15	%		0.90	%		(0.71	)%(f)
Portfolio turnover rate		18	%		48	%		20	%		10	%		37	%		0	%

*	From commencement of operations on November 16, 2012 through December 31, 2012.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2015, the expense limit decreased from 0.80% to 0.70%.

(h)	Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

| 86

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.90		$	10.09		$	9.99		$	9.54		$	9.89		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.05			0.04			0.05			0.04			0.01			(0.01	)
Net realized and unrealized gain (loss)		0.25			(0.18	)		0.11			0.45			(0.34	)		(0.10	)

Total from Investment Operations		0.30			(0.14	)		0.16			0.49			(0.33	)		(0.11	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.05	)		(0.06	)		(0.04	)		(0.02	)		—

Total Distributions		(0.05	)		(0.05	)		(0.06	)		(0.04	)		(0.02	)		—

Net asset value, end of the period	$	10.15		$	9.90		$	10.09		$	9.99		$	9.54		$	9.89

Total return(b)(c)		3.06	%(d)		(1.44	)%		1.63	%		5.18	%		(3.35	)%		(1.10	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,771		$	4,015		$	6,355		$	2,223		$	55		$	1
Net expenses(e)		1.45	%(f)		1.45	%		1.49	%(g)		1.55	%		1.55	%		2.20	%(f)(h)
Gross expenses		1.76	%(f)		1.63	%		1.88	%		2.04	%		2.08	%		2.24	%(f)
Net investment income (loss)		1.05	%(f)		0.44	%		0.52	%		0.41	%		0.14	%		(0.73	)%(f)
Portfolio turnover rate		18	%		48	%		20	%		10	%		37	%		0	%

*	From commencement of operations on November 16, 2012 through December 31, 2012.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2015, the expense limit decreased from 1.55% to 1.45%.

(h)	Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

87 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.90		$	10.10		$	10.00		$	9.54		$	9.88		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.10			0.15			0.15			0.14			0.11			(0.01	)
Net realized and unrealized gain (loss)		0.26			(0.20	)		0.11			0.46			(0.34	)		(0.11	)

Total from Investment Operations		0.36			(0.05	)		0.26			0.60			(0.23	)		(0.12	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.15	)		(0.16	)		(0.14	)		(0.11	)		—

Net asset value, end of the period	$	10.16		$	9.90		$	10.10		$	10.00		$	9.54		$	9.88

Total return(b)		3.67	%(c)		(0.55	)%		2.63	%		6.36	%		(2.31	)%		(1.20	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	32,676		$	49,179		$	66,713		$	28,314		$	21,704		$	14,827
Net expenses(d)		0.45	%(e)		0.45	%		0.49	%(f)		0.55	%		0.55	%		2.33	%(e)(g)
Gross expenses		0.76	%(e)		0.63	%		0.85	%		1.02	%		1.04	%		2.37	%(e)
Net investment income (loss)		2.04	%(e)		1.44	%		1.48	%		1.46	%		1.13	%		(0.84	)%(e)
Portfolio turnover rate		18	%		48	%		20	%		10	%		37	%		0	%

*	From commencement of operations on November 16, 2012 through December 31, 2012.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%.

(g)	Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

| 88

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	30.27		$	27.60		$	27.40		$	33.07		$	26.35		$	23.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.05			0.12			0.06			0.02			(0.04	)		0.07
Net realized and unrealized gain (loss)		3.92			3.12			1.55			4.31			9.34			4.12

Total from Investment Operations		3.97			3.24			1.61			4.33			9.30			4.19

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.12	)		—			—			—			(0.07	)
Net realized capital gains		(0.11	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)		(1.33	)

Total Distributions		(0.11	)		(0.57	)		(1.41	)		(10.00	)		(2.58	)		(1.40	)

Net asset value, end of the period	$	34.13		$	30.27		$	27.60		$	27.40		$	33.07		$	26.35

Total return(c)		13.13	%(d)		11.86	%		5.86	%		12.94	%		35.75	%(e)		17.79	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	555,291		$	472,436		$	422,069		$	400,678		$	371,102		$	289,898
Net expenses		1.25	%(f)		1.23	%(g)		1.25	%(h)		1.29	%(i)		1.30	%(j)		1.30	%(j)
Gross expenses		1.25	%(f)		1.23	%(g)		1.25	%		1.29	%(i)		1.32	%		1.35	%
Net investment income (loss)		0.32	%(f)		0.42	%		0.21	%		0.07	%		(0.12	)%		0.25	%
Portfolio turnover rate		4	%		17	%		20	%		93	%(k)		50	%		52	%

(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.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes fee/expense recovery of less than 0.01%.

(h)	Effective July 1, 2015, the expense limit decreased from 1.30% to 1.25%.

(i)	Includes fee/expense recovery of 0.02%.

(j)	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, expenses would have been higher.

(k)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

89 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	21.54		$	19.86		$	20.24		$	26.92		$	21.99		$	19.94

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.07	)		(0.11	)		(0.19	)		(0.22	)		(0.11	)
Net realized and unrealized gain (loss)		2.78			2.22			1.14			3.51			7.73			3.49

Total from Investment Operations		2.73			2.15			1.03			3.32			7.51			3.38

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.02	)		—			—			—			—
Net realized capital gains		(0.11	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)		(1.33	)

Total Distributions		(0.11	)		(0.47	)		(1.41	)		(10.00	)		(2.58	)		(1.33	)

Net asset value, end of the period	$	24.16		$	21.54		$	19.86		$	20.24		$	26.92		$	21.99

Total return(c)		12.70	%(d)		11.02	%		5.06	%		12.12	%		34.69	%(e)		16.96	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	94,273		$	72,768		$	61,864		$	53,925		$	44,150		$	30,525
Net expenses		2.00	%(f)		1.98	%(g)		2.00	%(h)		2.04	%(i)		2.05	%(j)		2.05	%(j)
Gross expenses		2.00	%(f)		1.98	%(g)		2.00	%		2.04	%(i)		2.07	%		2.10	%
Net investment loss		(0.43	)%(f)		(0.33	)%		(0.54	)%		(0.68	)%		(0.86	)%		(0.49	)%
Portfolio turnover rate		4	%		17	%		20	%		93	%(k)		50	%		52	%

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes fee/expense recovery of less than 0.01%.

(h)	Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%.

(i)	Includes fee/expense recovery of 0.01%.

(j)	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, expenses would have been higher.

(k)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

| 90

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Period Ended June 30, 2017* (Unaudited)
Net asset value, beginning of the period	$	37.62

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04
Net realized and unrealized gain (loss)		1.62

Total from Investment Operations		1.66

Net asset value, end of the period	$	39.28

Total return(b)(c)		4.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		0.95	%
Gross expenses(e)		15.13	%
Net investment income(e)		0.66	%
Portfolio turnover rate		4	%(f)

*	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Represents the Fund’s portfolio turnover rate for the six months ended June 30, 2017.

See accompanying notes to financial statements.

91 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	34.77		$	31.61		$	31.18		$	36.32		$	28.68		$	25.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.21			0.15			0.12			0.05			0.17
Net realized and unrealized gain (loss)		4.51			3.59			1.76			4.74			10.17			4.46

Total from Investment Operations		4.61			3.80			1.91			4.86			10.22			4.63

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.19	)		(0.07	)		—			—			(0.14	)
Net realized capital gains		(0.11	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)		(1.33	)

Total Distributions		(0.11	)		(0.64	)		(1.48	)		(10.00	)		(2.58	)		(1.47	)

Net asset value, end of the period	$	39.27		$	34.77		$	31.61		$	31.18		$	36.32		$	28.68

Total return		13.27	%(c)		12.13	%		6.11	%		13.25	%		36.06	%(d)		18.15	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	238,263		$	143,231		$	70,643		$	37,636		$	24,661		$	11,035
Net expenses		1.00	%(e)		0.98	%(f)		1.00	%(g)		1.05	%(h)		1.05	%(i)		1.05	%(i)
Gross expenses		1.00	%(e)		0.98	%(f)		1.00	%		1.05	%(h)		1.07	%		1.10	%
Net investment income		0.56	%(e)		0.63	%		0.46	%		0.32	%		0.13	%		0.61	%
Portfolio turnover rate		4	%		17	%		20	%		93	%(j)		50	%		52	%

(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.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	Effective July 1, 2015, the expense limit decreased from 1.05% to 1.00%.

(h)	Includes fee/expense recovery of 0.01%.

(i)	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, expenses would have been higher.

(j)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

| 92

Notes to Financial Statements

June 30, 2017 (Unaudited)

Natixis Funds Trust I:

Loomis Sayles Multi-Asset Income Fund (the “Multi-Asset Income Fund”)

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

McDonnell Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

Each Fund is a diversified investment company, except for the Strategic Alpha Fund is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Multi-Asset Income Fund, U.S. Equity Opportunities Fund and Strategic Alpha Fund also offer Class N shares (effective May 1, 2017 for U.S. Equity Opportunities Fund and Strategic Alpha Fund). Class A shares are sold with a maximum front-end sales charge of 3.00% for Intermediate Municipal Bond Fund, 4.25% for Multi-Asset Income Fund and Strategic Alpha Fund, and 5.75% for U.S. Equity Opportunities Fund. Class C shares do not pay a front-end sales charge, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Natixis ETF Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds 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 (such as the Rule 12b-1 fee applicable to Class A and Class C) and transfer agent fees borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect

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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.

a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadvisers pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to value debt and unlisted equity securities and

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senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded single name equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”). Option contracts on foreign indices are priced at the most recent settlement price. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. Option contracts for which the average of the closing bid and ask quotations are not considered to reflect option contract values as of the close of the New York Stock Exchange (“NYSE”) are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Fund will fair value S&P 500^® Index options using the closing rotation values published by the CBOE. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the NYSE. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or

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significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of June 30, 2017, securities and other investments of the Funds included in net assets were fair valued as follows:


Fund	Equity securities¹		Percentage of Net Assets			Securities classified as fair valued		Percentage of Net Assets			Securities fair valued by the Fund’s adviser		Percentage of Net Assets
Multi-Asset Income Fund	$	13,951,708		10.6	%	$	665,722		0.5	%	$	—		—
Strategic Alpha Fund	$	—		—		$	16,186,026		1.3	%	$	24,409,817		2.0	%

¹	Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV 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, if applicable. 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 the 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

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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. 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.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

For the six months ended June 30, 2017, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Multi-Asset Income Fund	$	183,031
Strategic Alpha Fund	$	2,871,439

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d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to 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 a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. 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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund 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, 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 Statements of Assets and Liabilities as an asset (liability) and in the 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 enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f. 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 are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a 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 are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

g. Swaptions. The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the

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realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

There were no swaptions held by the Funds as of June 30, 2017.

h. Swap Agreements. The Funds may enter into credit default and interest rate 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 pay or receive upfront premiums. 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

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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.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the 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.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are 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. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

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i. Due to/from Brokers. Transactions and positions in certain options, swaptions, 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 and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, options and bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash received as collateral for forward foreign currency contracts, options and bilateral swap agreements. In certain circumstances the Funds’ 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 Trusts treat 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, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, 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 withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

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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 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 deferred trustees’ fees, defaulted and/or non-income producing securities, trust preferred securities, passive foreign investment company adjustment and foreign currency gains and losses.paydown gains and losses, return of capital and capital gain distributions received, interest rate swaps, treasury inflation-protected bonds, foreign currency gains and losses, deferred Trustees’ fees, convertible bonds, contingent payment debt instruments 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 reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization and wash sales., contingent payment debt instruments, defaulted and/or non-income producing securities, swap payable/receivable, wash sales, return of capital distributions received, convertible bonds, treasury inflation-protected securities and forward foreign currency, options and futures contracts mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2016 was as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Multi-Asset Income Fund	$	3,154,985	$	—	$	4,548,260	$	7,703,245
Strategic Alpha Fund		28,006,426		—		—		28,006,426
Intermediate Municipal Bond Fund		—		1,255,515		—		1,255,515
U.S. Equity Opportunities Fund		2,594,980		—		9,731,549		12,326,529

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As of December 31, 2016, late-year ordinary and post-October capital loss deferrals were as follows:


	Multi-Asset Income Fund			Strategic Alpha Fund			Intermediate Municipal Bond Fund			U.S. Equity Opportunities Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—		$	(37,730,155	)	$	(758,960	)	$	—
Long-term:
No expiration date		—			(17,520,479	)		—			—

Total capital loss carryforward	$	—		$	(55,250,634	)	$	(758,960	)	$	—

Late-year ordinary and Post-October capital loss deferrals*	$	(436,967	)	$	—		$	—		$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Multi-Asset Income Fund is deferring capital and foreign currency losses that occurred after October 31, 2016.

As of June 30, 2017, unrealized appreciation (depreciation) on a tax basis was as follows:


	Multi-Asset Income Fund		Strategic Alpha Fund			Intermediate Municipal Bond Fund		U.S. Equity Opportunities Fund
Unrealized appreciation (depreciation)
Investments	$	5,366,608	$	(18,221,216	)	$	1,271,774	$	220,675,435
Foreign currency translations		76,119		(8,209,095	)		—		—

Total unrealized appreciation (depreciation)	$	5,442,727	$	(26,430,311	)	$	1,271,774	$	220,675,435

l. Loan Participations. Strategic Alpha Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal,

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interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

m. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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. As of June 30, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

n. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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 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.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

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Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the 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 when-issued or delayed delivery securities held by the Funds as of June 30, 2017.

o. Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

p. Securities Lending. Multi-Asset Income Fund, Strategic Alpha Fund and U.S. Equity Opportunities Fund 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, 2017, the Funds did not loan securities under this agreement.

q. Indemnifications. Under the Trusts’ 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

| 106

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

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.

r. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

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 Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable.

107 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2017, at value:

Multi-Asset Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Air Freight & Logistics	$	246,452	$	1,066,406	$	—	$	1,312,858
Airlines		—		665,454		—		665,454
Automobiles		895,955		507,700		—		1,403,655
Banks		5,041,124		4,691,354		—		9,732,478
Capital Markets		939,869		190,449		—		1,130,318
Chemicals		3,231,965		75,518		—		3,307,483
Construction & Engineering		15,888		1,300,629		—		1,316,517
Distributors		—		70,668		—		70,668
Diversified Consumer Services		253,617		264,629		—		518,246
Diversified Telecommunication Services		964,659		508,916		—		1,473,575
Electric Utilities		1,730,705		655,534		—		2,386,239
Electrical Equipment		—		268,789		—		268,789
Household Durables		—		149,782		—		149,782
Industrial Conglomerates		1,587,039		243,944		—		1,830,983
Internet Software & Services		246,761		222,597		—		469,358
IT Services		1,789,535		263,005		—		2,052,540
Multi-Utilities		681,269		42,508		—		723,777
Personal Products		—		238,109		—		238,109
Pharmaceuticals		3,462,665		507,846		—		3,970,511
Semiconductors & Semiconductor Equipment		1,400,979		229,828		—		1,630,807
Tobacco		1,450,479		1,027,472		—		2,477,951
Trading Companies & Distributors		—		760,571		—		760,571
All Other Common Stocks(a)		26,008,301		—		—		26,008,301

Total Common Stocks		49,947,262		13,951,708		—		63,898,970

| 108

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Multi-Asset Income Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds(a)	$	—	$	42,710,470	$	—	$	42,710,470
Convertible Bonds(a)		—		954,750		—		954,750

Total Bonds and Notes		—		43,665,220		—		43,665,220

Senior Loans Preferred Stocks(a)		—		12,204,846		—		12,204,846
Non-Convertible Preferred Stocks(a)

Total Non-Convertible Preferred Stocks		—		3,342,043		—		3,342,043

Convertible Preferred Stock(a) Midstream		—		559,782		—		559,782

Total Preferred Stocks		—		3,901,825		—		3,901,825

Exchange Traded Fund(a)		3,350,905		—		—		3,350,905
Short-Term Investments		—		3,941,634		—		3,941,634

Total	$	53,298,167	$	77,665,233	$	—	$	130,963,400

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

A common stock valued at $28,494 was transferred from Level 2 to Level 1 during the period ended June 30, 2017. At December 31, 2016, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security. At June 30, 2017, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

109 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	110,933,042	$	4,554,908	(b)	$	115,487,950
ABS Other		—		35,954,911		12,473,585	(c)		48,428,496
ABS Student Loan		—		3,933,721		5,006,869	(d)		8,940,590
Independent Energy		—		50,701,207		—	(e)		50,701,207
Non-Agency Commercial Mortgage-Backed Securities		—		41,120,421		13,204,920	(d)		54,325,341
All Other Non-Convertible Bonds(a)		—		643,681,557		—			643,681,557

Total Non-Convertible Bonds		—		886,324,859		35,240,282			921,565,141

Convertible Bonds(a)		—		26,499,305		—			26,499,305

Total Bonds and Notes		—		912,824,164		35,240,282			948,064,446

Senior Loans(a)		—		123,292,815		—			123,292,815
Loan Participations(a)		—		—		1,950,203	(d)		1,950,203
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		3,092,688		—			3,092,688
Midstream		—		1,029,471		—			1,029,471
All Other Convertible Preferred Stocks(a)		559,623		—		—			559,623

Total Convertible Preferred Stocks		559,623		4,122,159		—			4,681,782

Non-Convertible Preferred Stock(a)		—		4,293,955		—			4,293,955

Total Preferred Stocks		559,623		8,416,114		—			8,975,737

Common Stocks(a)		56,851,186		—		—			56,851,186

Exchange-Traded Funds		3,181,024		—		—			3,181,024
Other Investments(a)		—		—		14,860,515	(f)		14,860,515

| 110

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Purchased Options(a)
Options on Securities	$	1,325,343	$	—	$	—	$	1,325,343
Over-the-Counter Options on Currency		—		1,057,024		—		1,057,024

Total Purchased Options		1,325,343		1,057,024		—		2,382,367

Short-Term Investments		—		81,968,101		—		81,968,101

Total Investments		61,917,176		1,127,558,218		52,051,000		1,241,526,394

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		4,559		—		4,559
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—		1,334,570		—		1,334,570
Bilateral Interest Rate Swap Agreements (unrealized appreciation)		—		23,130		—		23,130
Forward Foreign Currency Contracts (unrealized appreciation)		—		4,406,477		—		4,406,477
Futures Contracts (unrealized appreciation)		134,443		—		—		134,443

Total	$	62,051,619	$	1,133,326,954	$	52,051,000	$	1,247,429,573

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(93,112	)	$	—		$	—	$	(93,112	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(1,011,043	)		—		(1,011,043	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(13,662	)		—		(13,662	)

111 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund (continued)

Liability Valuation Inputs (continued)


Description	Level 1			Level 2			Level 3		Total
Bilateral Interest Rate Swap Agreements (unrealized depreciation)	$	—		$	(1,782,758	)	$	—	$	(1,782,758	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(3,406,918	)		—		(3,406,918	)
Futures Contracts (unrealized depreciation)		(1,562,620	)		—			—		(1,562,620	)

Total	$	(1,655,732	)	$	(6,214,381	)	$	—	$	(7,870,113	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(b)	Valued using broker-dealer bid prices ($2,292,863) or fair valued by the Fund’s adviser ($2,262,045).

(c)	Valued using broker-dealer bid prices ($5,186,328) or fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($7,287,257).

(d)	Valued using broker-dealer bid prices.

(e)	Fair valued at zero using level 3 inputs.

(f)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund.

