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.

Natixis 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, 2018

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:

LOGO

Semiannual Report

June 30, 2018

ASG Dynamic Allocation Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

Table of Contents



Portfolio Review			1

Portfolio of Investments			18

Financial Statements			43

Notes to Financial Statements			64

LOGO

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.

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Average Annual Total Returns — June 30, 2018⁴



										Expense Ratios⁵
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 11/30/15)
NAV		-2.93	%		7.33	%		7.01	%		1.56	%		0.98	%

Class A (Inception 11/30/15)
NAV		-3.12			6.96			6.72			1.80			1.23
With 5.75% Maximum Sales Charge		-8.71			0.81			4.30

Class C (Inception 11/30/15)
NAV		-3.43			6.28			5.94			2.55			1.98
With CDSC¹		-4.37			5.32			5.94

Comparative Performance
Morningstar^® Global Allocation Index^SM 2		-0.33			7.42			8.52
Blended Index³		-0.32			6.45			7.06

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 im.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% 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 4/30/19. 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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ASG GLOBAL ALTERNATIVES FUND


Managers		Symbols
Alexander D. Healy, PhD		Class A GAFAX
David E. Kuenzi, CFA^®		Class C GAFCX
Peter A. Lee		Class N GAFNX
Philippe P. Lüdi, CFA^®, PhD		Class Y GAFYX
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.

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Average Annual Total Returns — June 30, 2018³



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

Class Y (Inception 9/30/08)											Class Y/A/C		Class N
NAV		-1.00	%		6.58	%		2.74	%		3.64	%	—	%		1.34	%		1.33	%

Class A (Inception 9/30/08)
NAV		-1.20			6.26			2.48			3.38		—			1.59			1.58
With 5.75% Maximum Sales Charge		-6.85			0.14			1.28			2.75		—

Class C (Inception 9/30/08)
NAV		-1.57			5.48			1.72			2.61		—			2.34			2.33
With CDSC¹		-2.55			4.48			1.72			2.61		—

Class N (Inception 5/1/13)
NAV		-1.00			6.62			2.75			—		2.79			1.28			1.28

Comparative Performance
Barclay Fund of Funds Index²		0.64			3.92			2.80			1.92		2.55

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.

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ASG MANAGED FUTURES STRATEGY FUND


Managers		Symbols
Alexander D. Healy, PhD		Class A AMFAX
Kathryn M. Kaminski, 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, 2018⁴



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

Class Y (Inception 7/30/10)											Class Y/A/C		Class N
NAV		-6.45	%		2.21	%		4.27	%		3.39	%	—	%		1.50	%		1.50	%

Class A (Inception 7/30/10)
NAV		-6.50			1.95			4.02			3.15		—			1.75			1.75
With 5.75% Maximum Sales Charge		-11.85			-3.91			2.79			2.38		—

Class C (Inception 7/30/10)
NAV		-6.80			1.26			3.24			2.37		—			2.50			2.50
With CDSC¹		-7.72			0.26			3.24			2.37		—

Class N (Inception 5/01/17)
NAV		-6.35			2.38			—			—		-0.02			14.83			1.34

Comparative Performance
Credit Suisse Managed Futures Liquid Index²		-7.89			-3.12			2.63			—		-4.13
SG Trend Index³		-5.16			2.90			2.11			1.74		-0.77

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.

3	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.

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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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 Natixis 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, 2018⁴



										Expense Ratios⁵
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 9/30/13)
NAV		1.95	%		16.34	%		11.69	%		1.20	%		1.00	%

Class A (Inception 9/30/13)
NAV		1.81			16.04			11.40			1.45			1.25
With 5.75% Maximum Sales Charge		-4.04			9.40			10.02

Class C (Inception 9/30/13)
NAV		1.49			15.17			10.58			2.21			2.00
With CDSC¹		0.50			14.17			10.58

Comparative Performance
S&P 500^® Index²		2.65			14.37			12.96
Barclay Equity Long/Short Index³		2.11			6.96			4.70

1	Performance for Class C shares assumes a 1% 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.

Barclay Equity Long/Short Index is comprised of 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.

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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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class 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, 2018 through June 30, 2018. 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.

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.


ASG DYNAMIC ALLOCATION FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$968.80		$5.61
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class C
Actual		$1,000.00		$965.70		$9.26
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class Y
Actual		$1,000.00		$970.70		$4.40
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90% and 0.90% 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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ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$988.00		$7.59
Hypothetical (5% return before expenses)		$1,000.00		$1,017.16		$7.70
Class C
Actual		$1,000.00		$984.30		$11.27
Hypothetical (5% return before expenses)		$1,000.00		$1,013.44		$11.43
Class N
Actual		$1,000.00		$990.00		$6.12
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.21
Class Y
Actual		$1,000.00		$990.00		$6.37
Hypothetical (5% return before expenses)		$1,000.00		$1,018.40		$6.46

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.54%, 2.29%, 1.24% and 1.29% 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).


ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$935.00		$8.16
Hypothetical (5% return before expenses)		$1,000.00		$1,016.36		$8.50
Class C
Actual		$1,000.00		$932.00		$11.74
Hypothetical (5% return before expenses)		$1,000.00		$1,012.65		$12.23
Class N
Actual		$1,000.00		$936.50		$6.39
Hypothetical (5% return before expenses)		$1,000.00		$1,018.20		$6.66
Class Y
Actual		$1,000.00		$935.50		$6.96
Hypothetical (5% return before expenses)		$1,000.00		$1,017.60		$7.25

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.70%, 2.45%, 1.33% and 1.45% 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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ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$1,018.10		$6.20
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.21
Class C
Actual		$1,000.00		$1,014.90		$9.94
Hypothetical (5% return before expenses)		$1,000.00		$1,014.93		$9.94
Class Y
Actual		$1,000.00		$1,019.50		$4.96
Hypothetical (5% return before expenses)		$1,000.00		$1,019.89		$4.96

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.24%, 1.99% and 0.99% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (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 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 advisers 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 of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, 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, to the extent applicable, the use of “soft” commission dollars 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

13 |

performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category, performance ratings provided by a third-party where available, 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 or Committee 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 for a one-year period at its meeting held in June 2018. 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 Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information 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 reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2017, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected

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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			Five-Year
ASG Dynamic Allocation Fund		4	%		N/A			N/A
ASG Global Alternatives Fund		12	%		68	%		15	%
ASG Managed Futures Strategy Fund		20	%		67	%		22	%
ASG Tactical U.S. Market Fund		1	%		4	%		N/A

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party 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; and (2) that the Fund’s long-term and more recent performance was competitive 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, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and 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, 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 have expense caps in place, and they considered the amounts waived or reimbursed by the

15 |

Advisers for the Funds under their caps. The Trustees also noted that the Funds had total advisory fee rates that were at or below the medians of their respective peer groups of funds.

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, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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 caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense 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. The Trustees also considered that the expense caps for the ASG Global Alternatives Fund and the ASG Managed Futures Strategy Fund had also been reduced last year. 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.

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.

| 16

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.

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative 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 and the benefits to Natixis 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 Natixis 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 should be continued through June 30, 2019.

17 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Dynamic Allocation Fund


Shares		Description	Value (†)
	Exchange-Traded Funds — 45.8% of Net Assets
	11,497	iShares^® Core U.S. Aggregate Bond ETF	$	1,222,361
	13,661	iShares^® Edge MSCI Min Vol Emerging Markets ETF		790,152
	16,834	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,797,366
	52,690	SPDR^® Bloomberg Barclays International Treasury Bond ETF		1,462,148
	7,854	Vanguard FTSE All World ex-U.S. Small-Cap ETF		906,430
	25,614	Vanguard FTSE Developed Markets ETF		1,098,841
	13,494	Vanguard FTSE Emerging Markets ETF		569,447
	19,578	Vanguard FTSE Europe ETF		1,098,913
	15,966	Vanguard FTSE Pacific ETF		1,117,301
	13,920	Vanguard Intermediate-Term Corporate Bond ETF		1,162,598
	14,049	Vanguard Mid-Cap ETF		2,214,684
	29,245	Vanguard Total International Bond ETF		1,599,994
	15,951	Vanguard Total Stock Market ETF		2,239,999
	20,066	Vanguard Value ETF		2,083,453

		Total Exchange-Traded Funds (Identified Cost $17,837,076)		19,363,687


Principal Amount
	Short-Term Investments — 51.7%
		Certificates of Deposit — 37.0%
$	1,200,000	Credit Agricole Corporate & Investment Bank (NY), 1.850%, 7/05/2018		1,200,012
	1,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018		999,968
	500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 2.226%, 7/10/2018(a)		500,035
	1,000,000	Landesbank Hessen (NY), 2.300%, 7/16/2018		1,000,145
	500,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.295%, 7/19/2018(a)		500,073
	750,000	Mizuho Bank Ltd. (NY), 2.030%, 7/23/2018		749,998
	1,000,000	DNB Nor Bank ASA (NY), 2.230%, 8/08/2018		1,000,281
	1,000,000	DZ Bank (NY), 2.250%, 8/09/2018		1,000,170
	250,000	DZ Bank (NY), 3-month LIBOR + 0.370%, 2.701%, 8/16/2018(a)		250,073
	500,000	Toronto-Dominion Bank (NY), 2.240%, 8/29/2018		500,103
	1,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.351%, 9/04/2018(a)(b)		1,000,555
	1,000,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 2.211%, 9/06/2018(a)(b)		1,000,302
	700,000	Skandinaviska Enskilda Banken (NY), 1-month LIBOR + 0.300%, 2.357%, 9/14/2018(a)(b)		700,333
	500,000	Credit Industriel et Commercial (NY), 2.250%, 9/20/2018		500,232
	250,000	Mizuho Bank Ltd. (NY), 3-month LIBOR + 0.500%, 2.835%, 9/24/2018(a)(b)		250,091
	1,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(b)		1,000,087
	750,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		750,040
	750,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		749,997
	500,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.294%, 11/20/2018(a)(b)		500,074
	500,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.261%, 1/03/2019(a)(b)		500,237
	500,000	Dexia Credit Local S.A. (NY), 3-month LIBOR + 0.100%, 2.431%, 5/17/2019(a)(b)		499,954
	500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.356%, 6/12/2019(a)(b)		499,993

				15,652,753

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Dynamic Allocation Fund – (continued)


Principal Amount		Description	Value (†)
		Commercial Paper — 7.1%
$	1,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.124%, 7/17/2018(c)	$	998,985
	1,000,000	Santander UK PLC, 2.335%, 7/18/2018(c)		998,964
	500,000	Swedbank (NY), 2.288%, 10/04/2018(b)(c)		497,005
	500,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.328%, 11/26/2018(a)(b)		500,076

				2,995,030

		Time Deposits — 4.1%
	1,750,000	National Bank of Kuwait, 1.900%, 7/02/2018(d)		1,750,000

		Other Notes — 2.4%
	500,000	Bank of America NA, 2.161%, 8/02/2018(d)		499,983
	500,000	Bank of America NA, 2.265%, 8/16/2018(d)		499,982

				999,965

		Treasuries — 1.1%
	125,000	U.S. Treasury Bills, 1.715%, 7/05/2018(c)(e)		124,983
	350,000	U.S. Treasury Bills, 1.855%, 8/02/2018(c)(e)		349,454

				474,437

		Total Short-Term Investments (Identified Cost $21,869,581)		21,872,185


		Total Investments — 97.5% (Identified Cost $39,706,657)		41,235,872
		Other assets less liabilities — 2.5%		1,037,703

		Net Assets — 100.0%	$	42,273,575


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2018 is disclosed.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of June 30, 2018 is disclosed.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

	ETF	Exchange-Traded Fund
	LIBOR	London Interbank Offered Rate
	SPDR	Standard & Poor’s Depositary Receipt

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Dynamic Allocation Fund – (continued)

At June 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		9/17/2018		7	$	663,722	$	670,139	$	6,417
ASX SPI 200™		9/20/2018		14		1,567,870		1,592,440		24,570
CAC 40^®		7/20/2018		26		1,640,876		1,615,453		(25,423	)
E-mini Dow		9/21/2018		25		3,123,555		3,033,125		(90,430	)
E-mini NASDAQ 100		9/21/2018		22		3,165,983		3,109,370		(56,613	)
E-mini Russell 2000		9/21/2018		37		3,113,085		3,047,875		(65,210	)
E-mini S&P 500^®		9/21/2018		22		3,034,950		2,993,760		(41,190	)
EURO STOXX 50^®		9/21/2018		41		1,652,589		1,623,604		(28,985	)
FTSE 100 Index		9/21/2018		16		1,611,844		1,605,133		(6,711	)
FTSE/JSE Top 40 Index		9/20/2018		5		187,774		188,394		620
German Euro Bund		9/06/2018		3		564,702		569,478		4,776
Hang Seng Index^®		7/30/2018		1		180,770		183,071		2,301
MSCI EAFE Index		9/21/2018		16		1,607,760		1,564,320		(43,440	)
MSCI Emerging Markets Index		9/21/2018		3		172,100		159,495		(12,605	)
MSCI Singapore		7/30/2018		7		188,797		188,037		(760	)
MSCI Taiwan Index		7/30/2018		5		193,320		193,800		480
TOPIX		9/13/2018		10		1,593,379		1,563,022		(30,357	)
UK Long Gilt		9/26/2018		4		641,742		649,634		7,892

Total									$	(354,668	)

At June 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
U.S. Dollar Index		9/17/2018		112	$	10,433,920	$	10,567,088	$	(133,168	)

Investment Summary at June 30, 2018 (Unaudited)


Exchange-Traded Funds	45.8	%
Certificates of Deposit	37.0
Commercial Paper	7.1
Time Deposits	4.1
Other Notes	2.4
Treasuries	1.1

Total Investments	97.5
Other assets less liabilities (including futures contracts)	2.5

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks — 7.9% of Net Assets
		Aerospace & Defense — 0.3%
	56,229	Arconic, Inc.	$	956,455
	29,140	AAR Corp.		1,354,719
	16,070	United Technologies Corp.		2,009,232

				4,320,406

		Airlines — 0.1%
	16,861	United Continental Holdings, Inc.(a)		1,175,718

		Banks — 0.4%
	57,526	Bank of America Corp.		1,621,658
	155,579	Investors Bancorp, Inc.		1,989,855
	28,025	Citigroup, Inc.		1,875,433

				5,486,946

		Beverages — 0.2%
	10,696	Constellation Brands, Inc., Class A		2,341,033

		Building Products — 0.1%
	26,416	Armstrong World Industries, Inc.(a)		1,669,491

		Capital Markets — 0.5%
	33,704	Bank of New York Mellon Corp. (The)		1,817,657
	3,359	BlackRock, Inc.		1,676,275
	31,638	Morgan Stanley		1,499,641
	28,005	Intercontinental Exchange, Inc.		2,059,768

				7,053,341

		Chemicals — 0.2%
	23,544	DowDuPont, Inc.		1,552,020
	97,931	Platform Specialty Products Corp.(a)		1,136,000
	53,680	Rayonier Advanced Materials, Inc.		917,391

				3,605,411

		Communications Equipment — 0.1%
	33,667	CommScope Holding Co., Inc.(a)		983,245

		Containers & Packaging — 0.1%
	41,344	Bemis Co., Inc.		1,745,130

		Diversified Telecommunication Services — 0.1%
	51,774	Zayo Group Holdings, Inc.(a)		1,888,716

		Electronic Equipment, Instruments & Components — 0.1%
	23,095	Itron, Inc.(a)		1,386,855

		Food & Staples Retailing — 0.1%
	31,030	Sysco Corp.		2,119,039

		Food Products — 0.1%
	53,284	Mondelez International, Inc., Class A		2,184,644

		Health Care Equipment & Supplies — 0.3%
	28,436	Baxter International, Inc.		2,099,714
	15,838	Zimmer Biomet Holdings, Inc.		1,764,987

				3,864,701

See accompanying notes to financial statements.

21 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Health Care Providers & Services — 0.1%
	24,197	MEDNAX, Inc.(a)	$	1,047,246

		Hotels, Restaurants & Leisure — 0.4%
	1,864	Chipotle Mexican Grill, Inc.(a)		804,074
	97,260	Wendy’s Co. (The)		1,670,927
	58,180	Bloomin’ Brands, Inc.		1,169,418
	19,493	Jack in the Box, Inc.		1,659,244

				5,303,663

		Household Durables — 0.1%
	35,384	Newell Brands, Inc.		912,553

		Household Products — 0.2%
	36,703	Procter & Gamble Co. (The)		2,865,036

		Industrial Conglomerates — 0.1%
	92,774	General Electric Co.		1,262,654

		Internet & Direct Marketing Retail — 0.1%
	2,851	Netflix, Inc.(a)		1,115,967

		Internet Software & Services — 0.4%
	1,476	Alphabet, Inc., Class A(a)		1,666,684
	44,057	Cars.com, Inc.(a)		1,250,778
	7,368	Facebook, Inc., Class A(a)		1,431,750
	7,144	IAC/InterActiveCorp(a)		1,089,389

				5,438,601

		IT Services — 0.6%
	7,054	Alliance Data Systems Corp.		1,644,993
	13,136	Automatic Data Processing, Inc.		1,762,063
	64,351	First Data Corp., Class A(a)		1,346,867
	22,035	Worldpay, Inc., Class A(a)		1,802,022
	20,002	DXC Technology Co.		1,612,361

				8,168,306

		Machinery — 0.3%
	25,325	Navistar International Corp.(a)		1,031,234
	30,651	Terex Corp.		1,293,166
	44,900	Trinity Industries, Inc.		1,538,274
	27,293	Titan International, Inc.		292,854

				4,155,528

		Media — 0.2%
	21,962	AMC Networks, Inc., Class A(a)		1,366,036
	47,241	Lions Gate Entertainment Corp.		1,172,522
	5,721	Loral Space & Communications, Inc.(a)		215,110

				2,753,668

		Metals & Mining — 0.1%
	52,072	Freeport-McMoRan, Inc.		898,763

See accompanying notes to financial statements.

| 22

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 0.4%
	24,335	CVR Energy, Inc.	$	900,152
	21,605	Cheniere Energy, Inc.(a)		1,408,430
	18,134	Energen Corp.(a)		1,320,518
	17,522	Hess Corp.		1,172,046
	28,759	Peabody Energy Corp.		1,307,959

				6,109,105

		Real Estate Management & Development — 0.3%
	44,586	CBRE Group, Inc., Class A(a)		2,128,536
	16,903	Howard Hughes Corp. (The)(a)		2,239,647

				4,368,183

		REITs – Diversified — 0.2%
	107,548	Forest City Realty Trust, Inc., Class A		2,453,170

		REITs – Regional Malls — 0.1%
	24,621	Macerich Co. (The)		1,399,211

		Semiconductors & Semiconductor Equipment — 0.2%
	20,089	Xilinx, Inc.		1,311,008
	44,534	ON Semiconductor Corp.(a)		990,214

				2,301,222

		Software — 1.1%
	16,378	Dell Technologies, Inc., Class V(a)		1,385,251
	31,548	CDK Global, Inc.		2,052,198
	20,500	Citrix Systems, Inc.(a)		2,149,220
	25,760	Fortinet, Inc.(a)		1,608,197
	16,848	Microsoft Corp.		1,661,381
	45,028	Open Text Corp.		1,584,535
	13,851	salesforce.com, inc.(a)		1,889,276
	8,547	Autodesk, Inc.(a)		1,120,426
	7,669	ServiceNow, Inc.(a)		1,322,673

				14,773,157

		Specialty Retail — 0.2%
	6,603	Advance Auto Parts, Inc.		896,027
	14,089	Lowe’s Cos., Inc.		1,346,486
	8,992	Tiffany & Co.		1,183,347

				3,425,860

		Trading Companies & Distributors — 0.1%
	40,998	HD Supply Holdings, Inc.(a)		1,758,404

		Total Common Stocks (Identified Cost $107,073,012)		110,334,973


	Exchange-Traded Funds — 3.9%
	634,655	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $54,816,167)		53,996,447

See accompanying notes to financial statements.

23 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 85.6%
		Certificates of Deposit — 56.0%
$	17,000,000	Norinchukin Bank (NY), 2.300%, 7/02/2018	$	17,000,481
	28,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.850%, 7/05/2018		28,000,283
	10,550,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.920%, 7/05/2018		10,550,017
	45,000,000	Landesbank Hessen (NY), 2.300%, 7/06/2018		45,002,844
	35,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018		34,998,882
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 2.226%, 7/10/2018(b)		25,001,775
	10,000,000	Landesbank Hessen (NY), 2.300%, 7/16/2018		10,001,447
	25,000,000	Banco Del Estado de Chile (NY), 2.260%, 7/19/2018		25,003,999
	40,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.295%, 7/19/2018(b)		40,005,840
	50,000,000	DNB Nor Bank ASA (NY), 2.230%, 8/08/2018		50,014,061
	50,000,000	DZ Bank (NY), 2.250%, 8/09/2018		50,008,483
	10,000,000	Toronto-Dominion Bank (NY), 2.240%, 8/29/2018		10,002,060
	25,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.351%, 9/04/2018(b)(c)		25,013,875
	15,000,000	Sumitomo Mitsui Bank (NY), 2.270%, 9/05/2018		15,003,068
	50,000,000	Mizuho Bank Ltd. (NY), 2.280%, 9/05/2018		50,014,169
	50,000,000	Credit Industriel et Commercial (NY), 2.250%, 9/20/2018		50,023,159
	50,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(c)		50,004,352
	60,000,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		60,003,198
	60,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		59,999,797
	30,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.294%, 11/20/2018(b)(c)		30,004,440
	20,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.261%, 1/03/2019(b)(c)		20,009,480
	50,000,000	Dexia Credit Local S.A. (NY), 3-month LIBOR + 0.100%, 2.431%, 5/17/2019(b)(c)		49,995,432
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.356%, 6/12/2019(b)(c)		24,999,650

				780,660,792

		Commercial Paper — 15.0%
	40,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.103%, 7/10/2018(d)		39,975,617
	10,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.124%, 7/17/2018(d)		9,989,850
	60,000,000	Santander UK PLC, 2.335%, 7/18/2018(d)		59,937,838
	50,000,000	Swedbank (NY), 2.288%, 10/04/2018(c)(d)		49,700,512
	50,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.328%, 11/26/2018(b)(c)		50,007,550

				209,611,367

		Time Deposits — 12.4%
	50,000,000	Skandinaviska Enskilda Banken (NY), 1.870%, 7/02/2018(e)		50,000,000
	60,000,000	Canadian Imperial Bank of Commerce, 1.880%, 7/02/2018		60,000,000
	62,550,000	National Bank of Kuwait, 1.900%, 7/02/2018(e)		62,550,000

				172,550,000

See accompanying notes to financial statements.

| 24

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — 2.2%
$	7,100,000	U.S. Treasury Bills, 1.673%, 7/05/2018(d)(f)	$	7,099,018
	14,300,000	U.S. Treasury Bills, 1.808%, 8/02/2018(d)(f)		14,277,717
	9,000,000	U.S. Treasury Bills, 1.905%, 9/06/2018(d)(f)		8,969,021

				30,345,756

		Total Short-Term Investments (Identified Cost $1,193,049,511)		1,193,167,915


		Total Investments — 97.4% (Identified Cost $1,354,938,690)		1,357,499,335
		Other assets less liabilities — 2.6%		35,710,426

		Net Assets — 100.0%	$	1,393,209,761


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Variable rate security. Rate as of June 30, 2018 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)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of June 30, 2018 is disclosed.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

	ETF	Exchange-Traded Fund
	LIBOR	London Interbank Offered Rate
	REITs	Real Estate Investment Trusts

	CHF	Swiss Franc
	SEK	Swedish Krona

At June 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)			Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		9/19/2018		CHF	S		13,875,000	$	14,215,999	$	14,104,692	$	111,307
UBS AG		9/19/2018		SEK	B		82,000,000		9,584,952		9,209,305		(375,647	)
UBS AG		9/19/2018		SEK	S		22,000,000		2,502,067		2,470,789		31,278
UBS AG		9/19/2018		SEK	S		60,000,000		6,697,001		6,738,516		(41,515	)

Total												$	(274,577	)

See accompanying notes to financial statements.

25 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		9/28/2018		370	$	78,214,531	$	78,376,407	$	161,876
5 Year U.S. Treasury Note		9/28/2018		93		10,550,007		10,566,398		16,391
10 Year Australia Government Bond		9/17/2018		251		24,055,580		24,029,261		(26,319	)
Australian Dollar		9/17/2018		397		30,209,715		29,370,060		(839,655	)
British Pound		9/17/2018		280		23,527,800		23,163,000		(364,800	)
DAX		9/21/2018		203		75,977,420		72,947,373		(3,030,047	)
E-mini Russell 2000		9/21/2018		227		19,104,773		18,699,125		(405,648	)
E-mini S&P 500^®		9/21/2018		1,405		193,668,203		191,192,400		(2,475,803	)
Euro-BTP		9/06/2018		175		25,930,836		26,003,403		72,567
Euro-OAT		9/06/2018		274		48,837,548		49,449,277		611,729
FTSE 100 Index		9/21/2018		427		43,210,339		42,836,995		(373,344	)
German Euro Bund		9/06/2018		892		167,398,573		169,324,696		1,926,123
Hang Seng Index^®		7/30/2018		65		11,750,147		11,899,600		149,453
MSCI Emerging Markets Index		9/21/2018		254		14,556,860		13,503,910		(1,052,950	)
TOPIX		9/13/2018		509		81,469,808		79,557,829		(1,911,979	)

Total									$	(7,542,406	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/19/2018		139	$	7,941,244	$	7,407,831	$	(533,413	)
Brent Crude Oil		7/31/2018		213		15,992,630		16,875,990		883,360
Copper LME		9/19/2018		177		30,321,206		29,328,900		(992,306	)
Gold		8/29/2018		817		105,347,880		102,492,650		(2,855,230	)
Low Sulfur Gasoil		8/10/2018		93		6,203,100		6,293,775		90,675
Natural Gas		7/27/2018		182		5,383,560		5,321,680		(61,880	)
Nickel LME		9/19/2018		105		9,661,050		9,383,535		(277,515	)
Soybean Meal		12/14/2018		138		5,052,860		4,552,620		(500,240	)
WTI Crude Oil		8/21/2018		1,121		79,245,150		81,227,660		1,982,510
Zinc LME		9/19/2018		115		8,941,250		8,213,875		(727,375	)

Total									$	(2,991,414	)

See accompanying notes to financial statements.

| 26

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Canada Government Bond		9/19/2018		587	$	60,510,387	$	61,041,928	$	(531,541	)
10 Year U.S. Treasury Note		9/19/2018		3,509		419,278,501		421,737,938		(2,459,437	)
30 Year U.S. Treasury Bond		9/19/2018		224		31,789,898		32,480,000		(690,102	)
Canadian Dollar		9/18/2018		109		8,245,440		8,301,440		(56,000	)
Euro		9/17/2018		326		47,517,725		47,826,238		(308,513	)
Eurodollar		12/17/2018		2,874		699,603,450		699,531,600		71,850
Japanese Yen		9/17/2018		229		26,104,569		25,955,719		148,850
UK Long Gilt		9/26/2018		53		8,602,754		8,607,650		(4,896	)

Total									$	(3,829,789	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/19/2018		27	$	1,561,815	$	1,438,931	$	122,884
Copper LME		9/19/2018		12		2,153,640		1,988,400		165,240
Corn		12/14/2018		323		6,879,901		5,995,688		884,213
New York Harbor ULSD		7/31/2018		125		11,295,644		11,600,925		(305,281	)
Soybean Oil		12/14/2018		239		4,519,446		4,264,716		254,730
Wheat		12/14/2018		57		1,588,875		1,472,738		116,137

Total									$	1,237,923

¹ 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, 2018 (Unaudited)


Certificates of Deposit	56.0	%
Commercial Paper	15.0
Time Deposits	12.4
Common Stocks	7.9
Exchange-Traded Funds	3.9
Treasuries	2.2

Total Investments	97.4
Other assets less liabilities (including forward foreign currency and futures contracts)	2.6

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 91.9% of Net Assets
		Certificates of Deposit — 60.3%
$	18,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.850%, 7/05/2018	$	18,000,182
	50,000,000	Nordea Bank AB (NY), 1.900%, 7/05/2018		49,999,832
	30,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.920%, 7/05/2018		30,000,050
	50,000,000	Landesbank Hessen (NY), 2.300%, 7/06/2018		50,003,160
	30,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018		29,999,042
	50,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 2.226%, 7/10/2018(a)		50,003,550
	40,500,000	Swedbank (NY), 1-month LIBOR + 0.150%, 2.196%, 7/11/2018(a)		40,502,714
	50,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.120%, 7/16/2018		50,004,408
	50,000,000	Landesbank Hessen (NY), 2.300%, 7/16/2018		50,007,233
	25,000,000	DNB Nor Bank ASA (NY), 2.230%, 7/19/2018		25,004,086
	26,500,000	Banco Del Estado de Chile (NY), 2.260%, 7/19/2018		26,504,239
	100,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.295%, 7/19/2018(a)		100,014,600
	75,000,000	Mizuho Bank Ltd. (NY), 2.030%, 7/23/2018		74,999,794
	100,000,000	DNB Nor Bank ASA (NY), 2.230%, 8/08/2018		100,028,122
	100,000,000	DZ Bank (NY), 2.250%, 8/09/2018		100,016,966
	35,000,000	Toronto-Dominion Bank (NY), 2.240%, 8/29/2018		35,007,210
	75,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.351%, 9/04/2018(a)(b)		75,041,625
	30,000,000	Sumitomo Mitsui Bank (NY), 2.270%, 9/05/2018		30,006,137
	50,000,000	Mizuho Bank Ltd. (NY), 2.280%, 9/05/2018		50,014,169
	50,000,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 2.211%, 9/06/2018(a)(b)		50,015,100
	41,000,000	Skandinaviska Enskilda Banken (NY), 1-month LIBOR + 0.300%, 2.357%, 9/14/2018(a)(b)		41,019,516
	75,000,000	Credit Industriel et Commercial (NY), 2.250%, 9/20/2018		75,034,739
	100,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(b)		100,008,703
	125,000,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		125,006,662
	120,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		119,999,593
	100,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.294%, 11/20/2018(a)(b)		100,014,800
	60,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.261%, 1/03/2019(a)(b)		60,028,440
	36,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.250%, 2.587%, 3/27/2019(a)(b)		36,031,474
	100,000,000	Dexia Credit Local S.A. (NY), 3-month LIBOR + 0.100%, 2.431%, 5/17/2019(a)(b)		99,990,864
	35,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.356%, 6/12/2019(a)(b)		34,999,510

				1,827,306,520

		Commercial Paper — 12.3%
	4,700,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.103%, 7/10/2018(c)		4,697,135
	39,300,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.103%, 7/12/2018(c)		39,271,503
	27,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.124%, 7/17/2018(c)		26,972,595
	100,000,000	Santander UK PLC, 2.335%, 7/18/2018(c)		99,896,397

See accompanying notes to financial statements.

| 28

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Principal Amount		Description	Value (†)
		Commercial Paper — continued
$	50,400,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.124%, 7/19/2018(c)	$	50,342,964
	50,000,000	Swedbank (NY), 2.288%, 10/04/2018(b)(c)		49,700,512
	100,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.328%, 11/26/2018(a)(b)		100,015,100

				370,896,206

		Time Deposits — 12.2%
	89,000,000	Skandinaviska Enskilda Banken (NY), 1.870%, 7/02/2018(d)		89,000,000
	140,000,000	Canadian Imperial Bank of Commerce, 1.880%, 7/02/2018		140,000,000
	140,500,000	National Bank of Kuwait, 1.900%, 7/02/2018(d)		140,500,000

				369,500,000

		Treasuries — 4.2%
	50,250,000	U.S. Treasury Bills, 1.673%, 7/05/2018(c)(e)		50,243,049
	26,600,000	U.S. Treasury Bills, 1.807%-1.855%, 8/02/2018(c)(e)(f)		26,558,550
	33,100,000	U.S. Treasury Bills, 1.860%-1.905%, 9/06/2018(c)(e)(f)		32,986,067
	17,750,000	U.S. Treasury Bills, 1.950%, 10/04/2018(c)(e)		17,661,264

				127,448,930

		Other Notes — 2.9%
	38,500,000	Bank of America NA, 2.161%, 8/02/2018(d)		38,498,714
	50,000,000	Bank of America NA, 2.265%, 8/16/2018(d)		49,998,196

				88,496,910

		Total Short-Term Investments (Identified Cost $2,783,327,876)		2,783,648,566


		Total Investments — 91.9% (Identified Cost $2,783,327,876)		2,783,648,566
		Other assets less liabilities — 8.1%		245,887,557

		Net Assets — 100.0%	$	3,029,536,123


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2018 is disclosed.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of June 30, 2018 is disclosed.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(f)	The Fund’s investment in U.S. Government/Agency securities 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.

See accompanying notes to financial statements.

29 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


	LIBOR			London Interbank Offered Rate

	CHF			Swiss Franc
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PLN			Polish Zloty
	SGD			Singapore Dollar
	SEK			Swedish Krona
	TRY			Turkish Lira
	ZAR			South African Rand

At June 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		9/19/2018	CHF		B	13,125,000	$	13,229,727	$	13,342,277	$	112,550
UBS AG		9/19/2018	CHF		B	10,500,000		10,765,245		10,673,821		(91,424	)
UBS AG		9/19/2018	CHF		S	312,125,000		319,795,945		317,292,046		2,503,899
UBS AG		9/19/2018	CHF		S	53,500,000		54,032,512		54,385,661		(353,149	)
UBS AG		9/19/2018	MXN		B	665,000,000		32,861,982		33,080,020		218,038
UBS AG		9/19/2018	MXN		B	381,000,000		19,223,107		18,952,613		(270,494	)
UBS AG		9/19/2018	MXN		S	3,035,000,000		145,066,596		150,974,227		(5,907,631	)
UBS AG		9/19/2018	NOK		B	62,000,000		7,773,926		7,636,097		(137,829	)
UBS AG		9/19/2018	NOK		S	334,000,000		41,829,973		41,136,392		693,581
UBS AG		9/19/2018	NOK		S	514,000,000		62,867,893		63,305,705		(437,812	)
UBS AG		9/19/2018	NZD		B	10,800,000		7,588,880		7,315,386		(273,494	)
UBS AG		9/19/2018	NZD		S	420,800,000		293,811,623		285,029,095		8,782,528
UBS AG		9/19/2018	NZD		S	73,000,000		49,289,878		49,446,587		(156,709	)
UBS AG		9/19/2018	PLN		S	453,000,000		122,820,942		121,089,166		1,731,776
UBS AG		9/19/2018	PLN		S	66,500,000		17,687,595		17,775,783		(88,188	)
UBS AG		9/19/2018	SEK		B	220,000,000		25,709,014		24,707,891		(1,001,123	)
UBS AG		9/19/2018	SEK		S	2,926,000,000		339,300,302		328,614,952		10,685,350
UBS AG		9/19/2018	SGD		B	87,625,000		65,793,623		64,418,354		(1,375,269	)
UBS AG		9/19/2018	SGD		S	232,000,000		171,547,947		170,557,013		990,934
UBS AG		9/19/2018	SGD		S	37,125,000		27,234,894		27,292,798		(57,904	)
UBS AG		9/19/2018	TRY		B	48,000,000		9,990,802		10,108,106		117,304
UBS AG		9/19/2018	TRY		B	44,700,000		9,495,080		9,413,173		(81,907	)
UBS AG		9/19/2018	TRY		S	361,800,000		76,266,363		76,189,846		76,517
UBS AG		9/19/2018	TRY		S	72,300,000		14,627,987		15,225,334		(597,347	)
UBS AG		9/19/2018	ZAR		S	432,500,000		32,078,348		31,214,280		864,068
UBS AG		9/19/2018	ZAR		S	299,000,000		21,407,488		21,579,352		(171,864	)

Total											$	15,774,401

See accompanying notes to financial statements.

| 30

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		9/17/2018		3,505	$	335,245,607	$	335,548,047	$	302,440
10 Year Canada Government Bond		9/19/2018		669		70,102,194		69,569,079		(533,115	)
3 Year Australia Government Bond		9/17/2018		1,659		136,751,766		136,701,239		(50,527	)
AEX-Index^®		7/20/2018		797		103,956,810		102,678,863		(1,277,947	)
ASX SPI 200™		9/20/2018		1,906		214,547,293		216,799,284		2,251,991
CAC 40^®		7/20/2018		1,559		98,554,474		96,865,035		(1,689,439	)
DAX		9/21/2018		121		45,361,031		43,480,946		(1,880,085	)
E-mini Dow		9/21/2018		935		117,285,160		113,438,875		(3,846,285	)
E-mini NASDAQ 100		9/21/2018		1,036		150,028,762		146,423,060		(3,605,702	)
E-mini Russell 2000		9/21/2018		2,351		197,865,680		193,663,625		(4,202,055	)
E-mini S&P 500^®		9/21/2018		910		125,450,490		123,832,800		(1,617,690	)
E-mini S&P MidCap 400^®		9/21/2018		823		165,181,070		160,987,030		(4,194,040	)
Euribor		9/17/2018		3,275		959,092,929		959,100,286		7,357
Euro Schatz		9/06/2018		6,601		863,467,385		864,023,801		556,416
EURO STOXX 50^®		9/21/2018		2,054		82,979,793		81,338,602		(1,641,191	)
Euro-Buxl^® 30 Year Bond		9/06/2018		1,276		260,794,945		264,793,048		3,998,103
Euro-OAT		9/06/2018		3,634		650,353,388		655,834,574		5,481,186
FTSE 100 Index		9/21/2018		1,463		148,009,427		146,769,376		(1,240,051	)
FTSE MIB		9/21/2018		179		23,047,730		22,542,464		(505,266	)
FTSE/JSE Top 40 Index		9/20/2018		273		10,252,501		10,286,334		33,833
German Euro BOBL		9/06/2018		3,302		506,983,245		509,657,519		2,674,274
German Euro Bund		9/06/2018		3,371		635,244,449		639,903,084		4,658,635
Hang Seng China Enterprises Index		7/30/2018		202		13,958,690		13,992,161		33,471
Hang Seng Index^®		7/30/2018		314		56,768,743		57,484,220		715,477
Japanese Yen		9/17/2018		642		73,190,476		72,766,688		(423,788	)
MSCI EAFE Index		9/21/2018		821		82,578,860		80,269,170		(2,309,690	)
MSCI Singapore		7/30/2018		674		18,178,235		18,105,248		(72,987	)
MSCI Taiwan Index		7/30/2018		924		35,722,390		35,814,240		91,850
Nikkei 225™		9/13/2018		482		97,445,061		97,039,967		(405,094	)
OMXS30^®		7/20/2018		3,608		63,189,455		62,880,933		(308,522	)
S&P/TSX 60 Index		9/20/2018		1,511		218,911,296		221,434,800		2,523,504
Sterling		9/19/2018		3,518		576,027,128		575,630,329		(396,799	)
TOPIX		9/13/2018		575		92,061,512		89,873,775		(2,187,737	)
UK Long Gilt		9/26/2018		2,206		357,914,187		358,273,133		358,946

Total									$	(8,700,527	)

See accompanying notes to financial statements.

31 |

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/19/2018		848	$	48,568,090	$	45,193,100	$	(3,374,990	)
Brent Crude Oil		7/31/2018		1,046		78,408,160		82,874,580		4,466,420
Cocoa		9/13/2018		437		10,724,700		10,977,440		252,740
Copper		9/26/2018		512		39,847,288		37,964,800		(1,882,488	)
Copper LME		9/19/2018		552		95,284,695		91,466,400		(3,818,295	)
Cotton		12/06/2018		769		34,982,815		32,267,240		(2,715,575	)
Gasoline		7/31/2018		807		70,688,957		72,912,773		2,223,816
Low Sulfur Gasoil		8/10/2018		1,197		79,839,900		81,006,975		1,167,075
New York Harbor ULSD		7/31/2018		771		69,531,298		71,554,505		2,023,207
Nickel LME		9/19/2018		468		42,825,504		41,823,756		(1,001,748	)
WTI Crude Oil		8/21/2018		972		68,737,970		70,431,120		1,693,150
Zinc LME		9/19/2018		408		31,865,748		29,141,400		(2,724,348	)

Total									$	(3,691,036	)

At June 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		9/19/2018		1,492	$	177,415,453	$	179,319,750	$	(1,904,297	)
2 Year U.S. Treasury Note		9/28/2018		5,136		1,086,589,013		1,087,949,255		(1,360,242	)
30 Year U.S. Treasury Bond		9/19/2018		412		58,338,101		59,740,000		(1,401,899	)
5 Year U.S. Treasury Note		9/28/2018		2,754		311,439,984		312,901,736		(1,461,752	)
Australian Dollar		9/17/2018		3,293		246,023,210		243,616,140		2,407,070
British Pound		9/17/2018		2,624		218,432,056		217,070,400		1,361,656
Canadian Dollar		9/18/2018		5,298		402,526,320		403,495,680		(969,360	)
Euro		9/17/2018		1,452		214,319,094		213,017,475		1,301,619
Euro-BTP		9/06/2018		396		57,610,961		58,841,986		(1,231,025	)
Eurodollar		12/17/2018		16,967		4,129,591,113		4,129,767,800		(176,687	)
IBEX 35		7/20/2018		402		45,409,869		45,076,188		333,681
MSCI Emerging Markets Index		9/21/2018		76		3,946,325		4,040,540		(94,215	)
Short-Term Euro-BTP		9/06/2018		411		52,671,518		53,117,816		(446,298	)
Ultra Long U.S. Treasury Bond		9/19/2018		129		20,185,508		20,583,563		(398,055	)

Total									$	(4,039,804	)

See accompanying notes to financial statements.

| 32

Consolidated Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/19/2018		58	$	3,127,723	$	3,091,038	$	36,685
Coffee		9/18/2018		1,300		58,224,600		56,111,250		2,113,350
Copper LME		9/19/2018		227		37,927,690		37,613,900		313,790
Corn		12/14/2018		5,020		99,049,550		93,183,750		5,865,800
Gold		8/29/2018		297		37,291,640		37,258,650		32,990
Live Cattle		8/31/2018		1,314		54,723,060		56,094,660		(1,371,600	)
Natural Gas		7/27/2018		707		20,826,180		20,672,680		153,500
Nickel LME		9/19/2018		72		6,727,752		6,434,424		293,328
Silver		9/26/2018		374		30,464,325		30,290,260		174,065
Soybean		11/14/2018		2,108		102,646,438		92,752,000		9,894,438
Soybean Meal		12/14/2018		1,221		42,050,490		40,280,790		1,769,700
Soybean Oil		12/14/2018		1,628		30,788,766		29,050,032		1,738,734
Sugar		9/28/2018		3,942		54,354,126		54,084,240		269,886
Wheat		12/14/2018		841		22,513,950		21,729,338		784,612
Zinc LME		9/19/2018		102		7,361,084		7,285,350		75,734

Total									$	22,145,012

¹ 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, 2018 (Unaudited)


Certificates of Deposit	60.3	%
Commercial Paper	12.3
Time Deposits	12.2
Treasuries	4.2
Other Notes	2.9

Total Investments	91.9
Other assets less liabilities (including forward foreign currency and futures contracts)	8.1

Net Assets	100.0	%

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks — 57.6% of Net Assets
		Aerospace & Defense — 1.3%
	5,281	Boeing Co. (The)	$	1,771,829
	1,259	Northrop Grumman Corp.		387,394

				2,159,223

		Air Freight & Logistics — 0.4%
	1,090	FedEx Corp.		247,495
	3,416	United Parcel Service, Inc., Class B		362,882

				610,377

		Auto Components — 0.0%
	1,474	BorgWarner, Inc.		63,618

		Banks — 2.5%
	30,742	Bank of America Corp.		866,617
	11,816	Citizens Financial Group, Inc.		459,642
	13,360	Fifth Third Bancorp		383,432
	13,751	JPMorgan Chase & Co.		1,432,854
	5,477	U.S. Bancorp		273,960
	10,983	Wells Fargo & Co.		608,898

				4,025,403

		Beverages — 1.7%
	9,472	Brown-Forman Corp., Class B		464,223
	11,383	Coca-Cola Co. (The)		499,258
	3,086	Constellation Brands, Inc., Class A		675,433
	4,854	Dr Pepper Snapple Group, Inc.(a)		592,188
	7,295	Molson Coors Brewing Co., Class B		496,352

				2,727,454

		Biotechnology — 1.0%
	4,979	AbbVie, Inc.		461,304
	3,256	Amgen, Inc.		601,025
	4,390	Celgene Corp.(a)		348,654
	1,644	Gilead Sciences, Inc.		116,461

				1,527,444

		Building Products — 0.3%
	8,594	Fortune Brands Home & Security, Inc.		461,412

		Capital Markets — 3.3%
	3,508	Ameriprise Financial, Inc.		490,699
	12,605	Bank of New York Mellon Corp. (The)		679,788
	1,620	BlackRock, Inc.		808,445
	4,308	CME Group, Inc.		706,167
	8,480	Intercontinental Exchange, Inc.		623,704
	3,257	Moody’s Corp.		555,514
	15,085	Morgan Stanley		715,029
	3,428	S&P Global, Inc.		698,935

				5,278,281

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares			Description	Value (†)
			Chemicals — 0.9%
	1,432		Air Products & Chemicals, Inc.	$	223,005
	2,034		Albemarle Corp.		191,867
	5,565		DowDuPont, Inc.		366,845
	1,961		Ecolab, Inc.		275,187
	387		International Flavors & Fragrances, Inc.		47,973
	1,333	��	PPG Industries, Inc.		138,272
	418		Sherwin-Williams Co. (The)		170,364

					1,413,513

			Commercial Services & Supplies — 0.8%
	3,034		Cintas Corp.		561,502
	7,957		Waste Management, Inc.		647,223

					1,208,725

			Communications Equipment — 1.3%
	49,074		Cisco Systems, Inc.		2,111,654

			Construction & Engineering — 0.2%
	7,965		Fluor Corp.		388,533

			Consumer Finance — 0.5%
	7,880		American Express Co.		772,240

			Containers & Packaging — 0.1%
	3,740		WestRock Co.		213,255

			Distributors — 0.0%
	1,599		LKQ Corp.(a)		51,008

			Diversified Financial Services — 0.8%
	6,726		Berkshire Hathaway, Inc., Class B(a)		1,255,408