A preferred stock valued at $2,616,058 was transferred from Level 1 to Level 2 during the period ended June 30, 2017. At December 31, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At June 30, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

All transfers are recognized as of the beginning of the reporting period.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2016 and/or June 30, 2017:

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	3,187,399	$	—	$	101,064	$	8,838	$	2,290,000
ABS Other		11,836,146		—		13,452		29,487		761,456
ABS Student Loan		—		—		—		2,213		5,004,656

| 112

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Balance as of December 31, 2016			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Banking	$	2,704,314		$	—	$	—		$	—		$	—
Government Owned-No Guarantee		2,180,900			—		—			—			—
Independent Energy		—	(a)		172,317		—			(172,317	)		—
Non-Agency Commercial Mortgage-Backed Securities		3,349,021			—		—			52,841			—
Senior Loans
Wirelines		1,165,800			—		—			—			—
Loan Participations		2,256,710			—		(2,644	)		48,699			—
Other Investments
Aircraft ABS		8,840,043			—		—			165,972			5,854,500

Total	$	35,520,333		$	172,317	$	111,872		$	135,733		$	13,910,612


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(1,032,393	)	$	—	$	—		$	4,554,908		$	19,228
ABS Other		(842,313	)		675,357		—			12,473,585			76,172
ABS Student Loan		—			—		—			5,006,869			2,213
Banking		—			—		(2,704,314	)		—			—
Government Owned-No Guarantee		—			—		(2,180,900	)		—			—

113 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Independent Energy	$	—		$	—	$	—		$	—	(a)	$	—
Non-Agency Commercial Mortgage-Backed Securities		(102,977	)		9,906,035		—			13,204,920			52,841
Senior Loans
Wirelines		—			—		(1,165,800	)		—			—
Loan Participations		(352,562	)		—		—			1,950,203			39,005
Other Investments
Aircraft ABS		—			—		—			14,860,515			165,972

Total	$	(2,330,245	)	$	10,581,392	$	(6,051,014	)	$	52,051,000		$	355,431

(a)	Fair valued at zero.

Debt securities valued at $ 10,581,392 were transferred from Level 2 to Level 3 during the period ended June 30, 2017. At December 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2017, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

A debt security valued at $ 2,704,314 was transferred from Level 3 to Level 2 during the period ended June 30, 2017. At December 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $ 3,346,700 was transferred from Level 3 to Level 2 during the period ended June 30, 2017. At December 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2017, this security was

| 114

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Intermediate Municipal Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	37,292,835	$	—	$	37,292,835
Short-Term Investments		—		2,636,211		—		2,636,211

Total	$	—	$	39,929,046	$	—	$	39,929,046

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	855,486,726	$	—	$	—	$	855,486,726
Short-Term Investments		—		36,100,944		—		36,100,944

Total	$	855,486,726	$	36,100,944	$	—	$	891,587,670

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

Multi-Asset Income Fund is 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 Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2017, the Fund engaged in forward foreign currency for hedging purposes.

Strategic Alpha 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.

115 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 2017, the Fund used futures, forward foreign currency and option contracts, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

Strategic Alpha Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The 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. The Fund may use futures contracts, interest rate swap agreements and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2017, the Fund engaged in futures contracts for hedging purposes.

Strategic Alpha Fund is 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 Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2017, the Fund engaged in forward foreign currency and option contracts for hedging purposes.

Strategic Alpha Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the six months ended June 30, 2017, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2017, the Fund engaged in futures and option contracts for hedging purposes.

Transactions in derivative instruments for Multi-Asset Income Fund during the six months ended June 30, 2017, as reflected within the Statements of Operations were as follows:

Net Realized Loss on:

Foreign currency

transactions¹

Foreign exchange contracts

(74,337

)

¹	Represents realized loss on forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

| 116

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Swap agreements at value²			Unrealized appreciation on futures contracts³			Total
Over-the-counter asset derivatives
Interest rate contracts	$	—		$	—		$	23,130		$	—		$	23,130
Foreign exchange contracts		1,057,024			4,406,477			—			—			5,463,501
Credit contracts		—			—			730,939			—			730,939

Total over-the-counter asset derivatives	$	1,057,024		$	4,406,477		$	754,069		$	—		$	6,217,570

Exchange-traded/ cleared asset derivatives
Interest rate contracts	$	—		$	—		$	1,334,570		$	92,164		$	1,426,734
Equity contracts		1,325,343			—			—			42,279			1,367,622

Total exchange-traded/cleared asset derivatives	$	1,325,343		$	—		$	1,334,570		$	134,443		$	2,794,356

Total asset derivatives	$	2,382,367		$	4,406,477		$	2,088,639		$	134,443		$	9,011,926


Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Swap agreements at value²			Unrealized depreciation on futures contracts³			Total
Over-the-counter liability derivatives
Interest rate contracts	$	—		$	—		$	(1,782,758	)	$	—		$	(1,782,758	)
Foreign exchange contracts		—			(3,406,918	)		—			—			(3,406,918	)
Credit contracts		—			—			(752,331	)		—			(752,331	)

Total over-the-counter liability derivatives	$	—		$	(3,406,918	)	$	(2,535,089	)	$	—		$	(5,942,007	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	—		$	(1,256,771	)	$	(1,256,771	)
Credit contracts		—			—			(110,310	)		—			(110,310	)
Equity contracts		(93,112	)		—			—			(305,849	)		(398,961	)

Total exchange-traded/cleared liability derivatives	$	(93,112	)	$	—		$	(110,310	)	$	(1,562,620	)	$	(1,766,042	)

Total liability derivatives	$	(93,112	)	$	(3,406,918	)	$	(2,645,399	)	$	(1,562,620	)	$	(7,708,049	)

117 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

¹	Represents purchased options, at value.

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statements of Assets and Liabilities.

³	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 Strategic Alpha Fund during the six months ended June 30, 2017, as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Investments⁴			Futures contracts			Options written			Swap agreements			Foreign currency transactions⁵
Interest rate contracts	$	—		$	(840,611	)	$	—		$	1,548,554		$	—
Foreign exchange contracts		(1,622,400	)		—			—			—			(3,146,932	)
Credit contracts		—			—			—			(4,097,347	)		—
Equity contracts		415,252			(1,569,957	)		(335,653	)		—			—

Total	$	(1,207,148	)	$	(2,410,568	)	$	(335,653	)	$	(2,548,793	)	$	(3,146,932	)


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts			Options written			Swap agreements			Foreign currency translations⁵
Interest rate contracts	$	—		$	(1,493,413	)	$	—		$	(454,592	)	$	—
Foreign exchange contracts		(286,224	)		—			—			—			(2,240,676	)
Credit contracts		—			—			—			770,377			—
Equity contracts		(686,467	)		(94,722	)		(44,804	)		—			—

Total	$	(972,691	)	$	(1,588,135	)	$	(44,804	)	$	315,785		$	(2,240,676	)

⁴	Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

⁵	Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

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.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Multi-Asset Income Fund based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2017:


Multi-Asset Income Fund	Forwards
Average Notional Amount Outstanding		0.59	%
Highest Notional Amount Outstanding		4.06	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2017		0.00	%

| 118

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Strategic Alpha Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2017:


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		39.87	%		74.17	%		8.81	%		22.21	%
Highest Notional Amount Outstanding		50.66	%		118.42	%		11.06	%		61.08	%
Lowest Notional Amount Outstanding		33.59	%		50.49	%		6.19	%		5.75	%
Notional Amount Outstanding as of June 30, 2017		49.81	%		50.49	%		6.27	%		5.85	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, 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, 2017:


Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*
Average Market Value of Underlying Instruments		1.04	%		7.10	%		0.65	%
Highest Market Value of Underlying Instruments		1.31	%		13.97	%		1.88	%
Lowest Market Value of Underlying Instruments		0.00	%		0.63	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2017		1.29	%		13.97	%		0.52	%

Market value of underlying instruments is determined as follows: 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, for foreign indices by multiplying the number of contracts by the contract multiplier by the price of the underlying index 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.

119 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The following is a summary of Strategic Alpha Fund’s written option activity:


Strategic Alpha Fund	Number of Contracts			Premiums
Outstanding at December 31, 2016		—		$	—
Options written		11,678			1,412,928
Options terminated in closing purchase transactions		(9,396	)		(1,346,781	)
Options expired		(345	)		(17,839	)
Options assigned		—			—

Outstanding at June 30, 2017		1,937		$	48,308

OTC derivatives, including forward foreign currency contracts, options, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2017, gross amounts of OTC derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Strategic Alpha Fund


Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	3,233,647	$	(2,392,766	)	$	840,881	$	(300,000	)	$	540,881
Credit Suisse International		45,348		—			45,348		(45,348	)		—
Deutsche Bank AG		6,327		(6,327	)		—		—			—

| 120

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Strategic Alpha Fund (continued)


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged			Net Amount
Goldman Sachs & Co.	$	388,099		$	(388,099	)	$	—		$	—		$	—
JPMorgan Chase Bank, N.A.		23,130			(23,130	)		—			—			—
Morgan Stanley Capital Services, Inc.		2,521,019			(1,694,163	)		826,856			(190,000	)		636,856

	$	6,217,570		$	(4,504,485	)	$	1,713,085		$	(535,348	)	$	1,177,737


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	(2,392,766	)	$	2,392,766		$	—		$	—		$	—
Barclays Bank PLC		(269,475	)		—			(269,475	)		269,475			—
Deutsche Bank AG		(647,768	)		6,327			(641,441	)		420,000			(221,441	)
Goldman Sachs & Co.		(720,268	)		388,099			(332,169	)		—			(332,169	)
JPMorgan Chase Bank, N.A.		(156,960	)		23,130			(133,830	)		—			(133,830	)
Morgan Stanley Capital Services, Inc.		(1,694,163	)		1,694,163			—			—			—
UBS AG		(60,606	)		—			(60,606	)		—			(60,606	)

	$	(5,942,006	)	$	4,504,485		$	(1,437,521	)	$	689,475		$	(748,046	)

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts

121 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2017:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Strategic Alpha Fund	$	25,048,748	$	19,319,440

These amounts include cash received as collateral of $750,000 and are recorded on the Statements of Assets and Liabilities.

| 122

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

5. Purchases and Sales of Securities. For the six months ended June 30, 2017, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:


	U.S. Government/ Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Multi-Asset Income Fund	$	6,527,591	$	—	$	110,729,716	$	114,224,785
Strategic Alpha Fund		—		—		548,273,768		418,394,832
Intermediate Municipal Bond Fund		—		—		8,892,258		31,749,604
U.S. Equity Opportunities Fund		—		—		127,808,513		27,823,974

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. NGAM Advisors, L.P. (“NGAM Advisors”) serves as investment adviser to each Fund, except Strategic Alpha 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 $1 billion			Over $1 billion
Multi-Asset Income Fund		0.55	%		0.50	%
Intermediate Municipal Bond Fund		0.40	%		0.40	%
U.S. Equity Opportunities Fund		0.80	%		0.80	%

Effective July 1, 2017, the U.S. Equity Opportunities Fund pays a management fee at the annual rate of 0.75% of the Fund’s average daily net assets, calculated daily and payable monthly.

NGAM Advisors has entered into subadvisory agreements for each Fund as listed below.


Multi-Asset Income Fund		Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
Intermediate Municipal Bond Fund		McDonnell Investment Management, LLC (“McDonnell”)
U.S. Equity Opportunities Fund		Harris Associates L.P. (“Harris”)
		Loomis Sayles

123 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser(s) a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:


		Percentage of Average Daily Net Assets
Fund	Subadviser	First $1 billion			Over $1 billion
Multi-Asset Income Fund	Loomis Sayles		0.325	%		0.30	%
Intermediate Municipal Bond Fund	McDonnell		0.20	%		0.20	%
U.S. Equity Opportunities Fund
Large Cap Growth Segment	Harris		0.52	%		0.52	%
All Cap Growth Segment	Loomis Sayles		0.35	%		0.35	%

Payments to NGAM Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, McDonnell, Loomis Sayles and Harris 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.

Loomis Sayles is the investment adviser to Strategic Alpha Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

Effective July 1, 2017, Strategic Alpha Fund pays a management fee at the annual rate of 0.60% of the first $1.25 billion and 0.55% in excess of $1.25 billion of the Fund’s average daily net assets, calculated daily and payable monthly.

NGAM Advisors and Loomis Sayles have given binding undertakings to the 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, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2018 for Multi-Asset Income Fund and Intermediate Municipal Bond Fund, may be terminated before then only with the consent of the Funds’ Board of Trustees, 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.

| 124

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, 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 N			Class Y
Multi-Asset Income Fund		0.95	%		1.70	%		0.65	%		0.70	%
Strategic Alpha Fund		1.30	%		2.05	%		1.00	%		1.05	%
Intermediate Municipal Bond Fund		0.70	%		1.45	%		—			0.45	%
U.S. Equity Opportunities Fund		1.25	%		2.00	%		0.95	%		1.00	%

Effective July 1, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Strategic Alpha Fund and U.S. Equity Opportunities Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Strategic Alpha Fund		1.00	%		1.75	%		0.70	%		0.75	%
U.S. Equity Opportunities Fund		1.20	%		1.95	%		0.90	%		0.95	%

These undertakings are in effect until April 30, 2019, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be evaluated on an annual basis.

NGAM Advisors 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 annual operating 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, 2017, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
Multi-Asset Income Fund	$	352,538	$	106,487	$	246,051		0.55	%		0.38	%
Strategic Alpha Fund		4,232,226		—		4,232,226		0.70	%		0.70	%

125 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
Intermediate Municipal Bond Fund	$	104,155	$	81,296	$	22,859		0.40	%		0.09	%
U.S. Equity Opportunities Fund		3,171,535		—		3,171,535		0.80	%		0.80	%

¹	Management fee waiver is subject to possible recovery until December 31, 2018, though actual recovery is unlikely.

For the six months ended June 30, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Class A		Class C		Class Y		Total
Multi-Asset Income Fund	$	5,735	$	3,961	$	2,333	$	12,028

²	Contractual expense reimbursements are subject to possible recovery until December 31, 2018, except as noted in Note 6g.

No expenses were recovered during the six months ended June 30, 2017 under the terms of the expense limitation agreement.

Under the Class A Plans, each Fund pays NGAM Distribution 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 NGAM Distribution 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 NGAM Distribution 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 NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

| 126

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Also under the Class C Plans, each Fund pays NGAM Distribution 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 NGAM Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2017, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Multi-Asset Income Fund	$	75,395	$	55,216	$	165,649
Strategic Alpha Fund		85,112		52,185		156,556
Intermediate Municipal Bond Fund		6,414		4,203		12,609
U.S. Equity Opportunities Fund		651,228		104,906		314,718

For the six months ended June 30, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Multi-Asset Income Fund	$	28,658
Strategic Alpha Fund		270,288
Intermediate Municipal Bond Fund		11,645
U.S. Equity Opportunities Fund		177,226

127 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Multi-Asset Income Fund	$	36,637
Strategic Alpha Fund		368,167
Intermediate Municipal Bond Fund		5,353
U.S. Equity Opportunities Fund		170,846


Fund	Reimbursements of Sub-Transfer Agent Fees
Multi-Asset Income Fund	$	910
Strategic Alpha Fund		8,855
Intermediate Municipal Bond Fund		121
U.S. Equity Opportunities Fund		4,384

Sub-transfer agent fees attributable to Class A, Class C and Class Y 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 those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2017 were as follows:


Fund	Commissions
Multi-Asset Income Fund	$	6,657
Strategic Alpha Fund		664
Intermediate Municipal Bond Fund		1,334
U.S. Equity Opportunities Fund		45,931

| 128

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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.

g. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors had given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2017, NGAM Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
Multi-Asset Income Fund	$	74
Strategic Alpha Fund		24
U.S. Equity Opportunities		24

129 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

h. Affiliated Ownership. As of June 30, 2017, both the Loomis Sayles Employees’ Profit Sharing Retirement Plan and Natixis US held shares of Strategic Alpha Fund representing less than 0.01% of the Fund’s net assets. Natixis US also held shares of U.S. Equity Opportunities Fund representing less than 0.01% of the Fund’s net assets.

i. Payment by Affiliates. For the six months ended June 30, 2017, Loomis Sayles reimbursed Multi-Asset Income Fund $677 and Strategic Alpha Fund $12,690 for losses incurred in connection with trading errors.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2017, Multi-Asset Income Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Multi-Asset Income Fund	$	21,214	$	15,575	$	74	$	8,267

For the period from May 1, 2017 through June 30, 2017, Strategic Alpha Fund and U.S. Equity Opportunities Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Strategic Alpha Fund	$	7,118	$	4,140	$	24	$	118,957
U.S. Equity Opportunities		87,575		14,501		24		34,557

Transfer agent fees and expenses attributable to Class A, Class C, and Class Y 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 those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

Intermediate Municipal Bond Fund allocates transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

| 130

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the six months ended June 30, 2017, none of the Funds had borrowings under these agreements.

9. Brokerage Commission Recapture. Certain Funds 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, 2017, amounts rebated under these agreements were as follows:


Fund	Rebates
Multi-Asset Income Fund	$	1,620
U.S. Equity Opportunities Fund		1,580

10. 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.

Strategic Alpha Fund is non-diversified, which means it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


	Number of 5% Account Holders		Percentage of Ownership
Strategic Alpha Fund		3		36.39	%

131 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Multi-Asset Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,126,114		$	15,396,880		964,767		$	12,838,875
Issued in connection with the reinvestment of distributions	57,465			785,937		229,840			3,055,639
Redeemed	(854,010	)		(11,665,383	)	(1,787,134	)		(23,410,657	)

Net change	329,569		$	4,517,434		(592,527	)	$	(7,516,143	)

Class C
Issued from the sale of shares	191,773		$	2,608,674		507,201		$	6,771,235
Issued in connection with the reinvestment of distributions	27,262			371,340		125,023			1,656,083
Redeemed	(937,994	)		(12,789,005	)	(849,899	)		(11,247,092	)

Net change	(718,959	)	$	(9,808,991	)	(217,675	)	$	(2,819,774	)

Class N
Issued from the sale of shares	2,279		$	30,679		—		$	—
Issued in connection with the reinvestment of distributions	38			523		6			75

Net change	2,317		$	31,202		6		$	75

Class Y
Issued from the sale of shares	830,834		$	11,300,805		1,218,325		$	16,358,206
Issued in connection with the reinvestment of distributions	31,443			428,003		88,064			1,165,946
Redeemed	(224,482	)		(3,040,332	)	(661,295	)		(8,670,628	)

Net change	637,795		$	8,688,476		645,094		$	8,853,524

Increase (decrease) from capital share transactions	250,722		$	3,428,121		(165,102	)	$	(1,482,318	)

| 132

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	929,120		$	9,205,368		2,073,679		$	19,966,508
Issued in connection with the reinvestment of distributions	67,159			661,672		102,020			979,713
Redeemed	(1,157,640	)		(11,476,260	)	(7,583,445	)		(71,672,383	)

Net change	(161,361	)	$	(1,609,220	)	(5,407,746	)	$	(50,726,162	)

Class C
Issued from the sale of shares	153,574		$	1,513,510		285,547		$	2,782,194
Issued in connection with the reinvestment of distributions	28,534			279,995		45,145			430,682
Redeemed	(1,029,153	)		(10,138,523	)	(2,312,367	)		(22,078,378	)

Net change	(847,045	)	$	(8,345,018	)	(1,981,675	)	$	(18,865,502	)

Class N(a)
Issued from the sale of shares	101		$	1,000		—		$	—
Issued in connection with the reinvestment of distributions	1			7		—			—

Net change	102		$	1,007		—		$	—

Class Y
Issued from the sale of shares	18,463,463		$	182,687,206		28,064,358		$	270,266,593
Issued in connection with the reinvestment of distributions	1,277,073			12,555,097		1,876,898			18,017,506
Redeemed	(14,131,753	)		(139,768,117	)	(45,303,829	)		(432,597,106	)

Net change	5,608,783		$	55,474,186		(15,362,573	)	$	(144,313,007	)

Increase (decrease) from capital share transactions	4,600,479		$	45,520,955		(22,751,994	)	$	(213,904,671	)

(a)	From commencement of Class operations on May 1, 2017 through June 30, 2017.