			Diversified Telecommunication Services — 0.9%
	23,097		AT&T, Inc.		741,645
	13,205		Verizon Communications, Inc.		664,343

					1,405,988

			Electric Utilities — 1.0%
	3,056		Alliant Energy Corp.		129,330
	2,699		American Electric Power Co., Inc.		186,906
	3,845		Duke Energy Corp.		304,062
	5,881		Exelon Corp.		250,530
	2,354		NextEra Energy, Inc.		393,189
	2,616		PPL Corp.		74,687
	4,944		Southern Co. (The)		228,957

					1,567,661

			Electrical Equipment — 0.1%
	2,973		Emerson Electric Co.		205,553

			Energy Equipment & Services — 0.3%
	9,934		Halliburton Co.		447,626
	940		Schlumberger Ltd.		63,008

					510,634

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares			Description	Value (†)
			Food & Staples Retailing — 1.2%
	5,413		Costco Wholesale Corp.	$	1,131,209
	10,320		Sysco Corp.		704,753
	1,105	��	Walmart, Inc.		94,643

					1,930,605

			Food Products — 0.6%
	13,459		Archer-Daniels-Midland Co.		616,826
	6,505		Mondelez International, Inc., Class A		266,705

					883,531

			Health Care Equipment & Supplies — 2.2%
	16,084		Abbott Laboratories		980,963
	3,146		Becton Dickinson and Co.		753,656
	7,263		Danaher Corp.		716,713
	3,626		Medtronic PLC		310,422
	4,086		Stryker Corp.		689,962

					3,451,716

			Health Care Providers & Services — 2.0%
	2,334		Aetna, Inc.		428,289
	4,661		Centene Corp.(a)		574,282
	1,750		McKesson Corp.		233,450
	2,394		Quest Diagnostics, Inc.		263,196
	6,762		UnitedHealth Group, Inc.		1,658,989

					3,158,206

			Hotels, Restaurants & Leisure — 1.1%
	581		Chipotle Mexican Grill, Inc.(a)		250,626
	1,812		Marriott International, Inc., Class A		229,399
	5,058		McDonald’s Corp.		792,538
	575		Royal Caribbean Cruises Ltd.		59,570
	7,955		Starbucks Corp.		388,602

					1,720,735

			Household Durables — 0.3%
	3,600		Garmin Ltd.		219,600
	1,718		Lennar Corp., Class A		90,195
	7,988		Newell Brands, Inc.		206,011

					515,806

			Household Products — 0.4%
	7,196		Procter & Gamble Co. (The)		561,720

			Industrial Conglomerates — 1.2%
	1,475		3M Co.		290,162
	92,737		General Electric Co.		1,262,151
	2,565		Honeywell International, Inc.		369,488

					1,921,801

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Insurance — 1.0%
	4,030	Aon PLC	$	552,795
	3,465	Assurant, Inc.		358,593
	2,487	Lincoln National Corp.		154,816
	8,690	Loews Corp.		419,553
	2,017	Torchmark Corp.		164,204

				1,649,961

		Internet & Direct Marketing Retail — 3.3%
	2,125	Amazon.com, Inc.(a)		3,612,075
	326	Booking Holdings, Inc.(a)		660,831
	2,744	Netflix, Inc.(a)		1,074,084

				5,346,990

		Internet Software & Services — 1.9%
	679	Alphabet, Inc., Class A(a)		766,720
	705	Alphabet, Inc., Class C(a)		786,533
	6,971	eBay, Inc.(a)		252,769
	6,422	Facebook, Inc., Class A(a)		1,247,923

				3,053,945

		IT Services — 2.8%
	3,160	Accenture PLC, Class A		516,944
	7,974	Automatic Data Processing, Inc.		1,069,632
	1,694	International Business Machines Corp.		236,652
	3,853	Paychex, Inc.		263,353
	18,056	Visa, Inc., Class A		2,391,517

				4,478,098

		Life Sciences Tools & Services — 0.6%
	4,031	Thermo Fisher Scientific, Inc.		834,981
	495	Waters Corp.(a)		95,827

				930,808

		Machinery — 0.6%
	1,788	Caterpillar, Inc.		242,578
	1,299	Cummins, Inc.		172,767
	2,367	Deere & Co.		330,906
	1,418	Fortive Corp.		109,342
	1,153	Illinois Tool Works, Inc.		159,737

				1,015,330

		Media — 0.8%
	10,474	Comcast Corp., Class A		343,652
	1,872	Omnicom Group, Inc.		142,777
	10,166	Twenty-First Century Fox, Inc., Class A		505,149
	2,592	Walt Disney Co. (The)		271,667

				1,263,245

		Metals & Mining — 0.2%
	10,064	Newmont Mining Corp.		379,513

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Multi-Utilities — 0.6%
	3,336	CMS Energy Corp.	$	157,726
	7,422	Consolidated Edison, Inc.		578,768
	1,549	Sempra Energy		179,854

				916,348

		Multiline Retail — 0.2%
	3,143	Dollar General Corp.		309,900

		Oil, Gas & Consumable Fuels — 3.2%
	1,583	Apache Corp.		74,005
	13,450	Chevron Corp.		1,700,484
	2,478	Concho Resources, Inc.(a)		342,831
	5,578	EOG Resources, Inc.		694,071
	5,714	Exxon Mobil Corp.		472,719
	3,970	Hess Corp.		265,553
	6,599	ONEOK, Inc.		460,808
	4,755	Phillips 66		534,034
	4,843	Valero Energy Corp.		536,750

				5,081,255

		Pharmaceuticals — 3.0%
	4,078	Eli Lilly & Co.		347,976
	8,386	Johnson & Johnson		1,017,557
	20,965	Merck & Co., Inc.		1,272,575
	42,130	Pfizer, Inc.		1,528,476
	7,424	Zoetis, Inc.		632,451

				4,799,035

		Professional Services — 0.1%
	1,315	Equifax, Inc.		164,520

		REITs – Apartments — 0.2%
	2,278	AvalonBay Communities, Inc.		391,565

		REITs – Diversified — 0.8%
	4,568	American Tower Corp.		658,569
	1,003	Crown Castle International Corp.		108,143
	378	Equinix, Inc.		162,498
	1,348	SBA Communications Corp.(a)		222,582
	850	Vornado Realty Trust		62,832

				1,214,624

		REITs – Hotels — 0.2%
	16,212	Host Hotels & Resorts, Inc.		341,587

		REITs – Regional Malls — 0.1%
	871	Simon Property Group, Inc.		148,236

		REITs – Shopping Centers — 0.0%
	965	Regency Centers Corp.		59,907

		REITs – Storage — 0.2%
	1,563	Public Storage		354,582

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Shares		Description	Value (†)
		Road & Rail — 0.4%
	4,824	Union Pacific Corp.	$	683,464

		Semiconductors & Semiconductor Equipment — 2.5%
	2,568	Analog Devices, Inc.		246,322
	459	Broadcom, Inc.		111,372
	46,287	Intel Corp.		2,300,927
	799	Lam Research Corp.		138,107
	3,204	NVIDIA Corp.		759,028
	8,569	QUALCOMM, Inc.		480,892

				4,036,648

		Software — 4.8%
	6,202	Adobe Systems, Inc.(a)		1,512,110
	3,989	ANSYS, Inc.(a)		694,804
	6,248	Citrix Systems, Inc.(a)		655,040
	34,775	Microsoft Corp.		3,429,163
	9,722	salesforce.com, inc.(a)		1,326,081

				7,617,198

		Specialty Retail — 0.8%
	5,025	Home Depot, Inc. (The)		980,377
	2,431	Lowe’s Cos., Inc.		232,331
	1,150	TJX Cos., Inc. (The)		109,457

				1,322,165

		Technology Hardware, Storage & Peripherals — 1.8%
	15,435	Apple, Inc.		2,857,173

		Textiles, Apparel & Luxury Goods — 0.8%
	11,482	Hanesbrands, Inc.		252,834
	9,110	NIKE, Inc., Class B		725,885
	3,137	VF Corp.		255,728

				1,234,447

		Tobacco — 0.2%
	3,038	Philip Morris International, Inc.		245,288

		Water Utilities — 0.1%
	1,746	American Water Works Co., Inc.		149,073

		Total Common Stocks (Identified Cost $77,362,043)		92,146,409


	Exchange-Traded Funds — 10.1%
	59,641	SPDR^® S&P 500^® ETF Trust (Identified Cost $15,136,323)		16,179,410

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 31.1%
		Certificates of Deposit — 16.9%
$	4,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.850%, 7/05/2018	$	4,000,040
	1,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018		999,968
	2,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 2.226%, 7/10/2018(b)		2,000,142
	2,000,000	Swedbank (NY), 1-month LIBOR + 0.150%, 2.196%, 7/11/2018(b)		2,000,134
	1,000,000	Landesbank Hessen (NY), 2.300%, 7/16/2018		1,000,145
	1,500,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.295%, 7/19/2018(b)		1,500,219
	1,500,000	Sumitomo Mitsui Bank (NY), 2.270%, 9/05/2018(c)		1,500,307
	3,000,000	Mizuho Bank Ltd. (NY), 2.280%, 9/05/2018(c)		3,000,850
	2,500,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 2.211%, 9/06/2018(b)(c)		2,500,755
	2,500,000	BNP Paribas (NY), 2.310%, 10/04/2018(c)		2,500,218
	2,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.294%, 11/20/2018(b)(c)		2,000,296
	1,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.261%, 1/03/2019(b)(c)		1,000,474
	2,000,000	Dexia Credit Local S.A. (NY), 3-month LIBOR + 0.100%, 2.431%, 5/17/2019(b)(c)		1,999,817
	1,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.356%, 6/12/2019(b)(c)		999,986

				27,003,351

		Time Deposits — 5.8%
	1,850,000	Skandinaviska Enskilda Banken (NY), 1.870%, 7/02/2018(d)		1,850,000
	7,450,000	National Bank of Kuwait, 1.900%, 7/02/2018(d)		7,450,000

				9,300,000

		Commercial Paper — 3.8%
	2,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.328%, 11/26/2018(b)(c)		2,000,302
	4,000,000	Santander UK PLC, 2.335%, 7/18/2018(e)		3,995,856

				5,996,158

		Other Notes — 2.5%
	3,000,000	Bank of America NA, 2.161%, 8/02/2018(c)(d)		2,999,900
	1,000,000	Bank of America NA, 2.265%, 8/16/2018(c)(d)		999,964

				3,999,864

		Treasuries — 2.1%
	1,300,000	U.S. Treasury Bills, 1.673%, 7/05/2018(e)(f)		1,299,820
	2,100,000	U.S. Treasury Bills, 1.808%, 8/02/2018(e)(f)		2,096,728

				3,396,548

		Total Short-Term Investments (Identified Cost $49,692,054)		49,695,921


		Total Investments — 98.8% (Identified Cost $142,190,420)		158,021,740
		Other assets less liabilities — 1.2%		1,948,621

		Net Assets — 100.0%	$	159,970,361

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund – (continued)


	(†)			See Note 2 of Notes to Financial Statements.
	(a)			Non-income producing security.
	(b)			Variable rate security. Rate as of June 30, 2018 is disclosed.
	(c)			Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(d)			Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of June 30, 2018 is disclosed.
	(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.

	ETF			Exchange-Traded Fund
	LIBOR			London Interbank Offered Rate
	REITs			Real Estate Investment Trusts
	SPDR			Standard & Poor’s Depositary Receipt

At June 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/21/2018		605	$	83,213,000	$	82,328,400	$	(884,600	)

Industry Summary at June 30, 2018 (Unaudited)


Exchange-Traded Funds	10.1	%
Software	4.8
Internet & Direct Marketing Retail	3.3
Capital Markets	3.3
Oil, Gas & Consumable Fuels	3.2
Pharmaceuticals	3.0
IT Services	2.8
Semiconductors & Semiconductor Equipment	2.5
Banks	2.5
Health Care Equipment & Supplies	2.2
Health Care Providers & Services	2.0
Other Investments, less than 2% each	28.0
Short-Term Investments	31.1

Total Investments	98.8
Other assets less liabilities (including futures contracts)	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

41 |

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| 42

Statements of Assets and Liabilities

June 30, 2018 (Unaudited)


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
ASSETS
Investments at cost	$	39,706,657		$	1,354,938,690		$	2,783,327,876
Net unrealized appreciation		1,529,215			2,560,645			320,690

Investments at value		41,235,872			1,357,499,335			2,783,648,566
Cash		71,412			11,857,578			30,849,754
Due from brokers (including variation margin on futures contracts) (Note 2)		1,492,156			34,704,779			196,896,822
Receivable for Fund shares sold		18,342			1,233,861			4,032,109
Receivable for securities sold		—			1,854,866			—
Dividends and interest receivable		40,072			2,035,767			3,892,441
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			142,585			26,776,545
Unrealized appreciation on futures contracts (Note 2)		47,056			7,658,588			64,434,529
Prepaid expenses (Note 8)		49			1,593			3,623

TOTAL ASSETS		42,904,959			1,416,988,952			3,110,534,389

LIABILITIES
Payable for Fund shares redeemed		15,810			786,821			7,390,094
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			417,162			11,002,144
Unrealized depreciation on futures contracts (Note 2)		534,892			20,784,274			58,720,884
Management fees payable (Note 6)		10,489			1,312,974			3,136,617
Deferred Trustees’ fees (Note 6)		15,983			209,667			175,008
Administrative fees payable (Note 6)		1,630			62,731			149,581
Payable to distributor (Note 6d)		549			5,110			25,163
Other accounts payable and accrued expenses		52,031			200,452			398,775

TOTAL LIABILITIES		631,384			23,779,191			80,998,266

NET ASSETS	$	42,273,575		$	1,393,209,761		$	3,029,536,123

NET ASSETS CONSIST OF:
Paid-in capital	$	41,697,882		$	1,487,678,634		$	3,212,089,939
Undistributed net investment income		215,973			4,132,318			2,190,665
Accumulated net realized loss on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(690,655	)		(87,757,797	)		(206,775,992	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		1,050,375			(10,843,394	)		22,031,511

NET ASSETS	$	42,273,575		$	1,393,209,761		$	3,029,536,123

See accompanying notes to financial statements.

43 |

Statements of Assets and Liabilities (continued)

June 30, 2018 (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	$	285,946	$	41,633,119	$	199,305,848

Shares of beneficial interest		27,111		3,817,576		20,768,656

Net asset value and redemption price per share	$	10.55	$	10.91	$	9.60

Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.19	$	11.58	$	10.19

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	68,127	$	20,078,249	$	44,623,471

Shares of beneficial interest		6,548		1,975,738		4,881,133

Net asset value and offering price per share	$	10.40	$	10.16	$	9.14

Class N shares:
Net assets	$	—	$	14,425,143	$	13,719,979

Shares of beneficial interest		—		1,299,599		1,415,962

Net asset value, offering and redemption price per share	$	—	$	11.10	$	9.69

Class Y shares:
Net assets	$	41,919,502	$	1,317,073,250	$	2,771,886,825

Shares of beneficial interest		3,962,181		118,640,557		286,402,543

Net asset value, offering and redemption price per share	$	10.58	$	11.10	$	9.68

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 44

Statements of Assets and Liabilities (continued)

June 30, 2018 (Unaudited)


	ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	142,190,420
Net unrealized appreciation		15,831,320

Investments at value		158,021,740
Cash		463,038
Due from brokers (including variation margin on futures contracts) (Note 2)		1,448,600
Receivable for Fund shares sold		1,029,913
Dividends and interest receivable		206,006
Prepaid expenses (Note 8)		181

TOTAL ASSETS		161,169,478

LIABILITIES
Payable for Fund shares redeemed		122,720
Unrealized depreciation on futures contracts (Note 2)		884,600
Management fees payable (Note 6)		95,371
Deferred Trustees’ fees (Note 6)		40,514
Administrative fees payable (Note 6)		5,981
Payable to distributor (Note 6d)		1,313
Other accounts payable and accrued expenses		48,618

TOTAL LIABILITIES		1,199,117

NET ASSETS	$	159,970,361

NET ASSETS CONSIST OF:
Paid-in capital	$	146,709,781
Undistributed net investment income		563,731
Accumulated net realized loss on investments and futures contracts		(2,249,871	)
Net unrealized appreciation on investments and futures contracts		14,946,720

NET ASSETS	$	159,970,361

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	20,139,445

Shares of beneficial interest		1,428,148

Net asset value and redemption price per share	$	14.10

Offering price per share (100/94.25 of net asset value) (Note 1)	$	14.96

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,123,869

Shares of beneficial interest		155,132

Net asset value and offering price per share	$	13.69

Class Y shares:
Net assets	$	137,707,047

Shares of beneficial interest		9,711,861

Net asset value, offering and redemption price per share	$	14.18

See accompanying notes to financial statements.

45 |

Statements of Operations

For the Six Months Ended June 30, 2018 (Unaudited)


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
INVESTMENT INCOME
Interest	$	222,632		$	12,435,705		$	28,931,849
Dividends		200,786			1,462,134			—
Less net foreign taxes withheld		—			(1,663	)		—

		423,418			13,896,176			28,931,849

Expenses
Management fees (Note 6)		149,330			8,351,009			20,426,165
Service and distribution fees (Note 6)		505			169,178			570,077
Administrative fees (Note 6)		9,467			349,550			822,224
Trustees’ and directors’ fees and expenses (Note 6)		9,231			38,378			60,810
Transfer agent fees and expenses (Notes 6 and 7)		27,985			431,400			1,787,888
Audit and tax services fees		29,187			37,066			37,407
Custodian fees and expenses		9,318			59,985			175,615
Legal fees		541			16,492			35,152
Registration fees		23,967			48,049			100,322
Shareholder reporting expenses		5,504			66,275			212,137
Miscellaneous expenses (Note 8)		13,906			63,729			198,047

Total expenses		278,941			9,631,111			24,425,844
Less waiver and/or expense reimbursement (Note 6)		(86,029	)		(75,735	)		(98	)

Net expenses		192,912			9,555,376			24,425,746

Net investment income		230,506			4,340,800			4,506,103

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(130,921	)		1,202,123			(6,933	)
Futures contracts		(340,957	)		24,869,788			(189,064,307	)
Forward foreign currency contracts (Note 2e)		—			166,287			3,086,719
Foreign currency transactions (Note 2d)		8,905			(62,666	)		(391,023	)
Net change in unrealized appreciation (depreciation) on:
Investments		(408,242	)		1,743,522			162,967
Futures contracts		(705,715	)		(40,533,565	)		(52,934,688	)
Forward foreign currency contracts (Note 2e)		—			(699,537	)		14,125,210
Foreign currency translations (Note 2d)		5,206			(6,371	)		326,055

Net realized and unrealized loss on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(1,571,724	)		(13,320,419	)		(224,696,000	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,341,218	)	$	(8,979,619	)	$	(220,189,897	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 46

Statements of Operations (continued)

For the Six Months Ended June 30, 2018 (Unaudited)


	ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	532,759
Dividends		925,430

		1,458,189

Expenses
Management fees (Note 6)		639,440
Service and distribution fees (Note 6)		62,754
Administrative fees (Note 6)		35,473
Trustees’ and directors’ fees and expenses (Note 6)		11,243
Transfer agent fees and expenses (Notes 6 and 7)		86,296
Audit and tax services fees		21,035
Custodian fees and expenses		13,400
Legal fees		1,428
Registration fees		37,152
Shareholder reporting expenses		8,558
Miscellaneous expenses (Note 8)		7,879

Total expenses		924,658
Less waiver and/or expense reimbursement (Note 6)		(70,596	)

Net expenses		854,062

Net investment income		604,127

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss) on:
Investments		(2,733,283	)
Futures contracts		1,551,495
Net change in unrealized appreciation (depreciation) on:
Investments		2,450,972
Futures contracts		(1,847,645	)

Net realized and unrealized loss on investments and futures contracts		(578,461	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	25,666

See accompanying notes to financial statements.

47 |

Statements of Changes in Net Assets


	ASG Dynamic Allocation Fund						ASG Global Alternatives Fund (Consolidated*)
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income (loss)	$	230,506		$	315,097		$	4,340,800		$	(114,977	)
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(462,973	)		3,697,590			26,175,532			138,187,432
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(1,108,751	)		2,086,286			(39,495,951	)		21,328,833

Net increase (decrease) in net assets resulting from operations		(1,341,218	)		6,098,973			(8,979,619	)		159,401,288

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(85	)		(737	)		(34,354	)		(218,658	)
Class C		(22	)		(7	)		(17,484	)		—
Class N		—			—			(10,395	)		(81,222	)
Class Y		(16,837	)		(282,918	)		(967,023	)		(11,576,186	)
Net realized capital gains
Class A		(4,258	)		(10,625	)		—			—
Class C		(1,082	)		(1,246	)		—			—
Class Y		(841,442	)		(3,250,905	)		—			—

Total distributions		(863,726	)		(3,546,438	)		(1,029,256	)		(11,876,066	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		4,758,283			14,795,679			(241,232,015	)		(131,973,372	)

Net increase (decrease) in net assets		2,553,339			17,348,214			(251,240,890	)		15,551,850
NET ASSETS
Beginning of the period		39,720,236			22,372,022			1,644,450,651			1,628,898,801

End of the period	$	42,273,575		$	39,720,236		$	1,393,209,761		$	1,644,450,651

UNDISTRIBUTED NET INVESTMENT INCOME	$	215,973		$	2,411		$	4,132,318		$	820,774

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 48

Statements of Changes in Net Assets (continued)


	ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income (loss)	$	4,506,103		$	(11,995,451	)	$	604,127		$	536,023
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(186,375,544	)		179,814,183			(1,181,788	)		8,950,892
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(38,320,456	)		32,396,435			603,327			9,049,914

Net increase (decrease) in net assets resulting from operations		(220,189,897	)		200,215,167			25,666			18,536,829

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			—			(1,006	)		(63,940	)
Class C		—			—			(48	)		(356	)
Class N		—			(1	)		—			—
Class Y		—			(2,037,868	)		(2,451	)		(482,520	)
Net realized capital gains
Class A		(2,716,878	)		—			(864,203	)		(735,232	)
Class C		(613,755	)		—			(40,842	)		(101,305	)
Class N		(127,823	)		—			—			—
Class Y		(34,974,522	)		—			(2,106,601	)		(3,792,775	)

Total distributions		(38,432,978	)		(2,037,869	)		(3,015,151	)		(5,176,128	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(168,648,945	)		94,291,257			59,598,707			21,173,988

Net increase (decrease) in net assets		(427,271,820	)		292,468,555			56,609,222			34,534,689
NET ASSETS
Beginning of the period		3,456,807,943			3,164,339,388			103,361,139			68,826,450

End of the period	$	3,029,536,123		$	3,456,807,943		$	159,970,361		$	103,361,139

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	2,190,665		$	(2,315,438	)	$	563,731		$	(36,891	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

49 |

Financial Highlights

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Period Ended December 31, 2015*
Net asset value, beginning of the period	$	11.10		$	10.08		$	9.86		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.10			0.03			0.01
Net realized and unrealized gain (loss)		(0.39	)		1.99			0.21			(0.14	)

Total from Investment Operations		(0.34	)		2.09			0.24			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.07	)		(0.02	)		(0.01	)
Net realized capital gains		(0.21	)		(1.00	)		—			—

Total Distributions		(0.21	)		(1.07	)		(0.02	)		(0.01	)

Net asset value, end of the period	$	10.55		$	11.10		$	10.08		$	9.86

Total return(c)(d)		(3.12	)%(e)		20.79	%		2.41	%		(1.28	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	286		$	134		$	29		$	1
Net expenses(f)		1.15	%(g)		1.17	%(h)		1.17	%(i)		1.15	%(g)
Gross expenses		1.56	%(g)		1.74	%(h)		1.80	%(i)		3.96	%(g)
Net investment income		0.96	%(g)		0.90	%		0.31	%		1.19	%(g)
Portfolio turnover rate		24	%		8	%		115	%(j)		11	%

*	From commencement of Class 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)	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, if applicable, 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)	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 1.72%.

(i)	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%.

(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.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Period Ended December 31, 2015*
Net asset value, beginning of the period	$	10.99		$	10.01		$	9.85		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.00	)(b)		(0.07	)		(0.00	)(b)
Net realized and unrealized gain (loss)		(0.40	)		1.99			0.23			(0.14	)

Total from Investment Operations		(0.38	)		1.99			0.16			(0.14	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.01	)		(0.00	)(b)		(0.01	)
Net realized capital gains		(0.21	)		(1.00	)		—			—

Total Distributions		(0.21	)		(1.01	)		(0.00	)		(0.01	)

Net asset value, end of the period	$	10.40		$	10.99		$	10.01		$	9.85

Total return(c)(d)		(3.43	)%(e)		19.92	%		1.63	%		(1.37	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	68		$	15		$	9		$	8
Net expenses(f)		1.90	%(g)		1.92	%(h)		1.91	%(i)		1.90	%(g)
Gross expenses		2.31	%(g)		2.49	%(h)		2.51	%(i)		4.72	%(g)
Net investment income (loss)		0.34	%(g)		(0.02	)%		(0.75	)%		(0.16	)%(g)
Portfolio turnover rate		24	%		8	%		115	%(j)		11	%

*	From commencement of Class 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. Periods less than one year are not annualized.

(e)	Periods less than one year, if applicable, 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)	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 2.47%.

(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.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Period Ended December 31, 2015*
Net asset value, beginning of the period	$	11.12		$	10.09		$	9.86		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.11			0.03			0.01
Net realized and unrealized gain (loss)		(0.39	)		2.01			0.23			(0.14	)

Total from Investment Operations		(0.33	)		2.12			0.26			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.09	)		(0.03	)		(0.01	)
Net realized capital gains		(0.21	)		(1.00	)		—			—

Total Distributions		(0.21	)		(1.09	)		(0.03	)		(0.01	)

Net asset value, end of the period	$	10.58		$	11.12		$	10.09		$	9.86

Total return(c)		(2.93	)%(d)		21.19	%		2.57	%		(1.26	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,920		$	39,571		$	22,334		$	20,095
Net expenses(e)		0.90	%(f)		0.92	%(g)		0.91	%(h)		0.90	%(f)
Gross expenses		1.30	%(f)		1.50	%(g)		1.54	%(h)		3.72	%(f)
Net investment income		1.08	%(f)		0.95	%		0.32	%		1.39	%(f)
Portfolio turnover rate		24	%		8	%		115	%(i)		11	%

*	From commencement of Class 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)	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. Periods less than one year are not annualized.

(d)	Periods less than one year, if applicable, 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)	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 1.48%.

(h)	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%.

(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.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	11.04		$	10.02		$	10.48		$	11.12		$	11.33		$	10.62

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.02			(0.03	)		(0.09	)		(0.14	)		(0.15	)		(0.15	)
Net realized and unrealized gain (loss)		(0.14	)		1.10			(0.37	)		(0.12	)		0.53			1.79

Total from Investment Operations		(0.12	)		1.07			(0.46	)		(0.26	)		0.38			1.64

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.05	)		—			—			—			(0.02	)
Net realized capital gains		—			—			—			(0.38	)		(0.59	)		(0.91	)

Total Distributions		(0.01	)		(0.05	)		—			(0.38	)		(0.59	)		(0.93	)

Net asset value, end of the period	$	10.91		$	11.04		$	10.02		$	10.48		$	11.12		$	11.33

Total return^(b)		(1.20	)%^(c)(d)		10.66	%		(4.39	)%		(2.69	)%		3.53	%		15.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,633		$	49,904		$	76,207		$	224,951		$	150,462		$	189,313
Net expenses		1.54	%^(e)(f)		1.57	%^(g)(h)		1.56	%⁽ⁱ⁾		1.53	%^(j)		1.55	%^(k)		1.58	%^(l)
Gross expenses		1.55	%^(e)		1.57	%^(h)		1.56	%⁽ⁱ⁾		1.53	%^(j)		1.55	%^(k)		1.58	%^(l)
Net investment income (loss)		0.37	%^(e)		(0.26	)%		(0.93	)%		(1.27	)%		(1.34	)%		(1.35	)%
Portfolio turnover rate^(m)		56	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

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

(b)	A sales charge for Class A shares 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)	Computed on an annualized basis for periods less than one year.

(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 July 1, 2017, the expense limit decreased from 1.60% to 1.54%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.55% and the ratio of gross expenses would have been 1.56%.

(i)	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%.

(j)	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%.

(k)	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%.

(l)	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%.

(m)	Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class C**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.33		$	9.40		$	9.91		$	10.61		$	10.92		$	10.32

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.02	)		(0.10	)		(0.15	)		(0.21	)		(0.22	)		(0.23	)
Net realized and unrealized gain (loss)		(0.14	)		1.03			(0.36	)		(0.11	)		0.50			1.74

Total from Investment Operations		(0.16	)		0.93			(0.51	)		(0.32	)		0.28			1.51

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		—			—			—			—			—
Net realized capital gains		—			—			—			(0.38	)		(0.59	)		(0.91	)

Total Distributions		(0.01	)		—			—			(0.38	)		(0.59	)		(0.91	)

Net asset value, end of the period	$	10.16		$	10.33		$	9.40		$	9.91		$	10.61		$	10.92

Total return^(b)		(1.57	)%^(c)(d)		9.89	%		(5.15	)%		(3.40	)%		2.73	%		14.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	20,078		$	24,521		$	38,412		$	95,885		$	87,941		$	85,323
Net expenses		2.29	%^(e)(f)		2.32	%^(g)(h)		2.31	%⁽ⁱ⁾		2.28	%^(j)		2.31	%^(k)		2.33	%^(l)
Gross expenses		2.30	%^(e)		2.32	%^(h)		2.31	%⁽ⁱ⁾		2.28	%^(j)		2.31	%^(k)		2.33	%^(l)
Net investment loss		(0.38	)%^(e)		(1.00	)%		(1.68	)%		(2.03	)%		(2.10	)%		(2.10	)%
Portfolio turnover rate^(m)		56	%		—	%		—	%		—	%		—	%		—	%

*	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)	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)	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 July 1, 2017, the expense limit decreased from 2.35% to 2.29%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.30% and the ratio of gross expenses would have been 2.31%.

(i)	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%.

(j)	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%.

(k)	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%.

(l)	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%.

(m)	Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class N**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			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	$	11.22		$	10.19		$	10.63		$	11.24		$	11.42		$	11.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.04			0.01			(0.06	)		(0.11	)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss)		(0.15	)		1.11			(0.38	)		(0.12	)		0.53			0.99

Total from Investment Operations		(0.11	)		1.12			(0.44	)		(0.23	)		0.41			0.90

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.09	)		—			—			—			—
Net realized capital gains		—			—			—			(0.38	)		(0.59	)		(0.68	)

Total Distributions		(0.01	)		(0.09	)		—			(0.38	)		(0.59	)		(0.68	)

Net asset value, end of the period	$	11.10		$	11.22		$	10.19		$	10.63		$	11.24		$	11.42

Total return		(1.00	)%^(b)(c)		10.98	%		(4.05	)%		(2.48	)%		3.77	%^(c)		8.05	%^(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14,425		$	10,376		$	9,639		$	10,476		$	1		$	1
Net expenses		1.24	%^(d)(e)		1.26	%^(f)(g)		1.24	%^(h)		1.23	%⁽ⁱ⁾		1.27	%^(j)(e)		1.32	%^(d)(e)(k)
Gross expenses		1.25	%^(d)		1.26	%^(g)		1.24	%^(h)		1.23	%⁽ⁱ⁾		7.42	%^(j)		3.22	%^(d)(k)
Net investment income (loss)		0.71	%^(d)		0.09	%		(0.56	)%		(0.97	)%		(1.07	)%		(1.12	)%^(d)
Portfolio turnover rate^(l)		56	%		—	%		—	%		—	%		—	%		—	%

*	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 income (loss) has been calculated using the average shares outstanding during the period.

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

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

(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)	Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%.

(g)	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%.

(h)	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%.

(i)	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%.

(j)	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%.

(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)	Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	11.22		$	10.19		$	10.64		$	11.25		$	11.43		$	10.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.03			0.00	^(b)		(0.07	)		(0.12	)		(0.12	)		(0.13	)
Net realized and unrealized gain (loss)		(0.14	)		1.11			(0.38	)		(0.11	)		0.53			1.82

Total from Investment Operations		(0.11	)		1.11			(0.45	)		(0.23	)		0.41			1.69

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.08	)		—			—			—			(0.07	)
Net realized capital gains		—			—			—			(0.38	)		(0.59	)		(0.91	)

Total Distributions		(0.01	)		(0.08	)		—			(0.38	)		(0.59	)		(0.98	)

Net asset value, end of the period	$	11.10		$	11.22		$	10.19		$	10.64		$	11.25		$	11.43

Total return		(1.00	)%^(c)(d)		10.93	%		(4.23	)%		(2.38	)%		3.77	%		16.05	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,317,073		$	1,559,650		$	1,504,641		$	3,344,101		$	2,786,510		$	2,168,502
Net expenses		1.29	%^(e)(f)		1.32	%^(g)(h)		1.31	%⁽ⁱ⁾		1.28	%^(j)		1.31	%⁽ⁱ⁾		1.33	%^(k)
Gross expenses		1.30	%^(e)		1.32	%^(h)		1.31	%⁽ⁱ⁾		1.28	%^(j)		1.31	%⁽ⁱ⁾		1.33	%^(k)
Net investment income (loss)		0.62	%^(e)		0.02	%		(0.67	)%		(1.03	)%		(1.10	)%		(1.10	)%
Portfolio turnover rate^(l)		56	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(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)	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)	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 July 1, 2017, the expense limit decreased from 1.35% to 1.29%.

(h)	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 1.31%.

(i)	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%.

(j)	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%.

(k)	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%.

(l)	Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.38		$	9.78		$	10.37		$	10.98		$	10.25		$	9.11

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.00	^(b)		(0.06	)		(0.12	)		(0.16	)		(0.16	)		(0.14	)
Net realized and unrealized gain (loss)		(0.66	)		0.66			(0.47	)		0.06	^(c)		2.37			1.28

Total from Investment Operations		(0.66	)		0.60			(0.59	)		(0.10	)		2.21			1.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.22	)		(0.29	)		—
Net realized capital gains		(0.12	)		—			—			(0.29	)		(1.19	)		—

Total Distributions		(0.12	)		—			—			(0.51	)		(1.48	)		—

Net asset value, end of the period	$	9.60		$	10.38		$	9.78		$	10.37		$	10.98		$	10.25

Total return^(d)		(6.50	)%^(e)		6.13	%		(5.69	)%^(f)		(1.38	)%		21.76	%^(f)		12.51	%^(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	199,306		$	299,505		$	463,235		$	486,160		$	137,991		$	125,903
Net expenses		1.70	%^(g)		1.75	%^(h)(i)		1.74	%^(j)(k)		1.73	%^(h)(l)		1.72	%^(k)(m)		1.73	%^(k)(n)
Gross expenses		1.70	%^(g)		1.75	%^(h)(i)		1.75	%^(j)		1.73	%^(h)(l)		1.76	%^(m)		1.78	%⁽ⁿ⁾
Net investment income (loss)		0.03	%^(g)		(0.61	)%		(1.11	)%		(1.48	)%		(1.53	)%		(1.51	)%
Portfolio turnover rate^(o)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(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)	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.

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

(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 1.70% and the ratio of gross expenses would have been 1.70%.

(i)	Includes fee/expense recovery of 0.01%.

(j)	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%.

(k)	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.

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

(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 1.74%.

(n)	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%.

(o)	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 C**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	9.93		$	9.42		$	10.07		$	10.69		$	10.03		$	8.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.03	)		(0.13	)		(0.19	)		(0.24	)		(0.24	)		(0.21	)
Net realized and unrealized gain (loss)		(0.64	)		0.64			(0.46	)		0.05	^(b)		2.32			1.25

Total from Investment Operations		(0.67	)		0.51			(0.65	)		(0.19	)		2.08			1.04

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.14	)		(0.23	)		—
Net realized capital gains		(0.12	)		—			—			(0.29	)		(1.19	)		—

Total Distributions		(0.12	)		—			—			(0.43	)		(1.42	)		—

Net asset value, end of the period	$	9.14		$	9.93		$	9.42		$	10.07		$	10.69		$	10.03

Total return^(c)		(6.80	)%^(d)		5.41	%		(6.45	)%^(e)		(2.23	)%		21.01	%^(e)		11.57	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	44,623		$	53,661		$	71,184		$	67,479		$	33,945		$	18,770
Net expenses		2.45	%^(f)		2.50	%^(g)(h)		2.49	%^(i)(j)		2.48	%^(g)(h)		2.47	%^(j)(k)		2.48	%^(j)(l)
Gross expenses		2.45	%^(f)		2.50	%^(g)(h)		2.50	%⁽ⁱ⁾		2.48	%^(g)(h)		2.51	%^(k)		2.53	%^(l)
Net investment loss		(0.70	)%^(f)		(1.36	)%		(1.86	)%		(2.24	)%		(2.28	)%		(2.26	)%
Portfolio turnover rate^(m)		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Includes fee/expense recovery of 0.01%.

(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)	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 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)	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 Managed Futures Strategy Fund (Consolidated*)—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017**
Net asset value, beginning of the period	$	10.46		$	9.81

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			(0.01	)
Net realized and unrealized gain (loss)		(0.68	)		0.67

Total from Investment Operations		(0.65	)		0.66

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)
Net realized capital gains		(0.12	)		—

Total Distributions		(0.12	)		(0.01	)

Net asset value, end of the period	$	9.69		$	10.46

Total return(b)		(6.35	)%		6.76	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	13,720		$	1,017
Net expenses(d)		1.33	%		1.34	%(e)(f)
Gross expenses(d)		1.33	%		14.83	%(f)
Net investment income (loss)(d)		0.54	%		(0.17	)%
Portfolio turnover rate(g)		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

**	From commencement of Class operations on May 1, 2017 through December 31, 2017.

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

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

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

(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)	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 14.78%.

(g)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.46		$	9.83		$	10.40		$	11.01		$	10.26		$	9.10

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.02			(0.03	)		(0.09	)		(0.14	)		(0.14	)		(0.12	)
Net realized and unrealized gain (loss)		(0.68	)		0.67			(0.48	)		0.05	^(b)		2.40			1.28

Total from Investment Operations		(0.66	)		0.64			(0.57	)		(0.09	)		2.26			1.16

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		—			(0.23	)		(0.32	)		(0.00	)^(c)
Net realized capital gains		(0.12	)		—			—			(0.29	)		(1.19	)		—

Total Distributions		(0.12	)		(0.01	)		—			(0.52	)		(1.51	)		(0.00	)

Net asset value, end of the period	$	9.68		$	10.46		$	9.83		$	10.40		$	11.01		$	10.26

Total return		(6.45	)%^(d)		6.48	%		(5.47	)%^(e)		(1.22	)%		22.21	%^(e)		12.75	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,771,887		$	3,102,626		$	2,629,920		$	2,133,620		$	1,363,162		$	695,307
Net expenses		1.45	%^(f)		1.50	%^(g)(h)		1.49	%^(i)(j)		1.48	%^(g)(h)		1.47	%^(j)(k)		1.48	%^(j)(l)
Gross expenses		1.45	%^(f)		1.50	%^(g)(h)		1.50	%⁽ⁱ⁾		1.48	%^(g)(h)		1.51	%^(k)		1.53	%^(l)
Net investment income (loss)		0.31	%^(f)		(0.34	)%		(0.85	)%		(1.24	)%		(1.28	)%		(1.26	)%
Portfolio turnover rate^(m)		—	%		—	%		—	%		—	%		—	%		—	%

*	See Notes 1 and 2 of the Notes to Financial Statements.

(a)	Per share net investment income (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 fee/expense recovery of 0.01%.

(i)	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%.

(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)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			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	$	14.11		$	11.83		$	11.41		$	11.85		$	11.02		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			0.06			0.04			(0.00	)(b)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss)		0.21	(c)		2.95			0.43			(0.35	)		1.60			1.31

Total from Investment Operations		0.25			3.01			0.47			(0.35	)		1.59			1.30

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.06	)		(0.05	)		—			—			—
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.26	)		(0.73	)		(0.05	)		(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	14.10		$	14.11		$	11.83		$	11.41		$	11.85		$	11.02

Total return(d)(e)		1.81	%(f)		25.37	%		4.09	%		(3.00	)%		14.69	%		12.96	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	20,139		$	16,292		$	8,365		$	9,360		$	3,089		$	29
Net expenses(g)		1.24	%(h)		1.24	%(i)		1.25	%		1.32	%		1.40	%		1.40	%(h)
Gross expenses		1.32	%(h)		1.44	%		1.40	%		1.39	%		1.57	%		2.21	%(h)
Net investment income (loss)		0.60	%(h)		0.49	%		0.36	%		(0.03	)%		(0.09	)%		(0.38	)%(h)
Portfolio turnover rate		35	%		18	%		42	%		149	%(j)		62	%		13	%

*	From commencement of Class 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)	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.

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

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

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

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

(i)	Effective July 1, 2017, the expense limit decreased from 1.25% to 1.24%.

(j)	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 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			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	$	13.75		$	11.59		$	11.21		$	11.73		$	11.00		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.04	)		(0.05	)		(0.09	)		(0.10	)		(0.03	)
Net realized and unrealized gain (loss)		0.21	(b)		2.87			0.43			(0.34	)		1.59			1.31

Total from Investment Operations		0.20			2.83			0.38			(0.43	)		1.49			1.28

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.00	)(c)		—			—			—			—
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	13.69		$	13.75		$	11.59		$	11.21		$	11.73		$	11.00

Total return(d)(e)		1.49	%(f)		24.37	%		3.39	%		(3.79	)%		13.88	%		12.76	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,124		$	2,190		$	1,973		$	2,202		$	1,468		$	8
Net expenses(g)		1.99	%(h)		2.00	%(i)		2.00	%		2.07	%		2.15	%		2.15	%(h)
Gross expenses		2.08	%(h)		2.20	%		2.15	%		2.13	%		2.33	%		2.80	%(h)
Net investment loss		(0.19	)%(h)		(0.28	)%		(0.41	)%		(0.79	)%		(0.86	)%		(1.00	)%(h)
Portfolio turnover rate		35	%		18	%		42	%		149	%(j)		62	%		13	%

*	From commencement of Class 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)	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)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(i)	Effective July 1, 2017, the expense limit decreased from 2.00% to 1.99%.

(j)	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.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			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	$	14.17		$	11.87		$	11.45		$	11.88		$	11.03		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.06			0.10			0.07			0.02			0.01			(0.00	)(b)
Net realized and unrealized gain (loss)		0.21	(c)		2.96			0.44			(0.34	)		1.61			1.31

Total from Investment Operations		0.27			3.06			0.51			(0.32	)		1.62			1.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.09	)		(0.09	)		(0.02	)		(0.01	)		—
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.26	)		(0.76	)		(0.09	)		(0.11	)		(0.77	)		(0.28	)

Net asset value, end of the period	$	14.18		$	14.17		$	11.87		$	11.45		$	11.88		$	11.03

Total return(d)		1.95	%(e)		25.67	%		4.41	%		(2.74	)%		14.92	%		13.06	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	137,707		$	84,880		$	58,488		$	89,126		$	65,042		$	22,595
Net expenses(f)		0.99	%(g)		0.99	%(h)		1.00	%		1.07	%		1.15	%		1.15	%(g)
Gross expenses		1.08	%(g)		1.19	%		1.15	%		1.14	%		1.32	%		1.93	%(g)
Net investment income (loss)		0.83	%(g)		0.73	%		0.58	%		0.20	%		0.10	%		(0.13	)%(g)
Portfolio turnover rate		35	%		18	%		42	%		149	%(i)		62	%		13	%

*	From commencement of Class 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)	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.

(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)	Effective July 1, 2017, the expense limit decreased from 1.00% to 0.99%.

(i)	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.

63 |

Notes to Financial Statements

June 30, 2018 (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 also offer Class N shares. Class T shares of the Funds are not currently available for purchase.

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 for ten years (at which point they automatically convert to 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 Fund’s 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (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, 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.

| 64

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through ASG Global Alternatives Cayman Fund Ltd. and ASG 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, 2018, 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	$	25,000,161		1.79	%
Managed Futures Strategy Fund		93,189,965		3.08	%

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. 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 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

65 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

from broker-dealers. 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. 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 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. 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.

| 66

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

As of June 30, 2018, 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	$	8,817,219	$	120,207		0.28	%
Global Alternatives Fund		212,407,714		5,464,823		0.39	%
Managed Futures Strategy Fund		1,149,443,014		14,668,622		0.48	%

*	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.

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.

67 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

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.

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

| 68

Notes to Financial Statements (continued)

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Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures 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 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 brokers for open futures contracts and cash pledged as collateral for forward foreign currency 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 June 30, 2018 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.

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, return of capital and capital gain distributions received, distribution re-designations and Cayman blocker adjustment. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in

69 |

Notes to Financial Statements (continued)

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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, futures commissions adjustments, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market and Cayman blocker adjustment. 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, 2017 was as follows:


	2017 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Dynamic Allocation Fund	$	1,985,636	$	1,560,802	$	3,546,438
Global Alternatives Fund		11,876,066		—		11,876,066
Managed Futures Strategy Fund		2,037,869		—		2,037,869
Tactical U.S. Market Fund		546,816		4,629,312		5,176,128

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, 2017, the capital loss carryforwards 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	$	—	$	(103,873,037	)	$	—	$	—

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Notes to Financial Statements (continued)

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As of June 30, 2018, the cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	Dynamic Allocation Fund			Global Alternatives Fund			Managed Futures Strategy Fund			Tactical U.S. Market Fund
Federal tax cost	$	39,706,657		$	1,354,938,690		$	2,783,327,876		$	142,190,420

Gross tax appreciation	$	1,725,234		$	13,695,155		$	91,555,510		$	16,506,200
Gross tax depreciation		(683,855	)		(24,534,773	)		(69,746,774	)		(1,559,480	)

Net tax appreciation (depreciation)	$	1,041,379		$	(10,839,618	)	$	21,808,736		$	14,946,720

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.

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.

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 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.