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	60,036		$	607,722		909,992		$	9,258,255
Issued in connection with the reinvestment of distributions	4,040			40,594		9,036			92,223
Redeemed	(130,546	)		(1,311,364	)	(1,002,724	)		(10,157,813	)

Net change	(66,470	)	$	(663,048	)	(83,696	)	$	(807,335	)

Class C
Issued from the sale of shares	5,946		$	59,048		254,574		$	2,604,454
Issued in connection with the reinvestment of distributions	569			5,712		877			8,930
Redeemed	(139,266	)		(1,397,184	)	(479,533	)		(4,860,648	)

Net change	(132,751	)	$	(1,332,424	)	(224,082	)	$	(2,247,264	)

Class Y
Issued from the sale of shares	1,185,082		$	11,850,490		4,274,591		$	43,902,428
Issued in connection with the reinvestment of distributions	8,722			87,719		14,948			152,317
Redeemed	(2,944,171	)		(29,631,536	)	(5,930,187	)		(59,953,235	)

Net change	(1,750,367	)	$	(17,693,327	)	(1,640,648	)	$	(15,898,490	)

Increase (decrease) from capital share transactions	(1,949,588	)	$	(19,688,799	)	(1,948,426	)	$	(18,953,089	)

133 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
U.S. Equity Opportunities	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,176,304		$	69,534,208		2,226,069		$	61,833,280
Issued in connection with the reinvestment of distributions	53,275			1,701,485		292,665			8,405,917
Redeemed	(1,569,238	)		(51,120,731	)	(2,200,041	)		(61,873,204	)

Net change	660,341		$	20,114,962		318,693		$	8,365,993

Class B(a)
Redeemed	—		$	—		(8,466	)	$	(156,331	)

Net change	—		$	—		(8,466	)	$	(156,331	)

Class C
Issued from the sale of shares	963,211		$	21,979,869		737,164		$	15,374,320
Issued in connection with the reinvestment of distributions	15,090			341,897		61,245			1,243,880
Redeemed	(455,652	)		(10,484,516	)	(534,495	)		(10,851,615	)

Net change	522,649		$	11,837,250		263,914		$	5,766,585

Class N(b)
Issued from the sale of shares	27		$	1,000		—		$	—

Net change	27		$	1,000		—		$	—

Class Y
Issued from the sale of shares	2,802,712		$	104,354,227		2,820,038		$	95,090,135
Issued in connection with the reinvestment of distributions	12,557			461,212		48,742			1,650,830
Redeemed	(868,058	)		(32,384,956	)	(983,768	)		(31,028,910	)

Net change	1,947,211		$	72,430,483		1,885,012		$	65,712,055

Increase (decrease) from capital share transactions	3,130,228		$	104,383,695		2,459,153		$	79,688,302

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

(b)	From commencement of Class operations on May 1, 2017 through June 30, 2017.

| 134

SEMIANNUAL REPORT

June 30, 2017

LOGO

ASG Dynamic Allocation Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 18

Financial Statements page 39

Notes to Financial Statements page 62

Shareholder Supplement enclosed

ASG DYNAMIC ALLOCATION FUND


Managers	Symbols
Alexander D. Healy, PhD	Class A	DAAFX
Robert S. Rickard	Class C	DACFX
Derek M. Schug, CFA^®	Class Y	DAYFX
AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund seeks long-term capital appreciation. The secondary goal of the Fund is the protection of capital during unfavorable market conditions.

1 |

Average Annual Total Returns — June 30, 2017⁴



										Expense Ratios⁵
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 11/30/15)
NAV		9.60	%		12.64	%		6.81	%		1.60	%		0.97	%

Class A (Inception 11/30/15)
NAV		9.40			12.38			6.57			1.86			1.23
With 5.75% Maximum Sales Charge		3.16			5.92			2.66

Class C (Inception 11/30/15)
NAV		8.96			11.41			5.73			2.57			1.97
With CDSC¹		7.96			10.41			5.73

Comparative Performance
Morningstar^® Global Allocation Index^SM²		8.62			11.16			9.22
Blended Index³		7.24			10.47			7.44

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total 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 ngam.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(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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	The Morningstar^® Global Allocation Index^SM represents a diverse multi-asset-class portfolio of liquid global asset classes that reflects the global investment opportunities available to an investor with a moderate risk tolerance.

The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI World Index (Net)/40% Bloomberg Barclays U.S. Aggregate Bond Index. 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 rebalancing 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	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 04/30/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 2

ASG GLOBAL ALTERNATIVES FUND


Managers	Symbols
Andrew W. Lo, PhD	Class A	GAFAX
Alexander D. Healy, PhD	Class C	GAFCX
David E. Kuenzi, CFA^®	Class N	GAFNX
Peter A. Lee	Class Y	GAFYX
Philippe P. Lüdi, CFA^®, PhD
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

3 |

Average Annual Total Returns — June 30, 2017³



															Expense Ratios⁴
	6 Months			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 9/30/08)											Class A/C/Y		Class N
NAV		3.04	%		9.38	%		4.33	%		3.31	%	—	%		1.32	%		1.32	%

Class A (Inception 9/30/08)
NAV		2.89			9.10			4.08			3.05		—			1.57			1.57
With 5.75% Maximum Sales Charge		-3.01			2.79			2.85			2.36		—

Class C (Inception 9/30/08)
NAV		2.55			8.31			3.30			2.29		—			2.32			2.32
With CDSC¹		1.55			7.31			3.30			2.29		—

Class N (Inception 5/1/13)
NAV		3.04			9.49			—			—		1.89			1.24			1.24

Comparative Performance
Barclay Fund of Funds Index²		3.01			5.91			3.50			1.74		2.32

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total 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 ngam.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(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by BarclayHedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 04/30/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 4

ASG MANAGED FUTURES STRATEGY FUND


Managers	Symbols
Andrew W. Lo, PhD	Class A	AMFAX
Alexander D. Healy, PhD	Class C	ASFCX
Philippe P. Lüdi, CFA^®, PhD	Class N	AMFNX
Robert W. Sinnott	Class Y	ASFYX
John C. Perry, PhD
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

5 |

Average Annual Total Returns — June 30, 2017⁴



															Expense Ratios⁵
	6 Months			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 7/30/10)											Class A/C/Y		Class N
NAV		-2.54	%		-12.66	%		4.32	%		3.56	%	—	%		1.50	%		1.49	%

Class A (Inception 7/30/10)
NAV		-2.66			-12.82			4.08			3.33		—			1.75			1.74
With 5.75% Maximum Sales Charge		-8.29			-17.86			2.84			2.45		—

Class C (Inception 7/30/10)
NAV		-2.97			-13.53			3.29			2.54		—			2.50			2.49
With CDSC¹		-3.94			-14.39			3.29			2.54		—

Class N (Inception 5/01/17)
NAV		—			—			—			—		-2.34			1.39			1.39

Comparative Performance
Credit Suisse Managed Futures Liquid Index²		-7.07			-8.87			3.91			—		-1.73
SG Trend Index³		-5.80			-13.23			1.14			1.57		-3.69

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total 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 ngam.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(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index. You may not invest directly in an index.

SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group LLC is part of this Index. You may not invest directly in an index.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 04/30/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 6

ASG TACTICAL U.S. MARKET FUND


Managers	Symbols
Alexander D. Healy, PhD	Class A	USMAX
Robert S. Rickard	Class C	USMCX
AlphaSimplex Group, LLC (Adviser)	Class Y	USMYX
Kevin H. Maeda
Serena V. Stone, CFA^®
Active Index Advisors, a division of NGAM Advisors, L.P. (Subadviser)

Investment Goal

The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions.

7 |

Average Annual Total Returns — June 30, 2017⁴



										Expense Ratios⁵
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 9/30/13)
NAV		10.13	%		14.29	%		10.49	%		1.15	%		1.00	%

Class A (Inception 9/30/13)
NAV		9.99			13.99			10.20			1.40			1.25
With 5.75% Maximum Sales Charge		3.68			7.43			8.47

Class C (Inception 9/30/13)
NAV		9.60			13.11			9.39			2.15			2.00
With CDSC¹		8.60			12.11			9.39

Comparative Performance
S&P 500^® Index²		9.34			17.90			12.58
Barclay Equity Long/Short Index³		3.41			7.42			4.10

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total 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 ngam.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(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

Barclay Equity Long/Short Index is comprised of roughly 400 equity-oriented hedge funds which hold both long and short stock positions and tend to tactically vary their net market exposure, i.e., market beta, based on their assessment of market risk and expected return. Index returns are recalculated by BarclayHedge Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Equity Long/Short Index returns reported by the fund may differ from the index returns for the same period published by others.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 04/30/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 8

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at ngam.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 most recent 12-month period ended June 30 is available on Natixis 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.

9 |

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 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, 2017 through June 30, 2017. 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 Fund to 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.

| 10


ASG DYNAMIC ALLOCATION FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,094.00		$6.13
Hypothetical (5% return before expenses)		$1,000.00		$1,018.94		$5.91
Class C
Actual		$1,000.00		$1,089.60		$10.00
Hypothetical (5% return before expenses)		$1,000.00		$1,015.22		$9.64
Class Y
Actual		$1,000.00		$1,096.00		$4.78
Hypothetical (5% return before expenses)		$1,000.00		$1,020.23		$4.61

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.18%, 1.93% and 0.92% 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 (181), divided by 365 (to reflect the half-year period).


ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,028.90		$8.00
Hypothetical (5% return before expenses)		$1,000.00		$1,016.91		$7.95
Class C
Actual		$1,000.00		$1,025.50		$11.75
Hypothetical (5% return before expenses)		$1,000.00		$1,013.19		$11.68
Class N
Actual		$1,000.00		$1,030.40		$6.39
Hypothetical (5% return before expenses)		$1,000.00		$1,018.50		$6.36
Class Y
Actual		$1,000.00		$1,030.40		$6.75
Hypothetical (5% return before expenses)		$1,000.00		$1,018.15		$6.71

Hypothetical expenses are equal to the Fund’s annualized expense ratio: 1.59%, 2.34%, 1.27% and 1.34% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

11 |


ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$973.40		$8.56	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75	*
Class C
Actual		$1,000.00		$970.30		$12.26	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,012.35		$12.52	*
Class N
Actual		$1,000.00		$976.60		$2.36	²
Hypothetical (5% return before expenses)		$1,000.00		$1,017.60		$7.25	*
Class Y
Actual		$1,000.00		$974.60		$7.39	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,017.31		$7.55	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.75%, 2.51%, 1.45% and 1.51% for Class A, C, N 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 (181), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio: 1.75%, 2.51% and 1.51%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 1.45%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).


ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 1/1/2017		ENDING ACCOUNT VALUE 6/30/2017		EXPENSES PAID DURING PERIOD* 1/1/2017 – 6/30/2017
Class A
Actual		$1,000.00		$1,099.90		$6.51
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.26
Class C
Actual		$1,000.00		$1,096.00		$10.39
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$9.99
Class Y
Actual		$1,000.00		$1,101.30		$5.21
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00% and 1.00% 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 (181), divided by 365 (to reflect the half-year period).

| 12

BOARD APPROVAL OF THE EXISTING

ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to ASG Tactical U.S. Market Fund, sub-advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review 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 Contract Review 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, as applicable (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, if any, and to those of peer groups of funds and information about any applicable expense caps and/or 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 by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the 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, (v) 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, (vi) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (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.

13 |

performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, 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 similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, 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 Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.

| 14


	One-Year			Three-Year
ASG Dynamic Allocation Fund		91	%		N/A
ASG Global Alternatives Fund		97	%		87%
ASG Managed Futures Strategy Fund		69	%		24%
ASG Tactical U.S. Market Fund		42	%		16%

In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median 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 Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund was relatively new and therefore had a limited operating history on which to judge its performance record; and (3) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category. The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, 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.

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 applicable, 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 and the reasons for any such differences. 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 mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years,

15 |

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 the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Advisers for certain Funds which had current expenses above the cap. The Trustees also considered that the ASG Global Alternatives Fund is below the cap. The Trustees further noted that management had proposed to reduce the expense caps of the ASG Global Alternatives Fund and the ASG Tactical U.S. Market 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 compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to the Funds.

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 also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the ASG Global Alternatives Fund and the ASG Managed Futures Strategy Fund has breakpoints in its advisory fee and that all of the Funds were subject to an expense cap or waiver. The Trustees considered management’s proposal to reduce the expense caps for ASG Global Alternatives Fund and ASG Tactical U.S. Market Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

| 16

The Trustees also considered other factors, which included but were not limited to the following:

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

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 benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions and the benefits to NGAM Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the 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, with the reduction in expense caps for ASG Global Alternatives Fund and ASG Tactical U.S. Market Fund described above, should be continued through June 30, 2018.

17 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Dynamic Allocation Fund


Shares		Description	Value (†)
	Exchange-Traded Funds — 50.6%
	18,330	iShares^® Core U.S. Aggregate Bond ETF	$	2,007,318
	10,114	iShares^® Edge MSCI Min Vol Emerging Markets ETF		560,316
	11,186	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,279,231
	45,247	SPDR^® Bloomberg Barclays International Treasury Bond ETF(b)		1,250,175
	7,854	Vanguard FTSE All World ex-U.S. Small-Cap ETF		849,174
	20,419	Vanguard FTSE Developed Markets ETF		843,713
	13,494	Vanguard FTSE Emerging Markets ETF		550,960
	15,645	Vanguard FTSE Europe ETF		862,665
	12,676	Vanguard FTSE Pacific ETF		834,081
	22,913	Vanguard Intermediate-Term Corporate Bond ETF		2,005,575
	11,247	Vanguard Mid-Cap ETF		1,602,922
	21,882	Vanguard Total International Bond ETF		1,189,505
	12,842	Vanguard Total Stock Market ETF		1,598,187
	16,160	Vanguard Value ETF		1,560,410

		Total Exchange-Traded Funds (Identified Cost $16,032,879)		16,994,232

Principal Amount
	Short-Term Investments — 49.7%
		Certificates of Deposit — 37.7%
$	500,000	Swedbank (NY), 1.120%, 7/03/2017		499,999
	500,000	Banco Del Estado de Chile, 1.556%, 7/05/2017(c)		500,028
	850,000	Bank of Tokyo-Mitsubishi UJF (NY), 1.180%, 7/06/2017		849,999
	800,000	Sumitomo Mitsui Bank (NY), 1.686%, 7/06/2017(c)		800,063
	700,000	Mizuho Bank Ltd. (NY), 1.696%, 7/06/2017(c)		700,062
	500,000	Rabobank Nederland NV, 1.487%, 7/10/2017(c)		500,045
	850,000	Credit Agricole Corporate & Investment Bank (NY), 1.150%, 7/13/2017		849,986
	700,000	National Australia Bank, 1.080%, 8/08/2017(d)		699,933
	700,000	Toronto Dominion Bank (NY), 1.685%, 8/10/2017(c)(d)		700,379
	500,000	Credit Industriel et Commercial (NY), 1.250%, 9/21/2017		500,025
	900,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.277%, 10/10/2017(c)		900,222
	500,000	Norinchukin Bank (NY), 1.387%, 10/10/2017(c)		500,262
	500,000	Svenska Handelsbanken (NY), 1.176%, 12/06/2017(c)		500,008
	500,000	Bank of Nova Scotia (TX), 1.330%, 12/15/2017		499,943
	500,000	Westpac Banking Corp. (NY), 1.637%, 1/10/2018(c)(d)		501,128
	750,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.704%, 1/29/2018(c)		751,361
	500,000	Commonwealth Bank of Australia (NY), 1.606%, 2/23/2018(c)(d)		500,954
	500,000	Westpac Banking Corp. (NY), 1.409%, 3/08/2018(c)(d)		500,605
	900,000	Bank of Montreal (IL), 1.369%, 5/08/2018(c)(d)		900,827
	500,000	Royal Bank of Canada (NY), 1.297%, 6/12/2018(c)		499,915

				12,655,744

		Time Deposits — 5.9%
	1,000,000	Canadian Imperial Bank of Commerce, 1.050%, 7/03/2017		1,000,000
	1,000,000	National Bank of Kuwait, 1.080%, 7/03/2017(c)		1,000,000

				2,000,000

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Dynamic Allocation Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — 4.3%
$	400,000	U.S. Treasury Bills, 0.777%-0.860%, 8/03/2017(e)(f)(g)	$	399,706
	500,000	U.S. Treasury Bills, 0.785%, 7/06/2017(e)(f)		499,969
	550,000	U.S. Treasury Bills, 0.980%, 9/07/2017(e)(f)		549,042

				1,448,717

		Commercial Paper — 1.8%
	600,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.),1.251%, 7/18/2017(e)		599,638

		Total Short-Term Investments (Identified Cost $16,698,749)		16,704,099


		Total Investments — 100.3% (Identified Cost $32,731,628)(a)		33,698,331
		Other assets less liabilities — (0.3)%		(95,607	)

		Net Assets — 100.0%	$	33,602,724


	(†)	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, 2017, the net unrealized appreciation on investments based on a cost of $32,731,628 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	$	986,275
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(19,572	)

		Net unrealized appreciation	$	966,703


	(b)	Non-income producing security.
	(c)	Variable rate security. Rate as of June 30, 2017 is disclosed.
	(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(g)	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.