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Notes to Financial Statements (continued)

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The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2018, at value:

Dynamic Allocation Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Exchange-Traded Funds	$	19,363,687		$	—		$	—	$	19,363,687
Short-Term Investments(a)		—			21,872,185			—		21,872,185
Futures Contracts (unrealized appreciation)		19,085			27,971			—		47,056

Total	$	19,382,772		$	21,900,156		$	—	$	41,282,928

Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Futures Contracts (unrealized depreciation)	$	(442,656	)	$	(92,236	)	$	—	$	(534,892	)

(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, 2018, there were no transfers among Levels 1, 2 and 3.

Global Alternatives Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	110,334,973	$	—	$	—	$	110,334,973
Exchange-Traded Funds		53,996,447		—		—		53,996,447
Short-Term Investments(a)		—		1,193,167,915		—		1,193,167,915
Forward Foreign Currency Contracts (unrealized appreciation)		—		142,585		—		142,585
Futures Contracts (unrealized appreciation)		7,509,135		149,453		—		7,658,588

Total	$	171,840,555	$	1,193,459,953	$	—	$	1,365,300,508

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Notes to Financial Statements (continued)

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Global Alternatives Fund (continued)


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(417,162	)	$	—	$	(417,162	)
Futures Contracts (unrealized depreciation)		(15,468,904	)		(5,315,370	)		—		(20,784,274	)

Total	$	(15,468,904	)	$	(5,732,532	)	$	—	$	(21,201,436	)

(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, 2018, there were no transfers among Levels 1, 2 and 3.

Managed Futures Strategy Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	2,783,648,566		$	—	$	2,783,648,566
Forward Foreign Currency Contracts (unrealized appreciation)		—			26,776,545			—		26,776,545
Futures Contracts (unrealized appreciation)		60,974,226			3,460,303			—		64,434,529

Total	$	60,974,226		$	2,813,885,414		$	—	$	2,874,859,640

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(11,002,144	)	$	—	$	(11,002,144	)
Futures Contracts (unrealized depreciation)		(47,512,565	)		(11,208,319	)		—		(58,720,884	)

Total	$	(47,512,565	)	$	(22,210,463	)	$	—	$	(69,723,028	)

(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, 2018, there were no transfers among Levels 1, 2 and 3.

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Tactical U.S. Market Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Common Stocks(a)	$	92,146,409		$	—	$	—	$	92,146,409
Exchange-Traded Funds		16,179,410			—		—		16,179,410
Short-Term Investments(a)		—			49,695,921		—		49,695,921

Total	$	108,325,819		$	49,695,921	$	—	$	158,021,740

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(884,600	)	$	—	$	—	$	(884,600	)

(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, 2018, 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 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, 2018, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds and short contracts on U.S. dollar index 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, 2018, the Fund used long contracts on U.S. and foreign equity

| 74

Notes to Financial Statements (continued)

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market indices, long and short contracts on U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), 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, 2018, 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.

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, 2018, 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 as of June 30, 2018, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized Appreciation on Futures Contracts
Exchange-traded asset derivatives
Interest rate contracts	$	19,085
Equity contracts		27,971

Total exchange-traded asset derivatives	$	47,056

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)


Liabilities	Unrealized Depreciation on Futures Contracts
Exchange-traded liability derivatives
Foreign exchange contracts	$	(133,168	)
Equity contracts		(401,724	)

Total exchange-traded liability derivatives	$	(534,892	)

Transactions in derivative instruments for Dynamic Allocation Fund during the six months ended June 30, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts
Interest rate contracts	$	(173,413	)
Foreign exchange contracts		(373,222	)
Equity contracts		205,678

Total	$	(340,957	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Interest rate contracts	$	44,986
Foreign exchange contracts		(169,235	)
Equity contracts		(581,466	)

Total	$	(705,715	)

The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2018, 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	$	142,585	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	2,860,536
Foreign exchange contracts		—		148,850
Commodity contracts		—		4,499,749
Equity contracts		—		149,453

Total exchange-traded asset derivatives	$	—	$	7,658,588

Total asset derivatives	$	142,585	$	7,658,588

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)


Liabilities	Unrealized Depreciation on Forward Foreign Currency Contracts			Unrealized Depreciation on Futures Contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(417,162	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(3,712,295	)
Foreign exchange contracts		—			(1,568,968	)
Commodity contracts		—			(6,253,240	)
Equity contracts		—			(9,249,771	)

Total exchange-traded liability derivatives	$	—		$	(20,784,274	)

Total liability derivatives	$	(417,162	)	$	(20,784,274	)

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts			Forward Foreign Currency Transactions
Interest rate contracts	$	(2,421,900	)	$	—
Foreign exchange contracts		(401,063	)		166,287
Commodity contracts		20,558,622			—
Equity contracts		7,134,129			—

Total	$	24,869,788		$	166,287


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Forward Foreign Currency Transactions
Interest rate contracts	$	1,636,562		$	—
Foreign exchange contracts		(5,268,859	)		(699,537	)
Commodity contracts		(17,128,448	)		—
Equity contracts		(19,772,820	)		—

Total	$	(40,533,565	)	$	(699,537	)

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2018, 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	$	26,776,545		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	18,037,357
Foreign exchange contracts		—			5,070,345
Commodity contracts		—			35,343,020
Equity contracts		—			5,983,807

Total exchange-traded asset derivatives	$	—		$	64,434,529

Total asset derivatives	$	26,776,545		$	64,434,529


Liabilities	Unrealized Depreciation on Forward Foreign Currency Contracts			Unrealized Depreciation on Futures Contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(11,002,144	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(9,360,696	)
Foreign exchange contracts		—			(1,393,148	)
Commodity contracts		—			(16,889,044	)
Equity contracts		—			(31,077,996	)

Total exchange-traded liability derivatives	$	—		$	(58,720,884	)

Total liability derivatives	$	(11,002,144	)	$	(58,720,884	)

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Notes to Financial Statements (continued)

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Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts			Forward Foreign Currency Transactions
Interest rate contracts	$	(73,097,077	)	$	—
Foreign exchange contracts		(28,687,593	)		3,086,719
Commodity contracts		(3,881,897	)		—
Equity contracts		(83,397,740	)		—

Total	$	(189,064,307	)	$	3,086,719


Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Forward Foreign Currency Transactions
Interest rate contracts	$	29,911,066		$	—
Foreign exchange contracts		(8,527,625	)		14,125,210
Commodity contracts		(31,594,356	)		—
Equity contracts		(42,723,773	)		—

Total	$	(52,934,688	)	$	14,125,210

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of June 30, 2018, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized Depreciation on Futures Contracts
Exchange-traded liability derivatives
Equity contracts	$	(884,600	)

Transactions in derivative instruments for Tactical U.S. Market Fund during the six months ended June 30, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures Contracts
Equity contracts	$	1,551,495

Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Equity contracts	$	(1,847,645	)

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

79 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2018:



Dynamic Allocation Fund	Futures
Average Notional Amount Outstanding		75.57	%
Highest Notional Amount Outstanding		105.74	%
Lowest Notional Amount Outstanding		51.99	%
Notional Amount Outstanding as of June 30, 2018		83.07	%

Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		2.56	%		183.92	%
Highest Notional Amount Outstanding		4.83	%		238.28	%
Lowest Notional Amount Outstanding		1.66	%		135.36	%
Notional Amount Outstanding as of June 30, 2018		2.33	%		175.44	%

Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		114.86	%		581.65	%
Highest Notional Amount Outstanding		212.01	%		658.20	%
Lowest Notional Amount Outstanding		65.05	%		472.24	%
Notional Amount Outstanding as of June 30, 2018		65.05	%		523.51	%

Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding		65.65	%
Highest Notional Amount Outstanding		75.35	%
Lowest Notional Amount Outstanding		51.46	%
Notional Amount Outstanding as of June 30, 2018		51.46	%

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 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 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,

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Notes to Financial Statements (continued)

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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, 2018, gross amounts of over-the-counter 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:

Global Alternatives Fund


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	142,585		$	(142,585	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(417,162	)	$	142,585		$	(274,577	)	$	274,577	$	—

Managed Futures Strategy Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	26,776,545		$	(11,002,144	)	$	15,774,401		$	—	$	15,774,401

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(11,002,144	)	$	11,002,144		$	—		$	—	$	—

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’

81 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

ISDA agreements. As of June 30, 2018, 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	$	976,788	$	213,805		$	1,190,593	$	945,144	$	(245,449	)
Managed Futures Strategy Fund		105,418,479		(25,750,621	)		79,667,858		74,919,793		(4,748,065	)

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.

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 clearing house, 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)

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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, 2018:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Dynamic Allocation Fund
Exchange-traded counterparty credit risk
Futures contracts	$	47,056	$	47,056
Margin with brokers		2,269,602		2,269,602

Total exchange-traded counterparty credit risk	$	2,316,658	$	2,316,658


Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	142,585	$	—
Collateral pledged to UBS AG		945,144		945,144

Total over-the-counter counterparty credit risk		1,087,729		945,144

Exchange-traded counterparty credit risk
Futures contracts		7,658,588		7,658,588
Margin with brokers		65,585,656		65,585,656

Total exchange-traded counterparty credit risk		73,244,244		73,244,244

Total counterparty credit risk	$	74,331,973	$	74,189,388


Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	26,776,545	$	15,774,401
Collateral pledged to UBS AG		74,919,793		74,919,793

Total over-the-counter counterparty credit risk		101,696,338		90,694,194

Exchange-traded counterparty credit risk
Futures contracts		64,434,529		64,434,529
Margin with brokers		263,786,688		263,786,688

Total exchange-traded counterparty credit risk		328,221,217		328,221,217

Total counterparty credit risk	$	429,917,555	$	418,915,411

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Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Tactical U.S. Market Fund
Exchange-traded counterparty credit risk
Futures contracts	$	—	$	—
Margin with brokers		4,845,148		4,845,148

Total exchange-traded counterparty credit risk	$	4,845,148	$	4,845,148

5. Purchases and Sales of Securities. For the six months ended June 30, 2018, purchases and proceeds from sales or maturities of short-term investments were as follows:


Fund	Purchases		Sales/ Maturities
Global Alternatives Fund	$	21,654,603,602	$	22,000,267,917
Managed Futures Strategy Fund		52,232,589,166		52,686,934,351

For the six months ended June 30, 2018, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Dynamic Allocation Fund	$	4,756,918	$	4,715,207
Global Alternatives Fund		128,049,968		31,129,208
Tactical U.S. Market Fund		88,086,255		33,841,362

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Investment Managers, L.P. (“Natixis”), serves as investment adviser to the Funds. 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
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.

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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 Natixis Advisors, L.P. (“Natixis Advisors”), (through its division, Active Index Advisors), on behalf of Tactical U.S. Market Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. 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 Natixis Advisors.

Payments to AlphaSimplex are reduced by the amount of payments to Natixis 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, 2019, 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, 2018, 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		1.54	%		2.29	%		1.24	%		1.29	%
Managed Futures Strategy Fund		1.70	%		2.45	%		1.40	%		1.45	%
Tactical U.S. Market Fund		1.24	%		1.99	%		—			0.99	%

AlphaSimplex shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise)

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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, 2018, 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
Dynamic Allocation Fund	$	149,330	$	86,029	$	63,301		0.70	%		0.30	%
Global Alternatives Fund		8,351,009		75,735		8,275,274		1.15	%		1.14	%
Managed Futures Strategy Fund		20,426,165		—		20,426,165		1.24	%		1.24	%
Tactical U.S. Market Fund		639,440		70,596		568,844		0.80	%		0.71	%

¹	Management fee waiver is subject to possible recovery until December 31, 2019.

No expenses were recovered for any of the Funds during the six months ended June 30, 2018 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis 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 A Plans, each Fund pays Natixis 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 Natixis 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 Natixis 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 Natixis 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 Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’

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Notes to Financial Statements (continued)

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Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2018, 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	$	268	$	59	$	178
Global Alternatives Fund		57,918		27,815		83,445
Managed Futures Strategy Fund		320,254		62,456		187,367
Tactical U.S. Market Fund		51,674		2,770		8,310

c. Administrative Fees. Natixis 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, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

Natixis Advisors also provides certain administrative services to the Subsidiaries for which the Subsidiaries pay Natixis Advisors fees equal to an annual rate of 0.05% of the average daily net assets of each Subsidiary. Payments by the Funds are reduced by the amount of payments to Natixis Advisors by the Subsidiaries. In addition, Natixis Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.

For the six months ended June 30, 2018, the administrative fees paid to Natixis 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	$	9,467
Global Alternatives Fund		322,202
Managed Futures Strategy Fund		732,348
Tactical U.S. Market Fund		35,473

Effective July 1, 2018, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust,

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Notes to Financial Statements (continued)

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0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

d. Sub-Transfer Agent Fees. Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis 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, 2018, 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	$	24,982
Global Alternatives Fund		227,164
Managed Futures Strategy Fund		1,177,357
Tactical U.S. Market Fund		78,632

As of June 30, 2018, the Funds owe Natixis 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
Dynamic Allocation Fund	$	549
Global Alternatives Fund		5,110
Managed Futures Strategy Fund		25,163
Tactical U.S. Market Fund		1,313

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Notes to Financial Statements (continued)

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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 Natixis Distribution during the six months ended June 30, 2018 were as follows:


Fund	Commissions
Dynamic Allocation Fund	$	44
Global Alternatives Fund		3,022
Managed Futures Strategy Fund		19,189
Tactical U.S. Market Fund		3,644

f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $340,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $170,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $12,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as

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Notes to Financial Statements (continued)

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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. Affiliated Ownership. As of June 30, 2018, Natixis US and affiliates held shares of the Dynamic Allocation Fund representing 11.17% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Managed Futures Strategy Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2019 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2018, Natixis Advisors reimbursed the Fund $98 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Global Alternatives Fund and Managed Futures Strategy Fund 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.

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.

For the six months ended June 30, 2018, Global Alternatives Fund and Managed Futures Strategy 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
Global Alternatives Fund	$	13,911	$	6,683	$	98	$	410,708
Managed Futures Strategy Fund		142,267		27,765		98		1,617,758

8. Line of Credit. Effective April 12, 2018, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank and Trust. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (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 and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

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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.

For the six months ended June 30, 2018, none of the Funds had borrowings under these agreements.

Prior to April 12, 2018, 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 was able borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate did not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was 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, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

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.

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. 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, 2018, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on

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Notes to Financial Statements (continued)

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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% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6g)			Total Percentage of Ownership
Dynamic Allocation Fund		2		76.11	%(a)		11.17	%		87.28	%
Global Alternatives Fund		2		61.22	%		—			61.22	%
Managed Futures Strategy Fund		3		34.39	%		—			34.39	%
Tactical U.S. Market Fund		4		62.14	%(a)		—			62.14	%

Omnibus shareholder accounts for which Natixis 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 (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.

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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, 2018					Year Ended December 31, 2017
Dynamic Allocation Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	14,935		$	164,296		18,170		$	199,184
Issued in connection with the reinvestment of distributions	402			4,343		1,022			11,362
Redeemed	(302	)		(3,332	)	(10,024	)		(111,297	)

Net change	15,035		$	165,307		9,168		$	99,249

Class C
Issued from the sale of shares	5,292		$	57,500		471		$	5,412
Issued in connection with the reinvestment of distributions	103			1,104		114			1,253
Redeemed	(219	)		(2,393	)	(112	)		(1,242	)

Net change	5,176		$	56,211		473		$	5,423

Class Y
Issued from the sale of shares	715,644		$	7,905,998		2,530,226		$	27,301,599
Issued in connection with the reinvestment of distributions	78,935			855,660		316,727			3,520,335
Redeemed	(392,314	)		(4,224,893	)	(1,501,545	)		(16,130,927	)

Net change	402,265		$	4,536,765		1,345,408		$	14,691,007

Increase (decrease) from capital share transactions	422,476		$	4,758,283		1,355,049		$	14,795,679

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11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	728,484		$	7,928,472		832,324		$	8,642,830
Issued in connection with the reinvestment of distributions	1,791			19,433		11,994			132,651
Redeemed	(1,432,887	)		(15,696,000	)	(3,928,172	)		(40,673,162	)

Net change	(702,612	)	$	(7,748,095	)	(3,083,854	)	$	(31,897,681	)

Class C
Issued from the sale of shares	54,154		$	553,105		88,436		$	863,455
Issued in connection with the reinvestment of distributions	1,192			12,078		—			—
Redeemed	(454,160	)		(4,635,736	)	(1,798,839	)		(17,472,539	)

Net change	(398,814	)	$	(4,070,553	)	(1,710,403	)	$	(16,609,084	)

Class N
Issued from the sale of shares	378,065		$	4,170,175		6,473		$	69,067
Issued in connection with the reinvestment of distributions	942			10,395		7,226			81,222
Redeemed	(4,122	)		(46,645	)	(34,965	)		(363,232	)

Net change	374,885		$	4,133,925		(21,266	)	$	(212,943	)

Class Y
Issued from the sale of shares	12,563,217		$	140,325,259		47,550,648		$	511,054,855
Issued in connection with the reinvestment of distributions	28,022			309,366		379,459			4,265,122
Redeemed	(32,914,209	)		(374,181,917	)	(56,581,747	)		(598,573,641	)

Net change	(20,322,970	)	$	(233,547,292	)	(8,651,640	)	$	(83,253,664	)

Increase (decrease) from capital share transactions	(21,049,511	)	$	(241,232,015	)	(13,467,163	)	$	(131,973,372	)

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	4,815,320		$	49,769,739		12,582,328		$	124,980,256
Issued in connection with the reinvestment of distributions	268,251			2,628,867		—			—
Redeemed	(13,162,519	)		(131,884,830	)	(31,118,290	)		(308,694,437	)

Net change	(8,078,948	)	$	(79,486,224	)	(18,535,962	)	$	(183,714,181	)

Class C
Issued from the sale of shares	376,489		$	3,747,121		889,499		$	8,507,515
Issued in connection with the reinvestment of distributions	56,165			525,143		—			—
Redeemed	(953,863	)		(9,106,409	)	(3,041,010	)		(28,951,138	)

Net change	(521,209	)	$	(4,834,145	)	(2,151,511	)	$	(20,443,623	)

Class N
Issued from the sale of shares	1,394,158		$	14,402,050		97,180		$	1,016,431
Issued in connection with the reinvestment of distributions	11,301			111,654		—	(b)		1
Redeemed	(86,677	)		(885,456	)	—			—

Net change	1,318,782		$	13,628,248		97,180		$	1,016,432

Class Y
Issued from the sale of shares	51,593,774		$	531,036,839		144,475,462		$	1,449,195,807
Issued in connection with the reinvestment of distributions	2,496,084			24,661,369		151,552			1,589,790
Redeemed	(64,415,175	)		(653,655,032	)	(115,503,119	)		(1,153,352,968	)

Net change	(10,325,317	)	$	(97,956,824	)	29,123,895		$	297,432,629

Increase (decrease) from capital share transactions	(17,606,692	)	$	(168,648,945	)	8,533,602		$	94,291,257

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

(b)	Amount rounds to less than one share.

95 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017
Tactical U.S. Market Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,610,445		$	53,681,881		962,381		$	12,703,924
Issued in connection with the reinvestment of distributions	62,074			850,418		51,553			730,828
Redeemed	(3,399,319	)		(48,304,396	)	(565,990	)		(7,459,636	)

Net change	273,200		$	6,227,903		447,944		$	5,975,116

Class C
Issued from the sale of shares	13,739		$	196,404		41,245		$	547,111
Issued in connection with the reinvestment of distributions	3,044			40,547		7,240			100,086
Redeemed	(20,868	)		(289,739	)	(59,465	)		(760,319	)

Net change	(4,085	)	$	(52,788	)	(10,980	)	$	(113,122	)

Class Y
Issued from the sale of shares	5,017,822		$	72,071,938		2,707,292		$	36,257,755
Issued in connection with the reinvestment of distributions	150,519			2,072,640		292,315			4,161,281
Redeemed	(1,448,306	)		(20,720,986	)	(1,934,749	)		(25,107,042	)

Net change	3,720,035		$	53,423,592		1,064,858		$	15,311,994

Increase (decrease) from capital share transactions	3,989,150		$	59,598,707		1,501,822		$	21,173,988

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LOGO

Semiannual Report

June 30, 2018

Loomis Sayles Multi-Asset Income Fund

Loomis Sayles Strategic Alpha Fund

Natixis U.S. Equity Opportunities Fund

Table of Contents



Portfolio Review			1

Portfolio of Investments			16

Financial Statements			67

Notes to Financial Statements			85

LOGO

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, 2018^5,6


																Expense Ratios⁷
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 12/3/12)¹
NAV		-2.26	%		4.45	%		6.89	%		7.88	%		—	%		0.91	%		0.73	%

Class A (Inception 11/17/05)
NAV		-2.29			4.24			6.71			7.78			—			1.16			0.98
With 4.25% Maximum Sales Charge		-6.47			-0.19			5.79			7.31			—

Class C (Inception 11/17/05)
NAV		-2.74			3.39			5.89			6.97			—			1.91			1.73
With CDSC²		-3.68			2.43			5.89			6.97			—

Class N (Inception 8/31/15)
NAV		-2.16			4.50			—			—			7.99			1.38			0.68

Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index³		-1.62			-0.40			2.27			3.72			1.63
S&P 500^® Index⁴		2.65			14.37			13.42			10.17			14.35

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	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.

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

6	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, 2018⁴



															Expense Ratios⁵
	6 Months⁶			1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 12/15/10)											Class Y/A/C		Class N
NAV		1.13	%		3.20	%		2.79	%		2.92	%	—	%		0.76	%		0.75	%

Class A (Inception 12/15/10)
NAV		1.00			2.94			2.52			2.67		—			1.01			1.00
With 4.25% Maximum Sales Charge		-3.29			-1.47			1.62			2.09		—

Class C (Inception 12/15/10)
NAV		0.61			2.14			1.76			1.89		—			1.76			1.75
With CDSC¹		-0.38			1.14			1.76			1.89		—

Class N (Inception 5/1/17)
NAV		1.15			3.25			—			—		2.73			0.71			0.70

Comparative Performance
3-Month LIBOR²		0.91			1.52			0.65			0.56		1.46
3-Month LIBOR + 300 basis points³		2.42			4.61			3.72			3.62		4.55

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 im.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% 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.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

| 4

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.

5 |

Average Annual Total Returns — June 30, 2018⁴



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

Class Y (Inception 11/15/94)
NAV		4.14	%		16.40	%		16.28	%		11.96	%		—	%		0.93	%		0.93	%

Class A (Inception 7/7/94)
NAV		4.02			16.11			15.99			11.68			—			1.19			1.19
With 5.75% Maximum Sales Charge		-1.95			9.45			14.62			11.02			—

Class C (Inception 7/7/94)
NAV		3.62			15.26			15.12			10.84			—			1.94			1.94
With CDSC¹		2.62			14.26			15.12			10.84			—

Class N (Inception 5/1/17)
NAV		4.23			16.61			—			—			18.40			13.39			0.76

Comparative Performance
S&P 500^® Index²		2.65			14.37			13.42			10.17			14.03
Russell 1000^® Index³		2.85			14.54			13.37			10.20			14.10

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.

| 6

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 Investment Managers or any of its related or affiliated companies (collectively “Natixis affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis affiliates 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 im.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.

7 |

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, 2018 through June 30, 2018. 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.

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LOOMIS SAYLES MULTI-ASSET INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$977.10		$4.66
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76
Class C
Actual		$1,000.00		$972.60		$8.31
Hypothetical (5% return before expenses)		$1,000.00		$1,016.36		$8.50
Class N
Actual		$1,000.00		$978.40		$3.19
Hypothetical (5% return before expenses)		$1,000.00		$1,021.57		$3.26
Class Y
Actual		$1,000.00		$977.40		$3.43
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).


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018**		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018**
Class A
Actual		$1,000.00		$1,009.00		$4.98
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class C
Actual		$1,000.00		$1,005.10		$8.70
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75
Class N
Actual		$1,000.00		$1,010.50		$3.44
Hypothetical (5% return before expenses)		$1,000.00		$1,021.37		$3.46
Class Y
Actual		$1,000.00		$1,010.30		$3.74
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76

Expenses are equal to the Fund’s annualized expense ratio: 1.00%, 1.75%, 0.69% and 0.75% 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).

**	Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

9 |


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$1,040.20		$5.92
Hypothetical (5% return before expenses)		$1,000.00		$1,018.99		$5.86
Class C
Actual		$1,000.00		$1,036.20		$9.69
Hypothetical (5% return before expenses)		$1,000.00		$1,015.27		$9.59
Class N
Actual		$1,000.00		$1,042.30		$3.85
Hypothetical (5% return before expenses)		$1,000.00		$1,021.03		$3.81
Class Y
Actual		$1,000.00		$1,041.40		$4.66
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): 1.17%, 1.92%, 0.76% and 0.92% 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).

| 10

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 agreement and Loomis Sayles Multi-Asset Income Fund’s and Natixis U.S. Equity Opportunities Fund’s 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, 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 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’ advisory fees and sub-advisory fees, if any, 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, to the extent applicable, the use of “soft” commission dollars 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.

11 |

performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, 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 or Committee 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 reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2017, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the

| 12

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			Five-Year
Loomis Sayles Multi-Asset Income Fund		59	%		42	%		78	%
Loomis Sayles Strategic Alpha Fund		64	%		50	%		54	%
Natixis U.S. Equity Opportunities Fund		64	%		6	%		6	%

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party 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.

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, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and 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 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 various funds in the fund family. They noted that the Funds have expense caps in place, and

13 |

they considered the amounts waived or reimbursed by the Adviser for a Fund under its cap. The Trustees also considered that the expenses for Natixis U.S. Equity Opportunities Fund were below its caps.

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’s advisory fee was not significantly above the peer group median and that advisory fee rate reductions were implemented as of July 1, 2017; and (2) that the Fund was managed by prominent portfolio managers.

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, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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 caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense 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 and Loomis Sayles Strategic Alpha Fund had breakpoints in their advisory fees and that each of the Funds in this report was subject to an expense cap. The Trustees also considered that the expense caps and advisory fees for the Loomis Sayles Strategic Alpha Fund and Natixis U.S. Equity Opportunities Fund were reduced last year, and that a breakpoint was added to the advisory fee for Loomis Sayles Strategic Alpha Fund last year. 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.

| 14

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 and administrative 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 Natixis 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.

15 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund


Shares		Description	Value (†)
	Common Stocks — 41.1% of Net Assets
		Aerospace & Defense — 0.5%
	1,455	Boeing Co. (The)	$	488,167
	702	Lockheed Martin Corp.		207,392

				695,559

		Air Freight & Logistics — 0.2%
	37,734	Royal Mail PLC		251,041

		Airlines — 1.7%
	32,883	Delta Air Lines, Inc.		1,629,024
	10,976	Deutsche Lufthansa AG		262,959
	8,000	Japan Airlines Co. Ltd.		283,448
	62,266	Qantas Airways Ltd.		283,534

				2,458,965

		Banks — 6.6%
	5,900	Aozora Bank Ltd.		223,914
	88,789	Bank of America Corp.		2,502,962
	4,221	BB&T Corp.		212,907
	18,188	BNP Paribas S.A.		1,125,053
	20,500	BOC Hong Kong Holdings Ltd.		96,349
	3,500	Canadian Imperial Bank of Commerce		304,461
	47,625	Citigroup, Inc.		3,187,065
	84,097	Credit Agricole S.A.		1,123,014
	7,284	Fifth Third Bancorp		209,051
	7,428	First Hawaiian, Inc.		215,561
	7,883	Huntington Bancshares, Inc.		116,353
	6,100	National Bank of Canada		292,878
	4,874	Popular, Inc.		220,353

				9,829,921

		Beverages — 0.4%
	2,703	Carlsberg AS, Class B		318,031
	10,900	Kirin Holdings Co. Ltd.		292,173

				610,204

		Biotechnology — 0.5%
	5,341	AbbVie, Inc.		494,844
	1,522	Amgen, Inc.		280,946

				775,790

		Capital Markets — 3.1%
	1,679	Federated Investors, Inc., Class B		39,154
	6,458	Goldman Sachs Group, Inc. (The)		1,424,441
	4,574	Houlihan Lokey, Inc.		234,280
	18,293	IG Group Holdings PLC		207,425
	4,377	Lazard Ltd., Class A		214,079
	43,174	Morgan Stanley		2,046,448
	17,314	Virtu Financial, Inc., Class A		459,687

				4,625,514

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Chemicals — 1.0%
	5,329	CF Industries Holdings, Inc.	$	236,607
	3,299	Covestro AG		293,227
	6,979	Huntsman Corp.		203,787
	4,579	LyondellBasell Industries NV, Class A		503,003
	2,500	Methanex Corp.		176,777

				1,413,401

		Commercial Services & Supplies — 0.2%
	4,154	KAR Auction Services, Inc.		227,639

		Communications Equipment — 1.4%
	48,527	Cisco Systems, Inc.		2,088,117

		Construction & Engineering — 0.6%
	7,046	ACS Actividades de Construccion y Servicios S.A.		284,278
	7,046	ACS Actividades de Construccion y Servicios S.A., Rights(a)		7,257
	1,660	Hochtief AG		299,353
	24,000	Kajima Corp.		185,440
	2,600	Taisei Corp.		143,180

				919,508

		Consumer Finance — 0.3%
	8,598	Ally Financial, Inc.(b)(c)		225,869
	2,381	Capital One Financial Corp.		218,814

				444,683

		Containers & Packaging — 0.1%
	3,900	International Paper Co.		203,112

		Distributors — 0.2%
	13,800	Canon Marketing Japan, Inc.		287,438

		Diversified Consumer Services — 0.3%
	18,579	H&R Block, Inc.		423,230

		Diversified Telecommunication Services — 1.1%
	31,493	Verizon Communications, Inc.		1,584,413

		Electric Utilities — 0.8%
	38,500	CK Infrastructure Holdings Ltd.		285,005
	9,500	CLP Holdings Ltd.		102,328
	1,857	Duke Energy Corp.		146,852
	3,398	Entergy Corp.		274,524
	216,000	HK Electric Investments & HK Electric Investments Ltd., 144A		205,935
	46,635	Mercury NZ Ltd.		106,345

				1,120,989

		Electronic Equipment, Instruments & Components — 0.1%
	25,000	Hitachi Ltd.		176,125

		Energy Equipment & Services — 2.0%
	23,674	Halliburton Co.		1,066,751
	29,210	Schlumberger Ltd.		1,957,946

				3,024,697

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Food & Staples Retailing — 0.3%
	3,800	Seven & I Holdings Co. Ltd.	$	165,739
	3,578	Walgreens Boots Alliance, Inc.		214,734

				380,473

		Food Products — 0.6%
	5,021	J.M. Smucker Co. (The)		539,657
	45,962	Leroy Seafood Group ASA		309,613
	40,000	WH Group Ltd., 144A		32,367

				881,637

		Gas Utilities — 0.1%
	3,383	National Fuel Gas Co.		179,164

		Health Care Providers & Services — 0.3%
	2,406	AmerisourceBergen Corp.		205,160
	2,084	Quest Diagnostics, Inc.		229,115

				434,275

		Hotels, Restaurants & Leisure — 1.2%
	6,478	Flight Centre Travel Group Ltd.		304,945
	326,900	Genting Singapore Ltd.		292,711
	6,745	Las Vegas Sands Corp.		515,048
	3,359	Six Flags Entertainment Corp.		235,298
	13,034	TUI AG		285,080
	2,700	Yum! Brands, Inc.		211,194

				1,844,276

		Household Durables — 0.4%
	5,301	Berkeley Group Holdings PLC		264,059
	7,979	Persimmon PLC		265,778
	19,031	Taylor Wimpey PLC		44,799

				574,636

		Independent Power & Renewable Electricity Producers — 0.6%
	41,319	AES Corp. (The)		554,088
	138,541	Meridian Energy Ltd.		292,634

				846,722

		Industrial Conglomerates — 0.2%
	163,000	NWS Holdings Ltd.		281,295

		Industrial Other — 0.0%
	939	Iron Mountain, Inc.		32,874

		Insurance — 0.5%
	5,521	FNF Group		207,700
	82,174	Legal & General Group PLC		287,432
	2,279	Prudential Financial, Inc.		213,109

				708,241

		Leisure Products — 0.0%
	2,400	Sega Sammy Holdings, Inc.		41,077

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Machinery — 1.2%
	10,749	Allison Transmission Holdings, Inc.	$	435,227
	2,837	Caterpillar, Inc.		384,896
	1,584	Cummins, Inc.		210,672
	11,256	Hillenbrand, Inc.		530,721
	3,516	PACCAR, Inc.		217,851

				1,779,367

		Metals & Mining — 0.3%
	10,521	BHP Billiton PLC		236,117
	4,031	Rio Tinto PLC		222,182

				458,299

		Multi-Utilities — 0.4%
	15,364	CenterPoint Energy, Inc.		425,737
	3,595	Dominion Energy, Inc.		245,107

				670,844

		Multiline Retail — 1.0%
	7,086	Kohl’s Corp.		516,569
	13,515	Macy’s, Inc.		505,867
	6,812	Target Corp.		518,529

				1,540,965

		Oil, Gas & Consumable Fuels — 3.2%
	8,014	Chevron Corp.		1,013,210
	3,312	ConocoPhillips		230,581
	12,390	CVR Energy, Inc.		458,306
	13,934	Exxon Mobil Corp.		1,152,760
	2,817	HollyFrontier Corp.		192,767
	5,351	Marathon Petroleum Corp.		375,426
	2,607	Occidental Petroleum Corp.		218,154
	5,310	OMV AG		300,322
	4,472	PBF Energy, Inc., Class A		187,511
	1,897	Phillips 66		213,052
	4,049	Valero Energy Corp.		448,751

				4,790,840

		Paper & Forest Products — 0.9%
	10,925	Domtar Corp.		521,560
	17,400	Navigator Co. S.A. (The)		103,319
	6,800	Norbord, Inc.		279,624
	14,415	Stora Enso Oyj, Class R		280,832
	3,835	UPM-Kymmene OYJ		136,546

				1,321,881

		Personal Products — 0.2%
	7,000	Pola Orbis Holdings, Inc.		307,618

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Pharmaceuticals — 0.3%
	1,450	Bristol-Myers Squibb Co.	$	80,243
	12,107	Pfizer, Inc.		439,242

				519,485

		Professional Services — 0.3%
	1,764	Dun & Bradstreet Corp. (The)		216,355
	3,431	Robert Half International, Inc.		223,358

				439,713

		Real Estate Management & Development — 0.2%
	3,500	CK Asset Holdings Ltd.		27,707
	900	Daikyo, Inc.		19,670
	100	Daiwa House Industry Co. Ltd.		3,402
	648	Deutsche Wohnen SE		31,294
	749	Entra ASA, 144A		10,208
	180	Fabege AB		2,141
	804	Fastighets AB Balder(a)		20,921
	900	Goldcrest Co. Ltd.		14,620
	1,067	Hemfosa Fastigheter AB		12,463
	4,400	Henderson Land Development Co. Ltd.		23,202
	4,400	Hongkong Land Holdings Ltd.		31,455
	19,000	K Wah International Holdings Ltd.		10,920
	6,800	Swire Properties Ltd.		25,078
	43	Vonovia SE		2,044

				235,125

		REITs – Apartments — 0.0%
	72	Invincible Investment Corp.		32,398
	2	Japan Rental Housing Investments, Inc.		1,608

				34,006

		REITs – Diversified — 0.1%
	200	Dream Global Real Estate Investment Trust		2,185
	74	Equinix, Inc.		31,812
	11	Fukuoka REIT Corp.		17,439
	11	Gecina S.A.		1,838
	262	PS Business Parks, Inc.		33,667
	2,213	UMH Properties, Inc.		33,969
	486	W.P. Carey, Inc.		32,246

				153,156

		REITs – Health Care — 0.0%
	662	CareTrust REIT, Inc.		11,049
	1,087	Omega Healthcare Investors, Inc.		33,697

				44,746

		REITs – Hotels — 0.1%
	4,434	Ashford Hospitality Trust, Inc.		35,915
	3,026	Braemar Hotels & Resorts, Inc.		34,557
	1,545	Hersha Hospitality Trust		33,140

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		REITs – Hotels — continued
	1,144	Hospitality Properties Trust	$	32,730
	17	Japan Hotel REIT Investment Corp.		12,736
	230	Summit Hotel Properties, Inc.		3,291
	1,306	Xenia Hotels & Resorts, Inc.		31,814

				184,183

		REITs – Manufactured Homes — 0.0%
	344	Equity Lifestyle Properties, Inc.		31,614

		REITs – Office Property — 0.1%
	42,000	Champion REIT		27,856
	15,711	Green REIT PLC		27,127
	17	Mori Trust Sogo REIT, Inc.		24,359
	1,971	Workspace Group PLC		28,017

				107,359

		REITs – Shopping Centers — 0.1%
	12	AEON REIT Investment Corp.		13,848
	26	Alexander’s, Inc.		9,948
	7	Frontier Real Estate Investment Corp.		28,129
	3,500	Link REIT		31,918

				83,843

		REITs – Single Tenant — 0.0%
	101	Agree Realty Corp.		5,330
	301	National Retail Properties, Inc.		13,232
	418	STORE Capital Corp.		11,453

				30,015

		REITs – Storage — 0.1%
	342	Extra Space Storage, Inc.		34,135
	778	National Storage Affiliates Trust		23,978
	150	Public Storage		34,029

				92,142

		REITs – Warehouse/Industrials — 0.0%
	24	EastGroup Properties, Inc.		2,293
	300	Granite Real Estate Investment Trust		12,236
	873	Terreno Realty Corp.		32,886

				47,415

		Semiconductors & Semiconductor Equipment — 2.7%
	25,305	Analog Devices, Inc.		2,427,255
	1,677	BE Semiconductor Industries NV		45,128
	1,921	KLA-Tencor Corp.		196,960
	3,706	Maxim Integrated Products, Inc.		217,394
	14,506	QUALCOMM, Inc.		814,077
	1,600	Tokyo Electron Ltd.		274,645

				3,975,459

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Software — 1.6%
	24,005	Microsoft Corp.	$	2,367,133

		Specialty Retail — 0.6%
	9,466	American Eagle Outfitters, Inc.		220,085
	6,004	Best Buy Co., Inc.		447,778
	3,802	Williams-Sonoma, Inc.		233,367

				901,230

		Technology Hardware, Storage & Peripherals — 0.7%
	9,723	HP, Inc.		220,615
	8,999	Seagate Technology PLC		508,174
	3,152	Western Digital Corp.		243,996

				972,785

		Textiles, Apparel & Luxury Goods — 0.3%
	3,715	Ralph Lauren Corp.		467,050

		Thrifts & Mortgage Finance — 0.2%
	9,900	Genworth MI Canada, Inc.		322,156

		Tobacco — 0.5%
	6,736	Altria Group, Inc.		382,537
	8,656	Imperial Brands PLC		321,468

				704,005

		Trading Companies & Distributors — 0.6%
	6,800	ITOCHU Corp.		122,984
	17,100	Mitsui & Co. Ltd.		284,754
	17,700	Sumitomo Corp.		290,277
	719	W.W. Grainger, Inc.		221,739

				919,754

		Transportation Infrastructure — 0.1%
	6,524	Societa Iniziative Autostradali e Servizi S.p.A.		97,872

		Total Common Stocks (Identified Cost $62,026,904)		60,965,076


Principal Amount (‡)
	Bonds and Notes — 39.3%
	Non-Convertible Bonds — 39.0%
		Aerospace & Defense — 1.0%
$	725,000	Engility Corp., 8.875%, 9/01/2024		757,625
	750,000	L3 Technologies, Inc., 4.400%, 6/15/2028		746,509

				1,504,134

		Banking — 10.2%
	610,000	Australia & New Zealand Banking Group Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 6.750%, 144A(d)		619,913
	1,900,000	Banco BTG Pactual S.A., (fixed rate to 9/18/2019, variable rate thereafter), 8.750%, 144A(d)		1,915,238

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	1,600,000	BNP Paribas S.A., (fixed rate to 11/15/2027, variable rate thereafter), 5.125%, 144A(d)	$	1,409,408
	345,000	BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A		323,620
	1,400,000	Credit Agricole S.A., (fixed rate to 1/23/2024, variable rate thereafter), 7.875%, 144A(d)		1,428,000
	580,000	Credit Suisse Group AG, (fixed rate to 12/11/2023, variable rate thereafter), 7.500%, 144A(d)		598,850
	550,000	Dresdner Funding Trust I, 8.151%, 6/30/2031, 144A		684,719
	1,560,000	HSBC Holdings PLC, (fixed rate to 3/23/2023, variable rate thereafter), 6.250%(d)		1,530,750
	1,500,000	Macquarie Bank Ltd., (fixed rate to 3/08/2027, variable rate thereafter), 6.125%, 144A(d)		1,346,250
	1,405,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%(d)		1,475,250
	1,510,000	Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%, 144A(d)		1,543,975
	865,000	Standard Chartered PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.866%, 3/15/2033, 144A		839,896
	1,420,000	Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%, 144A(d)		1,455,500

				15,171,369

		Cable Satellite — 3.4%
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		584,766
	1,700,000	DISH DBS Corp., 5.000%, 3/15/2023		1,474,750
	830,000	DISH DBS Corp., 7.750%, 7/01/2026		727,287
	1,600,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		1,468,704
	820,000	Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A		757,475

				5,012,982

		Chemicals — 0.4%
	650,000	Hercules LLC, 6.500%, 6/30/2029(b)(c)		658,125

		Electric — 0.3%
	435,000	NRG Energy, Inc., 7.250%, 5/15/2026		463,275

		Food & Beverage — 0.4%
	635,000	Marfrig Holdings Europe BV, Class B, 8.000%, 6/08/2023, 144A		642,715

		Government Owned – No Guarantee — 2.2%
	680,000	Banco do Brasil S.A., 4.625%, 1/15/2025, 144A		626,457
	1,325,000	Petrobras Global Finance BV, 5.999%, 1/27/2028, 144A		1,199,125
	715,000	YPF S.A., 8.500%, 3/23/2021, 144A		726,797
	740,000	YPF S.A., 8.750%, 4/04/2024, 144A		731,120

				3,283,499

		Healthcare — 1.0%
	715,000	Polaris Intermediate Corp., PIK, 8.500%, 12/01/2022, 144A(e)		737,344
	680,000	Vizient, Inc., 10.375%, 3/01/2024, 144A		749,700

				1,487,044

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — 5.1%
$	735,000	Carrizo Oil & Gas, Inc., 6.250%, 4/15/2023	$	744,187
	1,170,000	Chesapeake Energy Corp., 8.000%, 6/15/2027		1,190,475
	1,580,000	Gulfport Energy Corp., 6.375%, 1/15/2026		1,516,800
	540,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		502,200
	1,165,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,086,362
	595,000	SM Energy Co., 5.625%, 6/01/2025		566,738
	810,000	SM Energy Co., 6.750%, 9/15/2026		812,025
	1,110,000	Whiting Petroleum Corp., 6.625%, 1/15/2026, 144A		1,143,300

				7,562,087

		Life Insurance — 0.5%
	770,000	MetLife, Inc., Series D, (fixed rate to 3/15/2028, variable rate thereafter), 5.875%(d)		782,974

		Metals & Mining — 1.2%
	1,035,000	Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 7.500%, 5/01/2025, 144A		1,102,275
	625,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		616,812

				1,719,087

		Midstream — 3.3%
	640,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.875%, 8/20/2026		624,000
	1,500,000	Energy Transfer Partners LP, 4.950%, 6/15/2028		1,495,342
	1,120,000	EQT Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028		1,119,808
	1,020,000	Plains All American Pipeline LP, Series B, (fixed rate to 11/15/2022, variable rate thereafter), 6.125%(d)		966,450
	730,000	Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(d)		716,999

				4,922,599

		Non-Agency Commercial Mortgage-Backed Securities — 0.3%
	370,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 1-month LIBOR + 3.000%, 5.073%, 10/15/2034, 144A(f)		370,580

		Oil Field Services — 2.0%
	780,000	McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.625%, 5/01/2024, 144A		813,150
	735,000	Noble Holding International Ltd., 7.875%, 2/01/2026, 144A		757,050
	870,000	Transocean, Inc., 6.800%, 3/15/2038		706,875
	625,000	Transocean, Inc., 8.375%, 12/15/2021		668,750

				2,945,825

		Packaging — 0.4%
	540,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023(e)		541,350

		Pharmaceuticals — 1.6%
	285,000	Bayer U.S. Finance II LLC, 4.250%, 12/15/2025, 144A		286,525
	750,000	Bayer U.S. Finance II LLC, 4.375%, 12/15/2028, 144A		751,426
	560,000	Bayer U.S. Finance II LLC, 4.625%, 6/25/2038, 144A		555,166
	820,000	Teva Pharmaceutical Finance Netherlands III BV, 6.750%, 3/01/2028		835,767

				2,428,884

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Property & Casualty Insurance — 1.0%
	510,000	Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)	$	682,812
	770,000	Assurant, Inc., (fixed rate to 3/27/2028, variable rate thereafter), 7.000%, 3/27/2048		777,257

				1,460,069

		Sovereigns — 1.1%
	280,000	Panama Government International Bond, 4.500%, 5/15/2047		271,600
	445,000	Republic of Uruguay, 4.975%, 4/20/2055		431,650
	885,000	State of Qatar, 5.103%, 4/23/2048, 144A		882,310

				1,585,560

		Supermarkets — 0.8%
	1,280,000	New Albertsons LP, 7.750%, 6/15/2026		1,124,544

		Technology — 0.6%
	410,000	Dell International LLC/EMC Corp., 8.100%, 7/15/2036, 144A		481,405
	290,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		349,252

				830,657

		Treasuries — 0.8%
	5,375,000	Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)		147,271
	33,545,000	Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU)		1,059,038

				1,206,309

		Utility Other — 0.3%
	460,000	ACWA Power Management And Investments One Ltd., 5.950%, 12/15/2039, 144A		449,365

		Wireless — 0.4%
	565,000	Sprint Corp., 7.625%, 3/01/2026		576,300

		Wirelines — 0.7%
	835,000	CenturyLink, Inc., Series U, 7.650%, 3/15/2042		693,050
	385,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		351,312

				1,044,362

		Total Non-Convertible Bonds (Identified Cost $58,878,101)		57,773,695


	Convertible Bonds — 0.3%
		Cable Satellite — 0.2%
	400,000	DISH Network Corp., 3.375%, 8/15/2026		387,438

		Midstream — 0.0%
	25,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		23,861

		Technology — 0.1%
	120,000	Nuance Communications, Inc., 1.250%, 4/01/2025		112,601

		Total Convertible Bonds (Identified Cost $590,945)		523,900


		Total Bonds and Notes (Identified Cost $59,469,046)		58,297,595

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Senior Loans — 7.2%
		Airlines — 1.4%
$	2,063,636	Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020	$	2,112,647

		Building Materials — 0.8%
	1,135,000	CPG International, Inc., 2017 Term Loan, 5/03/2024(g)		1,133,105

		Chemicals — 0.4%
	334,079	ASP Chromaflo Dutch I BV, Term Loan B2, 1-month LIBOR + 3.500%, 5.594%, 11/18/2023(f)		335,125
	256,921	ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1, 1-month LIBOR + 3.500%, 5.594%, 11/18/2023(f)		257,725

				592,850

		Consumer Products — 0.8%
	1,202,000	Rodan & Fields LLC, 2018 Term Loan B, 3-month LIBOR + 4.000%, 6.073%, 6/06/2025(f)		1,201,255

		Financial Other — 0.8%
	1,156,454	Wall Street Systems Delaware, Inc., 2017 Term Loan B, 1-month LIBOR + 3.000%, 5.094%, 11/21/2024(f)		1,139,107

		Independent Energy — 0.3%
	392,811	Chesapeake Energy Corp., Term Loan, 1-month LIBOR + 7.500%, 9.594%, 8/23/2021(f)		410,570
	27,959	MEG Energy Corp., 2017 Term Loan B, LIBOR + 3.500%, 5.600%, 12/31/2023(h)		27,938

				438,508

		Lodging — 0.4%
	665,050	Hilton Worldwide Finance LLC, Term Loan B2, 1-month LIBOR + 1.750%, 3.841%, 10/25/2023(f)		664,771

		Media Entertainment — 0.5%
	727,375	LSC Communications, Inc., 2017 Term Loan B, 1-month LIBOR + 5.500%, 7.594%, 9/30/2022(f)		726,924

		Refining — 0.3%
	403,988	Delek U.S. Holdings, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.594%, 3/13/2025(f)		401,968

		Retailers — 0.7%
	1,109,337	Staples, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 6.358%, 9/12/2024(f)		1,093,740

		Wirelines — 0.8%
	1,135,257	TDC AS, USD Term Loan, 5/31/2025(g)		1,132,067

		Total Senior Loans (Identified Cost $10,579,533)		10,636,942


Shares
	Exchange-Traded Funds and Notes — 6.7%
	631,160	Alerian MLP ETF		6,374,716
	130,000	JPMorgan Alerian MLP Index ETN		3,455,400

		Total Exchange-Traded Funds and Notes (Identified Cost $10,249,609)		9,830,116

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
	Preferred Stocks — 1.8%
	Non-Convertible Preferred Stocks — 1.4%
		Banking — 0.7%
	36,425	Bank of America Corp., Series GG, 6.000%	$	951,421

		Midstream — 0.2%
	14,215	Energy Transfer Partners LP, Series C, (fixed rate to 5/15/2023, variable rate thereafter), 7.375%		355,233

		Property & Casualty Insurance — 0.5%
	30,000	Allstate Corp. (The), Series G, 5.625%		776,100

		Total Non-Convertible Preferred Stocks (Identified Cost $2,016,000)		2,082,754


	Convertible Preferred Stock — 0.4%
		Midstream — 0.4%
	932	Chesapeake Energy Corp., 5.750% (Identified Cost $631,845)		584,271

		Total Preferred Stocks (Identified Cost $2,647,845)		2,667,025


Principal Amount (‡)
	Short-Term Investments — 7.6%
$	11,293,506	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $11,294,541 on 7/02/2018 collateralized by $12,330,000 U.S. Treasury Note, 1.250% due 7/31/2023 valued at $11,522,558 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,293,506)		11,293,506


		Total Investments — 103.7% (Identified Cost $156,266,443)		153,690,260
		Other assets less liabilities — (3.7)%		(5,431,359	)

		Net Assets — 100.0%	$	148,258,901



	(‡)			Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)			See Note 2 of Notes to Financial Statements.
	(a)			Non-income producing security.
	(b)			Illiquid security.
	(c)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2018, the value of these securities amounted to $883,994 or 0.6% of net assets. See Note 2 of Notes to Financial Statements.
	(d)			Perpetual bond with no specified maturity date.
	(e)			Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended June 30, 2018, interest payments were made in cash.

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Multi-Asset Income Fund – (continued)



	(f)			Variable rate security. Rate as of June 30, 2018 is disclosed.
	(g)			Position is unsettled. Contract rate was not determined at June 30, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(h)			Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2018. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

	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, 2018, the value of Rule 144A holdings amounted to $33,025,693 or 22.3% of net assets.
	ETF			Exchange-Traded Fund
	ETN			Exchange-Traded Note
	LIBOR			London Interbank Offered Rate
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

	GBP			British Pound
	UYU			Uruguayan Peso

Industry Summary at June 30, 2018 (Unaudited)


Banking	10.2	%
Banks	6.6
Independent Energy	5.4
Midstream	3.9
Cable Satellite	3.6
Oil, Gas & Consumable Fuels	3.2
Capital Markets	3.1
Airlines	3.1
Semiconductors & Semiconductor Equipment	2.7
Government Owned – No Guarantee	2.2
Energy Equipment & Services	2.0
Oil Field Services	2.0
Other Investments, less than 2% each	41.4
Exchange-Traded Funds	6.7
Short-Term Investments	7.6

Total Investments	103.7
Other assets less liabilities	(3.7	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 64.3% of Net Assets
	Non-Convertible Bonds — 61.7%
		ABS Car Loan — 5.4%
$	734,918	ACC Trust, Series 2018-1, Class A, 3.700%, 12/21/2020, 144A	$	735,135
	1,171,106	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(a)		1,165,863
	1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(a)		1,466,379
	295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(a)		297,308
	2,415,000	BMW Vehicle Owner Trust, Series 2018-A, Class A2B, 1-month LIBOR + 0.070%, 2.161%, 11/25/2020(a)(b)		2,414,274
	1,785,000	California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025		1,787,914
	1,360,000	CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.150%, 2.223%, 5/17/2021(a)(b)		1,359,494
	1,435,000	CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025		1,434,237
	422,469	CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A(a)		419,741
	600,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(a)		606,647
	815,000	CPS Auto Receivables Trust, Series 2017-D, Class D, 3.730%, 9/15/2023, 144A(a)		810,383
	230,000	CPS Auto Receivables Trust, Series 2018-A, Class C, 3.050%, 12/15/2023, 144A(a)		227,697
	1,205,000	Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A		1,211,863
	2,175,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(a)		2,176,716
	2,955,000	Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a)		2,950,104
	1,390,000	DT Auto Owner Trust, Series 18-2A, Class D, 4.150%, 3/15/2024, 144A		1,391,521
	461,374	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(a)		463,582
	1,058,796	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A(a)		1,065,237
	4,075,000	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(a)		4,126,480
	3,045,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(a)		3,109,147
	270,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(a)		270,142
	440,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(a)		440,416
	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(a)		345,201
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(a)		1,727,054

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(a)	$	216,639
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(a)		608,625
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a)		650,602
	6,934	Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(a)		6,929
	152,663	Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/2019(a)		152,497
	768,428	Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(a)		766,851
	1,239,318	Ford Credit Auto Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.120%, 2.193%, 12/15/2019(a)(b)		1,239,417
	1,362,000	Hertz Vehicle Financing II LP, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A(a)		1,334,045
	1,209,311	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(a)		1,202,880
	1,290,000	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021(a)		1,277,055
	5,095,000	Honda Auto Receivables Owner Trust, Series 2018-1, Class A3, 2.640%, 2/15/2022(a)		5,068,431
	3,045,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 1-month LIBOR + 0.850%, 2.923%, 4/18/2022, 144A(a)(b)		3,062,859
	815,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 2.753%, 10/17/2022, 144A(a)(b)		819,237
	2,590,000	NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 2.713%, 2/15/2023, 144A(a)(b)		2,593,984
	917,963	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(a)		907,731
	440,280	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.060%, 2.133%, 1/15/2020(a)(b)		440,292
	1,525,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(a)		1,503,928
	3,220,000	Nissan Auto Receivables Owner Trust, Series 2018-A, Class A3, 2.650%, 5/16/2022(a)		3,202,909
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a)		3,081,587
	3,585,000	Santander Drive Auto Receivables Trust, Series 2018-2, Class D, 3.880%, 2/15/2024		3,569,660
	353,000	Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A		352,900
	252,534	Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019(a)		252,329
	603,201	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(a)		598,452
	57,582	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2B, 1-month LIBOR + 0.130%, 2.203%, 5/15/2019(a)(b)		57,585

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	1,555,006	Toyota Auto Receivables Owner Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.060%, 2.133%, 1/15/2020(a)(b)	$	1,555,005
	764,788	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(a)		761,818
	818,503	Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.840%, 4/17/2023, 144A(a)		815,151
	3,400,000	Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A2B, 2.285%, 7/20/2021(c)(d)		3,400,000
	595,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class D, 3.460%, 10/17/2022, 144A(a)		594,990
	740,000	Westlake Automobile Receivables Trust, Series 2018-1A, Class D, 3.410%, 5/15/2023, 144A(a)		735,518

				72,832,441

		ABS Credit Card — 4.9%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 1-month LIBOR + 0.420%, 2.493%, 2/16/2021(a)(b)		3,145,297
	5,420,000	American Express Credit Account Master Trust, Series 2017-6, Class A, 2.040%, 5/15/2023(a)		5,310,467
	2,765,000	American Express Issuance Trust II, Series 2013-2, Class A, 1-month LIBOR + 0.430%, 2.503%, 8/15/2019(a)(b)		2,766,579
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 1-month LIBOR + 0.380%, 2.453%, 6/15/2021(a)(b)		2,053,280
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1-month LIBOR + 0.390%, 2.463%, 10/15/2021(a)(b)		997,089
	4,385,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(a)		4,317,907
	5,875,000	Bank of America Credit Card Trust, Series 2018-A1, Class A1, 2.700%, 7/17/2023(a)		5,838,812
	3,600,000	Capital One Multi-Asset Execution Trust, Series 2015-A7, Class A7, 1.450%, 8/16/2021(a)		3,589,657
	2,585,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(a)		2,547,776
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A4, 1.840%, 4/15/2022(a)		3,434,550
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(a)		3,081,058
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 1-month LIBOR + 0.430%, 2.476%, 9/10/2020(a)(b)		5,828,884
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(a)		5,714,242
	5,520,000	Citibank Credit Card Issuance Trust, Series 2017-A8, Class A8, 1.860%, 8/08/2022(a)		5,390,884
	6,025,000	Citibank Credit Card Issuance Trust, Series 2018-A1, Class A1, 2.490%, 1/20/2023(a)		5,948,734
	5,425,000	Discover Card Execution Note Trust, Series 2018-A3, Class A3, 1-month LIBOR + 0.230%, 2.328%, 12/15/2023(b)		5,421,759

				65,386,975

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — 10.8%
$	540,710	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.916%, 3/25/2035(a)(c)	$	531,534
	1,136,862	Adjustable Rate Mortgage Trust, Series 2005-1, Class 3A1, 3.820%, 5/25/2035(a)(c)		1,150,683
	1,861,019	Ajax Mortgage Loan Trust, Series 2016-B, Class A, 4.000%, 9/25/2065, 144A(a)(c)		1,864,732
	1,179,197	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(a)(c)		1,181,959
	374,799	Ajax Mortgage Loan Trust, Series 2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(c)		372,164
	1,505,478	Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c)		1,476,044
	441,883	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		453,376
	490,830	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		502,783
	327,666	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		327,849
	832,559	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		844,812
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		315,034
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,391,268
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,336,259
	645,919	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		658,339
	1,269,045	Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.456%, 11/20/2034(c)		1,257,479
	379,927	Banc of America Funding Trust, Series 2005-5, Class 1A1, 5.500%, 9/25/2035		401,563
	777,250	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		816,149
	479,338	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		481,017
	1,442,420	Banc of America Mortgage Trust, Series 2005-I, Class 4A1, 3.369%, 10/25/2035(c)		1,412,786
	581,639	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, 3.105%, 9/28/2032, 144A(a)(c)		579,333
	1,423,641	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN8, Class A1, 3.352%, 11/28/2032, 144A(c)		1,416,521
	71,400	Bayview Opportunity Master Fund IIIb Trust, Series 2017-RN3, Class A1, 3.228%, 5/28/2032, 144A(a)(c)		71,387
	1,334,959	Bayview Opportunity Master Fund IV Trust, Series 2018-RN2, Class A1, 3.598%, 2/25/2033, 144A(a)(c)		1,330,037
	1,787,916	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN1, Class A1, 3.278%, 1/28/2033, 144A(a)(c)		1,774,903
	702,768	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN3, Class A1, 3.672%, 3/28/2033, 144A(a)(c)		701,549

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,046,610	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL2, Class A1, 2.981%, 10/28/2032, 144A(a)(c)	$	1,041,067
	1,476,241	Bayview Opportunity Master Fund Trust, Series 2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(c)		1,474,939
	674,917	BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022		671,643
	548,524	CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1, 3.893%, 8/25/2034(c)		540,624
	1,567,563	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 3.617%, 8/25/2035(c)		1,566,500
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A		2,237,904
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c)		1,073,739
	3,190,000	Colony American Homes, Series 2015-1A, Class D, 1-month LIBOR + 2.150%, 4.196%, 7/17/2032, 144A(a)(b)		3,187,244
	3,015,000	Colony American Homes, Series 2015-1A, Class F, 1-month LIBOR + 3.650%, 5.696%, 7/17/2032, 144A(b)		3,018,870
	1,410,000	Colony Starwood Homes Trust, Series 2016-2A, Class E, 1-month LIBOR + 3.350%, 5.423%, 12/17/2033, 144A(b)		1,428,967
	667,945	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		684,689
	581,109	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		604,455
	1,081,696	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,119,256
	553,969	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(a)		561,824
	31	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 4.895%, 8/25/2034(a)(c)(d)(e)		31
	81,312	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.643%, 9/20/2034(a)(c)		79,201
	555,616	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 3.663%, 11/25/2033(a)(c)		561,505
	381,241	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 3.665%, 12/25/2033(a)(c)		387,532
	3,004,375	Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(c)		3,004,144
	220,934	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		227,531
	789,102	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1-month LIBOR + 0.350%, 2.441%, 6/25/2034(b)		766,133
	645,240	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 2.415%, 9/19/2045(b)		523,946
	1,697,750	Dukinfield 2 PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.879%, 12/20/2052, (GBP)(a)(b)		2,268,817
	614,200	Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.777%, 3/13/2045, (GBP)(a)(b)		800,121

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,500,524	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 1-month LIBOR + 2.200%, 4.291%, 2/25/2024(a)(b)	$	1,543,001
	858,409	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1-month LIBOR + 1.650%, 3.741%, 4/25/2024(a)(b)		870,290
	2,514,810	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 3.941%, 10/25/2027(a)(b)		2,561,867
	1,165,002	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(c)		1,155,496
	429,628	GCAT LLC, Series 2017-3, Class A1, 3.352%, 4/25/2047, 144A(a)(c)		427,163
	336,404	GCAT LLC, Series 2017-5, Class A1, 3.228%, 7/25/2047, 144A(a)(c)		334,524
	1,246,748	GCAT LLC, Series 2018-1, Class A1, 3.844%, 6/25/2048, 144A(c)		1,245,903
	2,800,000	GCAT LLC, Series 2018-2, Class A1, 4.090%, 6/26/2023, 144A(c)(d)(e)		2,800,000
	311,616	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 4.130%, 7/19/2035(c)		304,169
	248,571	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 4.216%, 7/25/2035(c)		244,499
	1,115,000	Home Partners of America Trust, Series 2016-2, Class E, 1-month LIBOR + 3.780%, 5.865%, 10/17/2033, 144A(b)		1,121,045
	1,123,000	Home Partners of America Trust, Series 2016-2, Class F, 1-month LIBOR + 4.700%, 6.785%, 10/17/2033, 144A(b)		1,138,157
	2,441,485	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1-month LIBOR + 0.780%, 2.871%, 12/25/2034(b)		2,222,278
	3,031,378	IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A, 3.941%, 10/25/2034(c)		3,104,653
	764,164	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.311%, 9/25/2034(b)		694,169
	1,388,336	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 2.731%, 7/25/2045(b)		1,337,530
	3,243,102	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.301%, 2/25/2046(b)		2,728,176
	1,765,000	Invitation Homes Trust, Series 2015-SFR3, Class E, 1-month LIBOR + 3.750%, 5.823%, 8/17/2032, 144A(b)		1,764,838
	445,000	Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 4.085%, 3/17/2037, 144A(b)		446,288
	2,935,000	Invitation Homes Trust, Series 2018-SFR2, Class E, 1-month LIBOR + 2.000%, 4.073%, 6/17/2037, 144A(b)		2,943,848
	462,162	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 3.689%, 11/25/2033(a)(c)		467,398
	1,590,055	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		1,605,390
	1,100,336	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 3.696%, 4/25/2035(a)(c)		1,094,386
	267,712	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 3.701%, 6/25/2035(a)(c)		271,180
	887,170	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 3.645%, 2/25/2036(c)		809,856
	508,758	Lehman XS Trust, Series 2005-7N, Class 3A1, 1-month LIBOR + 0.280%, 2.371%, 12/25/2035(b)		436,193

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	617,546	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 2.351%, 2/25/2046(b)	$	543,291
	510,701	Ludgate Funding PLC, Series 2007-1, Class A2B, 3-month EURIBOR + 0.160%, Zero Coupon, 1/01/2061, (EUR)(a)(b)		572,181
	1,884,535	Ludgate Funding PLC, Series 2008-W1X, Class A1, GBP 3-month LIBOR + 0.600%, 1.323%, 1/01/2061, (GBP)(a)(b)		2,436,824
	360,755	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.964%, 5/25/2034(a)(c)		357,815
	1,294,487	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 3.487%, 7/25/2034(a)(c)		1,270,351
	273,520	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 3.966%, 4/25/2036(c)		272,554
	401,560	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		414,758
	460,818	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		471,658
	543,651	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		562,104
	1,508,248	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		1,600,019
	158,060	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 3.709%, 5/25/2036(a)(c)		159,817
	628,992	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		602,856
	1,050,703	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		1,085,613
	736,487	Newgate Funding PLC, Series 2007-3X, Class A2B, 3-month EURIBOR + 0.600%, 0.279%, 12/15/2050, (EUR)(a)(b)		852,340
	188,771	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(a)(c)		189,343
	1,254,380	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(c)		1,242,707
	2,447,049	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(c)		2,422,770
	1,530,000	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A2, 4.875%, 7/25/2057, 144A(c)		1,517,941
	398,895	OWS Structured Asset Trust, Series 2016-NPL1, Class A1, 3.750%, 7/25/2056, 144A(a)(c)		401,080
	3,597,132	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(c)		3,575,803
	1,165,000	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A2, 5.000%, 9/25/2022, 144A(c)		1,155,778
	1,310,309	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(c)		1,304,724
	405,000	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A2, 5.000%, 11/25/2022, 144A(c)		395,757

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	895,000	Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2, 5.000%, 4/25/2023, 144A(c)	$	881,035
	2,658,778	RCO Mortgage LLC, Series 2017-1, Class A1, 3.375%, 8/25/2022, 144A(a)(c)		2,644,142
	953,892	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 1-month LIBOR + 0.190%, 2.281%, 4/25/2046(b)		903,326
	1,383,357	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,221,442
	443,561	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		437,585
	1,852,266	Residential Funding Mortgage Securities, Series 2006-SA2, Class 3A1, 4.906%, 8/25/2036(c)		1,724,814
	412,123	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 3-month EURIBOR + 0.150%, 0.000%, 6/12/2044, (EUR)(a)(b)		466,265
	319,752	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.779%, 6/12/2044, (GBP)(a)(b)		408,099
	2,300,434	RMAT, Series 18-NPL1, Class A1, 4.090%, 5/25/2048, 144A(c)		2,298,657
	3,108,332	Stanwich Mortgage Loan Trust, Series 2018-NPB1, Class A1, 4.016%, 5/16/2023, 144A(c)		3,109,001
	1,819,000	Starwood Waypoint Homes, Series 2015-1A, Class E, 1-month LIBOR + 3.000%, 5.046%, 7/17/2032, 144A(b)		1,821,164
	3,519,370	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 2.401%, 7/25/2035(b)		2,792,865
	323,790	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		328,236
	1,200,000	Towd Point Mortgage Funding PLC, Series 2016-GR1X, Class B, GBP 3-month LIBOR + 1.400%, 2.154%, 7/20/2046, (GBP)(a)(b)		1,592,536
	220,289	VOLT LIV LLC, Series 2017-NPL1, Class A1, 3.500%, 2/25/2047, 144A(a)(c)		220,266
	2,400,000	VOLT LIV LLC, Series 2017-NPL1, Class A2, 5.875%, 2/25/2047, 144A(c)		2,392,847
	1,697,639	VOLT LV LLC, Series 2017-NPL2, Class A1, 3.500%, 3/25/2047, 144A(a)(c)		1,691,827
	1,979,810	VOLT LVI LLC, Series 2017-NPL3, Class A1, 3.500%, 3/25/2047, 144A(a)(c)		1,975,185
	2,840,000	VOLT LVI LLC, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(c)		2,834,674
	362,342	VOLT LVII LLC, Series 2017-NPL4, Class A1, 3.375%, 4/25/2047, 144A(a)(c)		361,288
	895,097	VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.125%, 6/25/2047, 144A(a)(c)		888,853
	953,162	VOLT LXIII LLC, Series 2017-NP10, Class A1, 3.000%, 10/25/2047, 144A(a)(c)		943,215
	1,125,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(c)		1,126,782
	1,483,048	Wells Fargo Mortgage Backed Securities Trust, Series 2004-I, Class 2A1, 4.310%, 7/25/2034(a)(c)		1,507,688
	269,430	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 3.605%, 8/25/2034(a)(c)		277,122
	138,787	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		139,888
	704,502	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		711,313
	367,224	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.911%, 5/01/2035(a)(c)		377,372

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	456,792	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 3.895%, 6/25/2035(a)(c)	$	467,287

				145,105,397

		ABS Other — 4.4%
	836,372	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A(a)		835,136
	1,095,000	Accelerated Assets LLC, Series 18-1, Class B, 4.510%, 12/02/2033, 144A		1,096,326
	3,089,708	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(c)		3,059,273
	355,605	Apollo Aviation Securitization Equity Trust, Series 2018-1A, Class B, 5.437%, 1/16/2038, 144A(a)		356,830
	350,000	Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		343,465
	1,130,208	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c)		1,136,788
	1,289,714	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c)		1,313,634
	1,430,000	Castlelake Aircraft Securitization Trust, Series 18-1, Class B, 5.300%, 6/15/2043, 144A		1,440,199
	250,000	CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)		246,981
	580,000	Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A		578,426
	790,000	Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A(d)		789,771
	2,025,000	Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A(d)		2,024,555
	695,298	CLUB Credit Trust, Series 2017-P1, Class A, 2.420%, 9/15/2023, 144A(a)		693,622
	782,659	Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A		764,743
	2,132,662	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)		1,604,828
	852,271	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)		338,778
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h)		—
	1,193,059	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(f)(i)		1,133,977
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(a)		6,528,350
	709,380	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(a)		710,902
	2,670,000	OneMain Financial Issuance Trust, Series 2015-2A, Class D, 5.640%, 7/18/2025, 144A(a)		2,698,955
	3,120,000	OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,152,819
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A(a)		3,180,081

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2018 (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(a)	$	2,714,027
	1,799,167	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)		1,795,089
	3,718,000	SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A		3,754,220
	3,454,699	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		3,513,512
	624,255	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(a)		623,443
	1,410,000	Sofi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A		1,412,694
	674,070	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		671,577
	3,050,822	Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a)		3,042,758
	2,009,583	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)		1,993,899
	290,625	Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class B, 5.750%, 5/17/2032, 144A(c)		293,819
	1,710,000	Tidewater Sales Finance Master Trust, Series 2017-AA, Class A, 4.550%, 4/15/2021, 144A(f)(i)		1,709,068
	2,295,000	Verizon Owner Trust, Series 2018-1A, Class A1B, 1-month LIBOR + 0.260%, 2.344%, 9/20/2022, 144A(a)(b)		2,295,446
	1,246,406	Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)		1,263,572

				59,111,563

		ABS Student Loan — 0.7%
	1,219,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 4.290%, 6/15/2032(a)(b)(d)(e)		1,218,634
	3,250,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 4.300%, 3/15/2033(a)(b)(d)(e)		3,249,025
	350,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 4.270%, 3/15/2033(b)(d)(e)		349,895
	1,350,000	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.823%, 10/15/2035, 144A(a)(b)		1,354,014
	137,411	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1-month LIBOR + 1.250%, 3.341%, 8/25/2032, 144A(a)(b)		138,816
	694,882	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1-month LIBOR + 1.200%, 3.291%, 3/25/2033, 144A(a)(b)		701,871
	1,661,346	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		1,625,498

				8,637,753

		ABS Whole Business — 0.4%
	3,083,850	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)		3,129,781
	750,000	Driven Brands Funding LLC, Series 2018-1A, Class A2, 4.739%, 4/20/2048, 144A		755,070
	955,200	Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		962,221

				4,847,072

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Aerospace & Defense — 1.0%
$	1,135,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025(a)	$	1,150,464
	1,605,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027(a)		1,660,613
	1,195,000	Embraer Overseas Ltd., 5.696%, 9/16/2023, 144A(a)		1,247,293
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.290%, 2.646%, 5/11/2020(b)		3,433,448
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.380%, 2.736%, 5/11/2021(b)		3,436,929
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		2,759,202

				13,687,949

		Agency Commercial Mortgage-Backed Securities — 0.2%
	175,000	Federal National Mortgage Association, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 4.291%, 1/25/2030(b)		178,071
	50,736,608	Government National Mortgage Association, Series 2012-135, Class IO, 0.603%, 1/16/2053(a)(c)(j)		2,013,071

				2,191,142

		Airlines — 0.3%
	4,661,460	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		4,455,423

		Automotive — 4.8%
	5,875,000	American Honda Finance Corp., MTN, 3-month LIBOR + 0.280%, 2.611%, 11/19/2018(a)(b)		5,881,286
	6,045,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.380%, 2.705%, 4/06/2020, 144A(a)(b)		6,064,296
	5,985,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.749%, 4/12/2021, 144A(a)(b)		6,005,235
	5,785,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.751%, 9/13/2019, 144A(a)(b)		5,805,214
	3,135,000	Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A		3,128,629
	5,980,000	Ford Motor Credit Co. LLC, 3-month LIBOR + 1.000%, 3.331%, 1/09/2020(a)(b)		6,022,411
	3,585,000	General Motors Financial Co., Inc., 3.188%, 4/09/2021(c)		3,603,648
	6,165,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.520%, 2.861%, 3/15/2021, 144A(a)(b)		6,175,132
	5,955,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.580%, 2.922%, 1/13/2020, 144A(a)(b)		5,982,704
	12,395,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.280%, 2.622%, 4/13/2021(a)(b)		12,390,664
	2,955,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.440%, 2.795%, 10/18/2019(a)(b)		2,967,631

				64,026,850

		Banking — 3.0%
	44,895,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 2.500%, 25.229%, 1/12/2020, 144A, (ARS)(b)		1,432,308
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 26.917%, 11/07/2022, 144A, (ARS)(b)		1,300,939
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		600,045
	46,000,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Private Banks + 4.500%, 28.833%, 8/09/2020, 144A, (ARS)(b)		1,434,982

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	5,895,000	Citibank NA, 3-month LIBOR + 0.350%, 2.705%, 2/12/2021(a)(b)	$	5,899,112
	3,015,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,579,393
	6,240,000	JPMorgan Chase & Co., 3-month LIBOR + 0.680%, 2.980%, 6/01/2021(a)(b)		6,269,141
	5,895,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.250%, 2.605%, 2/13/2020(a)(b)		5,893,460
	5,800,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.590%, 2.925%, 9/23/2019(a)(b)		5,833,584
	6,000,000	Sumitomo Mitsui Banking Corp., Series 2FRN, 3-month LIBOR + 0.540%, 2.877%, 1/11/2019(a)(b)		6,012,833
	3,000,000	Toronto-Dominion Bank (The), MTN, 3-month LIBOR + 0.420%, 2.775%, 1/18/2019(a)(b)		3,005,819

				40,261,616

		Cable Satellite — 0.3%
	2,240,000	Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.500%, 2/01/2024		2,237,795
	2,400,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		2,203,056

				4,440,851

		Chemicals — 0.1%
	1,490,000	Mexichem SAB de CV, 4.000%, 10/04/2027, 144A(a)		1,363,350

		Collateralized Mortgage Obligations — 0.1%
	1,415,570	GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A, 3.991%, 3/18/2035(c)		1,427,767

		Construction Machinery — 0.9%
	3,050,000	Caterpillar Financial Services Corp., GMTN, 3-month LIBOR + 0.290%, 2.611%, 9/04/2020(a)(b)		3,057,502
	3,065,000	Caterpillar Financial Services Corp., MTN, 3-month LIBOR + 0.230%, 2.571%, 3/15/2021(a)(b)		3,067,372
	6,350,000	John Deere Capital Corp., MTN, 3-month LIBOR + 0.240%, 2.566%, 3/12/2021(a)(b)		6,350,817

				12,475,691

		Diversified Manufacturing — 0.4%
	5,915,000	United Technologies Corp., 3-month LIBOR + 0.350%, 2.708%, 11/01/2019(a)(b)		5,931,266

		Electric — 0.8%
	9,400,000,000	Empresas Publicas de Medellin ESP, 8.375%, 11/08/2027, 144A, (COP)(a)		3,158,936
	6,455,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)		7,181,188

				10,340,124

		Finance Companies — 0.9%
	6,100,000	USAA Capital Corp., 3-month LIBOR + 0.230%, 2.588%, 2/01/2019, 144A(a)(b)		6,104,697
	6,500,000	USAA Capital Corp., 3.000%, 7/01/2020, 144A		6,498,393

				12,603,090

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Food & Beverage — 2.1%
$	4,595,000	BRF GmbH, 4.350%, 9/29/2026, 144A(a)	$	3,818,399
	420,000	BRF S.A., 3.950%, 5/22/2023, 144A		367,290
	1,235,000	BRF S.A., 4.750%, 5/22/2024, 144A		1,081,860
	3,065,000	Campbell Soup Co., 3-month LIBOR + 0.500%, 2.835%, 3/16/2020(a)(b)		3,056,033
	1,680,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		1,638,151
	1,935,000	Diageo Capital PLC, 3.000%, 5/18/2020		1,937,617
	6,235,000	Grupo Bimbo SAB de CV, 4.700%, 11/10/2047, 144A(a)		5,664,248
	2,300,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		2,139,000
	2,695,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		2,721,950
	3,105,000	MARB BondCo PLC, 6.875%, 1/19/2025, 144A		2,949,750
	2,900,000	PepsiCo, Inc., 3-month LIBOR + 0.270%, 2.582%, 10/04/2019(a)(b)		2,907,138

				28,281,436

		Government Owned – No Guarantee — 2.1%
	18,670,000,000	Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(a)		6,513,037
	2,820,000	Petrobras Global Finance BV, 5.299%, 1/27/2025, 144A		2,605,680
	4,640,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		3,774,083
	6,130,000	Petrobras Global Finance BV, 5.999%, 1/27/2028, 144A		5,547,650
	2,045,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		1,891,625
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(a)		3,353,261
	3,525,000	YPF S.A., 6.950%, 7/21/2027, 144A		3,027,094
	1,930,000	YPF S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 26.563%, 7/07/2020, 144A(b)		1,050,125

				27,762,555

		Healthcare — 1.1%
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.630%, 2.957%, 3/09/2020(a)(b)		6,088,373
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.720%, 3.047%, 3/09/2021(a)(b)		6,095,573
	2,340,000	Polaris Intermediate Corp., PIK, 8.500%, 12/01/2022, 144A(k)		2,413,125

				14,597,071

		Independent Energy — 1.5%
	3,845,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		2,555,118
	2,750,000	California Resources Corp., 8.000%, 12/15/2022, 144A		2,495,625
	1,360,000	Callon Petroleum Co., 6.125%, 10/01/2024		1,377,000
	3,080,000	Gulfport Energy Corp., 6.375%, 5/15/2025		2,995,300
	1,880,000	Jagged Peak Energy LLC, 5.875%, 5/01/2026, 144A		1,842,400
	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		1,176,450
	1,340,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,249,550
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(f)(l)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(f)(l)		—
	2,985,000	SRC Energy, Inc., 6.250%, 12/01/2025, 144A		2,981,269
	4,310,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		3,986,750

				20,659,462

		Integrated Energy — 0.8%
	950,000	Geopark Ltd., 6.500%, 9/21/2024, 144A		920,332
	3,335,000	Gran Tierra Energy International Holdings Ltd., 6.250%, 2/15/2025, 144A		3,130,731

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Integrated Energy — continued
$	1,310,000	Hunt Oil Co. of Peru LLC Sucursal Del Peru, 6.375%, 6/01/2028, 144A	$	1,334,562
	5,795,000	Shell International Finance BV, 3-month LIBOR + 0.350%, 2.676%, 9/12/2019(a)(b)		5,815,656

				11,201,281

		Leisure — 0.1%
	770,000	Constellation Merger Sub, Inc., 8.500%, 9/15/2025, 144A		732,462

		Life Insurance — 0.4%
	5,785,000	Metropolitan Life Global Funding I, 3-month LIBOR + 0.340%, 2.676%, 9/14/2018, 144A(a)(b)		5,789,686

		Local Authorities — 1.1%
	2,900,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		2,864,330
	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		2,082,985
	2,015,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		1,763,125
	67,000,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.750%, 27.000%, 4/12/2025, (ARS)(b)		1,822,175
	216,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.830%, 27.500%, 5/31/2022, (ARS)(b)		6,507,630

				15,040,245

		Media Entertainment — 0.5%
	5,185,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		5,154,098
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(a)		1,001,809

				6,155,907

		Metals & Mining — 0.6%
	6,070,000	Gerdau Trade, Inc., 4.875%, 10/24/2027, 144A(a)		5,628,893
	1,900,000	Vale Overseas Ltd., 6.250%, 8/10/2026(a)		2,057,700

				7,686,593

		Midstream — 0.3%
	1,160,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		1,363,000
	800,000	Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027		917,620
	2,160,000	Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A		1,978,949

				4,259,569

		Natural Gas — 0.2%
	1,825,000	Infraestructura Energetica Nova, S.A.B. de C.V., 3.750%, 1/14/2028, 144A(a)		1,616,220
	1,135,000	Infraestructura Energetica Nova, S.A.B. de C.V., 4.875%, 1/14/2048, 144A(a)		973,262

				2,589,482

		Non-Agency Commercial Mortgage-Backed Securities — 2.2%
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.279%, 4/15/2044, 144A(a)(c)		4,718,074
	1,900,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 1-month LIBOR + 3.000%, 5.073%, 10/15/2034, 144A(a)(b)		1,902,976

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	3,635,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A	$	3,277,514
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.884%, 11/10/2046, 144A(a)(c)		2,627,918
	856,302	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.979%, 8/10/2045(c)		870,345
	299,138	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)		299,885
	3,090,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 1-month LIBOR + 4.500%, 6.573%, 7/15/2036, 144A(b)		3,117,139
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.666%, 6/15/2044, 144A(a)(c)		1,542,711
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.666%, 6/15/2044, 144A(c)		2,000,492
	5,924,269	Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 9.000%, 8/15/2019, 144A(b)		5,982,977
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.839%, 2/15/2044, 144A(a)(c)		2,621,083
	950,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.979%, 6/15/2045, 144A(c)		774,066

				29,735,180

		Paper — 0.5%
	2,275,000	Celulosa Arauco y Constitucion S.A., 5.500%, 11/02/2047(a)		2,213,598
	2,660,000	Fibria Overseas Finance Ltd., 4.000%, 1/14/2025		2,455,180
	1,915,000	Suzano Austria GmbH, 5.750%, 7/14/2026, 144A		1,937,214

				6,605,992

		Pharmaceuticals — 0.4%
	2,750,000	Inretail Pharma S.A., 5.375%, 5/02/2023, 144A		2,785,062
	1,450,000	Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/2022		1,319,730
	1,330,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		1,148,788

				5,253,580

		Property & Casualty Insurance — 0.5%
	6,000,000	Berkshire Hathaway Finance Corp., 3-month LIBOR + 0.320%, 2.658%, 1/10/2020(a)(b)		6,020,457

		Retailers — 0.7%
	2,915,000	Alimentation Couche-Tard, Inc., 3-month LIBOR + 0.500%, 2.833%, 12/13/2019, 144A(a)(b)		2,917,277
	6,635,000	Walmart, Inc., 3-month LIBOR +0.230%, 2.567%, 6/23/2021(b)		6,644,422

				9,561,699

		Sovereigns — 0.1%
	29,460,000	Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 32.223%, 6/21/2020, (ARS)(b)		1,056,847

		Technology — 1.9%
	6,045,000	Apple, Inc., 3-month LIBOR + 0.070%, 2.426%, 5/11/2020(a)(b)		6,049,246
	6,955,000	Cisco Systems, Inc., 3-month LIBOR + 0.340%, 2.665%, 9/20/2019(a)(b)		6,977,248

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	5,825,000	IBM Credit LLC, 3-month LIBOR + 0.160%, 2.523%, 2/05/2021(a)(b)	$	5,833,198
	6,000,000	International Business Machines Corp., 3-month LIBOR + 0.230%, 2.596%, 1/27/2020(a)(b)		6,018,629
	1,100,000	Veritas U.S., Inc./Veritas Bermuda Ltd., 10.500%, 2/01/2024, 144A		902,000

				25,780,321

		Treasuries — 5.2%
	1,115,000(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(a)		5,013,002
	127,035,000	Republic of Poland Government Bond, 2.750%, 4/25/2028, (PLN)(a)		32,643,516
	380,700,000	Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a)		25,149,540
	1,144,165(††)	United Mexican States, Series M 30, 8.500%, 11/18/2038, (MXN)(a)		6,256,591

			��	69,062,649

		Total Non-Convertible Bonds (Identified Cost $875,347,198)		826,958,794


	Convertible Bonds — 2.6%
		Building Materials — 0.1%
	1,140,000	Tutor Perini Corp., 2.875%, 6/15/2021		1,141,679

		Cable Satellite — 0.5%
	4,165,000	DISH Network Corp., 2.375%, 3/15/2024		3,667,732
	2,995,000	DISH Network Corp., 3.375%, 8/15/2026		2,900,945

				6,568,677

		Consumer Cyclical Services — 0.0%
	475,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		421,261

		Diversified Operations — 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		783,049

		Healthcare — 0.0%
	220,000	Insulet Corp., 1.375%, 11/15/2024, 144A		247,119

		Leisure — 0.1%
	650,000	Rovi Corp., 0.500%, 3/01/2020		618,170

		Media Entertainment — 0.0%
	575,000	Liberty Media Corp., 2.250%, 9/30/2046		302,002

		Midstream — 0.2%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		1,300,845
	385,000	SM Energy Co., 1.500%, 7/01/2021		396,623
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,026,013

				2,723,481

		Oil Field Services — 0.1%
	125,000	Hercules Capital, Inc., 4.375%, 2/01/2022		124,503
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024		1,387,250

				1,511,753

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.8%
$	4,250,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024	$	4,293,350
	780,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		924,006
	710,000	Flexion Therapeutics, Inc., 3.375%, 5/01/2024		865,541
	1,550,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		1,483,438
	2,000,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		1,751,096
	1,240,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		1,218,244

				10,535,675

		Railroads — 0.1%
	1,385,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024		1,593,782

		REITs – Mortgage — 0.2%
	3,220,000	iStar, Inc., 3.125%, 9/15/2022, 144A		3,131,173

		Technology — 0.3%
	3,435,000	Finisar Corp., 0.500%, 12/15/2036		3,117,778
	1,500,000	Verint Systems, Inc., 1.500%, 6/01/2021		1,472,164

				4,589,942

		Wirelines — 0.1%
	595,000	GCI Liberty, Inc., 1.750%, 9/30/2046, 144A		612,223

		Total Convertible Bonds (Identified Cost $35,544,691)		34,779,986


		Total Bonds and Notes (Identified Cost $910,891,889)		861,738,780


	Senior Loans — 13.0%
		Aerospace & Defense — 0.3%
	1,066,847	Engility Corp., Term Loan B2, 1-month LIBOR + 2.750%, 4.844%, 8/12/2023(b)		1,064,010
	589,865	TransDigm, Inc., 2018 Term Loan E, 1-month LIBOR + 2.250%, 4.594%, 5/30/2025(b)		584,798
	2,350,497	TransDigm, Inc., 2018 Term Loan F, 1-month LIBOR + 2.500%, 4.594%, 6/09/2023(b)		2,334,043
	663,317	TransDigm, Inc., 2018 Term Loan G, 1-month LIBOR + 2.500%, 4.594%, 8/22/2024(b)		657,791

				4,640,642

		Automotive — 0.4%
	2,305,000	BBB Industries U.S. Holdings, Inc., 2018 1st Lien Term Loan, 6/26/2025(m)		2,287,713
	726,350	Belron Finance U.S. LLC, USD Term Loan B, 3-month LIBOR + 2.500%, 4.863%, 11/07/2024(b)		724,534
	2,756,212	Truck Hero, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.838%, 4/21/2024(b)		2,751,609

				5,763,856

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Building Materials — 0.9%
$	3,336,553	American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 10/31/2023(m)	$	3,305,456
	393,025	Atkore International, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 2.750%, 5.090%, 12/22/2023(b)		391,944
	1,576,090	HD Supply, Inc., Term Loan B4, 1-month LIBOR + 2.500%, 4.594%, 10/17/2023(b)		1,580,424
	518,700	NCI Building Systems, Inc., 2018 Term Loan, 1-month LIBOR + 2.000%, 4.094%, 2/07/2025(b)		516,267
	3,546,438	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.844%, 11/15/2023(b)		3,527,217
	3,311,619	Reece Ltd., 2018 Term Loan B, 5/30/2025(m)		3,295,061

				12,616,369

		Cable Satellite — 1.4%
	1,861,300	Altice U.S. Finance I Corp., 2017 Term Loan B, 1-month LIBOR + 2.250%, 4.344%, 7/28/2025(b)		1,846,186
	2,859,026	CSC Holdings LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 2.250%, 4.323%, 7/17/2025(b)		2,837,583
	1,650,000	Telenet Financing USD LLC, USD Term Loan AN, 1-month LIBOR + 2.250%, 4.323%, 8/17/2026(b)		1,632,807
	4,350,409	Unitymedia Finance LLC, Term Loan B, 1-month LIBOR + 2.250%, 4.323%, 9/30/2025(b)		4,315,084
	1,340,000	Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, 1-month LIBOR + 2.000%, 4.073%, 6/01/2023(b)		1,329,668
	2,575,000	Virgin Media Bristol LLC, Term Loan K, 1-month LIBOR + 2.500%, 4.573%, 1/15/2026(b)		2,554,091
	3,999,734	Ziggo Secured Finance Partnership, USD Term Loan E, 1-month LIBOR + 2.500%, 4.573%, 4/15/2025(b)		3,952,257

				18,467,676

		Chemicals — 0.7%
	1,894,585	Axalta Coating Systems US Holdings, Inc., USD Term Loan, 3-month LIBOR + 1.750%, 4.084%, 6/01/2024(b)		1,882,744
	1,325,000	Consolidated Energy Finance, S.A., Term Loan B, 5/07/2025(m)		1,315,063
	2,625,000	Consolidated Energy Finance, S.A., Term Loan B, 1-month LIBOR + 2.500%, 4.525%, 5/07/2025(b)		2,605,312
	4,063	Plaskolite, Inc., 1st Lien Term Loan, 11/03/2022(m)		4,047
	1,620,938	Plaskolite, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.598%, 11/03/2022(b)		1,614,859
	710,003	WR Grace & Co., Term Loan B1, 3-month LIBOR + 1.750%, 4.084%, 4/03/2025(b)		707,191
	1,217,148	WR Grace & Co., Term Loan B2, 3-month LIBOR + 1.750%, 4.084%, 4/03/2025(b)		1,212,328

				9,341,544

		Consumer Cyclical Services — 0.1%
	865,000	Trans Union LLC, 2018 Term Loan B4, 6/08/2025(m)		861,756

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Consumer Products — 0.3%
$	3,155,000	Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 4.280%, 4/07/2025(b)	$	3,080,069
	435,000	Energizer Holdings, Inc., 2018 Term Loan B, 6/30/2025(m)		434,817

				3,514,886

		Diversified Manufacturing — 0.1%
	1,092,564	Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.584%, 7/19/2024(b)		1,086,424

		Electric — 0.8%
	4,180,816	AES Corp., 2018 Term Loan B, 3-month LIBOR + 1.750%, 4.069%, 5/31/2022(b)		4,159,912
	3,323,537	Plantronics, Inc., 2018 Term Loan B, 5/30/2025(m)		3,313,167
	2,967,479	Vistra Energy Corp., 1st Lien Term Loan B3, 1-month LIBOR + 2.000%, 4.067%, 12/31/2025(n)		2,946,054

				10,419,133

		Environmental — 0.1%
	137,511	GFL Environmental, Inc., 2018 Delayed Draw Term Loan, 5/30/2025(o)		136,479
	1,106,963	GFL Environmental, Inc., 2018 USD Term Loan B, 3-month LIBOR + 2.750%, 5.084%, 5/30/2025(b)		1,098,661
	208,425	USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.844%, 8/25/2024(b)		208,425

				1,443,565

		Food & Beverage — 0.8%
	1,930,162	Aramark Services, Inc., 2018 Term Loan B3, 3-month LIBOR + 1.750%, 4.084%, 3/11/2025(b)		1,926,553
	4,084,845	JBS USA LLC, 2017 Term Loan B, 3-month LIBOR + 2.500%, 4.835%, 10/30/2022(n)		4,050,124
	2,967,786	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 1-month LIBOR + 2.000%, 4.100%, 5/24/2024(b)		2,947,783
	1,396,500	UTZ Quality Foods LLC, 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.591%, 11/21/2024(b)		1,399,559