	ETF	Exchange-Traded Fund
	SPDR	Standard & Poor’s Depositary Receipt

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Dynamic Allocation Fund – (continued)

At June 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200^TM		9/21/2017		17	$	1,844,262	$	(15,673	)
CAC 40^®		7/21/2017		33		1,930,013		(51,394	)
E-mini Dow		9/15/2017		35		3,727,500		25,470
E-mini NASDAQ 100		9/15/2017		33		3,730,815		(149,344	)
E-mini S&P 500^®		9/15/2017		31		3,752,395		(12,170	)
EURO STOXX 50^®		9/15/2017		48		1,883,999		(63,047	)
FTSE 100 Index		9/15/2017		20		1,890,200		(54,715	)
FTSE/JSE Top 40 Index		9/21/2017		17		595,493		873
German Euro Bund		9/07/2017		8		1,479,038		(25,538	)
Hang Seng Index^®		7/28/2017		3		491,562		(833	)
Mini-Russell 2000		9/15/2017		53		3,747,895		6,875
MSCI Singapore		7/28/2017		23		598,555		3,195
MSCI Taiwan Index		7/28/2017		15		577,257		207
S&P CNX Nifty Futures Index		7/27/2017		31		589,885		(6,767	)
TOPIX		9/07/2017		13		1,869,900		22,965
UK Long Gilt		9/27/2017		9		1,471,937		(26,909	)
5 Year U.S. Treasury Note		9/29/2017		10		1,178,359		(4,844	)
10 Year Australia Government Bond		9/15/2017		14		1,390,887		(20,599	)
10 Year U.S. Treasury Note		9/20/2017		10		1,255,313		(8,500	)
30 Year U.S. Treasury Bond		9/20/2017		8		1,229,500		(8,375	)

Total							$	(389,123	)

Investment Summary at June 30, 2017 (Unaudited)


Exchange-Traded Funds	50.6	%
Certificates of Deposit	37.7
Time Deposits	5.9
Treasuries	4.3
Other Investments, less than 2% each	1.8

Total Investments	100.3
Other assets less liabilities (including futures contracts)	(0.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 96.3% of Net Assets
		Certificates of Deposit — 78.1%
$	50,000,000	Swedbank (NY), 1.120%, 7/03/2017	$	49,999,870
	50,000,000	Banco Del Estado de Chile, 1.556%, 7/05/2017(b)		50,002,750
	60,000,000	Bank of Tokyo-Mitsubishi UJF (NY), 1.180%, 7/06/2017		59,999,957
	35,000,000	Sumitomo Mitsui Bank (NY), 1.686%, 7/06/2017(b)		35,002,765
	8,500,000	Norinchukin Bank (NY), 1.110%, 7/07/2017		8,499,888
	51,700,000	Landesbank Hessen (NY), 1.040%, 7/10/2017		51,697,711
	50,000,000	Rabobank Nederland NV, 1.487%, 7/10/2017(b)		50,004,500
	50,000,000	Skandinaviska Enskilda Banken AB (NY), 1.070%, 7/11/2017		49,998,598
	60,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.150%, 7/13/2017		59,999,041
	41,000,000	Societe Generale (NY), 1.240%, 7/31/2017		41,001,759
	50,000,000	Sumitomo Mitsui Trust Bank (NY), 1.284%, 8/07/2017(b)		50,007,700
	50,000,000	National Australia Bank, 1.080%, 8/08/2017(c)		49,995,242
	15,000,000	Toronto Dominion Bank (NY), 1.685%, 8/10/2017(b)(c)		15,008,130
	45,000,000	Mizuho Bank Ltd. (NY), 1.659%, 8/17/2017(b)		45,027,180
	25,000,000	Sumitomo Mitsui Bank (NY), 1.250%, 9/21/2017		24,998,650
	50,000,000	Credit Industriel et Commercial (NY), 1.250%, 9/21/2017		50,002,475
	12,500,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.300%, 10/02/2017		12,501,155
	38,500,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.277%, 10/10/2017(b)		38,509,509
	25,000,000	Svenska Handelsbanken (NY), 1.176%, 11/06/2017(b)		25,002,175
	50,000,000	DZ Bank (NY), 1.320%, 11/20/2017		49,990,024
	25,000,000	Svenska Handelsbanken (NY), 1.176%, 12/06/2017(b)		25,000,400
	50,000,000	Bank of Nova Scotia (TX), 1.330%, 12/15/2017		49,994,261
	25,000,000	Westpac Banking Corp. (NY), 1.637%, 1/10/2018(b)(c)		25,056,400
	12,750,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.704%, 1/29/2018(b)		12,773,129
	40,000,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.309%, 2/02/2018(b)(c)		40,009,840
	35,000,000	Commonwealth Bank of Australia (NY), 1.606%, 2/23/2018(b)(c)		35,066,780
	24,500,000	Westpac Banking Corp. (NY), 1.409%, 3/08/2018(b)(c)		24,529,645
	25,000,000	Toronto Dominion Bank (NY), 1.467%, 3/13/2018(b)(c)		25,029,600
	50,000,000	Bank of Montreal (IL), 1.369%, 5/08/2018(b)(c)		50,045,950
	25,000,000	Royal Bank of Canada (NY), 1.297%, 6/12/2018(b)		24,995,725

				1,129,750,809

		Time Deposits — 7.9%
	50,000,000	Canadian Imperial Bank of Commerce, 1.050%, 7/03/2017		50,000,000
	65,050,000	National Bank of Kuwait, 1.080%, 7/03/2017(b)		65,050,000

				115,050,000

		Treasuries — 3.7%
	7,200,000	U.S. Treasury Bills, 0.723%-0.785%, 7/06/2017(d)(e)(f)		7,199,546
	23,750,000	U.S. Treasury Bills, 0.778%-0.860%, 8/03/2017(d)(e)(f)		23,732,568
	21,500,000	U.S. Treasury Bills, 0.825%-0.980%, 9/07/2017(d)(e)(f)		21,462,547
	575,000	U.S. Treasury Bills, 1.013%, 10/05/2017(e)(f)		573,476

				52,968,137

		Other Notes — 3.4%
	50,000,000	Bank of America N.A., 1.136%, 10/17/2017(b)		49,998,600

See accompanying notes to financial statements.

21 |

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
		Commercial Paper — 3.2%
$	46,300,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.251%, 7/18/2017(f)	$	46,272,035

		Total Short-Term Investments (Identified Cost $1,393,754,267)		1,394,039,581


Shares
	Exchange-Traded Funds — 3.4%
	556,035	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $47,649,850)		49,147,934

		Total Investments — 99.7% (Identified Cost $1,441,404,117)(a)		1,443,187,515
		Other assets less liabilities — 0.3%		3,627,332

		Net Assets — 100.0%	$	1,446,814,847


	(†)	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, 2017, the net unrealized appreciation on investments based on a cost of $1,441,404,117 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	$	1,819,286
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(35,888	)

		Net unrealized appreciation	$	1,783,398


	(b)	Variable rate security. Rate as of June 30, 2017 is disclosed.
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(d)	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.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		9/20/2017	Swedish Krona		90,000,000	$	10,729,262	$	(255,543	)
Buy¹		9/20/2017	Swiss Franc		18,750,000		19,649,454		129,184

Total								$	(126,359	)

¹ Counterparty is UBS AG

See accompanying notes to financial statements.

| 22

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Australian Dollar		9/18/2017		606	$	46,510,500	$	357,540
British Pound		9/18/2017		155		12,637,344		202,469
DAX		9/15/2017		263		92,722,982		(3,047,381	)
E-mini MSCI Emerging Markets Index		9/15/2017		190		9,578,850		(23,750	)
E-mini S&P 500^®		9/15/2017		2,667		322,827,015		(1,014,443	)
FTSE 100 Index		9/15/2017		1,260		119,082,613		(3,375,722	)
German Euro Bund		9/07/2017		604		111,667,379		(1,901,565	)
Hang Seng Index^®		7/28/2017		236		38,669,519		(65,599	)
Mini-Russell 2000		9/15/2017		696		49,217,640		84,895
TOPIX		9/07/2017		510		73,357,627		901,126
10 Year U.S. Treasury Note		9/20/2017		622		78,080,437		(686,859	)

Total							$	(8,569,289	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/20/2017		142	$	6,814,225	$	(21,300	)
Brent Crude Oil		7/31/2017		80		3,901,600		118,400
Copper LME		9/20/2017		339		50,343,619		2,037,146
Gold		8/29/2017		383		47,580,090		(577,320	)
Low Sulfur Gasoil		8/10/2017		99		4,316,400		74,250
Natural Gas		7/27/2017		114		3,459,900		(32,780	)
New York Harbor ULSD		7/31/2017		70		4,360,314		138,810
Nickel LME		9/20/2017		83		4,674,975		37,350
Zinc LME		9/20/2017		77		5,313,000		414,838

Total							$	2,189,394

At June 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Canadian Dollar		9/19/2017		146	$	11,277,040	$	(175,295	)
Euro		9/18/2017		156		22,360,650		(114,563	)
Eurodollar		12/18/2017		3,498		861,601,125		386,487
Japanese Yen		9/18/2017		91		10,135,125		21,769
2 Year U.S. Treasury Note		9/29/2017		1,008		217,838,251		276,641

Total							$	395,039

See accompanying notes to financial statements.

23 |

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Global Alternatives Fund – (continued)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Copper LME		9/20/2017		103	$	15,296,144	$	(671,609	)
WTI Crude Oil		7/20/2017		475		21,869,000		(172,340	)

Total							$	(843,949	)

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, 2017 (Unaudited)


Certificates of Deposit	78.1	%
Time Deposits	7.9
Treasuries	3.7
Other Notes	3.4
Exchange-Traded Funds	3.4
Commercial Paper	3.2

Total Investments	99.7
Other assets less liabilities (including forward foreign currency and futures contracts)	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 24

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 95.3% of Net Assets
		Certificates of Deposit — 71.4%
$	75,000,000	Swedbank (NY), 1.120%, 7/03/2017	$	74,999,806
	130,000,000	Banco Del Estado de Chile, 1.556%, 7/05/2017(b)		130,007,150
	30,000,000	Bank of Tokyo-Mitsubishi UJF (NY), 1.180%, 7/06/2017		29,999,978
	125,000,000	Sumitomo Mitsui Bank (NY), 1.686%, 7/06/2017(b)		125,009,875
	90,000,000	Mizuho Bank Ltd. (NY), 1.696%, 7/06/2017(b)		90,008,010
	100,000,000	Landesbank Hessen (NY), 1.040%, 7/10/2017		99,995,573
	50,000,000	Rabobank Nederland NV, 1.487%, 7/10/2017(b)		50,004,500
	36,500,000	DG Bank (NY), 1.040%, 7/11/2017		36,498,107
	75,000,000	Skandinaviska Enskilda Banken AB (NY), 1.070%, 7/11/2017		74,997,897
	100,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.150%, 7/13/2017		99,998,401
	50,000,000	DNB Bank ASA, 1.060%, 7/27/2017		49,996,248
	32,000,000	Societe Generale (NY), 1.240%, 7/31/2017		32,001,373
	50,000,000	Sumitomo Mitsui Trust Bank (NY), 1.284%, 8/07/2017(b)		50,007,700
	75,000,000	National Australia Bank, 1.080%, 8/08/2017		74,992,863
	50,000,000	Toronto Dominion Bank (NY), 1.685%, 8/10/2017(b)(c)		50,027,100
	65,000,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.517%, 8/11/2017(b)		65,029,640
	45,000,000	Mizuho Bank Ltd. (NY), 1.659%, 8/17/2017(b)		45,027,180
	100,000,000	Credit Industriel et Commercial (NY), 1.250%, 9/21/2017		100,004,950
	14,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.280%, 9/25/2017		14,000,821
	27,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.300%, 10/02/2017		27,002,494
	25,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.277%, 10/10/2017(b)		25,006,175
	50,000,000	Norinchukin Bank (NY), 1.387%, 10/10/2017(b)		50,026,200
	90,000,000	Bank of Tokyo-Mitsubishi UJF (NY), 1.400%, 10/31/2017		90,025,310
	25,000,000	Svenska Handelsbanken (NY), 1.176%, 11/06/2017(b)		25,002,175
	90,000,000	DZ Bank (NY), 1.320%, 11/20/2017		89,982,043
	25,000,000	Svenska Handelsbanken (NY), 1.176%, 12/06/2017(b)		25,000,400
	75,000,000	Bank of Nova Scotia (TX), 1.330%, 12/15/2017		74,991,392
	50,000,000	Westpac Banking Corp. (NY), 1.637%, 1/10/2018(b)(c)		50,112,800
	50,000,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.309%, 2/02/2018(b)		50,012,300
	60,000,000	Commonwealth Bank of Australia (NY), 1.606%, 2/23/2018(b)(c)		60,114,480
	25,000,000	Westpac Banking Corp. (NY), 1.409%, 3/08/2018(b)(c)		25,030,250
	50,000,000	Toronto Dominion Bank (NY), 1.467%, 3/13/2018(b)(c)		50,059,200
	120,000,000	Bank of Montreal (IL), 1.369%, 5/08/2018(b)(c)		120,110,280
	25,000,000	Royal Bank of Canada (NY), 1.297%, 6/12/2018(b)		24,995,725

				2,080,078,396

		Treasuries — 13.8%
	55,000,000	U.S. Treasury Bills, 0.705%-0.798%, 7/06/2017(d)(e)(f)		54,996,535
	44,000,000	U.S. Treasury Bills, 0.580%, 7/13/2017(d)(f)		43,990,540
	100,500,000	U.S. Treasury Bills, 0.773%-0.925%, 8/03/2017(d)(e)(f)		100,426,233
	65,000,000	U.S. Treasury Bills, 0.795%-0.980%, 9/07/2017(d)(e)(f)		64,886,770
	90,350,000	U.S. Treasury Bills, 0.880%-1.013%, 10/05/2017(d)(e)(f)		90,110,573
	48,400,000	U.S. Treasury Bills, 1.033%, 11/02/2017(d)(e)(f)		48,228,954

				402,639,605

See accompanying notes to financial statements.

25 |

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Principal Amount		Description	Value (†)
		Time Deposits — 6.2%
$	40,600,000	Canadian Imperial Bank of Commerce, 1.050%, 7/03/2017	$	40,600,000
	140,000,000	National Bank of Kuwait, 1.080%, 7/03/2017(b)		140,000,000

				180,600,000

		Other Notes — 2.3%
	69,000,000	Bank of America N.A., 1.136%, 10/17/2017(b)		68,998,068

		Commercial Paper — 1.6%
	46,350,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.251%, 7/20/2017(d)		46,318,765

		Total Short-Term Investments (Identified Cost $2,778,086,300)		2,778,634,834


		Total Investments — 95.3% (Identified Cost $2,778,086,300)(a)		2,778,634,834
		Other assets less liabilities — 4.7%		135,945,139

		Net Assets — 100.0%	$	2,914,579,973


	(†)	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, 2017, the net unrealized appreciation on investments based on a cost of $2,778,086,300 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	$	624,623
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(76,089	)

		Net unrealized appreciation	$	548,534


	(b)	Variable rate security. Rate as of June 30, 2017 is disclosed.
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(e)	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.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

See accompanying notes to financial statements.

| 26

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		9/20/2017	Mexican Peso		4,356,000,000	$	237,139,303	$	(1,726,354	)
Sell¹		9/20/2017	Mexican Peso		95,000,000		5,171,771		59,334
Buy¹		9/20/2017	New Zealand Dollar		806,400,000		590,099,202		3,661,792
Sell¹		9/20/2017	New Zealand Dollar		174,200,000		127,474,307		(1,131,682	)
Buy¹		9/20/2017	Norwegian Krone		1,176,000,000		141,070,879		362,518
Sell¹		9/20/2017	Norwegian Krone		158,000,000		18,953,400		(358,750	)
Buy¹		9/20/2017	Polish Zloty		1,155,000,000		311,579,004		1,296,316
Sell¹		9/20/2017	Polish Zloty		58,000,000		15,646,392		(404,894	)
Buy¹		9/20/2017	Singapore Dollar		308,000,000		223,982,896		(563,200	)
Sell¹		9/20/2017	Singapore Dollar		78,250,000		56,904,745		(522,680	)
Buy¹		9/20/2017	South African Rand		2,113,000,000		159,446,127		(5,063,228	)
Sell¹		9/20/2017	South African Rand		95,000,000		7,168,662		49,077
Sell¹		9/20/2017	South African Rand		41,000,000		3,093,843		(3,055	)
Buy¹		9/20/2017	Swedish Krona		504,000,000		60,083,867		1,088,472
Sell¹		9/20/2017	Swedish Krona		208,000,000		24,796,517		(899,395	)
Buy¹		9/20/2017	Swiss Franc		73,375,000		76,894,862		505,540
Buy¹		9/20/2017	Swiss Franc		33,500,000		35,107,024		(44,261	)
Sell¹		9/20/2017	Swiss Franc		25,375,000		26,592,261		(356,880	)
Buy¹		9/20/2017	Turkish Lira		45,000,000		12,510,192		50,598
Buy¹		9/20/2017	Turkish Lira		20,100,000		5,587,886		(12,214	)
Buy¹		9/20/2017	Turkish Lira		237,300,000		65,970,412		(198,493	)

Total								$	(4,211,439	)

¹ Counterparty is UBS AG

At June 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		7/21/2017		1,206	$	139,577,181	$	(4,476,422	)
ASX SPI 200™		9/21/2017		1,155		125,301,303		(1,111,864	)
Australian Dollar		9/18/2017		3,153		241,992,750		1,801,520
British Pound		9/18/2017		416		33,917,000		399,431
CAC 40^®		7/21/2017		1,732		101,296,438		(2,776,771	)
Canadian Dollar		9/19/2017		1,206		93,151,440		82,485
DAX		9/15/2017		376		132,562,134		(4,346,576	)
E-mini Dow		9/15/2017		1,959		208,633,500		809,290
E-mini MSCI EAFE Index		9/15/2017		1,310		123,768,800		(344,135	)
E-mini MSCI Emerging Markets Index		9/15/2017		2,823		142,321,545		(492,815	)
E-mini NASDAQ 100		9/15/2017		1,488		168,225,840		(7,165,202	)
E-mini S&P 500^®		9/15/2017		1,292		156,390,140		(489,500	)
E-mini S&P MidCap 400^®		9/15/2017		945		165,006,450		(343,770	)
Euribor		9/18/2017		5,087		1,457,104,299		513,325

See accompanying notes to financial statements.

27 |

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Euro		9/18/2017		1,911	$	273,917,963	$	2,884,175
Euro Schatz		9/07/2017		4,477		571,934,242		(1,431,753	)
EURO STOXX 50^®		9/15/2017		3,172		124,500,923		(4,168,015	)
Euro-BTP		9/07/2017		1,732		267,334,383		(6,590,649	)
Euro-OAT		9/07/2017		1,942		329,336,754		(4,099,141	)
FTSE 100 Index		9/15/2017		1,280		120,972,813		(3,503,863	)
FTSE MIB		9/15/2017		760		89,138,978		(2,073,836	)
German Euro BOBL		9/07/2017		4,507		677,947,945		(6,634,062	)
German Euro Bund		9/07/2017		1,888		349,052,998		(6,800,313	)
Hang Seng China Enterprises Index^®		7/28/2017		1,262		82,396,237		(362,423	)
Hang Seng Index^®		7/28/2017		966		158,282,862		(271,730	)
IBEX 35		7/21/2017		903		107,524,648		(3,885,562	)
Mini-Russell 2000		9/15/2017		2,320		164,058,800		62,990
MSCI Singapore		7/28/2017		1,983		51,605,878		275,454
MSCI Taiwan Index		7/28/2017		3,878		149,240,097		52,166
Nikkei 225^™		9/07/2017		780		139,380,965		(16,145	)
OMXS30^®		7/21/2017		8,518		162,252,800		(4,135,379	)
S&P CNX Nifty Futures Index		7/27/2017		5,170		98,377,650		(1,128,576	)
S&P/TSX 60 Index		9/14/2017		903		123,835,225		(1,820,794	)
Short-Term Euro-BTP		9/07/2017		2,470		317,882,637		(344,541	)
Sterling		9/20/2017		2,806		454,984,035		(385,900	)
TOPIX		9/07/2017		1,302		187,277,708		2,124,652
UK Long Gilt		9/27/2017		1,856		303,546,206		(5,653,439	)
5 Year U.S. Treasury Note		9/29/2017		851		100,278,383		(360,047	)
30 Year U.S. Treasury Bond		9/20/2017		622		95,593,625		(1,285,406	)
10 Year Australia Government Bond		9/15/2017		534		53,052,384		(780,372	)
10 Year Canada Government Bond		9/20/2017		556		60,260,487		(1,961,521	)
10 Year U.S. Treasury Note		9/20/2017		732		91,888,875		(387,531	)

Total							$	(70,622,565	)


Commodity Futures³	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/20/2017		2,297	$	110,227,288	$	(344,550	)
Copper		9/27/2017		1,319		89,395,225		1,971,525
Copper LME		9/20/2017		633		94,004,456		2,482,953
Cotton		12/06/2017		954		32,717,430		(2,626,555	)
Live Cattle		8/31/2017		1,504		69,966,080		(3,707,460	)
Nickel LME		9/20/2017		348		19,601,100		161,801
Zinc LME		9/20/2017		610		42,090,000		3,286,375

Total							$	1,224,089

See accompanying notes to financial statements.

| 28

Consolidated Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Eurodollar		12/18/2017		6,816	$	1,678,866,000	$	551,237
Japanese Yen		9/18/2017		4,528		504,306,000		12,048,069
FTSE/JSE Top 40 Index		9/21/2017		2,878		100,813,501		(1,004,921	)
Ultra Long U.S. Treasury Bond		9/20/2017		48		7,962,000		20,094
2 Year U.S. Treasury Note		9/29/2017		837		180,883,547		89,999
3 Year Australia Government Bond		9/15/2017		1,118		95,942,756		198,475