				10,324,019

		Health Insurance — 0.2%
	2,782,753	Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.844%, 3/01/2021(b)		2,764,777

		Healthcare — 0.4%
	1,131,450	IQVIA, Inc., 2017 USD Term Loan B2, 3-month LIBOR + 2.000%, 4.334%, 1/17/2025(b)		1,127,558
	3,240,000	IQVIA, Inc., 2018 USD Term Loan B, 3-month LIBOR + 1.750%, 4.084%, 6/07/2025(b)		3,207,600
	1,229,839	Surgery Center Holdings, Inc., 2017 Term Loan B, 2-month LIBOR + 3.250%, 5.350%, 9/02/2024(b)		1,225,485

				5,560,643

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — 0.2%
$	811,000	California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.838%, 12/31/2022(b)	$	824,690
	775,000	Gavilan Resources LLC, 2nd Lien Term Loan, 3/01/2024(m)		759,988
	1,845,000	Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 8.085%, 3/01/2024(b)		1,809,262

				3,393,940

		Industrial Other — 0.0%
	545,730	ASGN, Inc., 2018 Term Loan B2, 1-month LIBOR + 2.000%, 4.094%, 4/02/2025(b)		543,683

		Internet & Data — 0.1%
	1,344,837	NeuStar, Inc., 2018 Term Loan B4, 1-month LIBOR + 3.500%, 5.594%, 8/08/2024(b)		1,344,837

		Lodging — 0.1%
	855,000	Wyndham Hotels & Resorts, Inc., Term Loan B, 1-month LIBOR + 1.750%, 3.726%, 5/30/2025(b)		852,863

		Media Entertainment — 0.5%
	1,489,946	Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.250%, 5.344%, 10/03/2023(b)		1,483,986
	3,150,969	CBS Radio, Inc., 2017 Term Loan B, 1-month LIBOR + 2.750%, 4.838%, 11/17/2024(b)		3,103,705
	619,286	Donnelley Financial Solutions, Inc., 2017 Term Loan B, 1 Week LIBOR + 3.000%, 4.981%, 10/02/2023(b)		618,512
	538,650	Lamar Media Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.875%, 3/14/2025(b)		537,977
	982,538	Meredith Corp., Term Loan B, 1-month LIBOR + 3.000%, 5.094%, 1/31/2025(b)		981,309

				6,725,489

		Metals & Mining — 0.5%
	3,348,000	GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.505%, 2/12/2025(b)		3,324,999
	3,152,100	U.S. Silica Co., 2018 Term Loan B, 1-month LIBOR + 4.000%, 6.125%, 5/01/2025(b)		3,147,372

				6,472,371

		Midstream — 0.1%
	1,687,950	BCP Raptor LLC, Term Loan B, 2-month LIBOR + 4.250%, 6.421%, 6/24/2024(b)		1,647,861

		Packaging — 0.3%
	3,004,650	BWAY Holding Co., 2017 Term Loan B, 3-month LIBOR + 3.250%, 5.588%, 4/03/2024(b)		2,986,352
	225,000	Crown Americas LLC, 2018 Term Loan B, 3-month LIBOR + 2.000%, 4.312%, 1/29/2025(b)		224,905
	501,213	Plastipak Packaging, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.600%, 10/14/2024(b)		497,724

				3,708,981

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.4%
$	3,034,299	Amneal Pharmaceuticals LLC, 2018 Term Loan B, 3-month LIBOR + 3.500%, 5.625%, 5/04/2025(b)	$	3,025,772
	1,933,301	Change Healthcare Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 2.750%, 4.844%, 3/01/2024(b)		1,925,742

				4,951,514

		Property & Casualty Insurance — 0.5%
	1,880,000	Hub International Ltd., 2018 Term Loan B, 2-month LIBOR + 3.000%, 5.360%, 4/25/2025(b)		1,867,554
	1,458,329	Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.625%, 12/20/2024(b)		1,458,694
	3,242,562	USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.334%, 5/16/2024(b)		3,220,675

				6,546,923

		Restaurants — 0.3%
	3,609,217	1011778 B.C. Unlimited Liability Co., Term Loan B3, 1-month LIBOR + 2.250%, 4.344%, 2/16/2024(b)		3,591,171
	997,500	IRB Holding Corp., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.266%, 2/05/2025(n)		998,328

				4,589,499

		Retailers — 0.2%
	1,044,750	Hanesbrands, Inc., 2017 Term Loan B, 1-month LIBOR + 1.750%, 3.844%, 12/15/2024(b)		1,042,796
	1,326,613	Harbor Freight Tools USA, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.594%, 8/18/2023(b)		1,319,157

				2,361,953

		Technology — 1.8%
	3,341,117	Almonde, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.807%, 6/13/2024(b)		3,278,939
	744,671	Cavium, Inc., 2017 Term Loan B, 1-month LIBOR + 2.250%, 4.344%, 8/16/2022(b)		742,809
	2,978,625	Dell International LLC, 2017 Term Loan A2, 1-month LIBOR + 1.750%, 3.850%, 9/07/2021(b)		2,964,476
	2,845,653	First Data Corp., 2017 USD Term Loan, 7/08/2022(m)		2,831,425
	452,589	First Data Corp., 2017 USD Term Loan, 1-month LIBOR + 2.000%, 4.091%, 7/08/2022(b)		450,326
	3,147,113	Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.844%, 1/02/2026(b)		3,082,848
	294,764	MA FinanceCo. LLC, USD Term Loan B3, 1-month LIBOR + 2.750%, 4.844%, 6/21/2024(b)		293,108
	3,430,257	McAfee LLC, 2017 USD Term Loan B, 1-month LIBOR + 4.500%, 6.594%, 9/30/2024(b)		3,444,355
	1,610,000	Microchip Technology, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 4.100%, 5/29/2025(b)		1,606,651
	3,092,310	Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.363%, 11/03/2023(b)		3,048,492

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	1,990,618	Seattle Spinco, Inc., USD Term Loan B3, 1-month LIBOR + 2.750%, 4.844%, 6/21/2024(b)	$	1,979,431
	253,311	SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 1-month LIBOR + 2.500%, 4.594%, 4/16/2025(b)		253,169
	669,581	SS&C Technologies, Inc., 2018 Term Loan B3, 1-month LIBOR + 2.500%, 4.594%, 4/16/2025(b)		669,206

				24,645,235

		Transportation Services — 0.4%
	4,214,603	Uber Technologies, 2018 Incremental Term Loan, 1-month LIBOR + 3.500%, 5.547%, 7/13/2023(b)		4,217,258
	1,735,000	Uber Technologies, 2018 Term Loan, 1-month LIBOR + 4.000%, 6.001%, 4/04/2025(b)		1,738,609

				5,955,867

		Wireless — 1.0%
	3,348,482	Asurion LLC, 2018 Term Loan B7, 11/03/2023(m)		3,335,925
	2,575,912	GTT Communications, Inc., 2018 USD Term Loan B, 3-month LIBOR + 2.750%, 4.875%, 5/31/2025(b)		2,535,342
	3,162,475	Radiate Holdco LLC, 1st Lien Term Loan, 1-month LIBOR + 3.000%, 5.094%, 2/01/2024(b)		3,114,532
	2,789,688	Sprint Communications, Inc., 1st Lien Term Loan B, 1-month LIBOR + 2.500%, 4.625%, 2/02/2024(b)		2,774,567
	1,631,579	UPC Financing Partnership, USD Term Loan AR, 1-month LIBOR + 2.500%, 4.573%, 1/15/2026(b)		1,611,641

				13,372,007

		Wirelines — 0.1%
	1,149,840	Consolidated Communications, Inc., 2016 Term Loan B, 1-month LIBOR + 3.000%, 5.100%, 10/04/2023(b)		1,131,638

		Total Senior Loans (Identified Cost $175,784,963)		175,049,951


	Loan Participations — 1.0%
		ABS Other — 1.0%
	5,636,742	Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037(d)		5,718,448
	1,563,795	Rise Ltd., Term Loan A, 4.750%, 2/15/2039(a)(c)(d)(e)		1,540,338
	5,700,000	Working Capital Solutions Funding LLC, 1-month LIBOR + 6.950%, 7.711%, 8/30/2018, 144A(b)(d)(e)(f)(g)		5,700,000

		Total Loan Participations (Identified Cost $12,899,146)		12,958,786

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
	Preferred Stocks — 0.6%
	Convertible Preferred Stocks — 0.3%
		Food & Beverage — 0.2%
	32,272	Bunge Ltd., 4.875%	$	3,469,504

		Midstream — 0.1%
	1,714	Chesapeake Energy Corp., 5.750%		1,074,508

		Total Convertible Preferred Stocks (Identified Cost $4,135,098)		4,544,012


	Non-Convertible Preferred Stock — 0.3%
		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000)		4,080,400

		Total Preferred Stocks (Identified Cost $8,175,098)		8,624,412


	Common Stocks — 4.2%
		Aerospace & Defense — 0.1%
	1,896	Boeing Co. (The)		636,127
	1,456	Northrop Grumman Corp.		448,011
	6,005	United Technologies Corp.		750,805

				1,834,943

		Air Freight & Logistics — 0.0%
	1,899	FedEx Corp.		431,187

		Airlines — 0.0%
	4,550	Delta Air Lines, Inc.		225,407

		Auto Components — 0.0%
	2,209	Aptiv PLC		202,411

		Automobiles — 0.0%
	8,337	General Motors Co.		328,478

		Banks — 0.3%
	24,887	Bank of America Corp.		701,565
	11,583	BB&T Corp.		584,246
	12,323	JPMorgan Chase & Co.		1,284,057
	10,301	PacWest Bancorp		509,075
	4,152	PNC Financial Services Group, Inc. (The)		560,935
	9,409	Wells Fargo & Co.		521,635

				4,161,513

		Beverages — 0.1%
	6,384	PepsiCo, Inc.		695,026

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Chemicals — 0.1%
	2,590	Celanese Corp., Series A	$	287,645
	3,892	DowDuPont, Inc.		256,561
	13,010	Huntsman Corp.		379,892

				924,098

		Construction Materials — 0.3%
	673,076	Cemex SAB de CV, Sponsored ADR(h)		4,415,379

		Containers & Packaging — 0.0%
	3,873	WestRock Co.		220,838

		Diversified Telecommunication Services — 0.1%
	6,454	AT&T, Inc.		207,238
	25,061	CenturyLink, Inc.		467,137

				674,375

		Electric Utilities — 0.1%
	5,407	American Electric Power Co., Inc.		374,435
	12,177	Exelon Corp.		518,740
	5,284	NextEra Energy, Inc.		882,586

				1,775,761

		Energy Equipment & Services — 0.0%
	13,248	Patterson-UTI Energy, Inc.		238,464

		Food & Staples Retailing — 0.1%
	1,451	Costco Wholesale Corp.		303,230
	4,251	Walmart, Inc.		364,098

				667,328

		Food Products — 0.1%
	17,772	Mondelez International, Inc., Class A		728,652

		Health Care Equipment & Supplies — 0.1%
	8,768	Medtronic PLC		750,629

		Health Care Providers & Services — 0.1%
	1,490	Laboratory Corp. of America Holdings(h)		267,500
	6,034	UnitedHealth Group, Inc.		1,480,381

				1,747,881

		Hotels, Restaurants & Leisure — 0.1%
	11,096	Hilton Worldwide Holdings, Inc.		878,359
	4,350	McDonald’s Corp.		681,602

				1,559,961

		Household Products — 0.1%
	9,896	Procter & Gamble Co. (The)		772,482

		Industrial Conglomerates — 0.1%
	5,164	Honeywell International, Inc.		743,874

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Insurance — 0.1%
	5,496	Chubb Ltd.	$	698,102
	6,666	FNF Group		250,775
	3,831	Prudential Financial, Inc.		358,237

				1,307,114

		IT Services — 0.1%
	7,509	Automatic Data Processing, Inc.		1,007,257
	5,132	Visa, Inc., Class A		679,734

				1,686,991

		Machinery — 0.1%
	2,399	Deere & Co.		335,380
	4,723	Fortive Corp.		364,191

				699,571

		Media — 0.3%
	110,740	Comcast Corp., Class A		3,633,379
	6,121	Walt Disney Co. (The)		641,542

				4,274,921

		Oil, Gas & Consumable Fuels — 1.0%
	16,575	Canadian Natural Resources Ltd.		597,860
	34,950	Canadian Natural Resources Ltd.		1,261,459
	3,962	Chevron Corp.		500,916
	2,135	Diamondback Energy, Inc.		280,902
	1,884	Dommo Energia S.A., Sponsored ADR		51,414
	153,694	Encana Corp.		2,005,707
	1,366	Exxon Mobil Corp.		113,009
	62,834	Marathon Oil Corp.		1,310,717
	1,990	Marathon Petroleum Corp.		139,619
	21,858	PDC Energy, Inc.(h)		1,321,316
	2,487	Valero Energy Corp.		275,634
	98,183	Whiting Petroleum Corp.(h)		5,176,208
	7,552	Williams Cos., Inc. (The)		204,735

				13,239,496

		Personal Products — 0.0%
	3,270	Estee Lauder Cos., Inc. (The), Class A		466,596

		Pharmaceuticals — 0.3%
	13,035	Allergan PLC		2,173,195
	10,093	Bristol-Myers Squibb Co.		558,547
	6,054	Eli Lilly & Co.		516,588
	5,137	Johnson & Johnson		623,323
	6,069	Zoetis, Inc.		517,018

				4,388,671

		Road & Rail — 0.0%
	5,926	CSX Corp.		377,960

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 0.1%
	36,311	Cypress Semiconductor Corp.	$	565,726
	13,877	QUALCOMM, Inc.		778,777
	17,272	Teradyne, Inc.		657,545

				2,002,048

		Software — 0.2%
	14,978	Microsoft Corp.		1,476,981
	27,407	Oracle Corp.		1,207,552

				2,684,533

		Specialty Retail — 0.0%
	602	Home Depot, Inc. (The)		117,450

		Technology Hardware, Storage & Peripherals — 0.1%
	8,363	Apple, Inc.		1,548,075

		Tobacco — 0.1%
	13,469	Altria Group, Inc.		764,905

		Total Common Stocks (Identified Cost $53,600,292)		56,657,018


	Exchange-Traded Funds — 0.6%
	30,500	Invesco QQQ Trust, Series 1		5,235,325
	128,943	Financial Select Sector SPDR^® Fund		3,428,594

		Total Exchange-Traded Funds (Identified Cost $7,798,873)		8,663,919


	Other Investments — 0.7%
		Aircraft ABS — 0.7%
	58,545	Aergen LLC(d)(e)(f)(g)		59
	900	ECAF I Blocker Ltd.(d)(e)(f)(g)		8,912,709

		Total Other Investments (Identified Cost $8,660,584)		8,912,768


		Total Purchased Options — 0.1%
		(Identified Cost $1,049,865) (see detail below)		971,259


Principal Amount (‡)
	Short-Term Investments — 14.4%
$	62,798,214	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $62,803,970 on 7/02/2018 collateralized by $44,440,000 U.S. Treasury Note, 1.250% due 7/31/2023 valued at $41,529,802; $19,590,000 U.S. Treasury Note, 1.375% due 9/30/2023 valued at $18,340,393; $4,175,000 U.S. Treasury Note, 2.750% due 11/15/2023 valued at $4,188,381 including accrued interest (Note 2 of Notes to Financial Statements)		62,798,214

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — (continued)
$	5,400,000	U.S. Treasury Bills, 1.693%, 12/06/2018(p)(q)	$	5,352,194
	18,400,000	U.S. Treasury Bills, 1.895%, 01/03/2019(p)		18,208,052
	18,400,000	U.S. Treasury Bills, 1.960%, 01/31/2019(a)(p)		18,176,279
	16,520,000	U.S. Treasury Bills, 2.026%, 11/29/2018(p)		16,380,440
	16,630,000	U.S. Treasury Bills, 2.066%, 02/28/2019(p)		16,392,870
	16,620,000	U.S. Treasury Bills, 2.093%, 03/28/2019(p)		16,349,580
	26,150,000	U.S. Treasury Bills, 2.209%, 04/25/2019(p)		25,674,299
	13,500,000	U.S. Treasury Bills, 2.218%, 05/23/2019(p)		13,228,828

		Total Short-Term Investments (Identified Cost $192,602,245)		192,560,756


		Total Investments — 98.9% (Identified Cost $1,371,462,955)		1,326,137,649
		Other assets less liabilities — 1.1%		14,356,063

		Net Assets — 100.0%	$	1,340,493,712


Purchased Options — 0.1%

Description	Expiration Date	Exercise Price		Shares/Units of Currency (†††)		Notional Amount		Cost		Value (†)
Options on Securities — 0.1%
Invesco QQQ Trust, Put(h)	09/21/2018		168		30,500	$	5,235,325	$	166,313	$	141,672
iShares^® MSCI Emerging Markets ETF, Call(h)	09/21/2018		44		400,000		17,348,000		537,151		534,000

									703,464		675,672

Over-the-Counter Options on Currency — 0.0%
EUR, Put(h)(r)	01/14/2019		1		9,928,000	$	11,785,683	$	346,401	$	295,587

Total								$	1,049,865	$	971,259


Written Options — (0.0%)

Description	Expiration Date	Exercise Price		Shares			Notional Amount			Premiums (Received)			Value (†)
Options on Securities — (0.0%)
Apple, Inc., Call	08/17/2018		190		(8,200	)	$	(1,517,902	)	$	(36,220	)	$	(34,440	)
iShares^® MSCI Emerging Markets ETF, Call	09/21/2018		47		(400,000	)		(17,348,000	)		(102,847	)		(118,000	)

Total										$	(139,067	)	$	(152,440	)



	(‡)			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.
	(†††)			Options on securities are expressed as shares. Options on currency are expressed as units of currency.

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	(a)			Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(b)			Variable rate security. Rate as of June 30, 2018 is disclosed.
	(c)			Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2018 is disclosed.
	(d)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(e)			Fair valued by the Fund’s adviser. At June 30, 2018, the value of these securities amounted to $25,714,297 or 1.9% of net assets. See Note 2 of Notes to Financial Statements.
	(f)			Illiquid security.
	(g)			Securities subject to restriction on resale. At June 30, 2018, the restricted securities held by the Fund are as follows:



	Acquisition Date	Acquisition Cost		Value		% of Net Assets
Aergen LLC	March 06, 2017	$	5,854,500	$	59		Less than 0.1%
ECAF I Blocker Ltd.	June 18, 2015		9,000,000		8,912,709		0.7%
GCA2014 Holdings Ltd., Series 2014-1, Class C	December 18, 2014		2,100,990		1,604,828		0.1%
GCA2014 Holdings Ltd., Series 2014-1, Class D	December 18, 2014		836,489		338,778		Less than 0.1%
GCA2014 Holdings Ltd., Series 2014-1, Class E	December 18, 2014		2,657,606		—		0.0%
Working Capital Solutions Funding LLC	December 29, 2016		5,700,000		5,700,000		0.4%



	(h)			Non-income producing security.
	(i)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2018, the value of these securities amounted to $2,843,045 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
	(j)			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.
	(k)			Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended June 30, 2018, interest payments were made in cash.
	(l)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(m)			Position is unsettled. Contract rate was not determined at June 30, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(n)			Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2018.
	(o)			Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.
	(p)			Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	(q)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(r)			Counterparty is Deutsche Bank AG.

	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, 2018, the value of Rule 144A holdings amounted to $392,501,434 or 29.3% 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.
	ARS			Auction Rate Security
	CDOR			Canadian Dollar Offered Rate
	EMTN			Euro Medium Term Note
	ETF			Exchange-Traded Fund
	EURIBOR			Euro Interbank Offered Rate
	GMTN			Global Medium Term Note
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts
	SLM			Sallie Mae

	ARS			Argentine Peso
	BRL			Brazilian Real
	CAD			Canadian Dollar
	CLP			Chilean Peso
	CNY			Chinese Yuan Renminbi
	COP			Colombian Peso
	CZK			Czech Koruna
	EUR			Euro
	GBP			British Pound
	HUF			Hungarian Forint
	IDR			Indonesian Rupiah
	ILS			Israeli Shekel
	JPY			Japanese Yen
	KRW			South Korean Won
	MXN			Mexican Peso
	MYR			Malaysian Ringgit
	NOK			Norwegian Krone
	PEN			Peruvian Sol
	PHP			Philippine Peso
	PLN			Polish Zloty
	RUB			New Russian Ruble
	SEK			Swedish Krona
	SGD			Singapore Dollar
	THB			Thai Baht
	TRY			Turkish Lira

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	TWD			New Taiwan Dollar
	USD			U.S. Dollar
	ZAR			South African Rand

At June 30, 2018, the Fund had the following open bilateral credit default swap agreements:


Buy Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank N.A.	Enel SpA		(1.00%)			12/20/2022		3,500,000	EUR	$	(54,220)		$	(14,440	)	$	39,780
JPMorgan Chase Bank N.A.	Teva Pharmaceutical Finance Co. BV		(1.00%)			12/20/2022		500,000			51,079			19,917			(31,162	)
JPMorgan Chase Bank N.A.	Teva Pharmaceutical Finance Co. BV		(1.00%)			12/20/2022		750,000			74,173			29,875			(44,298	)
Morgan Stanley Capital Services, Inc.	CDX.EM Series 29 100, 5-Year		(1.00%)			6/20/2023		9,685,000			190,470			384,447			193,977
Morgan Stanley Capital Services, Inc.	CDX.EM Series 29 100, 5-Year		(1.00%)			6/20/2023		2,480,000			44,656			98,444			53,788
Morgan Stanley Capital Services, Inc.	CDX.EM Series 29 100, 5-Year		(1.00%)			6/20/2023		6,400,000			199,239			254,048			54,809
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 29, 5-Year		(1.00%)			6/20/2023		7,580,000			(79,152	)		(26,514	)		52,638
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 29, 5-Year		(1.00%)			6/20/2023		6,100,000			(59,513	)		(21,336	)		38,177
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 29, 5-Year		(1.00	%)		6/20/2023		1,615,000			(15,785	)		(5,649	)		10,136

Total													$	718,792		$	367,845

At June 30, 2018, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value		Currency		Expiration Date		Fund Pays²	Fund Receives²	Market Value			Unrealized Appreciation (Depreciation)³
	16,700,000		CAD		9/14/2027	2.351%	3-month CDOR	$	210,931		$	210,595
	39,700,000		CAD		9/15/2027	2.365%	3-month CDOR		466,392			465,581
	39,700,000		CAD		9/15/2027	2.360%	3-month CDOR		479,007			478,200
	39,700,000		CAD		9/18/2027	2.386%	3-month CDOR		414,454			413,626
	30,950,000		CAD		9/19/2027	2.363%	3-month CDOR		369,308			368,671
	41,000,000		CAD		9/14/2021	3-month CDOR	2.095%		(259,504	)		(259,027	)
	97,600,000		CAD		9/15/2021	3-month CDOR	2.115%		(572,654	)		(571,482	)

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Notional Value		Currency		Expiration Date		Fund Pays²	Fund Receives²	Market Value			Unrealized Appreciation (Depreciation)³
	97,600,000		CAD		9/15/2021	3-month CDOR	2.110%	$	(584,178	)	$	(583,015	)
	97,600,000		CAD		9/18/2021	3-month CDOR	2.120%		(565,021	)		(563,839	)
	76,460,000		CAD		9/19/2021	3-month CDOR	2.070%		(533,098	)		(532,225	)
	133,420,000		USD		1/5/2028	2.432%	3-month LIBOR		5,474,620			5,474,620
	673,470,000		USD		1/5/2020	3-month LIBOR	2.110%		(6,128,981	)		(6,128,981	)
	26,784,000		CAD		4/9/2028	2.564%	3-month CDOR		(5,252	)		(5,252	)
	19,565,000		USD		4/11/2028	2.826%	3-month LIBOR		162,284			162,284
	89,205,000		CAD		4/9/2022	3-month CDOR	2.365%		(81,969	)		(81,969	)
	158,670,000		USD		4/13/2020	3-month LIBOR	2.601%		(462,071	)		(462,071	)

	Total							$	(1,615,732	)	$	(1,614,284	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Payments are made semiannually.

³	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

At June 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		7/03/2018	BRL	B		12,995,000	$	3,476,457	$	3,352,899	$	(123,558	)
Bank of America, N.A.		7/16/2018	BRL	B		2,435,000		658,375		627,294		(31,081	)
Bank of America, N.A.		7/03/2018	BRL	S		12,995,000		3,480,322		3,352,899		127,423
Bank of America, N.A.		7/16/2018	BRL	S		2,435,000		643,839		627,294		16,545
Bank of America, N.A.		7/06/2018	EUR	S		335,000		393,450		391,295		2,155
Bank of America, N.A.		7/06/2018	HUF	S		107,420,000		395,539		380,994		14,545
Bank of America, N.A.		7/06/2018	IDR	B		13,598,380,000		977,598		948,619		(28,979	)
Bank of America, N.A.		8/03/2018	JPY	S		44,025,000		398,274		398,461		(187	)
Bank of America, N.A.		7/31/2018	MXN	S		92,400,000		4,569,055		4,632,196		(63,141	)
Bank of America, N.A.		7/09/2018	SGD	B		870,000		653,712		638,604		(15,108	)
Bank of America, N.A.		7/09/2018	SGD	S		870,000		640,406		638,604		1,802
BNP Paribas S.A.		7/20/2018	CZK	S		8,775,000		395,456		395,017		439
BNP Paribas S.A.		7/16/2018	MXN	B		13,530,000		670,909		679,863		8,954
BNP Paribas S.A.		7/16/2018	MXN	S		13,530,000		651,060		679,863		(28,803	)
BNP Paribas S.A.		7/16/2018	SEK	S		2,300,000		267,853		257,035		10,818
BNP Paribas S.A.		7/23/2018	THB	B		38,980,000		1,180,211		1,177,124		(3,087	)
BNP Paribas S.A.		7/23/2018	THB	S		38,980,000		1,186,425		1,177,124		9,301
BNP Paribas S.A.		7/09/2018	ZAR	B		5,010,000		366,526		364,953		(1,573	)
BNP Paribas S.A.		7/09/2018	ZAR	S		5,010,000		391,727		364,953		26,774
Citibank N.A.		7/02/2018	NOK	B		3,245,000		404,687		398,436		(6,251	)
Citibank N.A.		7/02/2018	NOK	S		3,245,000		395,756		398,436		(2,680	)
Citibank N.A.		7/11/2018	PHP	B		17,185,000		321,756		321,912		156
Citibank N.A.		7/11/2018	PHP	B		45,805,000		875,093		858,026		(17,067	)
Citibank N.A.		7/11/2018	PHP	S		62,990,000		1,176,064		1,179,938		(3,874	)

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Citibank N.A.		7/20/2018	PLN	S		1,465,000	$	395,331	$	391,207	$	4,124
Credit Suisse International		7/30/2018	COP	S		18,400,000,000		6,277,721		6,270,781		6,940
Credit Suisse International		7/09/2018	JPY	B		43,120,000		393,456		389,621		(3,835	)
Credit Suisse International		7/09/2018	JPY	S		43,120,000		392,990		389,621		3,369
Deutsche Bank AG		7/09/2018	BRL	B		2,465,000		666,847		635,549		(31,298	)
Deutsche Bank AG		7/09/2018	BRL	S		2,465,000		643,435		635,549		7,886
Deutsche Bank AG		7/06/2018	CNY	B		13,115,000		2,044,427		1,979,420		(65,007	)
Deutsche Bank AG		7/06/2018	CNY	S		13,115,000		1,982,315		1,979,420		2,895
Deutsche Bank AG		7/27/2018	COP	S		1,162,750,000		397,250		396,312		938
Deutsche Bank AG		7/03/2018	EUR	B		1,320,000		1,638,813		1,541,496		(97,317	)
Deutsche Bank AG		7/03/2018	EUR	S		1,320,000		1,635,740		1,541,496		94,244
Deutsche Bank AG		7/30/2018	EUR	S		2,000,000		2,339,172		2,340,156		(984	)
Deutsche Bank AG		7/25/2018	GBP	S		5,095,000		6,759,435		6,730,814		28,621
Deutsche Bank AG		7/05/2018	ILS	B		1,800,000		505,198		492,108		(13,090	)
Deutsche Bank AG		7/05/2018	ILS	S		1,800,000		505,704		492,108		13,596
Deutsche Bank AG		7/02/2018	PEN	B		4,285,000		1,308,796		1,304,811		(3,985	)
Deutsche Bank AG		7/02/2018	PEN	S		4,285,000		1,309,997		1,304,811		5,186
Deutsche Bank AG		7/16/2018	THB	S		21,105,000		658,297		637,211		21,086
Goldman Sachs & Co.		7/09/2018	MXN	B		8,000,000		392,007		402,427		10,420
Goldman Sachs & Co.		7/09/2018	MXN	S		8,000,000		391,731		402,427		(10,696	)
HSBC Bank USA		7/16/2018	COP	B		42,047,800,000		14,691,241		14,337,322		(353,919	)
HSBC Bank USA		7/25/2018	JPY	B		42,870,000		389,097		387,774		(1,323	)
HSBC Bank USA		7/25/2018	JPY	S		42,870,000		390,561		387,774		2,787
HSBC Bank USA		7/09/2018	THB	B		20,810,000		653,472		628,193		(25,279	)
HSBC Bank USA		7/09/2018	THB	S		20,810,000		648,509		628,193		20,316
HSBC Bank USA		7/20/2018	TRY	B		1,880,000		397,203		406,155		8,952
HSBC Bank USA		7/20/2018	TRY	S		1,880,000		391,895		406,155		(14,260	)
Morgan Stanley Capital Services, Inc.		7/10/2018	ARS	B		7,430,000		288,544		254,921		(33,623	)
Morgan Stanley Capital Services, Inc.		7/27/2018	CLP	S		254,175,000		397,335		389,035		8,300
Morgan Stanley Capital Services, Inc.		7/05/2018	CNY	B		12,240,000		1,902,985		1,847,393		(55,592	)
Morgan Stanley Capital Services, Inc.		8/06/2018	CNY	B		12,240,000		1,844,179		1,846,162		1,983
Morgan Stanley Capital Services, Inc.		7/05/2018	CNY	S		12,240,000		1,850,312		1,847,393		2,919
Morgan Stanley Capital Services, Inc.		7/20/2018	EUR	B		345,000		404,043		403,382		(661	)
Morgan Stanley Capital Services, Inc.		7/20/2018	EUR	S		345,000		401,196		403,382		(2,186	)
Morgan Stanley Capital Services, Inc.		7/31/2018	GBP	B		265,000		348,675		350,178		1,503
Morgan Stanley Capital Services, Inc.		7/23/2018	GBP	S		1,225,000		1,615,047		1,618,153		(3,106	)

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services, Inc.		7/31/2018	GBP	S		265,000	$	347,210	$	350,178	$	(2,968	)
Morgan Stanley Capital Services, Inc.		7/16/2018	KRW	S		426,615,000		396,151		382,885		13,266
Morgan Stanley Capital Services, Inc.		7/05/2018	PHP	B		46,980,000		890,616		880,245		(10,371	)
Morgan Stanley Capital Services, Inc.		7/11/2018	PLN	S		120,345,000		33,337,488		32,132,533		1,204,955
Morgan Stanley Capital Services, Inc.		7/02/2018	RUB	B		27,845,000		448,285		443,383		(4,902	)
Morgan Stanley Capital Services, Inc.		7/09/2018	RUB	B		40,580,000		651,662		645,760		(5,902	)
Morgan Stanley Capital Services, Inc.		7/18/2018	RUB	B		31,500,000		498,292		500,796		2,504
Morgan Stanley Capital Services, Inc.		7/02/2018	RUB	S		27,845,000		445,877		443,383		2,494
Morgan Stanley Capital Services, Inc.		7/09/2018	RUB	S		40,580,000		641,682		645,760		(4,078	)
Morgan Stanley Capital Services, Inc.		7/18/2018	RUB	S		31,500,000		500,779		500,796		(17	)
Morgan Stanley Capital Services, Inc.		7/30/2018	RUB	S		42,035,000		665,559		667,446		(1,887	)
Morgan Stanley Capital Services, Inc.		7/18/2018	TRY	B		1,705,000		355,408		368,656		13,248
Morgan Stanley Capital Services, Inc.		7/18/2018	TRY	S		1,705,000		357,790		368,656		(10,866	)
Morgan Stanley Capital Services, Inc.		7/05/2018	TWD	B		11,730,000		395,669		384,777		(10,892	)
Morgan Stanley Capital Services, Inc.		7/18/2018	TWD	B		11,805,000		388,367		387,538		(829	)
Morgan Stanley Capital Services, Inc.		7/05/2018	TWD	S		11,730,000		391,784		384,777		7,007
Morgan Stanley Capital Services, Inc.		7/18/2018	TWD	S		11,805,000		395,504		387,538		7,966
Morgan Stanley Capital Services, Inc.		7/31/2018	ZAR	S		361,810,000		25,956,668		26,282,310		(325,642	)
UBS AG		7/06/2018	MYR	B		6,835,000		1,715,006		1,691,915		(23,091	)
UBS AG		7/06/2018	MYR	S		6,835,000		1,696,240		1,691,915		4,325
UBS AG		7/16/2018	MYR	S		1,585,000		396,349		392,260		4,089
UBS AG		8/02/2018	ZAR	S		5,470,000		393,588		397,246		(3,658	)

Total											$	278,178

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/21/2018		286	$	39,648,221	$	38,918,880	$	729,341
Ultra Long U.S. Treasury Bond		9/19/2018		249		39,729,367		39,731,063		(1,696	)

Total									$	727,645

Industry Summary at June 30, 2018 (Unaudited)


ABS Home Equity	10.8	%
ABS Car Loan	5.4
ABS Other	5.4
Automotive	5.2
Treasuries	5.2
ABS Credit Card	4.9
Technology	4.0
Food & Beverage	3.1
Banking	3.0
Cable Satellite	2.5
Non-Agency Commercial Mortgage-Backed Securities	2.2
Government Owned – No Guarantee	2.1
Other Investments, less than 2% each	30.7
Short-Term Investments	14.4

Total Investments	98.9
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 62

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 97.9% of Net Assets
		Air Freight & Logistics — 2.6%
	318,458	Expeditors International of Washington, Inc.	$	23,279,280
	38,292	United Parcel Service, Inc., Class B		4,067,759

				27,347,039

		Airlines — 1.1%
	299,700	American Airlines Group, Inc.		11,376,612

		Automobiles — 2.8%
	1,038,319	Fiat Chrysler Automobiles NV		19,613,846
	267,000	General Motors Co.		10,519,800

				30,133,646

		Banks — 5.6%
	683,970	Bank of America Corp.		19,281,114
	364,200	Citigroup, Inc.		24,372,264
	302,800	Wells Fargo & Co.		16,787,232

				60,440,610

		Beverages — 4.9%
	199,613	Coca-Cola Co. (The)		8,755,026
	116,810	Diageo PLC, Sponsored ADR		16,821,808
	459,795	Monster Beverage Corp.(a)		26,346,254

				51,923,088

		Biotechnology — 3.3%
	34,967	Amgen, Inc.		6,454,558
	127,171	BioMarin Pharmaceutical, Inc.(a)		11,979,508
	50,121	Regeneron Pharmaceuticals, Inc.(a)		17,291,244

				35,725,310

		Capital Markets — 3.6%
	49,480	FactSet Research Systems, Inc.		9,801,988
	67,597	MSCI, Inc.		11,182,572
	273,317	SEI Investments Co.		17,087,779

				38,072,339

		Communications Equipment — 1.3%
	313,529	Cisco Systems, Inc.		13,491,153

		Consumer Finance — 2.3%
	67,640	American Express Co.		6,628,720
	193,600	Capital One Financial Corp.		17,791,840

				24,420,560

		Energy Equipment & Services — 2.5%
	231,100	National Oilwell Varco, Inc.		10,029,740
	246,436	Schlumberger Ltd.		16,518,605

				26,548,345

See accompanying notes to financial statements.

63 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Food Products — 2.4%
	757,474	Danone S.A., Sponsored ADR	$	11,043,971
	189,750	Nestle S.A., Sponsored ADR		14,692,342

				25,736,313

		Health Care Equipment & Supplies — 2.3%
	206,620	Baxter International, Inc.		15,256,821
	82,328	Varian Medical Systems, Inc.(a)		9,362,340

				24,619,161

		Health Care Providers & Services — 3.3%
	276,900	CVS Health Corp.		17,818,515
	168,300	HCA Healthcare, Inc.		17,267,580

				35,086,095

		Health Care Technology — 1.2%
	211,781	Cerner Corp.(a)		12,662,386

		Hotels, Restaurants & Leisure — 3.5%
	239,516	Starbucks Corp.		11,700,357
	460,612	Yum China Holdings, Inc.		17,715,137
	99,364	Yum! Brands, Inc.		7,772,252

				37,187,746

		Household Products — 1.6%
	133,962	Colgate-Palmolive Co.		8,682,077
	102,259	Procter & Gamble Co. (The)		7,982,338

				16,664,415

		Industrial Conglomerates — 1.4%
	1,112,850	General Electric Co.		15,145,888

		Insurance — 2.8%
	370,755	American International Group, Inc.		19,657,430
	73,670	Aon PLC		10,105,314

				29,762,744

		Internet & Direct Marketing Retail — 6.8%
	25,693	Amazon.com, Inc.(a)		43,672,962
	49,740	Netflix, Inc.(a)		19,469,728
	453,100	Qurate Retail, Inc., Class A(a)		9,614,782

				72,757,472

		Internet Software & Services — 11.8%
	190,819	Alibaba Group Holding Ltd., Sponsored ADR(a)		35,402,649
	37,245	Alphabet, Inc., Class A(a)		42,056,682
	11,850	Alphabet, Inc., Class C(a)		13,220,452
	181,372	Facebook, Inc., Class A(a)		35,244,207

				125,923,990

See accompanying notes to financial statements.

| 64

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		IT Services — 6.2%
	40,655	Automatic Data Processing, Inc.	$	5,453,462
	88,900	MasterCard, Inc., Class A		17,470,628
	324,051	Visa, Inc., Class A		42,920,555

				65,844,645

		Machinery — 1.2%
	89,994	Deere & Co.		12,581,161

		Media — 2.6%
	46,815	Charter Communications, Inc., Class A(a)		13,726,626
	445,400	Comcast Corp., Class A		14,613,574

				28,340,200

		Metals & Mining — 0.2%
	40,725	Compass Minerals International, Inc.		2,677,669

		Oil, Gas & Consumable Fuels — 2.9%
	218,200	Anadarko Petroleum Corp.		15,983,150
	332,500	Apache Corp.		15,544,375

				31,527,525

		Personal Products — 1.4%
	279,500	Unilever PLC, Sponsored ADR		15,450,760

		Pharmaceuticals — 2.2%
	56,601	Merck & Co., Inc.		3,435,681
	84,108	Novartis AG, Sponsored ADR		6,353,518
	303,106	Novo Nordisk AS, Sponsored ADR		13,979,249

				23,768,448

		Semiconductors & Semiconductor Equipment — 3.6%
	262,830	Intel Corp.		13,065,279
	244,806	QUALCOMM, Inc.		13,738,513
	105,865	Texas Instruments, Inc.		11,671,616

				38,475,408

		Software — 7.1%
	174,944	Autodesk, Inc.(a)		22,933,409
	118,899	Microsoft Corp.		11,724,630
	935,508	Oracle Corp.		41,218,483

				75,876,522

		Technology Hardware, Storage & Peripherals — 1.9%
	109,055	Apple, Inc.		20,187,171

		Textiles, Apparel & Luxury Goods — 1.5%
	734,656	Under Armour, Inc., Class A(a)		16,515,067

		Total Common Stocks (Identified Cost $780,699,400)		1,046,269,488

See accompanying notes to financial statements.

65 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 2.4%
$	26,209,986	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $26,212,389 on 7/02/2018 collateralized by $27,500,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $26,737,260 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $26,209,986)	$	26,209,986


		Total Investments — 100.3% (Identified Cost $806,909,386)		1,072,479,474
		Other assets less liabilities — (0.3)%		(3,598,679	)

		Net Assets — 100.0%	$	1,068,880,795



	(†)			See Note 2 of Notes to Financial Statements.
	(a)			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, 2018 (Unaudited)


Internet Software & Services	11.8	%
Software	7.1
Internet & Direct Marketing Retail	6.8
IT Services	6.2
Banks	5.6
Beverages	4.9
Semiconductors & Semiconductor Equipment	3.6
Capital Markets	3.6
Hotels, Restaurants & Leisure	3.5
Biotechnology	3.3
Health Care Providers & Services	3.3
Oil, Gas & Consumable Fuels	2.9
Automobiles	2.8
Insurance	2.8
Media	2.6
Air Freight & Logistics	2.6
Energy Equipment & Services	2.5
Food Products	2.4
Health Care Equipment & Supplies	2.3
Consumer Finance	2.3
Pharmaceuticals	2.2
Other Investments, less than 2% each	12.8
Short-Term Investments	2.4

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 66

Statements of Assets and Liabilities

June 30, 2018 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	156,266,443		$	1,371,462,955		$	806,909,386
Net unrealized appreciation (depreciation)		(2,576,183	)		(45,325,306	)		265,570,088

Investments at value		153,690,260			1,326,137,649			1,072,479,474
Cash		421,413			—			546
Due from brokers (Note 2)		—			17,222,500			—
Foreign currency at value (identified cost $80,037, $7,269,690 and $0, respectively)		64,851			7,053,176			—
Receivable for Fund shares sold		539,592			7,516,063			1,703,827
Receivable for securities sold		37,033			294,380,215			—
Collateral received for open forward foreign currency contracts, options, swaptions or swap agreements (Notes 2 and 4)		—			4,640,184			—
Dividends and interest receivable		1,198,903			7,016,335			483,217
Unrealized appreciation on bilateral swap agreements (Note 2)		—			443,305			—
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			1,724,831			—
Tax reclaims receivable		28,478			9,277			292,561
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			559,617			—
Prepaid expenses (Note 8)		172			1,398			1,141

TOTAL ASSETS		155,980,702			1,666,704,550			1,074,960,766

LIABILITIES
Options written, at value (premiums received $0, $139,067 and $0, respectively) (Note 2)		—			152,440			—
Payable for securities purchased		7,116,954			317,299,086			3,429,165
Unfunded loan commitments (Note 2)		—			137,511			—
Unrealized depreciation on bilateral swap agreements (Note 2)		—			75,460			—
Payable for Fund shares redeemed		373,383			379,817			1,359,501
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			1,446,653			—
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		—			208,670			—
Payable for variation margin on centrally cleared swap agreements (Note 2)		—			141,925			—
Due to brokers (Note 2)		—			4,640,184			—
Payable for variation margin on futures contracts (Note 2)		—			124,244			—
Fees payable on swap agreements (Note 2)		—			11,970			—
Management fees payable (Note 6)		43,089			652,716			671,205
Deferred Trustees’ fees (Note 6)		100,092			120,565			444,444
Administrative fees payable (Note 6)		5,396			49,108			39,937
Payable to distributor (Note 6d)		1,038			7,113			5,300
Other accounts payable and accrued expenses		81,849			763,376			130,419

TOTAL LIABILITIES		7,721,801			326,210,838			6,079,971

NET ASSETS	$	148,258,901		$	1,340,493,712		$	1,068,880,795

See accompanying notes to financial statements.

67 |

Statements of Assets and Liabilities (continued)

June 30, 2018 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			Natixis U.S. Equity Opportunities Fund
NET ASSETS CONSIST OF:
Paid-in capital	$	147,416,364		$	1,417,684,562		$	752,587,881
Undistributed (Distributions in excess of) net investment income		(148,900	)		(2,574,952	)		690,534
Accumulated net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		3,584,191			(31,237,754	)		50,032,292
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		(2,592,754	)		(43,378,144	)		265,570,088

NET ASSETS	$	148,258,901		$	1,340,493,712		$	1,068,880,795

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	62,724,585		$	27,108,368		$	632,543,000

Shares of beneficial interest		4,779,916			2,745,774			16,836,205

Net asset value and redemption price per share	$	13.12		$	9.87		$	37.57

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	13.70		$	10.31		$	39.86

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	28,545,716		$	28,326,244		$	95,357,228

Shares of beneficial interest		2,184,997			2,881,441			3,688,694

Net asset value and offering price per share	$	13.06		$	9.83		$	25.85

Class N shares:
Net assets	$	34,254		$	268,106,996		$	1,218

Shares of beneficial interest		2,626			27,210,026			28

Net asset value, offering and redemption price per share	$	13.04		$	9.85		$	43.62	*

Class Y shares:
Net assets	$	56,954,346		$	1,016,952,104		$	340,979,349

Shares of beneficial interest		4,365,667			103,261,986			7,827,227

Net asset value, offering and redemption price per share	$	13.05		$	9.85		$	43.56

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

See accompanying notes to financial statements.

| 68

Statements of Operations

For the Six Months Ended June 30, 2018 (Unaudited)


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	1,359,355		$	1,018,827		$	7,396,852
Interest		1,712,928			25,707,150			125,003
Less net foreign taxes withheld		(49,489	)		(24,320	)		(185,575	)

		3,022,794			26,701,657			7,336,280

Expenses
Management fees (Note 6)		416,796			3,682,952			3,905,829
Service and distribution fees (Note 6)		254,442			191,142			1,339,720
Administrative fees (Note 6)		33,629			272,788			231,103
Trustees’ fees and expenses (Note 6)		12,595			26,257			31,666
Transfer agent fees and expenses (Notes 6 and 7)		51,987			319,647			386,939
Audit and tax services fees		23,787			41,069			20,598
Custodian fees and expenses		53,661			107,804			18,473
Legal fees		1,630			12,240			10,618
Registration fees		32,647			51,980			69,142
Shareholder reporting expenses		9,602			883			74,114
Miscellaneous expenses (Note 8)		14,613			27,947			23,512

Total expenses		905,389			4,734,709			6,111,714
Less waiver and/or expense reimbursement (Note 6)		(120,486	)		(373	)		(76	)

Net expenses		784,903			4,734,336			6,111,638

Net investment income		2,237,891			21,967,321			1,224,642

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		3,782,795			16,752,807			50,962,723
Futures contracts		—			992,119			—
Options/swaptions written		25,690			(1,913,144	)		—
Swap agreements		—			(421,183	)		—
Forward foreign currency contracts (Note 2d)		134,650			5,726,493			—
Foreign currency transactions (Note 2c)		8,248			(366,157	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(10,088,780	)		(34,827,234	)		(12,147,882	)
Futures contracts		—			1,129,188			—
Options written		—			(152,788	)		—
Swap agreements		—			1,281,091			—
Forward foreign currency contracts (Note 2d)		—			2,625,011			—
Foreign currency translations (Note 2c)		(16,801	)		(550,349	)		—

Net realized and unrealized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements, forward foreign currency contracts and foreign currency transactions		(6,154,198	)		(9,724,146	)		38,814,841

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(3,916,307	)	$	12,243,175		$	40,039,483

See accompanying notes to financial statements.

69 |

Statements of Changes in Net Assets


	Loomis Sayles Multi-Asset Income Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income	$	2,237,891		$	4,243,430
Net realized gain on investments, options written, forward foreign currency contracts and foreign currency transactions		3,951,383			8,625,586
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(10,105,581	)		2,552,012

Net increase (decrease) in net assets resulting from operations		(3,916,307	)		15,421,028

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(876,942	)		(2,006,749	)
Class C		(404,925	)		(1,027,055	)
Class N		(576	)		(1,118	)
Class Y		(943,962	)		(1,113,225	)
Net realized capital gains
Class A		(943,652	)		(2,053,174	)
Class C		(614,513	)		(1,374,969	)
Class N		(569	)		(1,304	)
Class Y		(956,453	)		(1,984,434	)

Total distributions		(4,741,592	)		(9,562,028	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		12,375,971			14,908,519

Net increase in net assets		3,718,072			20,767,519
NET ASSETS
Beginning of the period		144,540,829			123,773,310

End of the period	$	148,258,901		$	144,540,829

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(148,900	)	$	(179,118	)

See accompanying notes to financial statements.

| 70

Statements of Changes in Net Assets (continued)


	Loomis Sayles Strategic Alpha Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	21,967,321		$	42,366,116
Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		20,770,935			(8,145,922	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations		(30,495,081	)		6,481,112

Net increase in net assets resulting from operations		12,243,175			40,701,306

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(380,422	)		(1,506,001	)
Class C		(302,875	)		(713,500	)
Class N		(4,007,070	)		(744,780	)
Class Y		(14,867,837	)		(31,576,383	)

Total distributions		(19,558,204	)		(34,540,664	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		195,211,640			(50,510,564	)

Net increase (decrease) in net assets		187,896,611			(44,349,922	)
NET ASSETS
Beginning of the period		1,152,597,101			1,196,947,023

End of the period	$	1,340,493,712		$	1,152,597,101

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(2,574,952	)	$	(4,984,069	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

See accompanying notes to financial statements.

71 |

Statements of Changes in Net Assets (continued)


	Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	1,224,642		$	1,259,611
Net realized gain on investments		50,962,723			52,738,987
Net change in unrealized appreciation (depreciation) on investments		(12,147,882	)		148,227,693

Net increase in net assets resulting from operations		40,039,483			202,226,291

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(901,914	)
Class C		—			(6,490	)
Class N		—			(4	)
Class Y		—			(920,407	)
Net realized capital gains
Class A		(12,704,096	)		(20,020,012	)
Class C		(3,531,383	)		(5,199,648	)
Class N		(22	)		(31	)
Class Y		(5,772,875	)		(8,004,252	)

Total distributions		(22,008,376	)		(35,052,758	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		48,894,536			146,345,807

Net increase in net assets		66,925,643			313,519,340
NET ASSETS
Beginning of the period		1,001,955,152			688,435,812

End of the period	$	1,068,880,795		$	1,001,955,152

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	690,534		$	(534,108	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

See accompanying notes to financial statements.

| 72

Financial Highlights

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	13.87		$	13.24		$	12.85		$	13.45		$	12.21		$	11.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.21			0.47			0.49			0.32			0.32			0.29
Net realized and unrealized gain (loss)		(0.54	)		1.15			0.80			(0.58	)		1.26			0.40

Total from Investment Operations		(0.33	)		1.62			1.29			(0.26	)		1.58			0.69

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.45	)		(0.40	)		(0.34	)		(0.34	)		(0.31	)
Net realized capital gains		(0.22	)		(0.54	)		(0.50	)		—			—			—

Total Distributions		(0.42	)		(0.99	)		(0.90	)		(0.34	)		(0.34	)		(0.31	)

Net asset value, end of the period	$	13.12		$	13.87		$	13.24		$	12.85		$	13.45		$	12.21

Total return^(b)		(2.29	)%^(c)(d)		12.41	%^(d)		10.14	%^(d)		(1.96	)%^(d)		13.08	%		5.84	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	62,725		$	54,754		$	57,320		$	63,254		$	110,874		$	79,039
Net expenses		0.95	%^(e)(f)		0.95	%^(f)		0.95	%^(f)		1.04	%^(f)(g)		1.06	%		1.09	%
Gross expenses		1.11	%^(e)		1.13	%		1.09	%		1.11	%		1.06	%		1.09	%
Net investment income		3.03	%^(e)		3.37	%		3.70	%		2.40	%		2.46	%		2.34	%
Portfolio turnover rate		162	%		221	%		341	%^(h)		93	%⁽ⁱ⁾		41	%		41	%

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

(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)	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.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	13.82		$	13.18		$	12.80		$	13.41		$	12.17		$	11.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.15			0.36			0.39			0.24			0.22			0.19
Net realized and unrealized gain (loss)		(0.54	)		1.16			0.79			(0.60	)		1.27			0.39

Total from Investment Operations		(0.39	)		1.52			1.18			(0.36	)		1.49			0.58

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.34	)		(0.30	)		(0.25	)		(0.25	)		(0.21	)
Net realized capital gains		(0.22	)		(0.54	)		(0.50	)		—			—			—

Total Distributions		(0.37	)		(0.88	)		(0.80	)		(0.25	)		(0.25	)		(0.21	)

Net asset value, end of the period	$	13.06		$	13.82		$	13.18		$	12.80		$	13.41		$	12.17

Total return^(b)		(2.74	)%^(c)(d)		11.70	%^(c)		9.27	%^(c)		(2.73	)%^(c)		12.28	%		4.98	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	28,546		$	36,814		$	46,351		$	47,791		$	53,074		$	48,512
Net expenses		1.70	%^(e)(f)		1.70	%^(f)		1.70	%^(f)		1.80	%^(f)(g)		1.81	%		1.84	%
Gross expenses		1.86	%^(e)		1.88	%		1.84	%		1.87	%		1.81	%		1.84	%
Net investment income		2.27	%^(e)		2.65	%		2.96	%		1.78	%		1.70	%		1.59	%
Portfolio turnover rate		162	%		221	%		341	%^(h)		93	%⁽ⁱ⁾		41	%		41	%

(a)	Per share net investment income 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)	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)	Computed on an annualized basis for periods less than one year.

(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 2.00% to 1.70%.

(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.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Period Ended December 31, 2015*
Net asset value, beginning of the period	$	13.79		$	13.16		$	12.77		$	12.70

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.51			0.53			0.14
Net realized and unrealized gain (loss)		(0.53	)		1.15			0.80			0.10

Total from Investment Operations		(0.31	)		1.66			1.33			0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.49	)		(0.44	)		(0.17	)
Net realized capital gains		(0.22	)		(0.54	)		(0.50	)		—

Total Distributions		(0.44	)		(1.03	)		(0.94	)		(0.17	)

Net asset value, end of the period	$	13.04		$	13.79		$	13.16		$	12.77

Total return(b)		(2.16	)%(c)		12.83	%		10.53	%		1.91	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34		$	35		$	1		$	1
Net expenses(d)		0.65	%(e)		0.65	%		0.65	%		0.65	%(e)
Gross expenses		1.35	%(e)		1.35	%		13.53	%		13.66	%(e)
Net investment income		3.33	%(e)		3.71	%		4.02	%		3.22	%(e)
Portfolio turnover rate		162	%		221	%		341	%(f)		93	%

*	From commencement of Class operations on August 31, 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)	Computed on an annualized basis for periods less than one year.

(f)	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.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	13.80		$	13.17		$	12.79		$	13.39		$	12.19		$	11.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.22			0.49			0.53			0.36			0.38			0.33
Net realized and unrealized gain (loss)		(0.53	)		1.16			0.78			(0.59	)		1.19			0.37

Total from Investment Operations		(0.31	)		1.65			1.31			(0.23	)		1.57			0.70

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.48	)		(0.43	)		(0.37	)		(0.37	)		(0.34	)
Net realized capital gains		(0.22	)		(0.54	)		(0.50	)		—			—			—

Total Distributions		(0.44	)		(1.02	)		(0.93	)		(0.37	)		(0.37	)		(0.34	)

Net asset value, end of the period	$	13.05		$	13.80		$	13.17		$	12.79		$	13.39		$	12.19

Total return		(2.26	)%^(b)(c)		12.77	%^(b)		10.38	%^(b)		(1.72	)%^(b)		13.05	%		5.93	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	56,954		$	52,938		$	20,101		$	11,272		$	14,428		$	628
Net expenses		0.70	%^(d)(e)		0.70	%^(e)		0.70	%^(e)		0.80	%^(e)(f)		0.82	%		0.83	%
Gross expenses		0.86	%^(d)		0.88	%		0.84	%		0.86	%		0.82	%		0.83	%
Net investment income		3.31	%^(d)		3.53	%		4.00	%		2.73	%		2.92	%		2.71	%
Portfolio turnover rate		162	%		221	%		341	%^(g)		93	%^(h)		41	%		41	%

(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)	Effective September 1, 2015, the expense limit decreased from 1.00% to 0.70%.

(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.

(h)	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.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	9.92		$	9.86		$	9.45		$	9.96		$	10.06		$	10.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.17			0.32			0.30			0.26			0.29	^(b)		0.37
Net realized and unrealized gain (loss)		(0.08	)		(0.01	)		0.31			(0.42	)		(0.07	)		(0.28	)

Total from Investment Operations		0.09			0.31			0.61			(0.16	)		0.22			0.09

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.25	)		(0.20	)		(0.35	)		(0.32	)		(0.23	)

Net asset value, end of the period	$	9.87		$	9.92		$	9.86		$	9.45		$	9.96		$	10.06

Total return^(c)		0.90	%^(d)(e)		3.22	%^(f)		6.57	%		(1.68	)%		2.24	%^(b)		0.96	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	27,108		$	28,020		$	67,746		$	116,055		$	104,056		$	177,339
Net expenses		1.00	%^(g)		1.05	%^(h)(i)		1.10	%		1.10	%		1.10	%		1.11	%
Gross expenses		1.00	%^(g)		1.06	%		1.10	%		1.10	%		1.10	%		1.11	%
Net investment income		3.39	%^(g)		3.26	%		3.14	%		2.66	%		2.90	%^(b)		3.68	%
Portfolio turnover rate		195	%		178	%^(j)		72	%		72	%		87	%		115	%

(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)

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

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

(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)	Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%.

(j)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	9.88		$	9.82		$	9.42		$	9.93		$	10.03		$	10.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.13			0.25			0.23			0.19			0.21	^(b)		0.30
Net realized and unrealized gain (loss)		(0.08	)		0.00	^(c)(d)		0.30			(0.43	)		(0.06	)		(0.28	)

Total from Investment Operations		0.05			0.25			0.53			(0.24	)		0.15			0.02

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.19	)		(0.13	)		(0.27	)		(0.25	)		(0.15	)

Net asset value, end of the period	$	9.83		$	9.88		$	9.82		$	9.42		$	9.93		$	10.03

Total return^(e)		0.51	%^(f)(g)		2.53	%		5.70	%		(2.44	)%		1.47	%^(b)		0.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	28,326		$	33,759		$	45,674		$	62,453		$	71,215		$	91,694
Net expenses		1.75	%^(h)		1.81	%⁽ⁱ⁾		1.85	%		1.85	%		1.85	%		1.86	%
Gross expenses		1.75	%^(h)		1.81	%		1.85	%		1.85	%		1.85	%		1.86	%
Net investment income		2.66	%^(h)		2.52	%		2.40	%		1.91	%		2.13	%^(b)		2.96	%
Portfolio turnover rate		195	%		178	%^(j)		72	%		72	%		87	%		115	%

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

(d)	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.

(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)

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

(i)	Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(j)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	9.90		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.25
Net realized and unrealized gain (loss)		(0.07	)		(0.04	)

Total from Investment Operations		0.10			0.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.21	)

Net asset value, end of the period	$	9.85		$	9.90

Total return(b)		1.05	%(c)		2.11	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	268,107		$	59,282
Net expenses(e)		0.69	%		0.70	%(f)(g)
Gross expenses(e)		0.69	%		0.72	%
Net investment income(e)		3.49	%		3.83	%
Portfolio turnover rate		195	%		178	%(h)

*	From commencement of Class operations on May 1, 2017 through December 31, 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)

(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)	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 July 1, 2017, the expense limit decreased from 1.00% to 0.70%.

(h)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	9.90		$	9.85		$	9.44		$	9.95		$	10.05		$	10.19

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.18			0.35			0.32			0.29			0.31	^(b)		0.40
Net realized and unrealized gain (loss)		(0.08	)		(0.01	)		0.32			(0.43	)		(0.06	)		(0.29	)

Total from Investment Operations		0.10			0.34			0.64			(0.14	)		0.25			0.11

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.29	)		(0.23	)		(0.37	)		(0.35	)		(0.25	)

Net asset value, end of the period	$	9.85		$	9.90		$	9.85		$	9.44		$	9.95		$	10.05

Total return		1.03	%^(c)(d)		3.48	%^(e)		6.86	%		(1.43	)%		2.52	%^(b)		1.19	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,016,952		$	1,031,537		$	1,083,527		$	1,183,723		$	1,188,605		$	970,539
Net expenses		0.75	%^(f)		0.80	%^(g)(h)		0.85	%		0.85	%		0.85	%		0.86	%
Gross expenses		0.75	%^(f)		0.81	%		0.85	%		0.85	%		0.85	%		0.86	%
Net investment income		3.63	%^(f)		3.53	%		3.39	%		2.91	%		3.10	%^(b)		3.92	%
Portfolio turnover rate		195	%		178	%⁽ⁱ⁾		72	%		72	%		87	%		115	%

(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)

(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)	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 July 1, 2017, the expense limit decreased from 1.05% to 0.75%.

(i)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	36.90		$	30.27		$	27.60		$	27.40		$	33.07		$	26.35

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.05			0.06			0.12			0.06			0.02			(0.04	)
Net realized and unrealized gain (loss)		1.41			7.88			3.12			1.55			4.31			9.34

Total from Investment Operations		1.46			7.94			3.24			1.61			4.33			9.30

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.06	)		(0.12	)		—			—			—
Net realized capital gains		(0.79	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)

Total Distributions		(0.79	)		(1.31	)		(0.57	)		(1.41	)		(10.00	)		(2.58	)

Net asset value, end of the period	$	37.57		$	36.90		$	30.27		$	27.60		$	27.40		$	33.07

Total return^(b)		4.02	%^(c)		26.28	%		11.86	%		5.86	%		12.94	%		35.75	%^(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	632,543		$	604,330		$	472,436		$	422,069		$	400,678		$	371,102
Net expenses		1.17	%^(e)		1.21	%^(f)		1.23	%^(g)		1.25	%^(h)		1.29	%⁽ⁱ⁾		1.30	%^(j)
Gross expenses		1.17	%^(e)		1.21	%		1.23	%^(g)		1.25	%		1.29	%⁽ⁱ⁾		1.32	%
Net investment income (loss)		0.24	%^(e)		0.16	%		0.42	%		0.21	%		0.07	%		(0.12	)%
Portfolio turnover rate		10	%		17	%		17	%		20	%		93	%^(k)		50	%

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

(b)	A sales charge for Class A shares 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)	Computed on an annualized basis for periods less than one year.

(f)	Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

(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.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	25.73		$	21.54		$	19.86		$	20.24		$	26.92		$	21.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.07	)		(0.14	)		(0.07	)		(0.11	)		(0.19	)		(0.22	)
Net realized and unrealized gain (loss)		0.98			5.58			2.22			1.14			3.51			7.73

Total from Investment Operations		0.91			5.44			2.15			1.03			3.32			7.51

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)^(b)		(0.02	)		—			—			—
Net realized capital gains		(0.79	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)

Total Distributions		(0.79	)		(1.25	)		(0.47	)		(1.41	)		(10.00	)		(2.58	)

Net asset value, end of the period	$	25.85		$	25.73		$	21.54		$	19.86		$	20.24		$	26.92

Total return^(c)		3.62	%^(d)		25.35	%		11.02	%		5.06	%		12.12	%		34.69	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	95,357		$	112,615		$	72,768		$	61,864		$	53,925		$	44,150
Net expenses		1.92	%^(f)		1.96	%^(g)		1.98	%^(h)		2.00	%⁽ⁱ⁾		2.04	%^(j)		2.05	%^(k)
Gross expenses		1.92	%^(f)		1.96	%		1.98	%^(h)		2.00	%		2.04	%^(j)		2.07	%
Net investment loss		(0.50	)%^(f)		(0.59	)%		(0.33	)%		(0.54	)%		(0.68	)%		(0.86	)%
Portfolio turnover rate		10	%		17	%		17	%		20	%		93	%^(l)		50	%

(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)	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)	Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

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

(i)	Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%.

(j)	Includes fee/expense recovery of 0.01%.

(k)	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.

(l)	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.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	42.63		$	37.62

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.12
Net realized and unrealized gain (loss)		1.64			6.20

Total from Investment Operations		1.78			6.32

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.16	)
Net realized capital gains		(0.79	)		(1.15	)

Total Distributions		(0.79	)		(1.31	)

Net asset value, end of the period	$	43.62		$	42.63

Total return(b)(c)		4.23	%		16.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses(d)(e)		0.76	%		0.78	%(f)
Gross expenses(e)		13.31	%		13.41	%
Net investment income(e)		0.65	%		0.44	%
Portfolio turnover rate		10	%		17	%(g)

*	From commencement of Class operations on May 1, 2017 through December 31, 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)	Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%.

(g)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	42.61		$	34.77		$	31.61		$	31.18		$	36.32		$	28.68

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.16			0.21			0.15			0.12			0.05
Net realized and unrealized gain (loss)		1.63			9.07			3.59			1.76			4.74			10.17

Total from Investment Operations		1.74			9.23			3.80			1.91			4.86			10.22

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.14	)		(0.19	)		(0.07	)		—			—
Net realized capital gains		(0.79	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)		(2.58	)

Total Distributions		(0.79	)		(1.39	)		(0.64	)		(1.48	)		(10.00	)		(2.58	)

Net asset value, end of the period	$	43.56		$	42.61		$	34.77		$	31.61		$	31.18		$	36.32

Total return		4.14	%(b)		26.60	%		12.13	%		6.11	%		13.25	%		36.06	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	340,979		$	285,008		$	143,231		$	70,643		$	37,636		$	24,661
Net expenses		0.92	%(d)		0.95	%(e)		0.98	%(f)		1.00	%(g)		1.05	%(h)		1.05	%(i)
Gross expenses		0.92	%(d)		0.95	%		0.98	%(f)		1.00	%		1.05	%(h)		1.07	%
Net investment income		0.49	%(d)		0.40	%		0.63	%		0.46	%		0.32	%		0.13	%
Portfolio turnover rate		10	%		17	%		17	%		20	%		93	%(j)		50	%

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

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

(e)	Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

(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.

| 84

Notes to Financial Statements

June 30, 2018 (Unaudited)

1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (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:

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”)

Each Fund is a diversified investment company, except for the Strategic Alpha Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. Class T shares of the Funds are not currently available for purchase.

Class A shares are sold with a maximum front-end sales charge of 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 for ten years (at which point they automatically convert to 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee 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

85 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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 or 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:

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 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.

| 86

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.

87 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

As of June 30, 2018, 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	$	11,587,926		7.8	%	$	883,994		0.6	%	$	—		—	%
Strategic Alpha Fund	$	—		—	%	$	2,843,045		0.2	%	$	25,714,297		1.9	%

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 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

| 88

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

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, 2018, 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	$	49,388
Strategic Alpha Fund	$	1,700,623

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

89 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.

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 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.

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.

| 90

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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 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

91 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018.

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 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

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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.

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 and securities 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.

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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, 2018 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.

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 paydown gains and losses, return of capital and capital gain distributions received, swap adjustments, passive foreign investment company adjustments, wash sales, corporate actions, foreign currency gains and losses, convertible bond adjustments, contingent payment debt instruments, distributions in excess of income and/or capital gain, distribution redesignations and premium amortization. Permanent book and tax basis differences relating to shareholder

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Notes to Financial Statements (continued)

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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, defaulted and/or non-income producing securities, swap adjustments, wash sales, return of capital distributions received, convertible bond adjustments, passive foreign investment company adjustments, forward foreign currency contract mark-to-market, straddle loss deferrals 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, 2017 was as follows:


	2017 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Multi-Asset Income Fund	$	6,743,242	$	2,818,786	$	9,562,028
Strategic Alpha Fund		34,540,664		—		34,540,664
U.S. Equity Opportunities Fund		5,656,689		29,396,069		35,052,758

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, 2017 capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Multi-Asset Income Fund		Strategic Alpha Fund			U.S. Equity Opportunities Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—	$	(38,802,029	)	$	—
Long-term:
No expiration date		—		(13,571,266	)		—

Total capital loss carryforward	$	—	$	(52,373,295	)	$	—

Late-year ordinary and post-October capital loss deferrals*	$	—	$	(7,073,237	)	$	—

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Notes to Financial Statements (continued)

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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. Strategic Alpha Fund is deferring foreign currency losses.

As of June 30, 2018, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	Multi-Asset Income Fund			Strategic Alpha Fund			U.S. Equity Opportunities Fund
Unrealized appreciation (depreciation)
Investments	$	(2,443,327	)	$	(18,172,225	)	$	265,570,088
Foreign currency translations		(186,851	)		(25,371,613	)		—

Total unrealized appreciation (depreciation)	$	(2,630,178	)	$	(43,543,838	)	$	265,570,088

As of June 30, 2018, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	Multi-Asset Income Fund			Strategic Alpha Fund			U.S. Equity Opportunities Fund
Federal tax cost	$	156,303,867		$	1,372,188,266		$	806,909,386

Gross tax appreciation	$	2,109,762		$	31,016,188		$	298,419,176
Gross tax depreciation		(4,723,369	)		(76,761,178	)		(32,849,088	)

Net tax appreciation (depreciation)	$	(2,613,607	)	$	(45,744,990	)	$	265,570,088

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.

The differences between these amounts and those reported in the preceding table are primarily attributable to foreign currency mark-to-market.

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, 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

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Notes to Financial Statements (continued)

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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, 2018, 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.

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

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Notes to Financial Statements (continued)

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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, 2018.

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. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2018, the Funds did not loan securities under this agreement.

q. Unfunded Loan Commitments. The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, and are recorded as a liability on the Statement of Assets and Liabilities at par value.

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As of June 30, 2018, the Strategic Alpha Fund had unfunded loan commitments, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:


Borrower	Type		Principal Amount		Value
GFL Environmental, Inc.		2018 Delayed Draw Term Loan	$	137,511	$	136,479

r. 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 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.

•

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.

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

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Notes to Financial Statements (continued)

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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. 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, 2018, at value:

Multi-Asset Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Air Freight & Logistics	$	—	$	251,041	$	—	$	251,041
Airlines		1,629,024		829,941		—		2,458,965
Banks		8,384,605		1,445,316		—		9,829,921
Beverages		—		610,204		—		610,204
Capital Markets		4,418,089		207,425		—		4,625,514
Chemicals		1,120,174		293,227		—		1,413,401
Construction & Engineering		7,257		912,251		—		919,508
Distributors		—		287,438		—		287,438
Electric Utilities		627,311		493,678		—		1,120,989
Electronic Equipment, Instruments & Components		—		176,125		—		176,125
Food & Staples Retailing		214,734		165,739		—		380,473
Food Products		539,657		341,980		—		881,637
Hotels, Restaurants & Leisure		1,254,251		590,025		—		1,844,276
Household Durables		—		574,636		—		574,636
Independent Power & Renewable Electricity Producers		554,088		292,634		—		846,722
Industrial Conglomerates		—		281,295		—		281,295
Insurance		420,809		287,432		—		708,241
Leisure Products		—		41,077		—		41,077
Metals & Mining		—		458,299		—		458,299
Oil, Gas & Consumable Fuels		4,490,518		300,322		—		4,790,840
Paper & Forest Products		801,184		520,697		—		1,321,881
Personal Products		—		307,618		—		307,618

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Notes to Financial Statements (continued)

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Multi-Asset Income Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Real Estate Management & Development	$	—	$	235,125	$	—	$	235,125
REITs - Apartments		—		34,006		—		34,006
REITs - Diversified		133,879		19,277		—		153,156
REITs - Hotels		171,447		12,736		—		184,183
REITs - Office Property		—		107,359		—		107,359
REITs - Shopping Centers		9,948		73,895		—		83,843
Semiconductors & Semiconductor Equipment		3,655,686		319,773		—		3,975,459
Tobacco		382,537		321,468		—		704,005
Trading Companies & Distributors		221,739		698,015		—		919,754
Transportation Infrastructure		—		97,872		—		97,872
All Other Common Stocks(a)		20,340,213		—		—		20,340,213

Total Common Stocks		49,377,150		11,587,926		—		60,965,076

Bonds and Notes(a)		—		58,297,595		—		58,297,595
Senior Loans(a)		—		10,636,942		—		10,636,942
Exchange-Traded Funds and Notes		9,830,116		—		—		9,830,116

Preferred Stocks
Non-Convertible Preferred Stocks(a)		2,082,754		—		—		2,082,754
Convertible Preferred Stock(a)		—		584,271		—		584,271

Total Preferred Stocks		2,082,754		584,271		—		2,667,025

Short-Term Investments		—		11,293,506		—		11,293,506

Total	$	61,290,020	$	92,400,240	$	—	$	153,690,260

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

Common stocks valued at $1,206,431 were transferred from Level 1 to Level 2 during the period ended June 30, 2018. At December 31, 2017, these securities were valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At June 30, 2018 these 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 the securities.

A common stock valued at $695,256 was transferred from Level 2 to Level 1 during the period ended June 30, 2018. At December 31, 2017, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after

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Notes to Financial Statements (continued)

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the close of the foreign market were believed to materially affect the value of the security. At June 30, 2018, 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.

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Non-Convertible Bonds
ABS Car Loan	$	—	$	69,432,441	$	3,400,000	(b)	$	72,832,441
ABS Home Equity		—		142,305,366		2,800,031	(c)		145,105,397
ABS Other		—		54,353,631		4,757,932	(d)(e)		59,111,563
ABS Student Loan		—		3,820,199		4,817,554	(f)		8,637,753
Independent Energy		—		20,659,462		—	(e)		20,659,462
All Other Non-Convertible Bonds(a)		—		520,612,178		—			520,612,178

Total Non-Convertible Bonds		—		811,183,277		15,775,517			826,958,794

Convertible Bonds(a)		—		34,779,986		—			34,779,986
Senior Loans(a)		—		175,049,951		—			175,049,951
Loan Participations(a)		—		—		12,958,786	(g)		12,958,786
Preferred Stocks(a)		—		8,624,412		—			8,624,412
Common Stocks(a)		56,657,018		—		—			56,657,018
Exchange-Traded Funds		8,663,919		—		—			8,663,919
Other Investments(a)		—		—		8,912,768	(h)		8,912,768
Short-Term Investments		—		192,560,756		—			192,560,756
Purchased Options		675,672		295,587		—			971,259

Total Investments		65,996,609		1,222,493,969		37,647,071			1,326,137,649

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1			Level 2				Level 3		Total
Bilateral Credit Default Swap Agreements (unrealized appreciation)	$	—		$	443,305			$	—	$	443,305
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—			7,573,577				—		7,573,577
Forward Foreign Currency Contracts (unrealized appreciation)		—			1,724,831				—		1,724,831
Futures Contracts (unrealized appreciation)		729,341			—				—		729,341

Total	$	66,725,950		$	1,232,235,682			$	37,647,071	$	1,336,608,703


Liability Valuation Inputs
Description	Level 1			Level 2				Level 3		Total
Written Options	$	(152,440	)	$	—			$	—	$	(152,440	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(75,460	)			—		(75,460	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(9,187,861	)			—		(9,187,861	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(1,446,653	)			—		(1,446,653	)
Futures Contracts (unrealized depreciation)		(1,696	)		—				—		(1,696	)

Total	$	(154,136	)	$	(10,709,974	)	��	$	—	$	(10,864,110	)

(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.

(c)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($2,800,000) or fair valued by the Fund’s adviser ($31).

(d)	Valued using broker-dealer bid prices ($2,814,326) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($1,604,828) or fair valued by the Fund’s adviser ($338,778).

(e)	Includes securities fair valued at zero using level 3 inputs.

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Notes to Financial Statements (continued)

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(f)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(g)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($7,240,338) or valued using broker-dealer bid prices ($5,718,448).

(h)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($8,912,709) or fair valued by the Fund’s adviser ($59).

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,046,269,488	$	—	$	—	$	1,046,269,488
Short-Term Investments		—		26,209,986		—		26,209,986

Total	$	1,046,269,488	$	26,209,986	$	—	$	1,072,479,474

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

For the year ended June 30, 2018, there were no transfers among Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2017 and/or June 30, 2018:

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2017		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—	$	—		$	3,400,000
ABS Home Equity		1,615,466		—		4,045		12			2,800,000
ABS Other		2,992,445		—		—		153,650			2,908,470
ABS Student Loan		4,900,039		—		541		(26	)		350,000
Independent Energy		—		180,114		—		(180,114	)		—
Non-Agency Commercial Mortgage-Backed Securities		542,412		—		—		—			—
Loan Participations		13,637,785		214		528		79,577			—
Other Investments
Aircraft ABS		14,411,624		—		—		(5,498,856	)		—

Total	$	38,099,771	$	180,328	$	5,114	$	(5,445,757	)	$	9,458,470

| 104

Notes to Financial Statements (continued)

June 30, 2018 (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, 2018			Change in Unrealized Appreciation (Depreciation) from Investments Held at Still June 30, 2018
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	—		$	3,400,000		$	—
ABS Home Equity		(4,497	)		—		(1,614,995	)		2,800,031			—
ABS Other		—			—		(1,296,633	)		4,757,932			153,650
ABS Student Loan		(433,000	)		—		—			4,817,554			342
Independent Energy		—			—		—			—	(a)		(180,114	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		(542,412	)		—			—
Loan Participations		(759,318	)		—		—			12,958,786			78,310
Other Investments
Aircraft ABS		—			—		—			8,912,768			(5,498,856	)

Total	$	(1,196,815	)	$	—	$	(3,454,040	)	$	37,647,071		$	(5,446,668	)

(a)	Fair valued at zero.

Debt securities valued at $3,454,040 were transferred from Level 3 to Level 2 during the period ended June 30, 2018. At December 31, 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. At June 30, 2018, 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.

All transfers are recognized as of the beginning of the reporting period.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying

105 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions 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, 2018, the Fund engaged in forward foreign currency for hedging purposes.

Multi-Asset Income 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 purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options, written call options and written put options for investment purposes. During the six months ended June 30, 2018, the Fund engaged in written put and call options for both hedging and investment 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. 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, 2018, the Fund used futures, forward foreign currency contracts, option contracts, swaptions, 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, 2018, the Fund engaged in swaptions 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

| 106

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018, 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, 2018, 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, 2018, 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, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Options written		Forward foreign currency contracts
Forward foreign exchange contracts	$	—	$	134,650
Equity contracts		25,690		—

Total	$	25,690	$	134,650

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2018, as reflected within the Statements of Assets and Liabilities:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts²			Swap agreements at value³			Total
Over-the-counter asset derivatives
Credit contracts	$	—		$	—		$	—		$	786,731		$	786,731
Foreign exchange contracts		295,587			1,724,831			—			—			2,020,418

Total over-the-counter asset derivatives	$	295,587		$	1,724,831		$	—		$	786,731		$	2,807,149

Exchange-traded/cleared asset derivatives
Equity contracts	$	675,672		$	—		$	729,341		$	—		$	1,405,013
Interest rate contracts		—			—			—			7,576,996			7,576,996

Total exchange-traded/cleared asset derivatives	$	675,672		$	—		$	729,341		$	7,576,996		$	8,982,009

Total asset derivatives	$	971,259		$	1,724,831		$	729,341		$	8,363,727		$	11,789,158


Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts²			Swap agreements at value³			Total
Over-the-counter liability derivatives
Credit contracts	$	—		$	—		$	—		$	(67,939	)	$	(67,939	)
Foreign exchange contracts		—			(1,446,653	)		—			—			(1,446,653	)

Total over-the-counter liability derivatives	$	—		$	(1,446,653	)	$	—		$	(67,939	)	$	(1,514,592	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(1,696	)	$	(9,192,728	)	$	(9,194,424	)
Equity contracts		(152,440	)		—			—			—			(152,440	)

Total exchange-traded/cleared liability derivatives	$	(152,440	)	$	—		$	(1,696	)	$	(9,192,728	)	$	(9,346,864	)

Total liability derivatives	$	(152,440	)	$	(1,446,653	)	$	(1,696	)	$	(9,260,667	)	$	(10,861,456	)

| 108

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

¹	Represents purchased options, at value.

²	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.

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.

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2018, as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Investments⁴			Futures contracts			Options/ swaptions written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(910,701	)	$	2,009,046		$	241,453		$	(202,373	)	$	—
Foreign exchange contracts		35,215			—			—			—			5,726,493
Credit contracts		—			—			—			(218,810	)		—
Equity contracts		2,070,852			(1,016,927	)		(2,154,597	)		—			—

Total	$	1,195,366		$	992,119		$	(1,913,144	)	$	(421,183	)	$	5,726,493


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts			Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	—		$	257,000		$	—		$	64,403		$	—
Foreign exchange contracts		590,780			—			—			—			2,625,011
Credit contracts		—			—			—			1,216,688			—
Equity contracts		20,193			872,188			(152,788	)		—			—

Total	$	610,973		$	1,129,188		$	(152,788	)	$	1,281,091		$	2,625,011

⁴	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

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 Multi-Asset Income Fund based on gross month-end or daily (as applicable)

109 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2018:


Multi-Asset Income Fund	Forwards
Average Notional Amount Outstanding		1.71	%
Highest Notional Amount Outstanding		9.49	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2018		0.00	%

The volume of option contract activity, as a percentage of net assets, for Multi-Asset Income Fund, based on month-end or daily (as applicable) market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2018:


Multi-Asset Income Fund	Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		0.40	%		0.09	%
Highest Market Value of Underlying Instruments		1.02	%		0.31	%
Lowest Market Value of Underlying Instruments		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2018		0.00	%		0.00	%

*	Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security.

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, 2018:


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		27.96	%		11.55	%		4.39	%		101.82	%
Highest Notional Amount Outstanding		36.66	%		16.23	%		5.10	%		120.94	%
Lowest Notional Amount Outstanding		11.26	%		5.87	%		2.92	%		101.53	%
Notional Amount Outstanding as of June 30, 2018		11.26	%		5.87	%		2.92	%		112.80	%

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.

| 110

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018:


Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		1.71	%		3.28	%		1.04	%		0.52	%
Highest Market Value of Underlying Instruments		2.28	%		6.09	%		1.44	%		2.25	%
Lowest Market Value of Underlying Instruments		0.90	%		0.29	%		0.12	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2018		2.17	%		0.39	%		1.41	%		0.00	%

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.

The volume of interest rate swaption activity, as a percentage of net assets for Strategic Alpha Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2018:


Strategic Alpha Fund	Interest Rate Call Swaptions Purchased			Interest Rate Call Swaptions Written
Average Premium Paid/Received		0.04	%		0.01	%
Highest Premium Paid/Received		0.07	%		0.02	%
Lowest Premium Paid/Received		0.00	%		0.00	%
Premium Paid/Received as of June 30, 2018		0.00	%		0.00	%

Over-the-counter 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

111 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.

Strategic Alpha Fund


Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	162,470	$	(162,470	)	$	—	$	—		$	—
BNP Paribas S.A.		56,286		(33,463	)		22,823		—			22,823
Citibank N.A.		4,280		(4,280	)		—		—			—
Credit Suisse International		10,309		(3,835	)		6,474		(6,474	)		—
Deutsche Bank AG		470,039		(211,681	)		258,358		(258,358	)		—
Goldman Sachs & Co.		10,420		(10,420	)		—		—			—
HSBC Bank USA		32,055		(32,055	)		—		—			—
JPMorgan Chase Bank N.A.		49,792		(14,440	)		35,352		—			35,352
Morgan Stanley Capital Services, Inc.		2,003,084		(527,021	)		1,476,063		(1,476,063	)		—
UBS AG		8,414		(8,414	)		—		—			—

	$	2,807,149	$	(1,008,079	)	$	1,799,070	$	(1,740,895	)	$	58,175

| 112

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Strategic Alpha Fund (continued)


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(262,054	)	$	162,470	$	(99,584	)	$	—	$	(99,584	)
BNP Paribas S.A.		(33,463	)		33,463		—			—		—
Citibank N.A.		(29,872	)		4,280		(25,592	)		—		(25,592	)
Credit Suisse International		(3,835	)		3,835		—			—		—
Deutsche Bank AG		(211,681	)		211,681		—			—		—
Goldman Sachs & Co.		(10,696	)		10,420		(276	)		—		(276	)
HSBC Bank USA		(394,781	)		32,055		(362,726	)		330,000		(32,726	)
JPMorgan Chase Bank N.A.		(14,440	)		14,440		—			—		—
Morgan Stanley Capital Services, Inc.		(527,021	)		527,021		—			—		—
UBS AG		(26,749	)		8,414		(18,335	)		—		(18,335	)

	$	(1,514,592	)	$	1,008,079	$	(506,513	)	$	330,000	$	(176,513	)

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 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.

113 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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 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 Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2018:

Fund

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

Strategic Alpha Fund

25,381,842

22,302,868

Net loss amount reflects cash and securities received as collateral of $4,640,184, which is recorded on the Statements of Assets and Liabilities.

5. Purchases and Sales of Securities. For the six months ended June 30, 2018, 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	$	7,628,479	$	7,621,813	$	238,329,548	$	229,976,791
Strategic Alpha Fund		1,703,638,280		1,703,606,221		497,607,051		421,345,845
U.S. Equity Opportunities Fund		—		—		134,239,028		102,561,435

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Natixis Advisors, L.P. (“Natixis 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	%
U.S. Equity Opportunities Fund		0.75	%		0.75	%

| 114

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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


Multi-Asset Income Fund		Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Equity Opportunities Fund		Harris Associates L.P. (“Harris”)
		Loomis Sayles

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	%
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 Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, Loomis Sayles and Harris are subsidiaries of Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Loomis Sayles is the investment adviser to Strategic Alpha Fund. Loomis Sayles’ general partner is indirectly owned by Natixis. Under the terms of the management agreement, the 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.

Natixis 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, 2019, 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.

115 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

For the six months ended June 30, 2018, 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		1.00	%		1.75	%		0.70	%		0.75	%
U.S. Equity Opportunities Fund		1.20	%		1.95	%		0.90	%		0.95	%

Natixis 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, 2018, 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	$	416,796	$	120,388	$	296,408		0.55	%		0.39	%
Strategic Alpha Fund		3,682,952		248		3,682,704		0.60	%		0.60	%
U.S. Equity Opportunities Fund		3,905,829		—		3,905,829		0.75	%		0.75	%

¹	Management fee waiver is subject to possible recovery until December 31, 2019, though actual recovery is unlikely.

No expenses were recovered for any of the Funds during the six months ended June 30, 2018 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis 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 Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the

| 116

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Fund’s Class A shares, as reimbursement for expenses incurred by Natixis 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 Natixis 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 Natixis 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 Natixis 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 Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2018, 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	$	72,303		$	45,535	$	136,604
Strategic Alpha Fund		33,781			39,340		118,021
U.S. Equity Opportunities Fund		764,647	��		143,768		431,305

For the six months ended June 30, 2018, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Multi-Asset Income Fund	$	33,629
Strategic Alpha Fund		272,788
U.S. Equity Opportunities Fund		231,103

Effective July 1, 2018, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net

117 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2018, 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	$	42,801
Strategic Alpha Fund		306,392
U.S. Equity Opportunities Fund		232,025


Fund	Reimbursements of Sub-Transfer Agent Fees
Multi-Asset Income Fund	$	1,038
Strategic Alpha Fund		7,113
U.S. Equity Opportunities Fund		5,300

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.

| 118

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2018 were as follows:


Fund	Commissions
Multi-Asset Income Fund	$	3,178
Strategic Alpha Fund		1,047
U.S. Equity Opportunities Fund		29,567

f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $340,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $170,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $12,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency

119 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2019 and is not subject to recovery under the expense limitation agreement described above.


	Reimbursement of Transfer Agent Fees and Expenses
Fund	Class N
Multi-Asset Income Fund	$	98
Strategic Alpha Fund		125
U.S. Equity Opportunities Fund		76

h. Affiliated Ownership. As of June 30, 2018, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Multi-Asset Income Fund and Strategic Alpha Fund representing 0.64% and 0.16% respectively, of the Funds’ net assets. Natixis US and affiliates 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, 2018, Loomis Sayles reimbursed Strategic Alpha Fund $99,621 for losses incurred in connection with a trading error.

7. Class-Specific Transfer Agent Fees and Expenses. 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.

For the six months ended June 30, 2018, the 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
Multi-Asset Income Fund	$	19,804	$	12,444	$	98	$	19,641
Strategic Alpha Fund		8,686		10,045		125		300,791
U.S. Equity Opportunities		226,880		42,825		76		117,158

| 120

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. 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.

For the six months ended June 30, 2018, 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, 2018, amounts rebated under these agreements were as follows:


Fund	Rebates
Multi-Asset Income Fund	$	444
U.S. Equity Opportunities Fund		1,635

Effective March 9, 2018, the brokerage commission recapture program was terminated.

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.

121 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ 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% Non-Affiliated Account Holders		Percentage of Ownership
Strategic Alpha Fund		2		37.88	%

| 122

Notes to Financial Statements (continued)

June 30, 2018 (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, 2018					Year Ended December 31, 2017
Multi-Asset Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,127,058		$	15,435,592		1,702,656		$	23,493,500
Issued in connection with the reinvestment of distributions	115,634			1,547,937		233,713			3,230,966
Redeemed	(409,142	)		(5,580,905	)	(2,320,403	)		(32,491,498	)

Net change	833,550		$	11,402,624		(384,034	)	$	(5,767,032	)

Class C
Issued from the sale of shares	288,391		$	4,036,844		319,241		$	4,385,407
Issued in connection with the reinvestment of distributions	58,285			775,806		128,351			1,767,902
Redeemed	(826,474	)		(11,152,435	)	(1,298,794	)		(17,826,010	)

Net change	(479,798	)	$	(6,339,785	)	(851,202	)	$	(11,672,701	)

Class N
Issued from the sale of shares	—		$	—		2,278		$	30,680
Issued in connection with the reinvestment of distributions	86			1,145		176			2,422

Net change	86		$	1,145		2,454		$	33,102

Class Y
Issued from the sale of shares	1,030,252		$	14,153,889		2,592,244		$	36,192,848
Issued in connection with the reinvestment of distributions	107,621			1,432,467		182,515			2,511,877
Redeemed	(609,383	)		(8,274,369	)	(464,288	)		(6,389,575	)

Net change	528,490		$	7,311,987		2,310,471		$	32,315,150

Increase (decrease) from capital share transactions	882,328		$	12,375,971		1,077,689		$	14,908,519

123 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	348,710		$	3,475,695		1,948,117		$	19,283,141
Issued in connection with the reinvestment of distributions	33,553			332,440		105,767			1,044,208
Redeemed	(461,386	)		(4,606,596	)	(6,100,848	)		(60,665,342	)

Net change	(79,123	)	$	(798,461	)	(4,046,964	)	$	(40,337,993	)

Class C
Issued from the sale of shares	138,964		$	1,379,917		316,552		$	3,122,878
Issued in connection with the reinvestment of distributions	22,315			220,220		48,399			475,946
Redeemed	(698,335	)		(6,928,750	)	(1,595,852	)		(15,731,090	)

Net change	(537,056	)	$	(5,328,613	)	(1,230,901	)	$	(12,132,266	)

Class N
Issued from the sale of shares	20,871,214		$	207,362,140		5,928,692		$	58,808,207
Issued in connection with the reinvestment of distributions	405,266			4,007,070		75,346			744,780
Redeemed	(57,427	)		(571,339	)	(13,065	)		(130,000	)

Net change	21,219,053		$	210,797,871		5,990,973		$	59,422,987

Class Y
Issued from the sale of shares	26,537,144		$	264,200,111		34,490,858		$	341,479,931
Issued in connection with the reinvestment of distributions	890,777			8,806,964		2,221,504			21,892,730
Redeemed	(28,411,758	)		(282,466,232	)	(42,506,371	)		(420,835,953	)

Net change	(983,837	)	$	(9,459,157	)	(5,794,009	)	$	(57,463,292	)

Increase (decrease) from capital share transactions	19,619,037		$	195,211,640		(5,080,901	)	$	(50,510,564	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

| 124

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
U.S. Equity Opportunities Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,562,142		$	59,928,635		3,144,209		$	104,303,464
Issued in connection with the reinvestment of distributions	324,208			11,833,555		540,145			19,749,734
Redeemed	(1,428,101	)		(54,089,606	)	(2,915,369	)		(99,731,079	)

Net change	458,249		$	17,672,584		768,985		$	24,322,119

Class C
Issued from the sale of shares	544,057		$	14,348,790		1,565,056		$	37,342,545
Issued in connection with the reinvestment of distributions	121,551			3,058,213		175,190			4,480,476
Redeemed	(1,354,091	)		(35,878,076	)	(741,641	)		(17,783,250	)

Net change	(688,483	)	$	(18,471,073	)	998,605		$	24,039,771

Class N
Issued from the sale of shares	—		$	—		26		$	1,001
Issued in connection with the reinvestment of distributions	1			22		1			35

Net change	1		$	22		27		$	1,036

Class Y
Issued from the sale of shares	2,172,569		$	95,285,925		4,351,889		$	168,730,051
Issued in connection with the reinvestment of distributions	116,731			4,937,717		179,584			7,609,993
Redeemed	(1,151,299	)		(50,530,639	)	(1,961,859	)		(78,357,163	)

Net change	1,138,001		$	49,693,003		2,569,614		$	97,982,881

Increase (decrease) from capital share transactions	907,768		$	48,894,536		4,337,231		$	146,345,807

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

125 |

LOGO

Semiannual Report

June 30, 2018

McDonnell Intermediate Municipal Bond Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

Table of Contents



Portfolio Review			1

Portfolio of Investments			21

Financial Statements			43

Notes to Financial Statements			73

LOGO

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.