Total							$	11,902,953


Commodity Futures³	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/20/2017		1,324	$	63,535,450	$	(1,318,374	)
Brent Crude Oil		7/31/2017		2,144		104,562,880		(4,179,590	)
Cocoa		9/14/2017		1,596		30,962,400		727,610
Coffee		9/19/2017		1,117		52,652,587		523,556
Corn		12/14/2017		2,931		57,447,600		(953,737	)
Gasoline		7/31/2017		642		40,815,407		(1,041,928	)
Gold		8/29/2017		495		61,493,850		465,050
Low Sulfur Gasoil		8/10/2017		2,113		92,126,800		(2,025,450	)
Natural Gas		7/27/2017		2,705		82,096,750		259,600
New York Harbor ULSD		7/31/2017		1,070		66,650,514		(1,917,577	)
Nickel LME		9/20/2017		1,287		72,490,275		(3,094,041	)
Silver		9/27/2017		696		57,861,960		(554,800	)
Soybean		11/14/2017		2,305		110,034,938		(2,114,650	)
Soybean Meal		12/14/2017		2,776		86,389,120		(628,050	)
Soybean Oil		12/14/2017		1,590		31,806,360		(1,024,824	)
Sugar		9/29/2017		9,031		139,684,283		(86,621	)
Wheat		9/14/2017		2,071		54,467,300		(7,877,850	)
WTI Crude Oil		7/20/2017		2,345		107,963,800		(2,143,350	)

Total							$	(26,985,026	)

³ 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, 2017 (Unaudited)


Certificates of Deposit	71.4	%
Treasuries	13.8
Time Deposits	6.2
Other Notes	2.3
Other Investments, less than 2% each	1.6

Total Investments	95.3
Other assets less liabilities (including forward foreign currency and futures contracts)	4.7

Net Assets	100.0	%

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks — 52.2% of Net Assets
		Aerospace & Defense — 0.9%
	1,492	Boeing Co. (The)	$	295,043
	626	Northrop Grumman Corp.		160,701
	2,128	United Technologies Corp.		259,850

				715,594

		Air Freight & Logistics — 0.5%
	808	FedEx Corp.		175,602
	2,364	United Parcel Service, Inc., Class B		261,435

				437,037

		Airlines — 0.1%
	780	Southwest Airlines Co.		48,469

		Automobiles — 0.2%
	3,892	General Motors Co.		135,948
	1,227	Harley-Davidson, Inc.		66,282

				202,230

		Banks — 3.4%
	24,223	Bank of America Corp.		587,650
	6,361	Fifth Third Bancorp		165,132
	8,088	JPMorgan Chase & Co.		739,243
	684	PNC Financial Services Group, Inc. (The)		85,411
	11,433	Regions Financial Corp.		167,379
	1,103	SunTrust Banks, Inc.		62,562
	5,477	U.S. Bancorp		284,366
	10,983	Wells Fargo & Co.		608,568

				2,700,311

		Beverages — 1.2%
	8,876	Coca-Cola Co. (The)		398,089
	1,790	Dr Pepper Snapple Group, Inc.		163,087
	3,368	PepsiCo, Inc.		388,970

				950,146

		Biotechnology — 0.9%
	1,780	Amgen, Inc.		306,569
	223	Biogen, Inc.(b)		60,513
	1,866	Celgene Corp.(b)		242,338
	793	Gilead Sciences, Inc.		56,129
	576	Incyte Corp.(b)		72,524

				738,073

		Building Products — 0.1%
	3,169	Masco Corp.		121,087

		Capital Markets — 1.9%
	4,680	Bank of New York Mellon Corp. (The)		238,774
	1,620	BlackRock, Inc.		684,304
	1,863	CME Group, Inc.		233,322

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Capital Markets — continued
	491	Moody’s Corp.	$	59,745
	1,764	S&P Global, Inc.		257,526

				1,473,671

		Chemicals — 1.3%
	943	Air Products & Chemicals, Inc.		134,906
	2,396	Dow Chemical Co. (The)		151,116
	2,472	E.I. du Pont de Nemours & Co.		199,515
	508	Ecolab, Inc.		67,437
	1,556	Monsanto Co.		184,168
	1,333	PPG Industries, Inc.		146,577
	418	Sherwin-Williams Co. (The)		146,701

				1,030,420

		Commercial Services & Supplies — 0.1%
	771	Cintas Corp.		97,177

		Communications Equipment — 0.7%
	12,869	Cisco Systems, Inc.		402,800
	1,107	Harris Corp.		120,751

				523,551

		Construction & Engineering — 0.1%
	1,954	Fluor Corp.		89,454

		Containers & Packaging — 0.1%
	1,305	Sealed Air Corp.		58,412

		Diversified Consumer Services — 0.1%
	2,272	H&R Block, Inc.		70,228

		Diversified Financial Services — 0.9%
	4,241	Berkshire Hathaway, Inc., Class B(b)		718,298

		Diversified Telecommunication Services — 1.4%
	18,671	AT&T, Inc.		704,457
	8,304	Verizon Communications, Inc.		370,856

				1,075,313

		Electric Utilities — 0.8%
	1,514	American Electric Power Co., Inc.		105,178
	1,583	Duke Energy Corp.		132,323
	679	NextEra Energy, Inc.		95,148
	1,585	PG&E Corp.		105,196
	2,672	PPL Corp.		103,299
	2,361	Southern Co. (The)		113,045

				654,189

		Electrical Equipment — 0.2%
	2,973	Emerson Electric Co.		177,250

		Energy Equipment & Services — 0.2%
	4,311	Halliburton Co.		184,123

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description		Value (†)
		Food & Staples Retailing — 0.6%
	3,498	CVS Health Corp.		$	281,449
	2,586	Walgreens Boots Alliance, Inc.			202,510

					483,959

		Food Products — 0.7%
	3,504	Archer-Daniels-Midland Co.	��		144,996
	3,519	Conagra Brands, Inc.			125,839
	6,505	Mondelez International, Inc., Class A			280,951

					551,786

		Health Care Equipment & Supplies — 1.7%
	3,450	Boston Scientific Corp.(b)			95,634
	2,135	CR Bard, Inc.			674,895
	2,836	Danaher Corp.			239,330
	3,626	Medtronic PLC			321,807

					1,331,666

		Health Care Providers & Services — 1.8%
	2,334	Aetna, Inc.			354,371
	1,117	Centene Corp.(b)			89,226
	714	McKesson Corp.			117,481
	4,547	UnitedHealth Group, Inc.			843,105

					1,404,183

		Hotels, Restaurants & Leisure — 0.9%
	154	Chipotle Mexican Grill, Inc.(b)			64,079
	1,260	Marriott International, Inc., Class A			126,391
	2,036	McDonald’s Corp.			311,834
	3,658	Starbucks Corp.			213,298

					715,602

		Household Durables — 0.1%
	1,718	Lennar Corp., Class A			91,604

		Household Products — 1.0%
	8,886	Procter & Gamble Co. (The)			774,415

		Industrial Conglomerates — 1.3%
	1,475	3M Co.			307,081
	16,112	General Electric Co.			435,185
	1,973	Honeywell International, Inc.			262,981

					1,005,247

		Insurance — 1.3%
	1,663	Aon PLC			221,096
	1,555	Assurant, Inc.			161,238
	2,125	Chubb Ltd.			308,932
	2,487	Lincoln National Corp.			168,071
	2,017	Torchmark Corp.			154,301

					1,013,638

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Internet & Direct Marketing Retail — 1.4%
	778	Amazon.com, Inc.(b)	$	753,104
	810	Netflix, Inc.(b)		121,022
	127	Priceline Group, Inc. (The)(b)		237,556

				1,111,682

		Internet Software & Services — 2.7%
	679	Alphabet, Inc., Class A(b)		631,252
	630	Alphabet, Inc., Class C(b)		572,500
	4,953	eBay, Inc.(b)		172,959
	5,202	Facebook, Inc., Class A(b)		785,398

				2,162,109

		IT Services — 1.8%
	1,837	Accenture PLC, Class A		227,200
	1,781	Automatic Data Processing, Inc.		182,481
	2,065	International Business Machines Corp.		317,659
	3,853	Paychex, Inc.		219,390
	4,739	Visa, Inc., Class A		444,424

				1,391,154

		Leisure Products — 0.1%
	696	Hasbro, Inc.		77,611

		Life Sciences Tools & Services — 0.1%
	495	Waters Corp.(b)		91,001

		Machinery — 1.5%
	2,171	Caterpillar, Inc.		233,296
	910	Cummins, Inc.		147,620
	2,367	Deere & Co.		292,538
	1,418	Fortive Corp.		89,830
	1,153	Illinois Tool Works, Inc.		165,167
	1,721	PACCAR, Inc.		113,655
	2,158	Xylem, Inc.		119,618

				1,161,724

		Media — 1.5%
	532	Charter Communications, Inc., Class A(b)		179,204
	10,474	Comcast Corp., Class A		407,648
	2,763	Interpublic Group of Cos., Inc. (The)		67,970
	2,022	Time Warner, Inc.		203,029
	3,343	Walt Disney Co. (The)		355,194

				1,213,045

		Metals & Mining — 0.4%
	10,064	Newmont Mining Corp.		325,973

		Multi-Utilities — 1.0%
	1,829	CMS Energy Corp.		84,591
	7,422	Consolidated Edison, Inc.		599,846
	797	Sempra Energy		89,862

				774,299

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 2.8%
	3,761	Apache Corp.	$	180,265
	5,592	Cabot Oil & Gas Corp.		140,247
	5,073	Chevron Corp.		529,266
	3,373	Cimarex Energy Co.		317,096
	1,150	Concho Resources, Inc.(b)		139,760
	2,402	EOG Resources, Inc.		217,429
	4,413	Exxon Mobil Corp.		356,261
	2,334	Phillips 66		192,998
	1,997	Valero Energy Corp.		134,718

				2,208,040

		Pharmaceuticals — 3.1%
	662	Allergan PLC		160,925
	1,915	Eli Lilly & Co.		157,604
	7,521	Johnson & Johnson		994,953
	7,541	Merck & Co., Inc.		483,303
	16,878	Pfizer, Inc.		566,932
	1,070	Zoetis, Inc.		66,747

				2,430,464

		Professional Services — 0.1%
	849	Equifax, Inc.		116,670

		REITs – Apartments — 0.2%
	582	AvalonBay Communities, Inc.		111,843
	629	Mid-America Apartment Communities, Inc.		66,284

				178,127

		REITs – Diversified — 0.4%
	1,328	American Tower Corp.		175,721
	1,003	Crown Castle International Corp.		100,480
	850	Vornado Realty Trust		79,815

				356,016

		REITs – Health Care — 0.2%
	1,202	Ventas, Inc.		83,515
	1,154	Welltower, Inc.		86,377

				169,892

		REITs – Shopping Centers — 0.1%
	965	Regency Centers Corp.		60,448

		REITs – Specialty & Other — 0.1%
	216	Equinix, Inc.		92,699

		REITs – Storage — 0.4%
	1,563	Public Storage		325,932

		Road & Rail — 0.3%
	2,168	Union Pacific Corp.		236,117

		Semiconductors & Semiconductor Equipment — 2.3%
	1,946	Analog Devices, Inc.		151,399

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — continued
	1,255	Broadcom Ltd.	$	292,477
	26,699	Intel Corp.		900,824
	1,181	Lam Research Corp.		167,029
	1,948	NVIDIA Corp.		281,603

				1,793,332

		Software — 2.0%
	1,762	Adobe Systems, Inc.(b)		249,217
	16,245	Microsoft Corp.		1,119,768
	2,434	Salesforce.com, Inc.(b)		210,785

				1,579,770

		Specialty Retail — 1.6%
	145	AutoZone, Inc.(b)		82,717
	4,418	Home Depot, Inc. (The)		677,721
	2,431	Lowe’s Cos., Inc.		188,475
	377	O’Reilly Automotive, Inc.(b)		82,465
	1,928	TJX Cos., Inc. (The)		139,144
	331	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		95,110

				1,265,632

		Technology Hardware, Storage & Peripherals — 2.0%
	10,121	Apple, Inc.		1,457,626
	2,690	Seagate Technology PLC		104,238

				1,561,864

		Textiles, Apparel & Luxury Goods — 0.3%
	3,568	NIKE, Inc., Class B		210,512
	1	Under Armour, Inc., Class C(b)		20

				210,532

		Tobacco — 1.3%
	4,950	Altria Group, Inc.		368,627
	3,630	Philip Morris International, Inc.		426,343
	3,137	Reynolds American, Inc.		204,030

				999,000

		Total Common Stocks (Identified Cost $33,457,759)		41,330,266

	Exchange-Traded Funds — 9.3%
	30,556	SPDR^® S&P 500^® ETF Trust (Identified Cost $6,900,981)		7,388,441

Principal Amount
	Short-Term Investments — 37.9%
		Certificates of Deposit — 25.9%
$	1,000,000	Swedbank (NY), 1.120%, 7/03/2017		999,997
	1,000,000	Bank of Tokyo-Mitsubishi UJF (NY), 1.180%, 7/06/2017		999,999

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Principal Amount		Description	Value (†)
		Certificates of Deposit — continued
$	2,500,000	Landesbank Hessen (NY), 1.040%, 7/10/2017	$	2,499,889
	1,000,000	Rabobank Nederland NV, 1.487%, 7/10/2017(c)		1,000,090
	1,000,000	Skandinaviska Enskilda Banken AB (NY), 1.070%, 7/11/2017		999,972
	1,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.150%, 7/13/2017		999,984
	1,000,000	Societe Generale (NY), 1.240%, 7/31/2017		1,000,043
	1,500,000	Sumitomo Mitsui Trust Bank (NY), 1.284%, 8/07/2017(c)		1,500,231
	1,000,000	Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 1.517%, 8/11/2017(c)(d)		1,000,456
	1,000,000	Mizuho Bank Ltd. (NY), 1.659%, 8/17/2017(c)(d)		1,000,604
	1,000,000	Credit Industriel et Commercial (NY), 1.250%, 9/21/2017		1,000,050
	1,000,000	Sumitomo Mitsui Bank (NY), 1.250%, 9/21/2017		999,946
	1,500,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.277%, 10/10/2017(c)(d)		1,500,371
	1,000,000	Norinchukin Bank (NY), 1.387%, 10/10/2017(c)(d)		1,000,524
	1,000,000	Bank of Nova Scotia (TX), 1.330%, 12/15/2017		999,885
	1,000,000	Commonwealth Bank of Australia (NY), 1.606%, 2/23/2018(c)(d)		1,001,908
	2,000,000	Bank of Montreal (IL), 1.369%, 5/08/2018(c)(d)		2,001,838

				20,505,787

		Time Deposits — 7.8%
	3,000,000	Canadian Imperial Bank of Commerce, 1.050%, 7/03/2017		3,000,000
	3,150,000	National Bank of Kuwait, 1.080%, 7/03/2017(c)		3,150,000

				6,150,000

		Treasuries — 3.0%
	150,000	U.S. Treasury Bills, 0.970%, 10/05/2017(e)(f)		149,602
	800,000	U.S. Treasury Bills, 0.758%, 8/03/2017(e)(f)		799,413
	1,000,000	U.S. Treasury Bills, 0.825%-0.890%, 9/07/2017(e)(f)(g)		998,258
	400,000	U.S. Treasury Bills, 0.705%, 7/06/2017(e)(f)		399,975

				2,347,248

		Other Notes — 1.2%
	1,000,000	Bank of America N.A., 1.136%, 10/17/2017(c)(d)		999,972

		Total Short-Term Investments (Identified Cost $29,997,493)		30,003,007


		Total Investments — 99.4% (Identified Cost $70,356,233)(a)		78,721,714
		Other assets less liabilities — 0.6%		455,715

		Net Assets — 100.0%	$	79,177,429

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2017 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2017, the net unrealized appreciation on investments based on a cost of $70,356,233 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	$	8,650,347
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(284,866	)

	Net unrealized appreciation	$	8,365,481


(b)	Non-income producing security.
(c)	Variable rate security. Rate as of June 30, 2017 is disclosed.
(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(g)	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.

ETF	Exchange-Traded Fund
REITs	Real Estate Investment Trusts

At June 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/15/2017		432	$	52,291,440	$	(164,395	)

Industry Summary at June 30, 2017 (Unaudited)


Exchange-Traded Funds	9.3	%
Banks	3.4
Pharmaceuticals	3.1
Oil, Gas & Consumable Fuels	2.8
Internet Software & Services	2.7
Semiconductors & Semiconductor Equipment	2.3
Software	2.0
Technology Hardware, Storage & Peripherals	2.0
Other Investments, less than 2% each	33.9
Short-Term Investments	37.9

Total Investments	99.4
Other assets less liabilities (including futures contracts)	0.6

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

This Page Intentionally Left Blank

| 38

Statements of Assets and Liabilities

June 30, 2017 (Unaudited)


	ASG Dynamic Allocation Fund		ASG Global Alternatives Fund *(Consolidated)**			ASG Managed Futures Strategy Fund *(Consolidated)**
ASSETS
Investments at cost	$	32,731,628	$	1,441,404,117		$	2,778,086,300
Net unrealized appreciation		966,703		1,783,398			548,534

Investments at value		33,698,331		1,443,187,515			2,778,634,834
Cash		54,506		1,803,313			19,228,124
Due from brokers (including variation margin on futures contracts) (Note 2)		268,402		10,130,833			218,327,125
Receivable for Fund shares sold		24,570		1,653,160			62,562,729
Interest receivable		12,182		1,199,554			2,525,693
Unrealized appreciation on forward foreign currency contracts (Note 2)		—		129,184			7,073,647
Unrealized appreciation on futures contracts (Note 2)		59,585		5,051,721			31,791,832
Prepaid expenses (Note 8)		79		2,322			6,564

TOTAL ASSETS		34,117,655		1,463,157,602			3,120,150,548

LIABILITIES
Payable for securities purchased		—		—			55,000,000
Payable for Fund shares redeemed		5,822		2,315,115			4,265,568
Unrealized depreciation on forward foreign currency contracts (Note 2)		—		255,543			11,285,086
Due to brokers (including variation margin on futures contracts) (Note 2)		—		—			14,849,709
Unrealized depreciation on futures contracts (Note 2)		448,708		11,880,526			116,272,381
Management fees payable (Note 6)		7,597		1,393,653			3,081,413
Deferred Trustees’ fees (Note 6)		11,787		189,387			142,169
Administrative fees payable (Note 6)		1,237		71,505			237,910
Payable to distributor (Note 6d)		153		8,106			34,176
Other accounts payable and accrued expenses		39,627		228,920			402,163

TOTAL LIABILITIES		514,931		16,342,755			205,570,575

NET ASSETS	$	33,602,724	$	1,446,814,847		$	2,914,579,973

NET ASSETS CONSIST OF:
Paid-in capital	$	31,084,024	$	1,632,112,571		$	3,197,153,478
Undistributed (Distributions in excess of) net investment income		64,059		(2,519,758	)		(32,248,790	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		1,874,878		(177,604,865	)		(162,168,707	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		579,763		(5,173,101	)		(88,156,008	)

NET ASSETS	$	33,602,724	$	1,446,814,847		$	2,914,579,973

See accompanying notes to financial statements.