1 |

Average Annual Total Returns — June 30, 2018⁴



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

Class Y (Inception 12/31/12)¹
NAV		-0.90	%		0.49	%		2.64	%		1.83	%		0.83	%		0.45	%

Class A (Inception 12/31/12)¹
NAV		-0.93			0.24			2.36			1.54			1.10			0.70
With 3.00% Maximum Sales Charge		-3.86			-2.73			1.75			0.97

Class C (Inception 12/31/12)¹
NAV		-1.39			-0.51			1.62			0.79			1.83			1.45
With CDSC²		-2.37			-1.49			1.62			0.79

Comparative Performance
Bloomberg Barclays Municipal Bond Index³		-0.25			1.56			3.53			2.70

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.

3	Bloomberg Barclays Municipal Bond Index is a market value — weighted index of investment-grade municipal bonds with maturities of one year or more.

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

| 2

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.

3 |

Average Annual Total Returns — June 30, 2018³


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

Class Y (Inception 11/18/98)
NAV		0.98	%		13.07	%		12.93	%		10.97	%		—	%		0.93	%		0.93	%

Class A (Inception 5/6/31)
NAV		0.87			12.81			12.65			10.67			—			1.18			1.18
With 5.75% Maximum Sales Charge		-4.94			6.32			11.33			10.01			—

Class C (Inception 5/1/95)
NAV		0.53			11.97			11.81			9.85			—			1.93			1.93
With CDSC¹		-0.46			10.97			11.81			9.85			—

Class N (Inception 5/1/17)
NAV		1.14			13.35			—			—			14.25			13.79			0.75

Comparative Performance
S&P 500^® Index²		2.65			14.37			13.42			10.17			14.03

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.

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

| 4

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.

5 |

Average Annual Total Returns — June 30, 2018⁴



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

Class Y (Inception 5/1/17)											Class A/C		Class Y/N
NAV¹		-7.65	%		2.62	%		6.33	%		—	%	3.57	%		1.07%		1.07%

Class A (Inception 12/15/10)
NAV		-7.83			2.32			6.26			6.83		—			1.32		1.32
With 5.75% Maximum Sales Charge		-13.13			-3.59			5.01			6.00		—

Class C (Inception 12/15/10)
NAV		-8.10			1.57			5.49			6.05		—			2.07		2.07
With CDSC²		-9.02			0.57			5.49			6.05		—

Class N (Inception 5/1/17)
NAV		-7.64			2.79			—			—		3.71			25.21		0.92

Comparative Performance
MSCI World ex U.S. Index (Net)³		-2.77			7.04			6.23			5.00		8.89

1	Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

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.

3	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.

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 Funds 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 4/30/19. When a Funds 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 Funds expense caps.

| 6

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.

7 |

Average Annual Total Returns — June 30, 2018³


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

Class Y (Inception 8/31/06)
NAV		1.38	%		9.37	%		11.12	%		10.88	%		—	%		1.27	%		1.27	%

Class A (Inception 12/31/96)
NAV		1.26			9.13			10.84			10.60			—			1.52			1.52
With 5.75% Maximum Sales Charge		-4.55			2.85			9.53			9.95			—

Class C (Inception 12/31/96)
NAV		0.90			8.29			10.01			9.78			—			2.27			2.27
With CDSC¹		-0.06			7.38			10.01			9.78			—

Class N (Inception 5/1/17)
NAV		1.48			9.60			—			—			7.48			14.84			1.12

Comparative Performance
Russell 2000^® Value Index²		5.44			13.10			11.18			9.88			11.02

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.

| 8

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.

9 |

Average Annual Total Returns — June 30, 2018³



															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		-0.52	%		8.28	%		8.87	%		12.51	%	—	%		1.22	%		1.22	%

Class A (Inception 10/31/08)
NAV		-0.65			8.03			8.60			12.23		—			1.47			1.47
With 5.75% Maximum Sales Charge		-6.36			1.83			7.32			11.54		—

Class C (Inception 10/31/08)
NAV		-1.02			7.23			7.79			11.39		—			2.22			2.22
With CDSC¹		-1.99			6.23			7.79			11.39		—

Class N (Inception 5/1/13)
NAV		-0.47			8.39			8.94			—		9.61			1.13			1.13

Comparative Performance
Russell Midcap^® Value Index²		-0.16			7.60			11.27			14.36		11.28

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.

| 10

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

PROXY VOTING INFORMATION

QUARTERLY PORTFOLIO SCHEDULES

11 |

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 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 funds. If transaction costs were included, total costs would be higher.

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MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$990.70		$3.46
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class C
Actual		$1,000.00		$986.10		$7.14
Hypothetical (5% return before expenses)		$1,000.00		$1,017.60		$7.25
Class Y
Actual		$1,000.00		$991.00		$2.22
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).


NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$1,008.70		$5.63
Hypothetical (5% return before expenses)		$1,000.00		$1,019.19		$5.66
Class C
Actual		$1,000.00		$1,005.30		$9.35
Hypothetical (5% return before expenses)		$1,000.00		$1,015.47		$9.39
Class N
Actual		$1,000.00		$1,011.40		$3.34
Hypothetical (5% return before expenses)		$1,000.00		$1,021.47		$3.36
Class Y
Actual		$1,000.00		$1,009.80		$4.44
Hypothetical (5% return before expenses)		$1,000.00		$1,020.38		$4.46

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.13%, 1.88%, 0.67% and 0.89% 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).

13 |


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$921.70		$6.19
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class C
Actual		$1,000.00		$919.00		$9.75
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class N
Actual		$1,000.00		$923.60		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.03		$4.81
Class Y
Actual		$1,000.00		$923.50		$5.01
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 0.96% and 1.05% 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).


VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$1,012.60		$6.79
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$6.81
Class C
Actual		$1,000.00		$1,009.00		$10.51
Hypothetical (5% return before expenses)		$1,000.00		$1,014.33		$10.54
Class N
Actual		$1,000.00		$1,014.80		$4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,019.98		$4.86
Class Y
Actual		$1,000.00		$1,013.80		$5.54
Hypothetical (5% return before expenses)		$1,000.00		$1,019.29		$5.56

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.36%, 2.11%, 0.97% and 1.11% 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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VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 1/1/2018		ENDING ACCOUNT VALUE 6/30/2018		EXPENSES PAID DURING PERIOD* 1/1/2018 – 6/30/2018
Class A
Actual		$1,000.00		$993.50		$6.08
Hypothetical (5% return before expenses)		$1,000.00		$1,018.70		$6.16
Class C
Actual		$1,000.00		$989.80		$9.77
Hypothetical (5% return before expenses)		$1,000.00		$1,014.98		$9.89
Class N
Actual		$1,000.00		$995.30		$4.35
Hypothetical (5% return before expenses)		$1,000.00		$1,020.43		$4.41
Class Y
Actual		$1,000.00		$994.80		$4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,019.94		$4.91

Expenses are equal to the Fund’s annualized expense ratio: 1.23%, 1.98%, 0.88% and 0.98% 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).

15 |

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 and other expenses, including information comparing the Funds’ advisory and sub-advisory fees 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, to the extent applicable, the use of “soft” commission dollars 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.

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Fund’s performance and expense differentials against each Fund’s peer group/category where available, 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 or Committee 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.

17 |

The Board noted that, through December 31, 2017, each Fund’s one-, three- and five-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			Five-Year
Natixis Oakmark Fund		43	%		14	%		10	%
Natixis Oakmark International Fund		15	%		13	%		6	%
Vaughan Nelson Small Cap Value Fund		91	%		58	%		35	%
Vaughan Nelson Value Opportunity Fund		79	%		83	%		66	%
McDonnell Intermediate Municipal Bond Fund		35	%		49	%		69	%

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party 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 long-term performance was strong when compared to relevant performance benchmarks and/or peer groups; and (3) that although the five-year performance was lagging, more recent performance has been stronger relative to its category.

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, sub-advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and 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

| 18

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 various funds in the fund family. They noted that all of the Funds included have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under the cap. The Trustees also considered that the current expenses for Natixis Oakmark Fund, Natixis Oakmark International Fund, Vaughan Nelson Small Cap Value Fund, and Vaughan Nelson Value Opportunity Fund were below their caps.

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 closed to new investors; and (3) that the Fund’s strong absolute and relative 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, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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 caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense 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 was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the

19 |

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.

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative 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 Natixis 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.

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Portfolio of Investments – as of June 30, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 87.9% of Net Assets
	Municipals — 87.9%
		Alabama — 2.0%
$	500,000	UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group, Series B-2, 3.500%, 9/01/2035	$	486,120

		California — 8.0%
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		433,006
	250,000	California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032		252,960
	640,000	Madera Unified School District, Capital Appreciation, 2016 Election, GO, 3.050%, 8/01/2029(a)		439,578
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		874,828

				2,000,372

		Colorado — 10.0%
	400,000	Colorado Springs CO Utilities System Revenue, Series A, 1.500%, 11/01/2037(b)		400,000
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		293,283
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		436,616
	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		450,056
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		287,252
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		606,040

				2,473,247

		Connecticut — 3.6%
	800,000	Connecticut State Health & Educational Facilities Authority, University of New Haven, Series K-1, 5.000%, 7/01/2033		892,600

		Florida — 15.0%
	245,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		242,474
	100,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		98,530
	700,000	City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039		797,706
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		560,415
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		443,252
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022		672,882
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		458,592
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		459,064

				3,732,915

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount			Description	Value (†)
			Georgia — 1.1%
$	250,000		Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027	$	284,127

			Illinois — 4.9%
	540,000		Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		589,756
	500,000		Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		528,880
	100,000	��	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		107,950

					1,226,586

			Louisiana — 2.0%
	200,000		New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		222,812
	250,000		New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		278,320

					501,132

			Missouri — 3.2%
	700,000		Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		795,865

			Nevada — 2.3%
	500,000		City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		571,235

			New Jersey — 5.7%
	265,000		New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023		299,779
	500,000		New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		562,075
	500,000		Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		564,755

					1,426,609

			New Mexico — 2.3%
	500,000		New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		566,055

			Ohio — 4.6%
	500,000		Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		571,290
	500,000		Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		564,970

					1,136,260

			Pennsylvania — 1.2%
	285,000		Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		298,720

			Rhode Island — 2.3%
	500,000		Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		572,435

			South Dakota — 2.3%
	500,000		South Dakota Health & Educational Facilities Authority, Regional Health System Obligated Group, 5.000%, 9/01/2028		581,740

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Tennessee — 5.1%
$	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	$	567,570
	615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023		690,147

				1,257,717

		Texas — 3.4%
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		382,501
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		452,000

				834,501

		Utah — 1.1%
	250,000	Utah State Transit Authority Sales Tax Revenue, Prerefunded 6/15/2022@100, 5.000%, 6/15/2024		278,950

		Washington — 6.8%
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		563,510
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		548,740
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		566,225

				1,678,475

		Wisconsin — 1.0%
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		252,535

		Total Bonds and Notes (Identified Cost $21,344,745)		21,848,196


Shares
	Exchange-Traded Funds — 3.3%
	10,000	SPDR^® Nuveen S&P High Yield Municipal Bond ETF		564,800
	10,000	VanEck Vectors^® Short High-Yield Municipal Index ETF		245,017

		Total Exchange-Traded Funds (Identified Cost $811,629)		809,817


Principal Amount
	Short-Term Investments — 4.0%
$	1,000,100	Northern Institutional Municipal Portfolio (Identified Cost $1,000,000)		1,000,000


		Total Investments — 95.2% (Identified Cost $23,156,374)		23,658,013
		Other assets less liabilities — 4.8%		1,189,353

		Net Assets — 100.0%	$	24,847,366

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)



	(†)			See Note 2 of Notes to Financial Statements.
	(a)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(b)			Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of June 30, 2018 is disclosed.

	AGM			Assured Guaranty Municipal Corporation
	AMT			Alternative Minimum Tax
	ETF			Exchange-Traded Fund
	GO			General Obligation
	SPDR			Standard & Poor’s Depositary Receipt

Holdings Summary at June 30, 2018 (Unaudited)


Medical	19.1	%
Water	12.7
General Obligation	12.0
Higher Education	10.2
General	8.4
Airport	8.4
School District	5.9
Transportation	5.2
Exchange-Traded Funds	3.3
Power	3.2
Utilities	2.8
Short-Term Investments	4.0

Total Investments	95.2
Other assets less liabilities	4.8

Net Assets	100.0	%

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 96.4% of Net Assets
		Air Freight & Logistics — 1.3%
	19,080	FedEx Corp.	$	4,332,305

		Airlines — 1.5%
	130,200	American Airlines Group, Inc.		4,942,392

		Auto Components — 1.2%
	37,200	Aptiv PLC		3,408,636
	11,466	Delphi Technologies PLC		521,244

				3,929,880

		Automobiles — 3.9%
	450,000	Fiat Chrysler Automobiles NV		8,500,500
	116,000	General Motors Co.		4,570,400

				13,070,900

		Banks — 7.8%
	295,900	Bank of America Corp.		8,341,421
	157,800	Citigroup, Inc.		10,559,976
	131,145	Wells Fargo & Co.		7,270,679

				26,172,076

		Beverages — 2.2%
	50,550	Diageo PLC, Sponsored ADR		7,279,706

		Biotechnology — 1.9%
	18,490	Regeneron Pharmaceuticals, Inc.(a)		6,378,865

		Capital Markets — 6.6%
	107,000	Bank of New York Mellon Corp. (The)		5,770,510
	18,675	Goldman Sachs Group, Inc. (The)		4,119,145
	28,910	Moody’s Corp.		4,930,889
	79,500	State Street Corp.		7,400,655

				22,221,199

		Consumer Finance — 4.5%
	286,000	Ally Financial, Inc.		7,513,220
	83,965	Capital One Financial Corp.		7,716,383

				15,229,603

		Electronic Equipment, Instruments & Components — 3.1%
	202,800	Flex Ltd.(a)		2,861,508
	83,500	TE Connectivity Ltd.		7,520,010

				10,381,518

		Energy Equipment & Services — 1.3%
	100,800	National Oilwell Varco, Inc.		4,374,720

		Food Products — 1.9%
	82,090	Nestle S.A., Sponsored ADR		6,356,229

		Health Care Equipment & Supplies — 3.3%
	89,800	Baxter International, Inc.		6,630,832
	53,930	Medtronic PLC		4,616,947

				11,247,779

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Health Care Providers & Services — 6.2%
	120,100	CVS Health Corp.	$	7,728,435
	73,200	HCA Healthcare, Inc.		7,510,320
	22,620	UnitedHealth Group, Inc.		5,549,591

				20,788,346

		Hotels, Restaurants & Leisure — 1.9%
	21,800	Hilton Worldwide Holdings, Inc.		1,725,688
	159,400	MGM Resorts International		4,627,382

				6,353,070

		Industrial Conglomerates — 1.9%
	481,800	General Electric Co.		6,557,298

		Insurance — 3.8%
	161,145	American International Group, Inc.		8,543,908
	31,875	Aon PLC		4,372,294

				12,916,202

		Internet & Direct Marketing Retail — 4.9%
	1,870	Booking Holdings, Inc.(a)		3,790,658
	21,535	Netflix, Inc.(a)		8,429,445
	199,200	Qurate Retail, Inc., Class A(a)		4,227,024

				16,447,127

		Internet Software & Services — 4.9%
	11,025	Alphabet, Inc., Class A(a)		12,449,320
	20,245	Facebook, Inc., Class A(a)		3,934,008

				16,383,328

		IT Services — 7.8%
	56,235	Automatic Data Processing, Inc.		7,543,363
	27,120	Gartner, Inc.(a)		3,604,248
	38,365	MasterCard, Inc., Class A		7,539,490
	58,205	Visa, Inc., Class A		7,709,252

				26,396,353

		Machinery — 3.5%
	14,485	Caterpillar, Inc.		1,965,180
	25,470	Cummins, Inc.		3,387,510
	41,355	Parker Hannifin Corp.		6,445,177

				11,797,867

		Media — 4.9%
	20,305	Charter Communications, Inc., Class A(a)		5,953,629
	193,800	Comcast Corp., Class A		6,358,578
	262,800	News Corp., Class A		4,073,400

				16,385,607

		Oil, Gas & Consumable Fuels — 4.6%
	94,900	Anadarko Petroleum Corp.		6,951,425
	144,900	Apache Corp.		6,774,075
	337,500	Chesapeake Energy Corp.(a)		1,768,500

				15,494,000

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Personal Products — 2.0%
	120,975	Unilever PLC, Sponsored ADR	$	6,687,498

		Pharmaceuticals — 1.8%
	108,100	Bristol-Myers Squibb Co.		5,982,254

		Semiconductors & Semiconductor Equipment — 3.2%
	114,300	Intel Corp.		5,681,853
	46,100	Texas Instruments, Inc.		5,082,525

				10,764,378

		Software — 1.9%
	148,200	Oracle Corp.		6,529,692

		Technology Hardware, Storage & Peripherals — 2.6%
	47,125	Apple, Inc.		8,723,309

		Total Common Stocks (Identified Cost $258,120,733)		324,123,501


Principal Amount
	Short-Term Investments — 4.3%
$	14,319,581	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $14,320,894 on 7/02/2018 collateralized by $15,025,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $14,608,267 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $14,319,581)		14,319,581


		Total Investments — 100.7% (Identified Cost $272,440,314)		338,443,082
		Other assets less liabilities — (0.7)%		(2,219,728	)

		Net Assets — 100.0%	$	336,223,354


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	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.

27 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark Fund – (continued)

Industry Summary at June 30, 2018 (Unaudited)


IT Services	7.8	%
Banks	7.8
Capital Markets	6.6
Health Care Providers & Services	6.2
Internet & Direct Marketing Retail	4.9
Media	4.9
Internet Software & Services	4.9
Oil, Gas & Consumable Fuels	4.6
Consumer Finance	4.5
Automobiles	3.9
Insurance	3.8
Machinery	3.5
Health Care Equipment & Supplies	3.3
Semiconductors & Semiconductor Equipment	3.2
Electronic Equipment, Instruments & Components	3.1
Technology Hardware, Storage & Peripherals	2.6
Beverages	2.2
Personal Products	2.0
Other Investments, less than 2% each	16.6
Short-Term Investments	4.3

Total Investments	100.7
Other assets less liabilities	(0.7	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 97.2% of Net Assets
		Australia — 2.4%
	3,905,777	AMP Ltd.	$	10,272,980
	1,202,954	Orica Ltd.		15,792,894

				26,065,874

		Canada — 0.7%
	77,300	Alimentation Couche-Tard, Inc., Class B		3,358,006
	474,100	Cenovus Energy, Inc.		4,922,577

				8,280,583

		China — 0.6%
	28,170	Baidu, Inc., Sponsored ADR(a)		6,845,310

		France — 12.2%
	846,900	BNP Paribas S.A.(b)		52,386,594
	455,395	Bureau Veritas S.A.		12,139,579
	161,251	Danone		11,773,335
	27,940	Pernod-Ricard S.A.		4,559,943
	374,604	Publicis Groupe S.A.		25,706,253
	52,400	Safran S.A.		6,345,894
	25,100	Sanofi		2,014,513
	358,900	Valeo S.A.		19,568,511

				134,494,622

		Germany — 17.2%
	215,400	Allianz SE, (Registered)		44,384,158
	253,630	Bayer AG, (Registered)		27,854,537
	467,800	Bayerische Motoren Werke AG		42,285,571
	113,350	Continental AG		25,795,935
	771,700	Daimler AG, (Registered)		49,432,870

				189,753,071

		India — 1.5%
	2,169,300	Axis Bank Ltd.		16,195,751

		Indonesia — 1.3%
	29,599,800	Bank Mandiri Persero Tbk PT		14,161,367

		Ireland — 0.7%
	67,502	Ryanair Holdings PLC, Sponsored ADR(a)		7,710,753

		Italy — 3.9%
	14,782,200	Intesa Sanpaolo SpA		42,768,880
	14,782,200	Intesa Sanpaolo SpA, Rights(a)		—

				42,768,880

		Japan — 4.2%
	418,500	Olympus Corp.		15,655,086
	469,900	Toyota Motor Corp.		30,387,952

				46,043,038

		Korea — 0.2%
	52,500	Samsung Electronics Co. Ltd.		2,199,202

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark International Fund – (continued)


Shares		Description	Value (†)
		Mexico — 1.4%
	796,100	Grupo Televisa SAB, Sponsored ADR	$	15,086,095

		Netherlands — 3.8%
	44,431	Akzo Nobel NV		3,789,620
	41,130	ASML Holding NV		8,139,000
	386,482	EXOR NV		25,862,316
	105,139	Koninklijke Philips NV		4,454,523

				42,245,459

		South Africa — 2.8%
	122,345	Naspers Ltd., N Shares		30,848,531

		Sweden — 5.4%
	2,531,400	Hennes & Mauritz AB, B Shares		37,680,008
	705,300	SKF AB, B Shares		13,056,708
	571,800	Volvo AB, B Shares		9,087,684

				59,824,400

		Switzerland — 13.4%
	196,500	Cie Financiere Richemont S.A., (Registered)		16,611,018
	2,902,836	Credit Suisse Group AG, (Registered)(b)		43,406,292
	6,790,100	Glencore PLC(b)		32,237,963
	60,550	Kuehne & Nagel International AG		9,089,853
	569,095	LafargeHolcim Ltd., (Registered)		27,670,688
	239,000	Nestle S.A., (Registered)		18,522,692
	1,205	Swatch Group AG (The)		570,425

				148,108,931

		Taiwan — 1.2%
	1,912,000	Taiwan Semiconductor Manufacturing Co. Ltd.		13,577,253

		United Kingdom — 22.3%
	397,539	Ashtead Group PLC		11,838,446
	2,962,200	CNH Industrial NV		31,291,147
	309,000	Diageo PLC		11,101,105
	356,331	Experian PLC		8,790,191
	26,268	Ferguson PLC		2,125,285
	2,568,000	G4S PLC		9,045,590
	360,800	Liberty Global PLC, Class A(a)		9,936,432
	687,800	Liberty Global PLC, Series C(a)		18,302,358
	59,963,700	Lloyds Banking Group PLC		49,752,875
	1,165,704	Meggitt PLC		7,564,482
	67,500	Reckitt Benckiser Group PLC		5,546,126
	6,452,100	Royal Bank of Scotland Group PLC(a)		21,721,208
	619,989	Schroders PLC		25,727,557
	100	Schroders PLC, (Non Voting)		3,262
	481,200	Smiths Group PLC		10,748,781
	1,444,500	WPP PLC		22,695,368

				246,190,213

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark International Fund – (continued)


Shares		Description	Value (†)
		United States — 2.0%
	146,192	Willis Towers Watson PLC	$	22,162,707

		Total Common Stocks (Identified Cost $1,082,384,081)		1,072,562,040


Principal Amount
	Short-Term Investments — 2.6%
$	28,099,544	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $28,102,119 on 7/02/2018 collateralized by $30,670,000 U.S. Treasury Note, 1.250% due 7/31/2023 valued at $28,661,544 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $28,099,544)		28,099,544


		Total Investments — 99.8% (Identified Cost $1,110,483,625)		1,100,661,584
		Other assets less liabilities — 0.2%		2,345,339

		Net Assets — 100.0%	$	1,103,006,923


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	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.

	CHF	Swiss Franc

At June 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
State Street Bank and Trust Company		9/19/2018	CHF S		23,936,000	$	25,481,043	$	24,332,246	$	1,148,797

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Natixis Oakmark International Fund – (continued)

Industry Summary at June 30, 2018 (Unaudited)


Banks	17.9	%
Media	11.1
Automobiles	11.1
Capital Markets	6.2
Insurance	6.0
Machinery	4.8
Auto Components	4.2
Specialty Retail	3.4
Diversified Financial Services	3.3
Metals & Mining	2.9
Food Products	2.8
Pharmaceuticals	2.7
Construction Materials	2.5
Other Investments, less than 2% each	18.3
Short-Term Investments	2.6

Total Investments	99.8
Other assets less liabilities (including forward foreign currency contracts)	0.2

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2018 (Unaudited)


Euro	39.9	%
British Pound	19.8
Swiss Franc	10.5
United States Dollar	9.9
Swedish Krona	5.4
Japanese Yen	4.2
South African Rand	2.8
Australian Dollar	2.4
Other, less than 2% each	4.9

Total Investments	99.8
Other assets less liabilities (including forward foreign currency contracts)	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 93.2% of Net Assets
		Aerospace & Defense — 2.3%
	70,250	AAR Corp.	$	3,265,923
	12,300	Maxar Technologies Ltd.		621,396
	21,175	Moog, Inc., Class A		1,650,803

				5,538,122

		Auto Components — 1.3%
	23,500	Cooper-Standard Holdings, Inc.(a)		3,070,745

		Banks — 16.3%
	93,875	Chemical Financial Corp.		5,226,021
	59,600	Enterprise Financial Services Corp.		3,215,420
	176,475	First Financial Bancorp		5,408,958
	114,875	First Merchants Corp.		5,330,200
	165,925	Investors Bancorp, Inc.		2,122,181
	54,325	Lakeland Financial Corp.		2,617,922
	106,425	Pacific Premier Bancorp, Inc.(a)		4,060,114
	18,775	Prosperity Bancshares, Inc.		1,283,459
	119,150	Union Bankshares Corp.		4,632,552
	155,225	United Community Banks, Inc.		4,760,751

				38,657,578

		Building Products — 2.4%
	25,875	American Woodmark Corp.(a)		2,368,856
	45,575	Masonite International Corp.(a)		3,274,564

				5,643,420

		Capital Markets — 1.9%
	67,250	LPL Financial Holdings, Inc.		4,407,565

		Chemicals — 1.1%
	165,750	Venator Materials PLC(a)		2,711,670

		Commercial Services & Supplies — 6.6%
	56,875	ABM Industries, Inc.		1,659,612
	63,700	Brink’s Co. (The)		5,080,075
	42,025	Casella Waste Systems, Inc., Class A(a)		1,076,260
	66,075	KAR Auction Services, Inc.		3,620,910
	62,875	Multi-Color Corp.		4,064,869

				15,501,726

		Construction Materials — 0.8%
	68,415	Summit Materials, Inc., Class A(a)		1,795,894

		Consumer Finance — 0.7%
	18,100	FirstCash, Inc.		1,626,285

		Containers & Packaging — 3.9%
	101,225	Berry Global Group, Inc.(a)		4,650,277
	308,375	Graphic Packaging Holding Co.		4,474,521

				9,124,798

		Electrical Equipment — 0.6%
	78,325	GrafTech International Ltd.		1,409,067

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Electronic Equipment, Instruments & Components — 2.5%
	73,805	Fabrinet(a)	$	2,722,666
	6,800	Littelfuse, Inc.		1,551,624
	10,675	Zebra Technologies Corp., Class A(a)		1,529,194

				5,803,484

		Energy Equipment & Services — 2.4%
	110,975	Forum Energy Technologies, Inc.(a)		1,370,541
	126,300	Newpark Resources, Inc.(a)		1,370,355
	86,375	ProPetro Holding Corp.(a)		1,354,360
	65,475	Unit Corp.(a)		1,673,541

				5,768,797

		Gas Utilities — 3.3%
	51,725	Southwest Gas Holdings, Inc.		3,945,066
	53,700	Spire, Inc.		3,793,905

				7,738,971

		Health Care Equipment & Supplies — 3.5%
	22,275	Integra LifeSciences Holdings Corp.(a)		1,434,733
	92,200	Lantheus Holdings, Inc.(a)		1,341,510
	41,100	LivaNova PLC(a)		4,102,602
	28,225	NuVasive, Inc.(a)		1,471,087

				8,349,932

		Health Care Providers & Services — 0.5%
	18,875	AMN Healthcare Services, Inc.(a)		1,106,075

		Health Care Technology — 1.5%
	83,200	Cotiviti Holdings, Inc.(a)		3,671,616

		Hotels, Restaurants & Leisure — 2.7%
	52,425	Dunkin’ Brands Group, Inc.		3,620,995
	70,000	Eldorado Resorts, Inc.(a)		2,737,000

				6,357,995

		Insurance — 3.4%
	180,525	Brown & Brown, Inc.		5,005,958
	60,075	First American Financial Corp.		3,107,079

				8,113,037

		Internet Software & Services — 1.9%
	114,100	Cision Ltd.(a)		1,705,795
	26,350	LogMeIn, Inc.		2,720,638

				4,426,433

		IT Services — 4.7%
	93,900	Booz Allen Hamilton Holding Corp.		4,106,247
	20,825	CACI International, Inc., Class A(a)		3,510,053
	83,025	Perspecta, Inc.		1,706,164
	146,100	Presidio, Inc.(a)		1,913,910

				11,236,374

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Life Sciences Tools & Services — 1.0%
	26,675	PRA Health Sciences, Inc.(a)	$	2,490,378

		Machinery — 3.6%
	29,750	Albany International Corp., Class A		1,789,463
	57,350	Franklin Electric Co., Inc.		2,586,485
	45,750	Hillenbrand, Inc.		2,157,112
	113,850	REV Group, Inc.		1,936,588

				8,469,648

		Media — 3.2%
	48,400	Nexstar Media Group, Inc., Class A		3,552,560
	184,125	TEGNA, Inc.		1,997,756
	207,800	WideOpenWest, Inc.(a)		2,007,348

				7,557,664

		Metals & Mining — 1.2%
	32,950	Reliance Steel & Aluminum Co.		2,884,443

		Oil, Gas & Consumable Fuels — 2.5%
	129,450	Callon Petroleum Co.(a)		1,390,293
	196,150	Kosmos Energy Ltd.(a)		1,622,160
	111,650	Oasis Petroleum, Inc.(a)		1,448,100
	125,025	SRC Energy, Inc.(a)		1,377,776

				5,838,329

		REITs – Diversified — 1.6%
	154,975	CoreCivic, Inc.		3,702,353

		REITs – Mortgage — 1.4%
	214,425	Two Harbors Investment Corp.		3,387,915

		REITs – Office Property — 0.8%
	111,700	Brandywine Realty Trust		1,885,496

		REITs – Storage — 1.3%
	97,325	National Storage Affiliates Trust		2,999,557

		Road & Rail — 2.0%
	58,075	Genesee & Wyoming, Inc., Class A(a)		4,722,659

		Semiconductors & Semiconductor Equipment — 3.7%
	120,125	Integrated Device Technology, Inc.(a)		3,829,585
	163,875	MaxLinear, Inc., Class A(a)		2,554,811
	23,875	Silicon Laboratories, Inc.(a)		2,377,950

				8,762,346

		Software — 1.4%
	51,700	CyberArk Software Ltd.(a)		3,255,032

		Specialty Retail — 0.7%
	40,925	Aaron’s, Inc.		1,778,191

		Textiles, Apparel & Luxury Goods — 2.1%
	31,400	Carter’s, Inc.		3,403,446
	44,700	Wolverine World Wide, Inc.		1,554,219

				4,957,665

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Thrifts & Mortgage Finance — 1.4%
	305,225	MGIC Investment Corp.(a)	$	3,272,012

		Trading Companies & Distributors — 1.0%
	125,775	Nexeo Solutions, Inc.(a)		1,148,326
	29,425	Veritiv Corp.(a)		1,172,586

				2,320,912

		Total Common Stocks (Identified Cost $199,047,205)		220,344,184


	Exchange-Traded Funds — 4.9%
	88,475	iShares^® Russell 2000 Value Index ETF (Identified Cost $10,873,361)		11,671,622


	Closed-End Investment Companies — 1.1%
	182,925	TCP Capital Corp. (Identified Cost $2,986,751)		2,643,266


Principal Amount
	Short-Term Investments — 1.2%
$	2,769,396	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $2,769,650 on 7/02/2018 collateralized by $2,910,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $2,829,288 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,769,396)		2,769,396


		Total Investments — 100.4% (Identified Cost $215,676,713)		237,428,468
		Other assets less liabilities — (0.4)%		(985,959	)

		Net Assets — 100.0%	$	236,442,509


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	ETF	Exchange-Traded Fund
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at June 30, 2018 (Unaudited)


Banks	16.3	%
Commercial Services & Supplies	6.6
Exchange-Traded Funds	4.9
IT Services	4.7
Containers & Packaging	3.9
Semiconductors & Semiconductor Equipment	3.7
Machinery	3.6
Health Care Equipment & Supplies	3.5
Insurance	3.4
Gas Utilities	3.3
Media	3.2
Hotels, Restaurants & Leisure	2.7
Oil, Gas & Consumable Fuels	2.5
Electronic Equipment, Instruments & Components	2.5
Energy Equipment & Services	2.4
Building Products	2.4
Aerospace & Defense	2.3
Textiles, Apparel & Luxury Goods	2.1
Road & Rail	2.0
Other Investments, less than 2% each	23.2
Short-Term Investments	1.2

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks — 94.3% of Net Assets
		Banks — 6.1%
	617,175	Bank of NT Butterfield & Son Ltd. (The)	$	28,217,241
	272,950	Chemical Financial Corp.		15,195,126
	280,775	PacWest Bancorp		13,875,901

				57,288,268

		Building Products — 1.1%
	147,775	Masonite International Corp.(a)		10,617,634

		Capital Markets — 2.9%
	160,825	Nasdaq, Inc.		14,678,498
	207,750	SEI Investments Co.		12,988,530

				27,667,028

		Chemicals — 2.7%
	177,325	FMC Corp.		15,819,163
	221,650	PolyOne Corp.		9,579,713

				25,398,876

		Commercial Services & Supplies — 2.9%
	122,700	Brink’s Co. (The)		9,785,325
	319,025	KAR Auction Services, Inc.		17,482,570

				27,267,895

		Communications Equipment — 0.9%
	295,550	CommScope Holding Co., Inc.(a)		8,631,538

		Consumer Finance — 1.7%
	488,525	Synchrony Financial		16,306,965

		Containers & Packaging — 4.0%
	91,275	Avery Dennison Corp.		9,319,177
	485,925	Crown Holdings, Inc.(a)		21,750,003
	59,100	Packaging Corp. of America		6,606,789

				37,675,969

		Diversified Consumer Services — 2.6%
	916,200	Laureate Education, Inc., Class A(a)		13,129,146
	186,900	ServiceMaster Global Holdings, Inc.(a)		11,114,943

				24,244,089

		Electric Utilities — 1.8%
	290,325	Eversource Energy		17,015,948

		Electrical Equipment — 1.3%
	66,075	Hubbell, Inc.		6,986,771
	199,050	nVent Electric PLC(a)		4,996,155

				11,982,926

		Electronic Equipment, Instruments & Components — 1.1%
	180,800	Keysight Technologies, Inc.(a)		10,672,624

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Energy Equipment & Services — 1.8%
	217,325	Baker Hughes, a GE Co.	$	7,178,245
	798,850	Forum Energy Technologies, Inc.(a)		9,865,797

				17,044,042

		Health Care Providers & Services — 2.4%
	184,275	Centene Corp.(a)		22,704,523

		Hotels, Restaurants & Leisure — 5.0%
	330,325	Aramark		12,255,057
	746,700	Extended Stay America, Inc.		16,136,187
	266,875	Six Flags Entertainment Corp.		18,694,594

				47,085,838

		Household Durables — 2.4%
	61,725	Mohawk Industries, Inc.(a)		13,225,816
	355,810	Newell Brands, Inc.		9,176,340

				22,402,156

		Independent Power & Renewable Electricity Producers — 3.9%
	977,925	Atlantica Yield PLC		19,734,526
	697,150	Vistra Energy Corp.(a)		16,494,569

				36,229,095

		Insurance — 6.8%
	205,150	Arthur J. Gallagher & Co.		13,392,192
	284,250	Athene Holding Ltd., Class A(a)		12,461,520
	246,875	First American Financial Corp.		12,768,375
	200,800	Hartford Financial Services Group, Inc. (The)		10,266,904
	110,400	Reinsurance Group of America, Inc.		14,736,192

				63,625,183

		Internet Software & Services — 1.0%
	88,675	LogMeIn, Inc.		9,155,694

		IT Services — 8.3%
	41,725	Alliance Data Systems Corp.		9,730,270
	117,350	CACI International, Inc., Class A(a)		19,779,342
	197,325	Fidelity National Information Services, Inc.		20,922,370
	118,225	Fiserv, Inc.(a)		8,759,290
	165,150	Global Payments, Inc.		18,412,574

				77,603,846

		Life Sciences Tools & Services — 1.4%
	129,737	IQVIA Holdings, Inc.(a)		12,950,347

		Machinery — 4.9%
	109,525	Middleby Corp. (The)(a)		11,436,600
	351,175	Milacron Holdings Corp.(a)		6,647,743
	173,850	Oshkosh Corp.		12,225,132
	199,050	Pentair PLC		8,376,024
	161,675	Timken Co. (The)		7,040,946

				45,726,445

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Media — 2.0%
	255,575	Nexstar Media Group, Inc., Class A	$	18,759,205

		Metals & Mining — 1.7%
	1,082,225	Constellium NV, Class A(a)		11,146,917
	51,275	Reliance Steel & Aluminum Co.		4,488,614

				15,635,531

		Multi-Utilities — 5.4%
	278,175	Ameren Corp.		16,926,949
	359,000	CMS Energy Corp.		16,973,520
	261,650	WEC Energy Group, Inc.		16,915,672

				50,816,141

		Oil, Gas & Consumable Fuels — 6.8%
	302,500	Continental Resources, Inc.(a)		19,589,900
	1,315,200	QEP Resources, Inc.(a)		16,124,352
	1,562,075	WPX Energy, Inc.(a)		28,164,212

				63,878,464

		REITs – Diversified — 2.5%
	1,369,100	New Residential Investment Corp.		23,945,559

		REITs – Warehouse/Industrials — 1.5%
	250,350	CyrusOne, Inc.		14,610,426

		Semiconductors & Semiconductor Equipment — 1.4%
	134,700	Analog Devices, Inc.		12,920,424

		Software — 1.9%
	118,225	Check Point Software Technologies Ltd.(a)		11,548,218
	87,800	RingCentral, Inc., Class A(a)		6,176,730

				17,724,948

		Specialty Retail — 0.7%
	112,125	Signet Jewelers Ltd.		6,250,969

		Textiles, Apparel & Luxury Goods — 2.1%
	328,575	Gildan Activewear, Inc.		9,252,672
	73,025	PVH Corp.		10,933,303

				20,185,975

		Thrifts & Mortgage Finance — 1.3%
	112,125	Essent Group Ltd.(a)		4,016,318
	354,650	MGIC Investment Corp.(a)		3,801,848
	259,050	Radian Group, Inc.		4,201,791

				12,019,957

		Total Common Stocks (Identified Cost $787,978,490)		886,044,528


	Closed-End Investment Companies — 2.4%
	1,378,650	Ares Capital Corp. (Identified Cost $20,978,349)		22,678,793

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 3.3%
$	31,329,802	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2018 at 1.100% to be repurchased at $31,332,674 on 7/02/2018 collateralized by $31,855,000 U.S. Treasury Note, 2.750% due 11/15/2023 valued at $31,957,095 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $31,329,802)	$	31,329,802


		Total Investments — 100.0% (Identified Cost $840,286,641)		940,053,123
		Other assets less liabilities — (0.0)%		(392,071	)

		Net Assets — 100.0%	$	939,661,052


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2018 (Unaudited)


IT Services		8.3	%
Oil, Gas & Consumable Fuels		6.8
Insurance		6.8
Banks		6.1
Multi-Utilities		5.4
Hotels, Restaurants & Leisure		5.0
Machinery		4.9
Containers & Packaging		4.0
Independent Power & Renewable Electricity Producers		3.9
Capital Markets		2.9
Commercial Services & Supplies		2.9
Chemicals		2.7
Diversified Consumer Services		2.6
REITs - Diversified		2.5
Health Care Providers & Services		2.4
Closed-End Investment Companies		2.4
Household Durables		2.4
Textiles, Apparel & Luxury Goods	��	2.1
Media		2.0
Other Investments, less than 2% each		20.6
Short-Term Investments		3.3

Total Investments		100.0
Other assets less liabilities		(0.0	)

Net Assets		100.0	%

See accompanying notes to financial statements.

41 |

This Page Intentionally Left Blank

| 42

Statements of Assets and Liabilities

June 30, 2018 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
ASSETS
Investments at cost	$	23,156,374		$	272,440,314		$	1,110,483,625
Net unrealized appreciation (depreciation)		501,639			66,002,768			(9,822,041	)

Investments at value		23,658,013			338,443,082			1,100,661,584
Cash		990,650			—			—
Foreign currency at value (identified cost $0, $0 and $692,657, respectively)		—			—			692,667
Receivable for Fund shares sold		16,855			688,258			1,249,175
Receivable from investment adviser (Note 6)		6,417			—			—
Receivable for securities sold		—			—			4,056,524
Dividends and interest receivable		294,874			157,102			2,325,560
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			1,148,797
Tax reclaims receivable		—			120,210			1,974,630
Prepaid expenses (Note 8)		38			351			1,375

TOTAL ASSETS		24,966,847			339,409,003			1,112,110,312

LIABILITIES
Payable for securities purchased		—			1,826,031			6,103,732
Payable for Fund shares redeemed		7,522			600,710			1,816,230
Distributions payable		26,402			—			—
Management fees payable (Note 6)		—			189,893			801,956
Deferred Trustees’ fees (Note 6)		45,753			497,350			84,855
Administrative fees payable (Note 6)		890			12,208			42,353
Payable to distributor (Note 6d)		144			1,578			10,560
Other accounts payable and accrued expenses		38,770			57,879			243,703

TOTAL LIABILITIES		119,481			3,185,649			9,103,389

NET ASSETS	$	24,847,366		$	336,223,354		$	1,103,006,923

NET ASSETS CONSIST OF:
Paid-in capital	$	25,096,209		$	254,647,015		$	1,111,683,607
Accumulated net investment loss/Undistributed (Distributions in excess of) net investment income		(45,348	)		(109,920	)		17,047,068
Accumulated net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		(705,134	)		15,683,491			(17,029,417	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		501,639			66,002,768			(8,694,335	)

NET ASSETS	$	24,847,366		$	336,223,354		$	1,103,006,923

See accompanying notes to financial statements.

43 |

Statements of Assets and Liabilities (continued)

June 30, 2018 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund		Natixis Oakmark Fund			Natixis Oakmark International Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	7,017,581	$	217,597,335		$	485,456,871

Shares of beneficial interest		704,824		8,877,895			33,796,661

Net asset value and redemption price per share	$	9.96	$	24.51		$	14.36

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.27	$	26.01		$	15.24

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,846,406	$	62,613,756		$	341,964,643

Shares of beneficial interest		185,389		2,944,387			24,327,420

Net asset value and offering price per share	$	9.96	$	21.27		$	14.06

Class N shares:
Net assets	$	—	$	1,169		$	339,085

Shares of beneficial interest		—		45			23,569

Net asset value, offering and redemption price per share	$	—	$	25.77	*	$	14.39

Class Y shares:
Net assets	$	15,983,379	$	56,011,094		$	275,246,324

Shares of beneficial interest		1,603,053		2,176,540			19,157,648

Net asset value, offering and redemption price per share	$	9.97	$	25.73		$	14.37

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

See accompanying notes to financial statements.

| 44

Statements of Assets and Liabilities (continued)

June 30, 2018 (Unaudited)


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	215,676,713		$	840,286,641
Net unrealized appreciation		21,751,755			99,766,482

Investments at value		237,428,468			940,053,123
Receivable for Fund shares sold		40,540			508,361
Receivable for securities sold		164,723			—
Dividends and interest receivable		298,144			1,081,037
Prepaid expenses (Note 8)		271			1,074

TOTAL ASSETS		237,932,146			941,643,595

LIABILITIES
Payable for securities purchased		677,641			—
Payable for Fund shares redeemed		362,297			1,078,292
Management fees payable (Note 6)		180,033			632,403
Deferred Trustees’ fees (Note 6)		198,776			128,215
Administrative fees payable (Note 6)		8,624			35,574
Payable to distributor (Note 6d)		1,683			9,091
Other accounts payable and accrued expenses		60,583			98,968

TOTAL LIABILITIES		1,489,637			1,982,543

NET ASSETS	$	236,442,509		$	939,661,052

NET ASSETS CONSIST OF:
Paid-in capital	$	198,015,098		$	818,422,354
Undistributed (Distributions in excess of) net investment income		(31,163	)		3,827,102
Accumulated net realized gain on investments		16,706,819			17,645,114
Net unrealized appreciation on investments		21,751,755			99,766,482

NET ASSETS	$	236,442,509		$	939,661,052

See accompanying notes to financial statements.