39 |

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund *(Consolidated)**		ASG Managed Futures Strategy Fund *(Consolidated)**
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	120,840		$	57,812,665	$	292,427,311

Shares of beneficial interest		11,015			5,607,504		30,714,148

Net asset value and redemption price per share	$	10.97		$	10.31	$	9.52

Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.64		$	10.94	$	10.10

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	9,806		$	29,285,586	$	58,120,164

Shares of beneficial interest		903			3,038,743		6,356,782

Net asset value and offering price per share	$	10.85	*	$	9.64	$	9.14

Class N shares:
Net assets	$	—		$	9,662,897	$	977

Shares of beneficial interest		—			920,400		102

Net asset value, offering and redemption price per share	$	—		$	10.50	$	9.58

Class Y shares:
Net assets	$	33,472,078		$	1,350,053,699	$	2,564,031,521

Shares of beneficial interest		3,044,890			128,591,755		267,568,280

Net asset value, offering and redemption price per share	$	10.99		$	10.50	$	9.58

*	See Notes 1 and 2 of the Notes to Financial Statements.

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

| 40

Statements of Assets and Liabilities (continued)

June 30, 2017 (Unaudited)


	ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	70,356,233
Net unrealized appreciation		8,365,481

Investments at value		78,721,714
Cash		265,528
Due from brokers (Note 2)		183,845
Receivable for Fund shares sold		203,615
Dividends and interest receivable		96,446
Prepaid expenses (Note 8)		152

TOTAL ASSETS		79,471,300

LIABILITIES
Payable for Fund shares redeemed		18,651
Unrealized depreciation on futures contracts (Note 2)		164,395
Management fees payable (Note 6)		40,809
Deferred Trustees’ fees (Note 6)		34,832
Administrative fees payable (Note 6)		2,917
Payable to distributor (Note 6d)		1,138
Other accounts payable and accrued expenses		31,129

TOTAL LIABILITIES		293,871

NET ASSETS	$	79,177,429

NET ASSETS CONSIST OF:
Paid-in capital	$	69,242,876
Undistributed net investment income		200,867
Accumulated net realized gain on investments and futures contracts		1,532,600
Net unrealized appreciation on investments and futures contracts		8,201,086

NET ASSETS	$	79,177,429

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	12,363,646

Shares of beneficial interest		949,961

Net asset value and redemption price per share	$	13.01

Offering price per share (100/94.25 of net asset value) (Note 1)	$	13.80

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,028,427

Shares of beneficial interest		159,657

Net asset value and offering price per share	$	12.70

Class Y shares:
Net assets	$	64,785,356

Shares of beneficial interest		4,955,226

Net asset value, offering and redemption price per share	$	13.07

See accompanying notes to financial statements.

41 |

Statements of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund *(Consolidated)**			ASG Managed Futures Strategy Fund *(Consolidated)**
INVESTMENT INCOME
Interest	$	91,433		$	7,911,196		$	16,064,477
Dividends		137,251			1,051,130			—

		228,684			8,962,326			16,064,477

Expenses
Management fees (Note 6)		102,954			8,716,049			18,819,933
Service and distribution fees (Note 6)		110			251,845			788,349
Administrative fees (Note 6)		6,575			370,844			843,465
Trustees’ and directors’ fees and expenses (Note 6)		9,364			51,006			64,713
Transfer agent fees and expenses (Notes 6 and 7)		10,017			548,959			1,656,917
Audit and tax services fees		30,517			38,901			39,147
Custodian fees and expenses		13,686			63,612			246,981
Interest expense (Note 10)		3,671			180,570			854,784
Legal fees		320			19,713			41,875
Registration fees		29,430			47,656			104,066
Shareholder reporting expenses		1,507			38,877			127,683
Miscellaneous expenses (Note 8)		14,493			48,085			89,062

Total expenses		222,644			10,376,117			23,676,975
Less waiver and/or expense reimbursement (Note 6)		(86,493	)		—			(45,991	)

Net expenses		136,151			10,376,117			23,630,984

Net investment income (loss)		92,533			(1,413,791	)		(7,566,507	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(57,268	)		21,558			47,441
Futures contracts		1,911,841			59,217,678			76,942,366
Foreign currency transactions		4,223			1,361,424			(26,068,592	)
Net change in unrealized appreciation (depreciation) on:
Investments		895,472			873,368			(281,019	)
Futures contracts		(392,704	)		(13,807,837	)		(112,713,106	)
Foreign currency translations		4,155			437,644			(3,117,415	)

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		2,365,719			48,103,835			(65,190,325	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	2,458,252		$	46,690,044		$	(72,756,832	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 42

Statements of Operations (continued)

For the Six Months Ended June 30, 2017 (Unaudited)


	ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	136,724
Dividends		484,812

		621,536

Expenses
Management fees (Note 6)		292,678
Service and distribution fees (Note 6)		23,325
Administrative fees (Note 6)		16,356
Trustees’ fees and expenses (Note 6)		11,886
Transfer agent fees and expenses (Notes 6 and 7)		45,022
Audit and tax services fees		22,341
Custodian fees and expenses		11,429
Legal fees		929
Registration fees		28,648
Shareholder reporting expenses		4,593
Miscellaneous expenses (Note 8)		8,103

Total expenses		465,310
Less waiver and/or expense reimbursement (Note 6)		(76,138	)

Net expenses		389,172

Net investment income		232,364

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain on:
Investments		851,627
Futures contracts		3,066,620
Net change in unrealized appreciation (depreciation) on:
Investments		2,737,152
Futures contracts		170,455

Net realized and unrealized gain on investments and futures contracts		6,825,854

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	7,058,218

See accompanying notes to financial statements.

43 |

Statements of Changes in Net Assets


	ASG Dynamic Allocation Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	92,533		$	66,999
Net realized gain on investments, futures contracts and foreign currency transactions		1,858,796			445,621
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		506,923			66,413

Net increase in net assets resulting from operations		2,458,252			579,033

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(52	)
Class C		—			0	(a)
Class Y		—			(73,629	)
Net realized capital gains
Class A		(143	)		—
Class C		(50	)		—
Class Y		(167,461	)		—

Total distributions		(167,654	)		(73,681	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		8,940,104			1,763,046

Net increase in net assets		11,230,702			2,268,398
NET ASSETS
Beginning of the period		22,372,022			20,103,624

End of the period	$	33,602,724		$	22,372,022

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	64,059		$	(28,474	)

(a)	Amount rounds to less than $1.00.

See accompanying notes to financial statements.

| 44

Statements of Changes in Net Assets (continued)


	ASG Global Alternatives Fund (Consolidated*)
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income (loss)	$	(1,413,791	)	$	(18,913,774	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		60,600,660			(225,854,766	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(12,496,825	)		14,920,647

Net increase (decrease) in net assets resulting from operations		46,690,044			(229,847,893	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(228,773,998	)		(1,816,666,719	)

Net decrease in net assets		(182,083,954	)		(2,046,514,612	)
NET ASSETS
Beginning of the period		1,628,898,801			3,675,413,413

End of the period	$	1,446,814,847		$	1,628,898,801

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(2,519,758	)	$	(1,105,967	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

45 |

Statements of Changes in Net Assets (continued)


	ASG Managed Futures Strategy Fund (Consolidated*)
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income (loss)	$	(7,566,507	)	$	(31,385,975	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		50,921,215			(249,654,946	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(116,111,540	)		18,981,630

Net decrease in net assets resulting from operations		(72,756,832	)		(262,059,291	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class Y		—			(189,168	)

Total distributions		—			(189,168	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(177,002,583	)		739,328,468

Net increase (decrease) in net assets		(249,759,415	)		477,080,009
NET ASSETS
Beginning of the period		3,164,339,388			2,687,259,379

End of the period	$	2,914,579,973		$	3,164,339,388

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(32,248,790	)	$	(24,682,283	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 46

Statements of Changes in Net Assets (continued)


	ASG Tactical U.S. Market Fund
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016
FROM OPERATIONS:
Net investment income	$	232,364		$	476,959
Net realized gain on investments and futures contracts		3,918,247			1,973,267
Net change in unrealized appreciation (depreciation) on investments and futures contracts		2,907,607			981,369

Net increase in net assets resulting from operations		7,058,218			3,431,595

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,971	)		(32,680	)
Class C		(356	)		—
Class Y		(10,703	)		(423,285	)

Total distributions		(13,030	)		(455,965	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		3,305,791			(34,837,137	)

Net increase (decrease) in net assets		10,350,979			(31,861,507	)
NET ASSETS
Beginning of the period		68,826,450			100,687,957

End of the period	$	79,177,429		$	68,826,450

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	200,867		$	(18,467	)

See accompanying notes to financial statements.

47 |

Financial Highlights

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015*
Net asset value, beginning of the period	$	10.08		$	9.86		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.03			0.01
Net realized and unrealized gain (loss)		0.91			0.21			(0.14	)

Total from Investment Operations		0.95			0.24			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.02	)		(0.01	)
Net realized capital gains		(0.06	)		—			—

Total Distributions		(0.06	)		(0.02	)		(0.01	)

Net asset value, end of the period	$	10.97		$	10.08		$	9.86

Total return(b)(c)		9.40	%(d)		2.41	%		(1.28	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	121		$	29		$	1
Net expenses(e)		1.18	%(f)(g)		1.17	%(h)		1.15	%(g)
Gross expenses		1.76	%(f)(g)		1.80	%(h)		3.96	%(g)
Net investment income		0.80	%(g)		0.31	%		1.19	%(g)
Portfolio turnover rate		9	%		115	%(i)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

(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 is not reflected in total return calculations.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.73%.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.78%.

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015*
Net asset value, beginning of the period	$	10.01		$	9.85		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.07	)		(0.00	)(b)
Net realized and unrealized gain (loss)		0.92			0.23			(0.14	)

Total from Investment Operations		0.90			0.16			(0.14	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.01	)
Net realized capital gains		(0.06	)		—			—

Total Distributions		(0.06	)		(0.00	)		(0.01	)

Net asset value, end of the period	$	10.85		$	10.01		$	9.85

Total return(c)(d)		8.96	%(e)		1.63	%		(1.37	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10		$	9		$	8
Net expenses(f)		1.93	%(g)(h)		1.91	%(i)		1.90	%(h)
Gross expenses		2.51	%(g)(h)		2.51	%(i)		4.72	%(h)
Net investment loss		(0.44	)%(h)		(0.75	)%		(0.16	)%(h)
Portfolio turnover rate		9	%		115	%(j)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

(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.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.49%.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.50%.

(j)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015*
Net asset value, beginning of the period	$	10.09		$	9.86		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.03			0.01
Net realized and unrealized gain (loss)		0.93			0.23			(0.14	)

Total from Investment Operations		0.96			0.26			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.01	)
Net realized capital gains		(0.06	)		—			—

Total Distributions		(0.06	)		(0.03	)		(0.01	)

Net asset value, end of the period	$	10.99		$	10.09		$	9.86

Total return(b)		9.60	%(c)		2.57	%		(1.26	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	33,472		$	22,334		$	20,095
Net expenses(d)		0.92	%(e)(f)		0.91	%(g)		0.90	%(f)
Gross expenses		1.51	%(e)(f)		1.54	%(g)		3.72	%(f)
Net investment income		0.63	%(f)		0.32	%		1.39	%(f)
Portfolio turnover rate		9	%		115	%(h)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.49%.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.53%.

(h)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	10.02		$	10.48		$	11.12		$	11.33		$	10.62		$	10.26

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.09	)		(0.14	)		(0.15	)		(0.15	)		(0.14	)
Net realized and unrealized gain (loss)		0.31			(0.37	)		(0.12	)		0.53			1.79			0.50

Total from Investment Operations		0.29			(0.46	)		(0.26	)		0.38			1.64			0.36

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			(0.02	)		—
Net realized capital gains		—			—			(0.38	)		(0.59	)		(0.91	)		—

Total Distributions		—			—			(0.38	)		(0.59	)		(0.93	)		—

Net asset value, end of the period	$	10.31		$	10.02		$	10.48		$	11.12		$	11.33		$	10.62

Total return(b)		2.89	%(c)		(4.39	)%		(2.69	)%		3.53	%		15.69	%		3.51	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	57,813		$	76,207		$	224,951		$	150,462		$	189,313		$	126,226
Net expenses		1.59	%(d)(e)		1.56	%(f)		1.53	%(g)		1.55	%(h)		1.58	%(i)		1.61	%(j)(k)
Gross expenses		1.59	%(d)(e)		1.56	%(f)		1.53	%(g)		1.55	%(h)		1.58	%(i)		1.61	%(j)(k)
Net investment loss		(0.41	)%(d)		(0.93	)%		(1.27	)%		(1.34	)%		(1.35	)%		(1.34	)%
Portfolio turnover rate(l)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(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 is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.56% and the ratio of gross expenses would have been 1.56%.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.54% and the ratio of gross expenses would have been 1.54%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.52% and the ratio of gross expenses would have been 1.52%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.53% and the ratio of gross expenses would have been 1.53%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.57% and the ratio of gross expenses would have been 1.57%.

(j)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.60% and the ratio of gross expenses would have been 1.60%.

(k)	Includes fee/expense recovery of 0.01%.

(l)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class C**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.40		$	9.91		$	10.61		$	10.92		$	10.32		$	10.05

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.15	)		(0.21	)		(0.22	)		(0.23	)		(0.21	)
Net realized and unrealized gain (loss)		0.30			(0.36	)		(0.11	)		0.50			1.74			0.48

Total from Investment Operations		0.24			(0.51	)		(0.32	)		0.28			1.51			0.27

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			—
Net realized capital gains		—			—			(0.38	)		(0.59	)		(0.91	)		—

Total Distributions		—			—			(0.38	)		(0.59	)		(0.91	)		—

Net asset value, end of the period	$	9.64		$	9.40		$	9.91		$	10.61		$	10.92		$	10.32

Total return(b)		2.55	%(c)		(5.15	)%		(3.40	)%		2.73	%		14.86	%		2.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,286		$	38,412		$	95,885		$	87,941		$	85,323		$	71,227
Net expenses		2.34	%(d)(e)		2.31	%(f)		2.28	%(g)		2.31	%(h)		2.33	%(i)		2.36	%(j)(k)
Gross expenses		2.34	%(d)(e)		2.31	%(f)		2.28	%(g)		2.31	%(h)		2.33	%(i)		2.36	%(j)(k)
Net investment loss		(1.16	)%(d)		(1.68	)%		(2.03	)%		(2.10	)%		(2.10	)%		(2.10	)%
Portfolio turnover rate(l)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.31% and the ratio of gross expenses would have been 2.31%.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.29% and the ratio of gross expenses would have been 2.29%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.26% and the ratio of gross expenses would have been 2.26%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.28% and the ratio of gross expenses would have been 2.28%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.32% and the ratio of gross expenses would have been 2.32%.

(j)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.35% and the ratio of gross expenses would have been 2.35%.

(k)	Includes fee/expense recovery of 0.01%.

(l)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class N**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013**
Net asset value, beginning of the period	$	10.19		$	10.63		$	11.24		$	11.42		$	11.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.00	)(b)		(0.06	)		(0.11	)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss)		0.31			(0.38	)		(0.12	)		0.53			0.99

Total from Investment Operations		0.31			(0.44	)		(0.23	)		0.41			0.90

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—
Net realized capital gains		—			—			(0.38	)		(0.59	)		(0.68	)

Total Distributions		—			—			(0.38	)		(0.59	)		(0.68	)

Net asset value, end of the period	$	10.50		$	10.19		$	10.63		$	11.24		$	11.42

Total return		3.04	%(c)		(4.05	)%		(2.48	)%		3.77	%(d)		8.05	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	9,663		$	9,639		$	10,476		$	1		$	1
Net expenses		1.27	%(e)(f)		1.24	%(g)		1.23	%(h)		1.27	%(i)(j)		1.32	%(e)(j)(k)
Gross expenses		1.27	%(e)(f)		1.24	%(g)		1.23	%(h)		7.42	%(i)		3.22	%(e)(k)
Net investment loss		(0.08	)%(e)		(0.56	)%		(0.97	)%		(1.07	)%		(1.12	)%(e)
Portfolio turnover rate(l)		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

**	From commencement of Class operations on May 1, 2013 through December 31, 2013.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.24%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.22% and the ratio of gross expenses would have been 1.22%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.21% and the ratio of gross expenses would have been 1.21%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.25% and the ratio of gross expenses would have been 7.40%.

(j)	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, expenses would have been higher.

(k)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 3.20%.

(l)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	10.19		$	10.64		$	11.25		$	11.43		$	10.72		$	10.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.07	)		(0.12	)		(0.12	)		(0.13	)		(0.11	)
Net realized and unrealized gain (loss)		0.32			(0.38	)		(0.11	)		0.53			1.82			0.49

Total from Investment Operations		0.31			(0.45	)		(0.23	)		0.41			1.69			0.38

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			(0.07	)		—
Net realized capital gains		—			—			(0.38	)		(0.59	)		(0.91	)		—

Total Distributions		—			—			(0.38	)		(0.59	)		(0.98	)		—

Net asset value, end of the period	$	10.50		$	10.19		$	10.64		$	11.25		$	11.43		$	10.72

Total return		3.04	%(b)		(4.23	)%		(2.38	)%		3.77	%		16.05	%		3.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,350,054		$	1,504,641		$	3,344,101		$	2,786,510		$	2,168,502		$	1,002,226
Net expenses		1.34	%(c)(d)		1.31	%(e)		1.28	%(f)		1.31	%(e)		1.33	%(g)		1.36	%(h)(i)
Gross expenses		1.34	%(c)(d)		1.31	%(e)		1.28	%(f)		1.31	%(e)		1.33	%(g)		1.36	%(h)(i)
Net investment loss		(0.15	)%(c)		(0.67	)%		(1.03	)%		(1.10	)%		(1.10	)%		(1.10	)%
Portfolio turnover rate(j)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

(d)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.31% and the ratio of gross expenses would have been 1.31%.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 1.29%.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.26% and the ratio of gross expenses would have been 1.26%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.32% and the ratio of gross expenses would have been 1.32%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.35% and the ratio of gross expenses would have been 1.35%.

(i)	Includes fee/expense recovery of 0.01%.

(j)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.78		$	10.37		$	10.98		$	10.25		$	9.11		$	10.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)		(0.12	)		(0.16	)		(0.16	)		(0.14	)		(0.14	)
Net realized and unrealized gain (loss)		(0.23	)		(0.47	)		0.06	(b)		2.37			1.28			(1.00	)

Total from Investment Operations		(0.26	)		(0.59	)		(0.10	)		2.21			1.14			(1.14	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.22	)		(0.29	)		—			(0.09	)
Net realized capital gains		—			—			(0.29	)		(1.19	)		—			—

Total Distributions		—			—			(0.51	)		(1.48	)		—			(0.09	)

Net asset value, end of the period	$	9.52		$	9.78		$	10.37		$	10.98		$	10.25		$	9.11

Total return(c)		(2.66	)%(d)		(5.69	)%(e)		(1.38	)%		21.76	%(e)		12.51	%(e)		(11.09	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	292,427		$	463,235		$	486,160		$	137,991		$	125,903		$	145,729
Net expenses		1.75	%(f)(g)		1.74	%(h)(i)		1.73	%(g)(j)		1.72	%(h)(k)		1.73	%(h)(l)		1.73	%(h)(m)
Gross expenses		1.75	%(f)(g)		1.75	%(i)		1.73	%(g)(j)		1.76	%(k)		1.78	%(l)		1.80	%(m)
Net investment loss		(0.71	)%(f)		(1.11	)%		(1.48	)%		(1.53	)%		(1.51	)%		(1.49	)%
Portfolio turnover rate(n)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	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.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.70%.

(h)	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, expenses would have been higher.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%.

(j)	Includes fee/expense recovery of less than 0.01%.

(k)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.74%.

(l)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.75%.

(m)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.77%.

(n)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class C**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.42		$	10.07		$	10.69		$	10.03		$	8.99		$	10.25

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.07	)		(0.19	)		(0.24	)		(0.24	)		(0.21	)		(0.21	)
Net realized and unrealized gain (loss)		(0.21	)		(0.46	)		0.05	(b)		2.32			1.25			(0.99	)

Total from Investment Operations		(0.28	)		(0.65	)		(0.19	)		2.08			1.04			(1.20	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.14	)		(0.23	)		—			(0.06	)
Net realized capital gains		—			—			(0.29	)		(1.19	)		—			—

Total Distributions		—			—			(0.43	)		(1.42	)		—			(0.06	)

Net asset value, end of the period	$	9.14		$	9.42		$	10.07		$	10.69		$	10.03		$	8.99

Total return(c)		(2.97	)%(d)(e)		(6.45	)%(e)		(2.23	)%		21.01	%(e)		11.57	%(e)		(11.74	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	58,120		$	71,184		$	67,479		$	33,945		$	18,770		$	21,891
Net expenses		2.51	%(f)(g)		2.49	%(h)(i)		2.48	%(g)(j)		2.47	%(h)(k)		2.48	%(h)(l)		2.48	%(h)(m)
Gross expenses		2.51	%(f)(g)		2.50	%(i)		2.48	%(g)(j)		2.51	%(k)		2.53	%(l)		2.55	%(m)
Net investment loss		(1.45	)%(f)		(1.86	)%		(2.24	)%		(2.28	)%		(2.26	)%		(2.24	)%
Portfolio turnover rate(n)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	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.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.45%.

(h)	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, expenses would have been higher.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.46%.

(j)	Includes fee/expense recovery of 0.01%.

(k)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.49%.

(l)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.50%.

(m)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.52%.

(n)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Managed Futures Strategy Fund *(Consolidated)—Class N**
	Period Ended June 30, 2017** (Unaudited)
Net asset value, beginning of the period	$	9.81

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)
Net realized and unrealized gain (loss)		(0.22	)

Total from Investment Operations		(0.23	)

Net asset value, end of the period	$	9.58

Total return(b)		(2.34	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(c)(d)(e)		1.45	%
Gross expenses(d)(e)		15.98	%
Net investment loss(d)		(0.33	)%
Portfolio turnover rate(f)		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

**	From commencement of Class operations on May 1, 2017 through June 30, 2017.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. Periods less than one year are not annualized.

(c)	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, expenses would have been higher.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.37% and the ratio of gross expenses would have been 15.91%.

(f)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.83		$	10.40		$	11.01		$	10.26		$	9.10		$	10.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.09	)		(0.14	)		(0.14	)		(0.12	)		(0.12	)
Net realized and unrealized gain (loss)		(0.23	)		(0.48	)		0.05	(b)		2.40			1.28			(1.00	)

Total from Investment Operations		(0.25	)		(0.57	)		(0.09	)		2.26			1.16			(1.12	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(c)		(0.23	)		(0.32	)		(0.00	)(c)		(0.12	)
Net realized capital gains		—			—			(0.29	)		(1.19	)		—			—

Total Distributions		—			(0.00	)		(0.52	)		(1.51	)		(0.00	)		(0.12	)

Net asset value, end of the period	$	9.58		$	9.83		$	10.40		$	11.01		$	10.26		$	9.10

Total return		(2.54	)%(d)		(5.47	)%(e)		(1.22	)%		22.21	%(e)		12.75	%(e)		(10.90	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,564,032		$	2,629,920		$	2,133,620		$	1,363,162		$	695,307		$	593,013
Net expenses		1.51	%(f)(g)		1.49	%(h)(j)		1.48	%(g)(i)		1.47	%(j)(k)		1.48	%(j)(l)		1.48	%(j)(m)
Gross expenses		1.51	%(f)(g)		1.50	%(h)		1.48	%(g)(i)		1.51	%(k)		1.53	%(l)		1.56	%(m)
Net investment loss		(0.45	)%(f)		(0.85	)%		(1.24	)%		(1.28	)%		(1.26	)%		(1.24	)%
Portfolio turnover rate(n)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	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.

(c)	Amount rounds to less than $0.01 per share.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.45%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%.

(i)	Includes fee/expense recovery of 0.01%.

(j)	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, expenses would have been higher.

(k)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.49%.

(l)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.51%.

(m)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.52%.

(n)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class A
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.83		$	11.41		$	11.85		$	11.02		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			0.04			(0.00	)(b)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss)		1.15			0.43			(0.35	)		1.60			1.31

Total from Investment Operations		1.18			0.47			(0.35	)		1.59			1.30

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.05	)		—			—			—
Net realized capital gains		—			—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		—			(0.05	)		(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	13.01		$	11.83		$	11.41		$	11.85		$	11.02

Total return(c)(d)		9.99	%(e)		4.09	%		(3.00	)%		14.69	%		12.96	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	12,364		$	8,365		$	9,360		$	3,089		$	29
Net expenses(f)		1.25	%(g)		1.25	%		1.32	%		1.40	%		1.40	%(g)
Gross expenses		1.46	%(g)		1.40	%		1.39	%		1.57	%		2.21	%(g)
Net investment income (loss)		0.46	%(g)		0.36	%		(0.03	)%		(0.09	)%		(0.38	)%(g)
Portfolio turnover rate		9	%		42	%		149	%(h)		62	%		13	%

*	From commencement of operations on September 30, 2013 through December 31, 2013.

(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.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to sales of equity securities to take advantage of opportunities to harvest tax losses.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class C
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.59		$	11.21		$	11.73		$	11.00		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.05	)		(0.09	)		(0.10	)		(0.03	)
Net realized and unrealized gain (loss)		1.13			0.43			(0.34	)		1.59			1.31

Total from Investment Operations		1.11			0.38			(0.43	)		1.49			1.28

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		—			—			—			—
Net realized capital gains		—			—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		—			—			(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	12.70		$	11.59		$	11.21		$	11.73		$	11.00

Total return(c)(d)		9.60	%(e)		3.39	%		(3.79	)%		13.88	%		12.76	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,028		$	1,973		$	2,202		$	1,468		$	8
Net expenses(f)		2.00	%(g)		2.00	%		2.07	%		2.15	%		2.15	%(g)
Gross expenses		2.21	%(g)		2.15	%		2.13	%		2.33	%		2.80	%(g)
Net investment loss		(0.30	)%(g)		(0.41	)%		(0.79	)%		(0.86	)%		(1.00	)%(g)
Portfolio turnover rate		9	%		42	%		149	%(h)		62	%		13	%

*	From commencement of operations on September 30, 2013 through December 31, 2013.

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to sales of equity securities to take advantage of opportunities to harvest tax losses.

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class Y
	Six Months Ended June 30, 2017 (Unaudited)			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.87		$	11.45		$	11.88		$	11.03		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			0.07			0.02			0.01			(0.00	)(b)
Net realized and unrealized gain (loss)		1.16			0.44			(0.34	)		1.61			1.31

Total from Investment Operations		1.20			0.51			(0.32	)		1.62			1.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.09	)		(0.02	)		(0.01	)		—
Net realized capital gains		—			—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		—			(0.09	)		(0.11	)		(0.77	)		(0.28	)

Net asset value, end of the period	$	13.07		$	11.87		$	11.45		$	11.88		$	11.03

Total return(c)		10.13	%(d)		4.41	%		(2.74	)%		14.92	%		13.06	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	64,785		$	58,488		$	89,126		$	65,042		$	22,595
Net expenses(e)		1.00	%(f)		1.00	%		1.07	%		1.15	%		1.15	%(f)
Gross expenses		1.21	%(f)		1.15	%		1.14	%		1.32	%		1.93	%(f)
Net investment income (loss)		0.70	%(f)		0.58	%		0.20	%		0.10	%		(0.13	)%(f)
Portfolio turnover rate		9	%		42	%		149	%(g)		62	%		13	%

*	From commencement of operations on September 30, 2013 through December 31, 2013.

(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.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(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, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to sales of equity securities to take advantage of opportunities to harvest tax losses.

See accompanying notes to financial statements.

61 |

Notes to Financial Statements

June 30, 2017 (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 (the “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 Dynamic Allocation Fund (the “Dynamic Allocation Fund”)

ASG Global Alternatives Fund (the “Global Alternatives Fund”)

ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

ASG Tactical U.S. Market Fund (the “Tactical U.S. Market Fund”)

Each Fund is a diversified investment company, except for Dynamic Allocation Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Global Alternatives Fund and Managed Futures Strategy Fund (effective May 1, 2017) also offer Class N shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge 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 N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Natixis ETF Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds 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 (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, and Class Y, and individually for Class N. 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.

Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through ASG Global Alternatives Cayman Fund Ltd. and ASG

| 62

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. 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, 2017, the value of each Fund’s investment in its respective Subsidiary was as follows:


Fund	Investment in Subsidiary		Percentage of Net Assets
Global Alternatives Fund	$	17,093,461		1.18	%
Managed Futures Strategy Fund		180,719,952		6.20	%

a. Consolidation. The accompanying financial statements of Global Alternatives Fund and Managed Futures Strategy Fund present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares of closed-end

63 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

| 64

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

As of June 30, 2017, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:


	Notional Value		Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
Dynamic Allocation Fund	$	12,271,126	$	219,669		0.65	%
Global Alternatives Fund		323,832,741		7,389,828		0.51	%
Managed Futures Strategy Fund		1,988,105,879		35,351,932		1.21	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV 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 the 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, if 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 into U.S. dollars on the respective dates of such transactions.

65 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to 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 a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. 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. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open 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 the 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 Statements of Assets and Liabilities as an asset (liability) and in the 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.

| 66

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g. Due to/from Brokers. Transactions and positions in certain futures and forward foreign currency contracts 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. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with the broker for open futures contracts and cash pledged as collateral for forward foreign currency contracts. The due to brokers’ balances in the Statements of Assets and Liabilities for the Funds represent foreign currency debit balances related to futures contracts. In certain circumstances the Funds’ or the Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

h. 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 December 31, 2016 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.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined 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 operating losses, foreign currency gains and losses, non-deductible expenses, deferred Trustees’ fees, return of capital and capital gain distributions received, distributions in excess of income and /or capital gain and Subsidiary deficits. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and

67 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2016 were as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Dynamic Allocation Fund	$	73,681	$	—	$	73,681
Global Alternatives Fund		—		—		—
Managed Futures Strategy Fund		189,168		—		189,168
Tactical U.S. Market Fund		455,965		—		455,965

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of December 31, 2016, capital loss carryforwards and late-year ordinary loss deferrals were as follows:


	Dynamic Allocation Fund			Global Alternatives Fund			Managed Futures Strategy Fund			Tactical U.S. Market Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—		$	(187,489,285	)	$	(173,036,351	)	$	(2,620,659	)
Long-term:
No expiration date		—			(59,714,404	)		(22,192,500	)		—

Total capital loss carryforward	$	—		$	(247,203,689	)	$	(195,228,851	)	$	(2,620,659	)

Late-year ordinary loss deferrals*	$	(19,478	)	$	(935,002	)	$	(24,559,196	)	$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. The Dynamic Allocation Fund, Global Alternatives Fund and Managed Futures Strategy Fund have deferred foreign currency losses that occurred after October 31, 2016.

| 68

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

j. 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.

k. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

69 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2017, at value:

ASG Dynamic Allocation Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Exchange-Traded Funds	$	16,994,232		$	—		$	—	$	16,994,232
Short-Term Investments(a)		—			16,704,099			—		16,704,099
Futures Contracts (unrealized appreciation)		32,345			27,240			—		59,585

Total	$	17,026,577		$	16,731,339		$	—	$	33,757,916


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Futures Contracts (unrealized depreciation)	$	(256,279	)	$	(192,429	)	$	—	$	(448,708	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

Global Alternatives Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	1,394,039,581		$	—	$	1,394,039,581
Exchange-Traded Funds		49,147,934			—			—		49,147,934
Forward Foreign Currency Contracts (unrealized appreciation)		—			129,184			—		129,184
Futures Contracts (unrealized appreciation)		4,150,595			901,126			—		5,051,721

Total	$	53,298,529		$	1,395,069,891		$	—	$	1,448,368,420


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(255,543	)	$	—	$	(255,543	)
Futures Contracts (unrealized depreciation)		(5,391,824	)		(6,488,702	)		—		(11,880,526	)

Total	$	(5,391,824	)	$	(6,744,245	)	$	—	$	(12,136,069	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

| 70

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Managed Futures Strategy Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	2,778,634,834		$	—	$	2,778,634,834
Forward Foreign Currency Contracts (unrealized appreciation)		—			7,073,647			—		7,073,647
Futures Contracts (unrealized appreciation)		29,339,560			2,452,272			—		31,791,832

Total	$	29,339,560		$	2,788,160,753		$	—	$	2,817,500,313


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(11,285,086	)	$	—	$	(11,285,086	)
Financial Futures (unrealized depreciation)		(83,372,721	)		(32,899,660	)		—		(116,272,381	)

Total	$	(83,372,721	)	$	(44,184,746	)	$	—	$	(127,557,467	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

Tactical U.S. Market Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Common Stocks(a)	$	41,330,266		$	—	$	—	$	41,330,266
Exchange-Traded Funds		7,388,441			—		—		7,388,441
Short-Term Investments		—			30,003,007		—		30,003,007

Total	$	48,718,707		$	30,003,007	$	—	$	78,721,714


Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(164,395	)	$	—	$	—	$	(164,395	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the six months ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

71 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts and futures contracts.

Dynamic Allocation Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the six months ended June 30, 2017, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds to gain investment exposures in accordance with its objectives.

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 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, 2017, the Fund used long and short contracts on U.S. and foreign government bonds, foreign currencies, and commodities (through investments in the Subsidiary), long contracts on U.S. and foreign equity market indices, and short contracts on short-term interest rates in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models 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 asset price trends. 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 global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2017, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates to capture the exposures suggested by the quantitative investment models.

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Tactical U.S. Market Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to 130% of the Fund’s total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Fund’s total assets (to limit the effects of extreme market drawdowns). During the six months ended June 30, 2017, the Fund used long contracts on U.S. equity market indices to increase exposure to the U.S. equity market.

The following is a summary of derivative instruments for Dynamic Allocation Fund June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized Appreciation on Futures Contracts
Exchange-traded asset derivatives
Equity contracts	$	59,585


Liabilities	Unrealized Depreciation on Futures Contracts
Exchange-traded liability derivatives
Equity contracts	$	(448,708	)

Transactions in derivative instruments for Dynamic Allocation Fund June 30, 2017, as reflected within the Statements of Operations were as follows:


Net Realized Gain on:	Futures Contracts
Interest rate contracts	$	22,670
Equity contracts		1,889,171

Total	$	1,911,841


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Interest rate contracts	$	(94,765	)
Equity contracts		(297,939	)

Total	$	(392,704	)

73 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The following is a summary of derivative instruments for Global Alternatives Fund June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized Appreciation on Forward Foreign Currency Contracts			Unrealized Appreciation on Futures Contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	129,184		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	663,128
Foreign exchange contracts		—			581,778
Equity contracts		—			986,021
Commodity contracts		—			2,820,794

Total exchange-traded asset derivatives	$	—		$	5,051,721

Total asset derivatives	$	129,184		$	5,051,721


Liabilities	Unrealized Depreciation on Forward Foreign Currency Contracts			Unrealized Depreciation on Futures Contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(255,543	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(2,588,424	)
Foreign exchange contracts		—			(289,858	)
Equity contracts		—			(7,526,895	)
Commodity contracts		—			(1,475,349	)

Total exchange-traded liability derivatives	$	—		$	(11,880,526	)

Total liability derivatives	$	(255,543	)	$	(11,880,526	)

Transactions in derivative instruments for Global Alternatives Fund June 30, 2017, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts			Foreign Currency Transactions¹
Interest rate contracts	$	(3,486,413	)	$	—
Foreign exchange contracts		(2,342,527	)		1,198,693
Equity contracts		73,763,529			—
Commodity contracts		(8,716,911	)		—

Total	$	59,217,678		$	1,198,693

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Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign Currency Translations¹
Interest rate contracts	$	(754,524	)	$	—
Foreign exchange contracts		(3,024,386	)		438,876
Equity contracts		(13,232,700	)		—
Commodity contracts		3,203,773			—

Total	$	(13,807,837	)	$	438,876

¹	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized Appreciation on Forward Foreign Currency Contracts			Unrealized Appreciation on Futures Contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	7,073,647		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	1,373,130
Foreign exchange contracts		—			17,215,680
Equity contracts		—			3,324,552
Commodity contracts		—			9,878,470

Total exchange-traded asset derivatives	$	—		$	31,791,832

Total asset derivatives	$	7,073,647		$	31,791,832


Liabilities	Unrealized Depreciation on Forward Foreign Currency Contracts			Unrealized Depreciation on Futures Contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(11,285,086	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(36,714,675	)
Foreign exchange contracts		—			—
Equity contracts		—			(43,918,299	)
Commodity contracts		—			(35,639,407	)

Total exchange-traded liability derivatives	$	—		$	(116,272,381	)

Total liability derivatives	$	(11,285,086	)	$	(116,272,381	)

75 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended June 30, 2017, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts			Foreign Currency Translations¹
Interest rate contracts	$	(80,688,429	)	$	—
Foreign exchange contracts		(58,122,802	)		(27,272,434	)
Equity contracts		287,909,762			—
Commodity contracts		(72,156,165	)		—

Total	$	76,942,366		$	(27,272,434	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign Currency Translations¹
Interest rate contracts	$	(42,294,750	)	$	—
Foreign exchange contracts		10,206,518			(3,113,400	)
Equity contracts		(57,633,295	)		—
Commodity contracts		(22,991,579	)		—

Total	$	(112,713,106	)	$	(3,113,400	)

¹	Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of June 30, 2017, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized Depreciation on Futures Contracts
Exchange-traded asset derivatives
Equity contracts	$	(164,395	)

Transactions in derivative instruments for Tactical U.S. Market Fund during the year ended June 30, 2017, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:

Futures

Contracts

Equity contracts

3,066,620

Net Change in Unrealized

Appreciation (Depreciation) on:

Futures

Contracts

Equity contracts

170,455

| 76

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended June 30, 2017:


Dynamic Allocation Fund	Futures
Average Notional Amount Outstanding		81.98	%
Highest Notional Amount Outstanding		104.86	%
Lowest Notional Amount Outstanding		70.62	%
Notional Amount Outstanding as of June 30, 2017		104.86	%

Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		6.98	%		130.14	%
Highest Notional Amount Outstanding		14.28	%		155.20	%
Lowest Notional Amount Outstanding		2.10	%		94.09	%
Notional Amount Outstanding as of June 30, 2017		2.10	%		155.20	%

Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		100.31	%		557.42	%
Highest Notional Amount Outstanding		182.28	%		728.32	%
Lowest Notional Amount Outstanding		75.66	%		446.49	%
Notional Amount Outstanding as of June 30, 2017		75.66	%		457.52	%

Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding		59.98	%
Highest Notional Amount Outstanding		66.04	%
Lowest Notional Amount Outstanding		47.10	%
Notional Amount Outstanding as of June 30, 2017		66.04	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA

77 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral pledged, on the Statements of Assets and Liabilities.


Global Alternatives Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	129,184		$	(129,184	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(255,543	)	$	129,184		$	(126,359	)	$	126,359	$	—

Managed Futures Strategy Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	7,073,647		$	(7,073,647	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(11,285,086	)	$	7,073,647		$	(4,211,439	)	$	4,211,439	$	—

| 78

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2017, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:


	Independent Amount of Collateral		Increase (Decrease) For Change in Value		Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	1,093,618	$	99,430	$	1,193,048	$	1,100,000	$	(93,048	)
Managed Futures Strategy Fund		127,559,826		10,548,212		138,108,038		124,598,608		(13,509,430	)

Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statements of Assets and Liabilities.

79 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2017:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Dynamic Allocation Fund
Exchange-traded counterparty credit risk
Futures contracts	$	59,585	$	59,585
Margin with brokers		1,748,153		1,748,153

Total exchange-traded counterparty credit risk	$	1,807,738	$	1,807,738


Global Alternatives Fund
Over-the-counter counterparty credit risk Forward foreign currency contracts	$	129,184	$	—
Collateral pledged to UBS AG		1,100,000		1,100,000

Total over-the-counter counterparty credit risk		1,229,184		1,100,000

Exchange-traded counterparty credit risk
Futures contracts		5,051,721		5,051,721
Margin with brokers		62,114,567		62,114,567

Total exchange-traded counterparty credit risk		67,166,288		67,166,288

Total counterparty credit risk	$	68,395,472	$	68,266,288

| 80

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	7,073,647	$	—
Collateral pledged to UBS AG		124,598,608		124,598,608

Total over-the-counter counterparty credit risk		131,672,255		124,598,608

Exchange-traded counterparty credit risk
Futures contracts		31,791,832		31,791,832
Margin with brokers		500,901,463		500,901,463

Total exchange-traded counterparty credit risk		532,693,295		52,693,295

Total counterparty credit risk	$	664,365,550	$	657,291,903


Tactical U.S. Market Fund
Exchange-traded counterparty credit risk
Futures contracts	$	—	$	—
Margin with brokers		2,531,093		2,531,093

Total exchange-traded counterparty credit risk	$	2,531,093	$	2,531,093

5. Purchases and Sales of Securities. For the six months ended June 30, 2017, purchases and proceeds from sales or maturities of short-term investments were as follows:


Fund	Purchases		Sales/ Maturities
Global Alternatives Fund	$	28,466,996,702	$	28,655,766,638
Managed Futures Strategy Fund		48,508,095,293		48,828,273,599

For the six months ended June 30, 2017, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Dynamic Allocation Fund	$	8,122,550	$	1,198,618
Tactical U.S. Market Fund		11,537,769		4,204,365

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis US, serves as investment adviser to the Funds. Under the terms of

81 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

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
Dynamic Allocation Fund		0.70	%
Tactical U.S. Market Fund		0.80	%

Global Alternatives Fund pays a management fee at an annual rate of 1.15% on the first $2 billion of the Fund’s average daily net assets (less the net asset value of the Subsidiary), and 1.10% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

Managed Futures Strategy Fund pays a management fee at an annual rate of 1.25% on the first $2.5 billion of the Fund’s average daily net assets (less the net asset value of its Subsidiary), and 1.20% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

AlphaSimplex also serves as investment adviser to 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 1.15% and 1.25%, respectively, of its average daily net assets.

Additionally, AlphaSimplex has entered into a subadvisory agreement with NGAM Advisors, L.P. (“NGAM Advisors”), (through its division, Active Index Advisors), on behalf of Tactical U.S. Market Fund. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.10% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by NGAM Advisors.

Payments to AlphaSimplex are reduced by the amount of payments to NGAM Advisors as described above.

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees, 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.

| 82

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, 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 N			Class Y
Dynamic Allocation Fund		1.15	%		1.90	%		—			0.90	%
Global Alternatives Fund		1.60	%		2.35	%		1.30	%		1.35	%
Managed Futures Strategy Fund		1.70	%		2.45	%		1.40	%		1.45	%
Tactical U.S. Market Fund		1.25	%		2.00	%		—			1.00	%

Effective July 1, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Global Alternatives Fund and Tactical U.S. Market Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Global Alternatives Fund		1.54	%		2.29	%		1.24	%		1.29	%
Tactical U.S. Market Fund		1.24	%		1.99	%		—			0.99	%

These undertakings are in effect until April 30, 2019, may be terminated before then only with the consent of the Fund’s Board of Trustees, and will be reevaluated on an annual basis.

AlphaSimplex 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 annual operating 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, 2017, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees		Net Management Fees		Gross			Net
Dynamic Allocation Fund	$	102,954	$	86,493	$	16,461		0.70	%		0.11	%
Global Alternatives Fund		8,716,049		—		8,716,049		1.15	%		1.15	%
Managed Futures Strategy Fund		18,819,933		45,967		18,773,966		1.24	%		1.24	%
Tactical U.S. Market Fund		292,678		76,138		216,540		0.80	%		0.59	%

¹	Management fee waivers are subject to possible recovery until December 31, 2018.

83 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

No expenses were recovered during the six months ended June 30, 2017 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution 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 C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution 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 NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2017, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Dynamic Allocation Fund	$	63	$	12	$	35
Global Alternatives Fund		84,048		41,949		125,848
Managed Futures Strategy Fund		462,026		81,581		244,742
Tactical U.S. Market Fund		13,234		2,523		7,568

| 84

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

NGAM Advisors also provides certain administrative services to the Subsidiaries for which the Subsidiaries pay NGAM 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 NGAM Advisors by the Subsidiaries. In addition, NGAM Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.

For the six months ended June 30, 2017, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):


Fund	Administrative Fees
Dynamic Allocation Fund	$	6,575
Global Alternatives Fund		338,902
Managed Futures Strategy Fund		678,128
Tactical U.S. Market Fund		16,356

85 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the six months ended June 30, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Dynamic Allocation Fund	$	7,800
Global Alternatives Fund		286,339
Managed Futures Strategy Fund		1,360,252
Tactical U.S. Market Fund		40,280


Fund	Reimbursements of Sub-Transfer Agent Fees
Dynamic Allocation Fund	$	153
Global Alternatives Fund		8,106
Managed Futures Strategy Fund		34,176
Tactical U.S. Market Fund		1,138

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2017 were as follows:


Fund	Commissions
Dynamic Allocation Fund	$	20
Global Alternatives Fund		2,949
Managed Futures Strategy Fund		46,630
Tactical U.S. Market Fund		1,477

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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

| 86

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

g. Affiliated Ownership. As of June 30, 2017, Natixis US and affiliates held shares of the Dynamic Allocation Fund and Managed Futures Strategy Fund representing 18.68% and less than 0.01%, respectively, of the Funds’ net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

h. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors has given a binding contractual undertaking to the Managed Futures Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the period from May 1, 2017 through June 30, 2017, NGAM Advisors reimbursed the Fund $24 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2017, Global Alternatives Fund incurred the following class-specific transfer agent fees and expenses:


	Class A		Class C		Class N		Class Y
Transfer Agent Fees and Expenses	$	24,590	$	12,248	$	121	$	512,000

87 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

For the period from May 1, 2017 through June 30, 2017, Managed Futures Strategy Fund incurred the following class-specific transfer agent fees and expenses:


	Class A		Class C		Class N		Class Y
Transfer Agent Fees and Expenses	$	47,953	$	9,441	$	24	$	398,471

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the six months ended June 30, 2017, none of the Funds had borrowings under these agreements.

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.

The Funds’ (excluding Dynamic Allocation Fund and Tactical U.S. Market 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.

| 88

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

Dynamic Allocation Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

10. Interest Expense. The Funds may incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2017 is reflected on the Statements of Operations.


Fund	Number of 5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6g)			Total Percentage of Ownership
Dynamic Allocation Fund		2		71.26	%		18.68	%		89.94	%
Global Alternatives Fund		2		57.25	%		—			57.25	%
Managed Futures Strategy Fund		3		32.48	%(a)		—			32.48	%(a)
Tactical U.S. Market Fund		4		75.23	%(a)		—			75.23	%(a)

(a)

Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund (AlphaSimplex). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. AlphaSimplex has no involvement in the decisions to invest in the models provided.

89 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)

12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Dynamic Allocation Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	17,840		$	195,373		3,298		$	32,218
Issued in connection with the reinvestment of distributions	14			143		5			52
Redeemed	(9,747	)		(108,000	)	(495	)		(4,875	)

Net change	8,107		$	87,516		2,808		$	27,395

Class C
Issued from the sale of shares	—		$	—		571		$	5,453
Issued in connection with the reinvestment of distributions	4			50		—	(a)		—	(b)
Redeemed	—			—		(460	)		(4,531	)

Net change	4		$	50		111		$	922

Class Y
Issued from the sale of shares	2,144,073		$	22,823,358		624,132		$	6,173,414
Issued in connection with the reinvestment of distributions	15,694			166,826		7,288			73,594
Redeemed	(1,329,385	)		(14,137,646	)	(455,346	)		(4,512,279	)

Net change	830,382		$	8,852,538		176,074		$	1,734,729

Increase (decrease) from capital share transactions	838,493		$	8,940,104		178,993		$	1,763,046

(a)	Amount rounds to less than one share.

(b)	Amount rounds to less than $1.00.

| 90

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)


	Six Months Ended June 30, 2017						Year Ended December 31, 2016
Global Alternatives Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		427,182		$	4,368,688			4,133,496		$	40,817,282
Redeemed		(2,423,720	)		(24,780,958	)		(17,986,130	)		(173,576,797	)

Net change		(1,996,538	)	$	(20,412,270	)		(13,852,634	)	$	(132,759,515	)

Class C
Issued from the sale of shares		50,402		$	483,665			321,722		$	3,002,124
Redeemed		(1,096,614	)		(10,520,674	)		(5,909,888	)		(53,789,898	)

Net change		(1,046,212	)	$	(10,037,009	)		(5,588,166	)	$	(50,787,774	)

Class N
Issued from the sale of shares		3,622		$	37,520			38,340		$	379,457
Redeemed		(29,202	)		(301,101	)		(78,325	)		(780,214	)

Net change		(25,580	)	$	(263,581	)		(39,985	)	$	(400,757	)

Class Y
Issued from the sale of shares		16,820,504		$	175,533,507			62,997,782		$	625,624,429
Redeemed		(35,843,916	)		(373,594,645	)		(229,760,358	)		(2,258,343,102	)

Net change		(19,023,412	)	$	(198,061,138	)		(166,762,576	)	$	(1,632,718,673	)

Increase (decrease) from capital share transactions		(22,091,742	)	$	(228,773,998	)		(186,243,361	)	$	(1,816,666,719	)


	Six Months Ended June 30, 2017					Year Ended December 31, 2016
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	7,406,250		$	72,886,886		35,536,077		$	380,621,435
Redeemed	(24,075,668	)		(238,306,570	)	(35,043,240	)		(364,059,654	)

Net change	(16,669,418	)	$	(165,419,684	)	492,837		$	16,561,781

Class C
Issued from the sale of shares	473,396		$	4,483,629		3,692,171		$	38,675,810
Redeemed	(1,670,467	)		(15,825,696	)	(2,839,728	)		(28,367,764	)

Net change	(1,197,071	)	$	(11,342,067	)	852,443		$	10,308,046

Class N(a)
Issued from the sale of shares	102		$	1,000		—		$	—

Net change	102		$	1,000		—		$	—

Class Y
Issued from the sale of shares	66,025,587		$	654,057,591		196,340,237		$	2,089,326,900
Issued in connection with the reinvestment of distributions	—			—		14,752			146,350
Redeemed	(66,061,272	)		(654,299,423	)	(133,953,574	)		(1,377,014,609	)

Net change	(35,685	)	$	(241,832	)	62,401,415		$	712,458,641

Increase (decrease) from capital share transactions	(17,902,072	)	$	(177,002,583	)	63,746,695		$	739,328,468

(a)	From commencement of Class operations on May 1, 2017 through June 30, 2017.

91 |

Notes to Financial Statements (continued)

June 30, 2017 (Unaudited)


	Six Months Ended June 30, 2017						Year Ended December 31, 2016
Tactical U.S. Market Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		456,251		$	5,691,064			803,091		$	9,110,082
Issued in connection with the reinvestment of distributions		118			1,478			2,636			31,318
Redeemed		(213,412	)		(2,702,210	)		(919,309	)		(10,616,695	)

Net change		242,957		$	2,990,332			(113,582	)	$	(1,475,295	)

Class C
Issued from the sale of shares		11,558		$	141,404			60,500		$	680,339
Issued in connection with the reinvestment of distributions		29			356			—			—
Redeemed		(22,127	)		(270,821	)		(86,641	)		(968,616	)

Net change		(10,540	)	$	(129,061	)		(26,141	)	$	(288,277	)

Class Y
Issued from the sale of shares		1,198,987		$	15,123,420			2,782,073		$	31,892,345
Issued in connection with the reinvestment of distributions		784			9,875			34,967			416,807
Redeemed		(1,171,513	)		(14,688,775	)		(5,673,700	)		(65,382,717	)

Net change		28,258		$	444,520			(2,856,660	)	$	(33,073,565	)

Increase (decrease) from capital share transactions		260,675		$	3,305,791			(2,996,383	)	$	(34,837,137	)

| 92

NATIXIS FUNDS


AEW Real Estate Fund		Loomis Sayles Value Fund
ASG Dynamic Allocation Fund		McDonnell Intermediate Municipal Bond Fund
ASG Global Alternatives Fund		Mirova Global Green Bond Fund
ASG Managed Futures Strategy Fund		Mirova Global Sustainable Equity Fund
ASG Tactical U.S. Market Fund		Natixis Oakmark Fund
Gateway Equity Call Premium Fund		Natixis Oakmark International Fund
Gateway Fund		Natixis Sustainable Future 2015 Fund
Loomis Sayles Core Plus Bond Fund		Natixis Sustainable Future 2020 Fund
Loomis Sayles Dividend Income Fund		Natixis Sustainable Future 2025 Fund
Loomis Sayles Global Equity and Income Fund		Natixis Sustainable Future 2030 Fund
Loomis Sayles Global Growth Fund		Natixis Sustainable Future 2035 Fund
Loomis Sayles Growth Fund		Natixis Sustainable Future 2040 Fund
Loomis Sayles High Income Fund		Natixis Sustainable Future 2045 Fund
Loomis Sayles Intermediate Duration Bond Fund		Natixis Sustainable Future 2050 Fund
Loomis Sayles Investment Grade Bond Fund		Natixis Sustainable Future 2055 Fund
Loomis Sayles Limited Term Government and Agency Fund		Natixis Sustainable Future 2060 Fund
Loomis Sayles Multi-Asset Income Fund		Natixis U.S. Equity Opportunities Fund
Loomis Sayles Senior Floating Rate and Fixed Income Fund		Vaughan Nelson Select Fund
Loomis Sayles Strategic Alpha Fund		Vaughan Nelson Small Cap Value Fund
Loomis Sayles Strategic Income Fund		Vaughan Nelson Value Opportunity Fund

ASG GLOBAL ALTERNATIVES FUND

Effective July 1, 2017, AlphaSimplex Group, LLC has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses (exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses) to 1.54%, 2.29%, 1.24%, 1.54% and 1.29% of the Fund’s average daily net assets for Class A, Class C, Class N, Class T and Class Y shares, respectively.

This page not part of shareholder report

This undertaking is in effect through April 30, 2019.

Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)


	Class A			Class C			Class N			Class T			Class Y
Management fees		1.14	%		1.14	%		1.14	%		1.14	%		1.14	%
Distribution and/or service (12b-1) fees		0.25	%		1.00	%		0.00	%		0.25	%		0.00	%
Other expenses		0.18	%		0.18	%		0.10	%		0.18	%¹		0.18	%
Total annual fund operating expenses²		1.57	%		2.32	%		1.24	%		1.57	%		1.32	%
Fee waiver and/or expense reimbursement³		0.01	%		0.01	%		0.00	%		0.01	%		0.01	%
Total annual fund operating expenses after fee waiver and/or expense reimbursement		1.56	%		2.31	%		1.24	%		1.56	%		1.31	%

1	Other expenses are estimated for the current fiscal year.

The expense information shown in the table above includes acquired fund fees and expenses of less than 0.01%; the ratios may differ from the expense information disclosed in the Fund’s financial highlights table because the financial highlights table reflects the operating expenses of the Fund and does not include acquired fund fees and expenses.

AlphaSimplex Group, LLC (“AlphaSimplex” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.54%, 2.29%, 1.24%, 1.54% and 1.29% of the Fund’s average daily net assets for Class A, Class C, Class N, Class T and Class Y shares, respectively, exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2019 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, Class C, Class N, Class T and Class Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

This page not part of shareholder report

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the examples for Class A, Class C, Class T and Class Y are based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:


If shares are redeemed:
	1 year		3 years		5 years		10 years
Class A	$	725	$	1,040	$	1,379	$	2,333
Class C	$	334	$	723	$	1,239	$	2,654
Class N	$	126	$	393	$	681	$	1,500
Class T	$	405	$	732	$	1,082	$	2,069
Class Y	$	133	$	416	$	722	$	1,589

If shares are not redeemed:
	1 year		3 years		5 years		10 years
Class C	$	234	$	723	$	1,239	$	2,654

ASG TACTICAL U.S. MARKET FUND

Effective July 1, 2017, AlphaSimplex Group, LLC has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses (exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses) to 1.24%, 1.99%, 1.24% and 0.99% of the Fund’s average daily net assets for Class A, Class C, Class T and Class Y shares, respectively.

This undertaking is in effect through April 30, 2019.

This page not part of shareholder report

Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)


	Class A			Class C			Class T			Class Y
Management fees		0.80	%		0.80	%		0.80	%		0.80	%
Distribution and/or service (12b-1) fees		0.25	%		1.00	%		0.25	%		0.00	%
Other expenses¹		0.35	%		0.35	%		0.35	%²		0.35	%
Total annual fund operating expenses		1.40	%		2.15	%		1.40	%		1.15	%
Fee waiver and/or expense reimbursement³		0.16	%		0.16	%		0.16	%		0.16	%
Total annual fund operating expenses after fee waiver and/or expense reimbursement		1.24	%		1.99	%		1.24	%		0.99	%

1	The expense information shown in the table above includes acquired fund fees and expenses of less than 0.01%.

2	Other expenses are estimated for the current fiscal year.

AlphaSimplex Group, LLC (“AlphaSimplex” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.24%, 1.99%, 1.24% and 0.99% of the Fund’s average daily net assets for Class A, Class C, Class T and Class Y shares, respectively, exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2019 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, Class C, Class T and Class Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is based on Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will only be in place through the date noted above and on the Total

This page not part of shareholder report

Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:


If shares are redeemed:
	1 year		3 years		5 years		10 years
Class A	$	694	$	965	$	1,270	$	2,134
Class C	$	302	$	644	$	1,127	$	2,459
Class T	$	373	$	653	$	969	$	1,862
Class Y	$	101	$	336	$	604	$	1,371

If shares are not redeemed:
	1 year		3 years		5 years		10 years
Class C	$	202	$	644	$	1,127	$	2,459

The following chart shows the investment minimums for various types of accounts:


Type of Account	Minimum Initial Purchase		Minimum Subsequent Purchase
Any account other than those listed below	$	2,500	$	50
For shareholders participating in Natixis Funds’ Investment Builder Program	$	1,000	$	50
For Traditional IRA, Roth IRA, Rollover IRA, SEP-IRA and Keogh plans using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	1,000	$	50
Coverdell Education Savings Accounts using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	500	$	50

There is no initial or subsequent investment minimum for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

This page not part of shareholder report

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Class Y shares of the Fund below the stated minimums.

This page not part of shareholder report

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).

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 22, 2017

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 22, 2017


By:		/s/ Michael C. Kardok


Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 22, 2017

Natixis Funds Trust II Oakmark Fund (NEFOX) N-CSRSCertified semi-annual shareholder report (management investment company)