45 |

Statements of Assets and Liabilities (continued)

June 30, 2018 (Unaudited)


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	89,337,915		$	61,211,792

Shares of beneficial interest		4,856,820			2,755,805

Net asset value and redemption price per share	$	18.39		$	22.21

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	19.51		$	23.56

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	6,293,557		$	35,746,038

Shares of beneficial interest		561,122			1,702,894

Net asset value and offering price per share	$	11.22		$	20.99

Class N shares:
Net assets	$	1,089		$	96,543,611

Shares of beneficial interest		57			4,295,865

Net asset value, offering and redemption price per share	$	19.10	*	$	22.47

Class Y shares:
Net assets	$	140,809,948		$	746,159,611

Shares of beneficial interest		7,378,774			33,185,879

Net asset value, offering and redemption price per share	$	19.08		$	22.48

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

See accompanying notes to financial statements.

| 46

Statements of Operations

For the Six Months Ended June 30, 2018 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	8,662		$	2,377,977		$	29,683,242
Interest		443,912			62,257			168,311
Less net foreign taxes withheld		—			(27,145	)		(3,242,763	)

		452,574			2,413,089			26,608,790

Expenses
Management fees (Note 6)		62,864			1,100,295			5,062,302
Service and distribution fees (Note 6)		19,090			579,440			2,611,177
Administrative fees (Note 6)		6,973			71,733			264,284
Trustees’ fees and expenses (Note 6)		9,529			20,600			25,197
Transfer agent fees and expenses (Notes 6 and 7)		7,723			129,768			511,699
Audit and tax services fees		25,830			20,114			20,794
Custodian fees and expenses		2,590			7,182			172,491
Legal fees		466			3,350			12,001
Registration fees		25,374			51,842			86,614
Shareholder reporting expenses		2,971			14,985			46,198
Miscellaneous expenses (Note 8)		6,240			10,786			29,386

Total expenses		169,650			2,010,095			8,842,143
Less waiver and/or expense reimbursement (Note 6)		(79,838	)		(76	)		(34	)

Net expenses		89,812			2,010,019			8,842,109

Net investment income		362,762			403,070			17,766,681

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(43,872	)		16,153,577			51,867,918
Forward foreign currency contracts (Note 2d)		—			—			141,068
Foreign currency transactions (Note 2c)		—			—			(230,095	)
Net change in unrealized appreciation (depreciation) on:
Investments		(722,678	)		(13,833,594	)		(167,430,335	)
Forward foreign currency contracts (Note 2d)		—			—			809,998
Foreign currency translations (Note 2c)		—			—			(68,046	)

Net realized and unrealized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		(766,550	)		2,319,983			(114,909,492	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(403,788	)	$	2,723,053		$	(97,142,811	)

See accompanying notes to financial statements.

47 |

Statements of Operations (continued)

For the Six Months Ended June 30, 2018 (Unaudited)


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	1,782,471		$	8,907,258
Interest		25,104			69,955
Less net foreign taxes withheld		—			(423	)

		1,807,575			8,976,790

Expenses
Management fees (Note 6)		1,145,400			3,908,569
Service and distribution fees (Note 6)		178,885			289,254
Administrative fees (Note 6)		56,469			216,797
Trustees’ fees and expenses (Note 6)		16,030			22,748
Transfer agent fees and expenses (Notes 6 and 7)		98,409			428,042
Audit and tax services fees		20,131			20,608
Custodian fees and expenses		11,170			17,122
Legal fees		3,004			10,236
Registration fees		37,433			54,593
Shareholder reporting expenses		12,908			47,835
Miscellaneous expenses (Note 8)		12,468			28,757

Total expenses		1,592,307			5,044,561
Less waiver and/or expense reimbursement (Note 6)		(75	)		—

Net expenses		1,592,232			5,044,561

Net investment income		215,343			3,932,229

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		18,039,471			26,712,126
Net change in unrealized appreciation (depreciation) on:
Investments		(14,945,251	)		(33,966,161	)

Net realized and unrealized gain (loss) on investments		3,094,220			(7,254,035	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	3,309,563		$	(3,321,806	)

See accompanying notes to financial statements.

| 48

Statements of Changes in Net Assets


	McDonnell Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income	$	362,762		$	914,887
Net realized gain (loss) on investments		(43,872	)		97,698
Net change in unrealized appreciation (depreciation) on investments		(722,678	)		1,414,558

Net increase (decrease) in net assets resulting from operations		(403,788	)		2,427,143

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(79,149	)		(99,522	)
Class C		(16,645	)		(32,160	)
Class Y		(288,813	)		(783,205	)

Total distributions		(384,607	)		(914,887	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(11,722,921	)		(22,821,654	)

Net decrease in net assets		(12,511,316	)		(21,309,398	)
NET ASSETS
Beginning of the period		37,358,682			58,668,080

End of the period	$	24,847,366		$	37,358,682

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(45,348	)	$	(23,503	)

See accompanying notes to financial statements.

49 |

Statements of Changes in Net Assets (continued)


	Natixis Oakmark Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	403,070		$	989,926
Net realized gain on investments		16,153,577			13,670,587
Net change in unrealized appreciation (depreciation) on investments		(13,833,594	)		38,589,712

Net increase in net assets resulting from operations		2,723,053			53,250,225

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(769,107	)
Class C		—			(3,958	)
Class N		—			(7	)
Class Y		—			(287,219	)
Net realized capital gains
Class A		(3,451,898	)		(7,535,312	)
Class C		(1,228,753	)		(2,714,690	)
Class N		(19	)		(27	)
Class Y		(798,661	)		(1,614,232	)

Total distributions		(5,479,331	)		(12,924,552	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		22,959,982			20,495,702
		��
Net increase in net assets		20,203,704			60,821,375
NET ASSETS
Beginning of the period		316,019,650			255,198,275

End of the period	$	336,223,354		$	316,019,650

ACCUMULATED NET INVESTMENT LOSS/DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(109,920	)	$	(512,990	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

See accompanying notes to financial statements.

| 50

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	17,766,681		$	9,142,411
Net realized gain on investments, forward foreign currency contracts and foreign currency transactions		51,778,891			73,087,121
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(166,688,383	)		154,881,359

Net increase (decrease) in net assets resulting from operations		(97,142,811	)		237,110,891

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(6,211,826	)
Class C		—			(1,761,751	)
Class N		—			(15	)
Class Y		—			(2,269,896	)

Total distributions		—			(10,243,488	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		60,164,261			124,756,585

Net increase (decrease) in net assets		(36,978,550	)		351,623,988
NET ASSETS
Beginning of the period		1,139,985,473			788,361,485
	��
End of the period	$	1,103,006,923		$	1,139,985,473

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	17,047,068		$	(719,613	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N and Class Y shares.

See accompanying notes to financial statements.

51 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	215,343		$	264,100
Net realized gain on investments		18,039,471			29,836,014
Net change in unrealized appreciation (depreciation) on investments		(14,945,251	)		(11,434,967	)

Net increase in net assets resulting from operations		3,309,563			18,665,147

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(17,761	)		(8,822	)
Class C		(4,654	)		(1,998	)
Class N		(0	)(b)		(1	)
Class Y		(28,981	)		(93,925	)
Net realized capital gains
Class A		(2,499,613	)		(11,097,924	)
Class C		(654,980	)		(2,931,431	)
Class N		(30	)		(81	)
Class Y		(4,078,670	)		(20,768,158	)

Total distributions		(7,284,689	)		(34,902,340	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(46,030,427	)		(7,286,538	)

Net decrease in net assets		(50,005,553	)		(23,523,731	)
NET ASSETS
Beginning of the period		286,448,062			309,971,793

End of the period	$	236,442,509		$	286,448,062

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(31,163	)	$	(195,110	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

(b)	Amount rounds to less than $1.00.

See accompanying notes to financial statements.

| 52

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	3,932,229		$	10,626,323
Net realized gain on investments		26,712,126			64,998,167
Net change in unrealized appreciation (depreciation) on investments		(33,966,161	)		55,298,171

Net increase (decrease) in net assets resulting from operations		(3,321,806	)		130,922,661

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(533,727	)
Class N		—			(1,534,603	)
Class Y		—			(8,225,980	)
Net realized capital gains
Class A		(805,392	)		(1,090,532	)
Class C		(569,470	)		(814,625	)
Class N		(1,245,266	)		(2,128,036	)
Class Y		(9,764,359	)		(12,407,105	)

Total distributions		(12,384,487	)		(26,734,608	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(67,886,445	)		(289,302,758	)

Net decrease in net assets		(83,592,738	)		(185,114,705	)
NET ASSETS
Beginning of the period		1,023,253,790			1,208,368,495

End of the period	$	939,661,052		$	1,023,253,790

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	3,827,102		$	(105,127	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

See accompanying notes to financial statements.

53 |

Financial Highlights

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.17		$	9.89		$	10.09		$	10.00		$	9.54		$	9.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.19			0.12			0.13			0.11			0.09
Net realized and unrealized gain (loss)		(0.20	)		0.28			(0.20	)		0.10			0.47			(0.35	)

Total from Investment Operations		(0.09	)		0.47			(0.08	)		0.23			0.58			(0.26	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.19	)		(0.12	)		(0.14	)		(0.12	)		(0.09	)

Net asset value, end of the period	$	9.96		$	10.17		$	9.89		$	10.09		$	10.00		$	9.54

Total return(b)(c)		(0.93	)%(d)		4.77	%		(0.79	)%		2.28	%		6.08	%		(2.66	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	7,018		$	6,004		$	5,474		$	6,427		$	2,399		$	1,047
Net expenses(e)		0.70	%(f)		0.70	%		0.70	%		0.74	%(g)		0.80	%		0.80	%
Gross expenses		1.21	%(f)		1.10	%		0.88	%		1.12	%		1.26	%		1.37	%
Net investment income		2.20	%(f)		1.87	%		1.19	%		1.27	%		1.15	%		0.90	%
Portfolio turnover rate		52	%		34	%		48	%		20	%		10	%		37	%

(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)	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%.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.18		$	9.90		$	10.09		$	9.99		$	9.54		$	9.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.11			0.04			0.05			0.04			0.01
Net realized and unrealized gain (loss)		(0.21	)		0.28			(0.18	)		0.11			0.45			(0.34	)

Total from Investment Operations		(0.14	)		0.39			(0.14	)		0.16			0.49			(0.33	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.11	)		(0.05	)		(0.06	)		(0.04	)		(0.02	)

Net asset value, end of the period	$	9.96		$	10.18		$	9.90		$	10.09		$	9.99		$	9.54

Total return(b)(c)		(1.39	)%(d)		3.98	%		(1.44	)%		1.63	%		5.18	%		(3.35	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,846		$	2,395		$	4,015		$	6,355		$	2,223		$	55
Net expenses(e)		1.45	%(f)		1.45	%		1.45	%		1.49	%(g)		1.55	%		1.55	%
Gross expenses		1.96	%(f)		1.83	%		1.63	%		1.88	%		2.04	%		2.08	%
Net investment income		1.44	%(f)		1.10	%		0.44	%		0.52	%		0.41	%		0.14	%
Portfolio turnover rate		52	%		34	%		48	%		20	%		10	%		37	%

(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)	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%.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	10.19		$	9.90		$	10.10		$	10.00		$	9.54		$	9.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.21			0.15			0.15			0.14			0.11
Net realized and unrealized gain (loss)		(0.21	)		0.29			(0.20	)		0.11			0.46			(0.34	)

Total from Investment Operations		(0.09	)		0.50			(0.05	)		0.26			0.60			(0.23	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.21	)		(0.15	)		(0.16	)		(0.14	)		(0.11	)

Net asset value, end of the period	$	9.97		$	10.19		$	9.90		$	10.10		$	10.00		$	9.54

Total return(b)		(0.90	)%(c)		5.13	%		(0.55	)%		2.63	%		6.36	%		(2.31	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	15,983		$	28,960		$	49,179		$	66,713		$	28,314		$	21,704
Net expenses(d)		0.45	%(e)		0.45	%		0.45	%		0.49	%(f)		0.55	%		0.55	%
Gross expenses		0.96	%(e)		0.83	%		0.63	%		0.85	%		1.02	%		1.04	%
Net investment income		2.42	%(e)		2.09	%		1.44	%		1.48	%		1.46	%		1.13	%
Portfolio turnover rate		52	%		34	%		48	%		20	%		10	%		37	%

(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)	Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	24.72		$	21.37		$	18.79		$	20.43		$	21.40		$	16.09

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.11			0.16			0.14			0.10			0.06
Net realized and unrealized gain (loss)		0.17			4.28			3.20			(1.02	)		2.11			6.03

Total from Investment Operations		0.21			4.39			3.36			(0.88	)		2.21			6.09

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.10	)		(0.16	)		(0.13	)		(0.07	)		(0.07	)
Net realized capital gains		(0.42	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)

Total Distributions		(0.42	)		(1.04	)		(0.78	)		(0.76	)		(3.18	)		(0.78	)

Net asset value, end of the period	$	24.51		$	24.72		$	21.37		$	18.79		$	20.43		$	21.40

Total return(b)		0.87	%(c)		20.75	%		18.37	%		(4.41	)%		10.43	%		37.82	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	217,597		$	203,792		$	173,036		$	173,925		$	195,061		$	145,270
Net expenses		1.13	%(d)		1.18	%		1.18	%		1.14	%		1.22	%		1.30	%(e)
Gross expenses		1.13	%(d)		1.18	%		1.18	%		1.14	%		1.22	%		1.30	%(e)
Net investment income		0.36	%(d)		0.48	%		0.82	%		0.68	%		0.44	%		0.33	%
Portfolio turnover rate		13	%		16	%		16	%		23	%		64	%(f)		29	%

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

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

(f)	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.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	21.58		$	18.83		$	16.65		$	18.19		$	19.48		$	14.75

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.04	)		(0.05	)		0.01			(0.01	)		(0.06	)		(0.07	)
Net realized and unrealized gain (loss)		0.15			3.74			2.80			(0.90	)		1.90			5.51

Total from Investment Operations		0.11			3.69			2.81			(0.91	)		1.84			5.44

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.01	)		(0.00	)(b)		(0.02	)		—
Net realized capital gains		(0.42	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)

Total Distributions		(0.42	)		(0.94	)		(0.63	)		(0.63	)		(3.13	)		(0.71	)

Net asset value, end of the period	$	21.27		$	21.58		$	18.83		$	16.65		$	18.19		$	19.48

Total return(c)		0.53	%(d)		19.85	%		17.45	%		(5.07	)%		9.55	%		36.88	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	62,614		$	62,272		$	55,910		$	70,616		$	62,941		$	8,425
Net expenses		1.88	%(e)		1.93	%		1.93	%		1.89	%		1.97	%		2.05	%(f)
Gross expenses		1.88	%(e)		1.93	%		1.93	%		1.89	%		1.97	%		2.05	%(f)
Net investment income (loss)		(0.39	)%(e)		(0.27	)%		0.09	%		(0.07	)%		(0.30	)%		(0.42	)%
Portfolio turnover rate		13	%		16	%		16	%		23	%		64	%(g)		29	%

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

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

(g)	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.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	25.91		$	23.13

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.14
Net realized and unrealized gain (loss)		0.18			3.44

Total from Investment Operations		0.28			3.58

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.17	)
Net realized capital gains		(0.42	)		(0.63	)

Total Distributions		(0.42	)		(0.80	)

Net asset value, end of the period	$	25.77		$	25.91

Total return(b)(c)		1.14	%		15.46	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses(d)(e)		0.67	%		0.75	%
Gross expenses(d)		13.56	%		13.79	%
Net investment income(d)		0.80	%		0.84	%
Portfolio turnover rate		13	%		16	%(f)

*	From commencement of Class operations on May 1, 2017 through December 31, 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 year ended December 31, 2017.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	25.90		$	22.34		$	19.60		$	21.28		$	22.16		$	16.63

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.08			0.17			0.21			0.19			0.15			0.11
Net realized and unrealized gain (loss)		0.17			4.48			3.36			(1.06	)		2.20			6.24

Total from Investment Operations		0.25			4.65			3.57			(0.87	)		2.35			6.35

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.15	)		(0.21	)		(0.18	)		(0.12	)		(0.11	)
Net realized capital gains		(0.42	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)		(0.71	)

Total Distributions		(0.42	)		(1.09	)		(0.83	)		(0.81	)		(3.23	)		(0.82	)

Net asset value, end of the period	$	25.73		$	25.90		$	22.34		$	19.60		$	21.28		$	22.16

Total return		0.98	%^(b)		21.05	%		18.69	%		(4.18	)%		10.70	%		38.21	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	56,011		$	49,955		$	26,252		$	21,696		$	26,694		$	14,176
Net expenses		0.89	%^(c)		0.93	%		0.92	%		0.89	%		0.97	%		1.05	%^(d)
Gross expenses		0.89	%^(c)		0.93	%		0.92	%		0.89	%		0.97	%		1.05	%^(d)
Net investment income		0.61	%^(c)		0.71	%		1.05	%		0.92	%		0.67	%		0.54	%
Portfolio turnover rate		13	%		16	%		16	%		23	%		64	%^(e)		29	%

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

(e)	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.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	15.58		$	12.15		$	11.47		$	12.44		$	13.74		$	10.94

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.23			0.18			0.17			0.15			0.18			0.07
Net realized and unrealized gain (loss)		(1.45	)		3.41			0.76			(0.80	)		(1.01	)		2.99

Total from Investment Operations		(1.22	)		3.59			0.93			(0.65	)		(0.83	)		3.06

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.16	)		(0.21	)		(0.20	)		(0.25	)		(0.08	)
Net realized capital gains		—			—			(0.04	)		(0.12	)		(0.22	)		(0.18	)

Total Distributions		—			(0.16	)		(0.25	)		(0.32	)		(0.47	)		(0.26	)

Net asset value, end of the period	$	14.36		$	15.58		$	12.15		$	11.47		$	12.44		$	13.74

Total return^(b)		(7.83	)%^(c)		29.56	%		8.19	%		(5.35	)%		(6.05	)%		28.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	485,457		$	603,988		$	533,112		$	722,805		$	617,383		$	314,579
Net expenses		1.30	%^(d)		1.32	%		1.34	%		1.31	%		1.31	%		1.44	%^(e)
Gross expenses		1.30	%^(d)		1.32	%		1.34	%		1.31	%		1.31	%		1.44	%^(e)
Net investment income		2.96	%^(d)		1.28	%		1.54	%		1.17	%		1.34	%		0.52	%
Portfolio turnover rate		19	%		40	%		41	%		51	%		31	%		20	%

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

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

See accompanying notes to financial statements.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	15.30		$	11.96		$	11.29		$	12.25		$	13.53		$	10.82

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.18			0.06			0.08			0.05			0.08			(0.02	)
Net realized and unrealized gain (loss)		(1.42	)		3.35			0.74			(0.78	)		(0.98	)		2.94

Total from Investment Operations		(1.24	)		3.41			0.82			(0.73	)		(0.90	)		2.92

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.07	)		(0.11	)		(0.11	)		(0.16	)		(0.03	)
Net realized capital gains		—			—			(0.04	)		(0.12	)		(0.22	)		(0.18	)

Total Distributions		—			(0.07	)		(0.15	)		(0.23	)		(0.38	)		(0.21	)

Net asset value, end of the period	$	14.06		$	15.30		$	11.96		$	11.29		$	12.25		$	13.53

Total return^(b)		(8.10	)%^(c)		28.55	%		7.36	%		(6.08	)%		(6.67	)%		27.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	341,965		$	363,018		$	255,249		$	341,959		$	327,319		$	237,250
Net expenses		2.05	%^(d)		2.07	%		2.09	%		2.06	%		2.05	%		2.19	%^(e)
Gross expenses		2.05	%^(d)		2.07	%		2.09	%		2.06	%		2.05	%		2.19	%^(e)
Net investment income (loss)		2.40	%^(d)		0.42	%		0.73	%		0.39	%		0.61	%		(0.14	)%
Portfolio turnover rate		19	%		40	%		41	%		51	%		31	%		20	%

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

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

See accompanying notes to financial statements.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	15.58		$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.44			0.15
Net realized and unrealized gain (loss)		(1.63	)		1.66

Total from Investment Operations		(1.19	)		1.81

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.21	)

Net asset value, end of the period	$	14.39		$	15.58

Total return(b)(c)		(7.64	)%		12.96	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	339		$	1
Net expenses(d)(e)		0.96	%		0.92	%
Gross expenses(d)		0.98	%		25.21	%
Net investment income(d)		5.78	%		1.54	%
Portfolio turnover rate		19	%		40	%(f)

*	From commencement of Class operations on May 1, 2017 through December 31, 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 year ended December 31, 2017.

See accompanying notes to financial statements.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	15.56		$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.31			0.00	(b)
Net realized and unrealized gain (loss)		(1.50	)		1.79

Total from Investment Operations		(1.19	)		1.79

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.21	)

Net asset value, end of the period	$	14.37		$	15.56

Total return(c)		(7.65	)%		12.79	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	275,246		$	172,978
Net expenses(d)		1.05	%		1.07	%
Gross expenses(d)		1.05	%		1.07	%
Net investment income(d)		4.00	%		0.03	%
Portfolio turnover rate		19	%		40	%(e)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

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

(e)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	18.71		$	19.79		$	17.74		$	20.65		$	22.34		$	18.97

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			(0.01	)		0.02			0.06	(b)		(0.06	)		0.07	(c)
Net realized and unrealized gain (loss)		0.20			1.21			3.49			(0.07	)		1.95			7.14

Total from Investment Operations		0.21			1.20			3.51			(0.01	)		1.89			7.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.00	)(d)		(0.01	)		(0.04	)		—			(0.06	)
Net realized capital gains		(0.53	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)

Total Distributions		(0.53	)		(2.28	)		(1.46	)		(2.90	)		(3.58	)		(3.84	)

Net asset value, end of the period	$	18.39		$	18.71		$	19.79		$	17.74		$	20.65		$	22.34

Total return(e)		1.26	%(f)		6.28	%		20.24	%		(0.29	)%(b)		8.79	%		39.01	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	89,338		$	93,751		$	106,447		$	103,092		$	125,201		$	152,792
Net expenses		1.36	%(g)		1.36	%		1.35	%		1.35	%		1.37	%		1.39	%(h)
Gross expenses		1.36	%(g)		1.36	%		1.35	%		1.35	%		1.37	%		1.39	%(h)
Net investment income (loss)		0.08	%(g)		(0.03	)%		0.11	%		0.26	%(b)		(0.27	)%		0.33	%(c)
Portfolio turnover rate		37	%		92	%		74	%		62	%		58	%		58	%

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

(e)	A sales charge for Class A 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.

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

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	11.67		$	13.26		$	12.39		$	15.36		$	17.61		$	15.64

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.04	)		(0.10	)		(0.08	)		(0.08	)^(b)		(0.18	)		(0.07	)^(c)
Net realized and unrealized gain (loss)		0.12			0.79			2.40			(0.03	)		1.51			5.83

Total from Investment Operations		0.08			0.69			2.32			(0.11	)		1.33			5.76

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)^(d)		(0.00	)^(d)		—			—			—			(0.01	)
Net realized capital gains		(0.53	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)

Total Distributions		(0.53	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)		(3.79	)

Net asset value, end of the period	$	11.22		$	11.67		$	13.26		$	12.39		$	15.36		$	17.61

Total return^(e)		0.90	%^(f)		5.50	%		19.32	%		(1.02	)%^(b)		7.94	%		37.99	%^(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	6,294		$	15,756		$	20,379		$	21,188		$	27,292		$	31,476
Net expenses		2.11	%^(g)		2.11	%		2.10	%		2.10	%		2.12	%		2.14	%^(h)
Gross expenses		2.11	%^(g)		2.11	%		2.10	%		2.10	%		2.12	%		2.14	%^(h)
Net investment loss		(0.77	)%^(g)		(0.79	)%		(0.64	)%		(0.48	)%^(b)		(1.02	)%		(0.40	)%^(c)
Portfolio turnover rate		37	%		92	%		74	%		62	%		58	%		58	%

(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)	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.

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

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	19.37		$	19.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.07
Net realized and unrealized gain (loss)		0.22			1.35

Total from Investment Operations		0.26			1.42

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.02	)
Net realized capital gains		(0.53	)		(1.58	)

Total Distributions		(0.53	)		(1.60	)

Net asset value, end of the period	$	19.10		$	19.37

Total return(c)(d)		1.48	%		7.17	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses(e)(f)		0.97	%		0.96	%
Gross expenses(e)		14.97	%		14.68	%
Net investment income(e)		0.45	%		0.56	%
Portfolio turnover rate		37	%		92	%(g)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

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

(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)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	19.37		$	20.36		$	18.21		$	21.13		$	22.73		$	19.24

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			0.05			0.07			0.11	(b)		(0.00	)(c)		0.13	(d)
Net realized and unrealized gain (loss)		0.21			1.25			3.59			(0.07	)		1.98			7.26

Total from Investment Operations		0.24			1.30			3.66			0.04			1.98			7.39

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.01	)		(0.06	)		(0.10	)		—			(0.12	)
Net realized capital gains		(0.53	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)		(3.78	)

Total Distributions		(0.53	)		(2.29	)		(1.51	)		(2.96	)		(3.58	)		(3.90	)

Net asset value, end of the period	$	19.08		$	19.37		$	20.36		$	18.21		$	21.13		$	22.73

Total return		1.38	%(e)		6.60	%		20.53	%		(0.05	)%(b)		9.04	%		39.43	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	140,810		$	176,940		$	183,145		$	179,322		$	176,905		$	163,836
Net expenses		1.11	%(f)		1.11	%		1.10	%		1.10	%		1.12	%		1.14	%(g)
Gross expenses		1.11	%(f)		1.11	%		1.10	%		1.10	%		1.12	%		1.14	%(g)
Net investment income (loss)		0.30	%(f)		0.23	%		0.36	%		0.50	%(b)		(0.01	)%		0.59	%(d)
Portfolio turnover rate		37	%		92	%		74	%		62	%		58	%		58	%

(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)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class A
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	22.65		$	20.55		$	20.04		$	21.29		$	20.63		$	15.49

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.07			0.17	(b)		0.07			0.03	(c)		(0.08	)		(0.03	)
Net realized and unrealized gain (loss)		(0.22	)		2.48			1.05			(0.79	)		2.31			6.36

Total from Investment Operations		(0.15	)		2.65			1.12			(0.76	)		2.23			6.33

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.18	)		(0.05	)		(0.02	)		—			—
Net realized capital gains		(0.29	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)		(1.19	)

Total Distributions		(0.29	)		(0.55	)		(0.61	)		(0.49	)		(1.57	)		(1.19	)

Net asset value, end of the period	$	22.21		$	22.65		$	20.55		$	20.04		$	21.29		$	20.63

Total return(d)		(0.65	)%(e)		12.93	%(b)		5.85	%		(3.66	)%(c)		10.92	%		41.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	61,212		$	67,186		$	87,536		$	142,833		$	73,237		$	67,716
Net expenses		1.23	%(f)		1.22	%		1.23	%		1.23	%		1.25	%		1.27	%
Gross expenses		1.23	%(f)		1.22	%		1.23	%		1.23	%		1.25	%		1.27	%
Net investment income (loss)		0.60	%(f)		0.77	%(b)		0.35	%		0.16	%(c)		(0.37	)%		(0.13	)%
Portfolio turnover rate		26	%		42	%		57	%		32	%		58	%		39	%

(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 $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%.

(c)	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)%.

(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.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class C
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	21.50		$	19.51		$	19.16		$	20.51		$	20.07		$	15.21

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.00	(b)(c)		(0.07	)		(0.13	)(d)		(0.23	)		(0.17	)
Net realized and unrealized gain (loss)		(0.20	)		2.36			0.98			(0.75	)		2.24			6.22

Total from Investment Operations		(0.22	)		2.36			0.91			(0.88	)		2.01			6.05

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(b)		—			—			—
Net realized capital gains		(0.29	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)		(1.19	)

Total Distributions		(0.29	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)		(1.19	)

Net asset value, end of the period	$	20.99		$	21.50		$	19.51		$	19.16		$	20.51		$	20.07

Total return(e)		(1.02	)%(f)		12.11	%(c)		5.03	%		(4.39	)%(d)		10.12	%		40.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	35,746		$	47,559		$	68,923		$	89,284		$	35,894		$	21,005
Net expenses		1.98	%(g)		1.97	%		1.98	%		1.98	%		2.00	%		2.02	%
Gross expenses		1.98	%(g)		1.97	%		1.98	%		1.98	%		2.00	%		2.02	%
Net investment income (loss)		(0.19	)%(g)		0.00	%(c)(h)		(0.38	)%		(0.61	)%(d)		(1.10	)%		(0.89	)%
Portfolio turnover rate		26	%		42	%		57	%		32	%		58	%		39	%

(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)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%.

(d)	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)%.

(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.

(h)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class N
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			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	$	22.87		$	20.75		$	20.26		$	21.50		$	20.76		$	17.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.10			0.25	^(b)		0.16			0.11	^(c)		(0.00	)^(d)		(0.04	)
Net realized and unrealized gain (loss)		(0.21	)		2.51			1.04			(0.81	)		2.31			4.35

Total from Investment Operations		(0.11	)		2.76			1.20			(0.70	)		2.31			4.31

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.27	)		(0.15	)		(0.07	)		—			(0.02	)
Net realized capital gains		(0.29	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)		(1.06	)

Total Distributions		(0.29	)		(0.64	)		(0.71	)		(0.54	)		(1.57	)		(1.08	)

Net asset value, end of the period	$	22.47		$	22.87		$	20.75		$	20.26		$	21.50		$	20.76

Total return		(0.47	)%^(e)		13.31	%^(b)		6.21	%		(3.35	)%^(c)		11.24	%		24.70	%^(e)(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	96,544		$	134,205		$	148,365		$	65,010		$	12,024		$	1
Net expenses		0.88	%^(g)		0.88	%		0.88	%		0.89	%		0.91	%^(h)		1.03	%^(g)(i)
Gross expenses		0.88	%^(g)		0.88	%		0.88	%		0.89	%		0.91	%^(h)		2.07	%^(g)
Net investment income (loss)		0.89	%^(g)		1.16	%^(b)		0.78	%		0.50	%^(c)		(0.00	)%^(j)		(0.33	)%^(g)
Portfolio turnover rate		26	%		42	%		57	%		32	%		58	%		39	%

*	From commencement of Class 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 $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%.

(c)	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%.

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

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

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

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

(h)	Includes fee/expense recovery of less than 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)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class Y
	Six Months Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net asset value, beginning of the period	$	22.89		$	20.77		$	20.27		$	21.52		$	20.78		$	15.57

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.10			0.23	(b)		0.12			0.09	(c)		(0.02	)		0.02
Net realized and unrealized gain (loss)		(0.22	)		2.51			1.07			(0.82	)		2.33			6.39

Total from Investment Operations		(0.12	)		2.74			1.19			(0.73	)		2.31			6.41

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.25	)		(0.13	)		(0.05	)		—			(0.01	)
Net realized capital gains		(0.29	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)		(1.19	)

Total Distributions		(0.29	)		(0.62	)		(0.69	)		(0.52	)		(1.57	)		(1.20	)

Net asset value, end of the period	$	22.48		$	22.89		$	20.77		$	20.27		$	21.52		$	20.78

Total return		(0.52	)%(d)		13.19	%(b)		6.14	%		(3.47	)%(c)		11.23	%		41.52	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	746,160		$	774,304		$	903,545		$	1,133,634		$	656,071		$	360,820
Net expenses		0.98	%(e)		0.97	%		0.98	%		0.98	%		1.00	%		1.02	%
Gross expenses		0.98	%(e)		0.97	%		0.98	%		0.98	%		1.00	%		1.02	%
Net investment income (loss)		0.87	%(e)		1.04	%(b)		0.62	%		0.39	%(c)		(0.10	)%		0.12	%
Portfolio turnover rate		26	%		42	%		57	%		32	%		58	%		39	%

(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 $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%.

(c)	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%.

(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.

| 72

Notes to Financial Statements

June 30, 2018 (Unaudited)

Natixis Funds Trust I:

Natixis Oakmark International Fund

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

Natixis Funds Trust II:

McDonnell Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

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 and Class Y shares. Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund also offer Class N shares. Class T shares of the Funds are not currently available for purchase.

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 3.00% for Intermediate Municipal Bond Fund and 5.75% for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to 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 Fund’s prospectus.

73 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to 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.

| 74

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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 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.

As of June 30, 2018, securities held by Natixis Oakmark International Fund were fair valued as follows:


Equity securities¹	Percentage of Net Assets
$984,237,802		89.2	%

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.

75 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income, including income reinvested, 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. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased 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.

| 76

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

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, 2018 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.

77 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.

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 distributions in excess of income and/or capital gain, return of capital and capital gain distributions received and foreign currency gains and losses. 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, 2017 was as follows:


	2017 Distributions Paid From:
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	5,473	$	909,414	$	—	$	914,887
Natixis Oakmark Fund		1,117,535		—		11,807,017		12,924,552
Natixis Oakmark International Fund		10,227,398		—		—		10,227,398
Small Cap Value Fund		3,400,416		—		31,501,924		34,902,340
Value Opportunity Fund		10,294,310		—		16,440,298		26,734,608

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Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2017, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Intermediate Municipal Bond Fund			Natixis Oakmark Fund		Natixis Oakmark International Fund			Small Cap Value Fund		Value Opportunity Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(661,262	)	$	—	$	(9,965,690	)	$	—	$	—
Long-term:
No expiration date		—			—		(37,884,825	)		—		—

Total capital loss carryforward		(661,262	)		—		(47,850,515	)		—		—

Late-year ordinary and post-October capital loss deferrals*	$	—		$	—	$	(287,626	)	$	—	$	—

*	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.

As of June 30, 2018, the cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	Intermediate Municipal Bond Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Small Cap Value Fund			Value Opportunity Fund
Federal tax cost	$	23,156,374		$	272,440,314		$	1,110,483,625		$	215,676,713		$	840,286,641

Gross tax appreciation	$	570,515		$	78,316,615		$	63,862,149		$	30,847,425		$	140,771,745

Gross tax depreciation		(68,876	)		(12,313,847	)		(72,535,393	)		(9,095,670	)		(41,005,263	)

Net tax appreciation (depreciation)	$	501,639		$	66,002,768		$	(8,673,244	)	$	21,751,755		$	99,766,482

79 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.

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, 2018, 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 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, 2018, 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

| 80

Notes to Financial Statements (continued)

June 30, 2018 (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.

•

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.

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2018, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	21,848,196	$	—	$	21,848,196
Exchange-Traded Funds		809,817		—		—		809,817
Short-Term Investments		1,000,000		—		—		1,000,000

Total	$	1,809,817	$	21,848,196	$	—	$	23,658,013

(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, 2018, there were no transfers among Levels 1, 2 and 3.

81 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Natixis Oakmark Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	324,123,501	$	—	$	—	$	324,123,501
Short-Term Investments		—		14,319,581		—		14,319,581

Total	$	324,123,501	$	14,319,581	$	—	$	338,443,082

(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, 2018, 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	$	—	$	26,065,874	$	—	$	26,065,874
France		—		134,494,622		—		134,494,622
Germany		—		189,753,071		—		189,753,071
India		—		16,195,751		—		16,195,751
Indonesia		—		14,161,367		—		14,161,367
Italy		—		42,768,880		—		42,768,880
Japan		—		46,043,038		—		46,043,038
Korea		—		2,199,202		—		2,199,202
Netherlands		—		42,245,459		—		42,245,459
South Africa		—		30,848,531		—		30,848,531
Sweden		—		59,824,400		—		59,824,400
Switzerland		—		148,108,931		—		148,108,931
Taiwan		—		13,577,253		—		13,577,253
United Kingdom		28,238,790		217,951,423		—		246,190,213
All Other Common Stocks(a)		60,085,448		—		—		60,085,448

Total Common Stocks		88,324,238		984,237,802		—		1,072,562,040

Short-Term Investments		—		28,099,544		—		28,099,544
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,148,797		—		1,148,797

Total	$	88,324,238	$	1,013,486,143	$	—	$	1,101,810,381

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

| 82

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

For the six months ended June 30, 2018, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	220,344,184	$	—	$	—	$	220,344,184
Exchange-Traded Funds		11,671,622		—		—		11,671,622
Closed-End Investment Companies		2,643,266		—		—		2,643,266
Short-Term Investments		—		2,769,396		—		2,769,396

Total	$	234,659,072	$	2,769,396	$	—	$	237,428,468

(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, 2018, there were no transfers among Levels 1, 2 and 3.

Value Opportunity Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	886,044,528	$	—	$	—	$	886,044,528
Closed-End Investment Companies		22,678,793		—		—		22,678,793
Short-Term Investments		—		31,329,802		—		31,329,802

Total	$	908,723,321	$	31,329,802	$	—	$	940,053,123

(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, 2018, 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.

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, 2018, the Fund engaged in forward foreign currency transactions for hedging purposes.

83 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2018, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,148,797

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:		Forward foreign currency contracts
Foreign exchange contracts		$141,068

Net Change in Unrealized Appreciation (Depreciation) on:		Forward foreign currency contracts
Foreign exchange contracts		$809,998

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, 2018:


Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		1.85	%
Highest Notional Amount Outstanding		2.21	%
Lowest Notional Amount Outstanding		1.36	%
Notional Amount Outstanding as of June 30, 2018		2.21	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

| 84

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018, 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 Assets		Offset Amount		Net Amount
State Street Bank and Trust Company	$	1,148,797	$	—	$	1,148,797


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund	$	1,148,797	$	1,148,797

85 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

5. Purchases and Sales of Securities. For the six months ended June 30, 2018, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:


Fund	Purchases		Sales
Intermediate Municipal Bond Fund	$	15,745,781	$	26,658,800
Natixis Oakmark Fund		62,409,515		39,059,277
Natixis Oakmark International Fund		324,545,787		218,026,992
Small Cap Value Fund		93,074,133		144,517,030
Value Opportunity Fund		247,481,383		341,576,181

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Natixis Advisors, L.P. (“Natixis 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
Intermediate Municipal Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
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	%

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


Intermediate Municipal Bond Fund		McDonnell Investment Management, LLC (“McDonnell”)
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

| 86

Notes to Financial Statements (continued)

June 30, 2018 (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
Intermediate Municipal Bond Fund	McDonnell		0.20	%		0.20	%		0.20	%
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	%

Natixis 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, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. 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 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, 2018 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
Intermediate Municipal Bond Fund		0.70	%		1.45	%		—			0.45	%
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	%

Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not

87 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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, 2018, 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
Intermediate Municipal Bond Fund	$	62,864	$	62,864	$	—		0.40	%		—	%
Natixis Oakmark Fund		1,100,295		—		1,100,295		0.68	%		0.68	%
Natixis Oakmark International Fund		5,062,302		—		5,062,302		0.85	%		0.85	%
Small Cap Value Fund		1,145,400		—		1,145,400		0.90	%		0.90	%
Value Opportunity Fund		3,908,569		—		3,908,569		0.80	%		0.80	%

¹	Management fee waivers are subject to possible recovery until December 31, 2019.

For the six months ended June 30, 2018, expenses have been reimbursed as follows:


Fund	Reimbursement
Intermediate Municipal Bond Fund	$	16,974

No expenses were recovered during the six months ended June 30, 2018 under the terms of the expense limitation agreement.

Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, McDonnell, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

| 88

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Also under the Class C Plans, each Fund pays Natixis 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 Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2018, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Intermediate Municipal Bond Fund	$	8,493	$	2,649	$	7,948
Natixis Oakmark Fund		259,225		80,054		240,161
Natixis Oakmark International Fund		732,422		469,689		1,409,066
Small Cap Value Fund		110,230		17,164		51,491
Value Opportunity Fund		79,236		52,504		157,514

For the six months ended June 30, 2018, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Intermediate Municipal Bond Fund	$	6,973
Natixis Oakmark Fund		71,733
Natixis Oakmark International Fund		264,284
Small Cap Value Fund		56,469
Value Opportunity Fund		216,797

Effective July 1, 2018, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net

89 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

For the six months ended June 30, 2018, 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
Intermediate Municipal Bond Fund	$	4,797
Natixis Oakmark Fund		69,755
Natixis Oakmark International Fund		474,938
Small Cap Value Fund		66,716
Value Opportunity Fund		391,090


Fund	Reimbursements of Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	144
Natixis Oakmark Fund		1,578
Natixis Oakmark International Fund		10,560
Small Cap Value Fund		1,683
Value Opportunity Fund		9,091

| 90

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2018, were as follows:


Fund	Commissions
Intermediate Municipal Bond Fund	$	681
Natixis Oakmark Fund		20,929
Natixis Oakmark International Fund		233,388
Small Cap Value Fund		985
Value Opportunity Fund		1,673

f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $340,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $170,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $12,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

91 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

Loomis Sayles Funds Trusts and Natixis ETF Trust, 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. Affiliated Ownership. As of June 30, 2018, Natixis US and affiliates held shares of Natixis Oakmark Fund and Small Cap Value Fund both representing less than 0.01% 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. Natixis 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, 2019 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2018, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


Fund	Reimbursement of Transfer Agency Expenses Class N
Natixis Oakmark Fund	$	76
Natixis Oakmark International Fund		34
Small Cap Value Fund		75

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund 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.

| 92

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

For the six months ended June 30, 2018, Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and 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
Natixis Oakmark Fund	$	83,177	$	25,691	$	76	$	20,824
Natixis Oakmark International Fund		252,500		161,376		34		97,789
Small Cap Value Fund		34,072		5,294		75		58,968
Value Opportunity Fund		30,962		20,463		275		376,342

For the six months ended June 30, 2018, Value Opportunity Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $15,892,956 at a weighted average interest rate of 5.50%. Interest expense incurred (which is reflected in miscellaneous expenses in the Statements of Operations) was $4,790.

93 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

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.


	Number of 5% Non-Affiliated Account Holders		Percentage of Ownership
Fund
Intermediate Municipal Bond Fund		2		13.14	%
Small Cap Value Fund		2		19.34	%
Value Opportunity Fund		1		24.07	%

| 94

Notes to Financial Statements (continued)

June 30, 2018 (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, 2018					Year Ended December 31, 2017
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	166,870		$	1,685,005		229,798		$	2,338,481
Issued in connection with the reinvestment of distributions	6,407			63,794		8,554			86,576
Redeemed	(58,573	)		(583,531	)	(201,533	)		(2,035,102	)

Net change	114,704		$	1,165,268		36,819		$	389,955

Class C
Issued from the sale of shares	5,174		$	52,393		37,992		$	384,316
Issued in connection with the reinvestment of distributions	698			6,956		1,041			10,527
Redeemed	(55,853	)		(557,469	)	(209,349	)		(2,113,286	)

Net change	(49,981	)	$	(498,120	)	(170,316	)	$	(1,718,443	)

Class Y
Issued from the sale of shares	359,028		$	3,583,137		1,561,548		$	15,699,674
Issued in connection with the reinvestment of distributions	7,410			73,921		16,163			163,646
Redeemed	(1,606,256	)		(16,047,127	)	(3,700,092	)		(37,356,486	)

Net change	(1,239,818	)	$	(12,390,069	)	(2,122,381	)	$	(21,493,166	)

Increase (decrease) from capital share transactions	(1,175,095	)	$	(11,722,921	)	(2,255,878	)	$	(22,821,654	)

95 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,205,976		$	30,087,752		1,097,333		$	25,510,597
Issued in connection with the reinvestment of distributions	128,527			3,115,449		319,749			7,630,446
Redeemed	(702,035	)		(17,625,486	)	(1,269,544	)		(29,162,674	)

Net change	632,468		$	15,577,715		147,538		$	3,978,369

Class C
Issued from the sale of shares	566,575		$	12,288,163		745,200		$	14,845,455
Issued in connection with the reinvestment of distributions	47,460			999,989		103,719			2,154,363
Redeemed	(555,421	)		(12,147,090	)	(932,134	)		(18,618,843	)

Net change	58,614		$	1,141,062		(83,215	)	$	(1,619,025	)

Class N
Issued from the sale of shares	—		$	—		43		$	1,001
Issued in connection with the reinvestment of distributions	—	(b)		19		2			35

Net change	—		$	19		45		$	1,036

Class Y
Issued from the sale of shares	814,492		$	21,156,157		1,112,569		$	26,658,228
Issued in connection with the reinvestment of distributions	26,592			676,483		56,023			1,413,926
Redeemed	(593,484	)		(15,591,454	)	(414,820	)		(9,936,832	)

Net change	247,600		$	6,241,186		753,772		$	18,135,322

Increase (decrease) from capital share transactions	938,682		$	22,959,982		818,140		$	20,495,702

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

(b)	Amount rounds to less than one share.

| 96

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	6,557,838		$	102,786,454		17,257,564		$	244,429,519
Issued in connection with the reinvestment of distributions	—			—		358,244			5,570,701
Redeemed	(11,525,896	)		(179,585,131	)	(22,730,001	)		(331,480,871	)

Net change	(4,968,058	)	$	(76,798,677	)	(5,114,193	)	$	(81,480,651	)

Class C
Issued from the sale of shares	3,314,492		$	51,680,453		8,154,803		$	116,119,552
Issued in connection with the reinvestment of distributions	—			—		92,603			1,414,038
Redeemed	(2,706,943	)		(41,083,742	)	(5,871,161	)		(80,942,584	)

Net change	607,549		$	10,596,711		2,376,245		$	36,591,006

Class N
Issued from the sale of shares	34,108		$	544,182		72		$	1,001
Issued in connection with the reinvestment of distributions	—			—		1			15
Redeemed	(10,612	)		(158,755	)	—			—

Net change	23,496		$	385,427		73		$	1,016

Class Y
Issued from the sale of shares	10,641,906		$	166,009,119		11,434,503		$	174,563,797
Issued in connection with the reinvestment of distributions	—			—		145,443			2,258,734
Redeemed	(2,598,143	)		(40,028,319	)	(466,061	)		(7,177,317	)

Net change	8,043,763		$	125,980,800		11,113,885		$	169,645,214

Increase (decrease) from capital share transactions	3,706,750		$	60,164,261		8,376,010		$	124,756,585

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N and Class Y shares.

97 |

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017(a)
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	512,523		$	9,633,411		528,606		$	10,288,324
Issued in connection with the reinvestment of distributions	127,207			2,265,483		524,190			9,889,735
Redeemed	(793,565	)		(14,796,852	)	(1,421,549	)		(27,416,197	)

Net change	(153,835	)	$	(2,897,958	)	(368,753	)	$	(7,238,138	)

Class C
Issued from the sale of shares	17,348		$	196,431		55,927		$	696,634
Issued in connection with the reinvestment of distributions	54,962			597,988		216,985			2,595,862
Redeemed	(861,243	)		(9,902,658	)	(459,714	)		(5,852,124	)

Net change	(788,933	)	$	(9,108,239	)	(186,802	)	$	(2,559,628	)

Class N
Issued from the sale of shares	—		$	—		51		$	1,001
Issued in connection with the reinvestment of distributions	2			30		4			82

Net change	2		$	30		55		$	1,083

Class Y
Issued from the sale of shares	233,422		$	4,490,512		2,498,754		$	49,774,371
Issued in connection with the reinvestment of distributions	217,294			4,013,425		1,011,202			19,723,081
Redeemed	(2,208,236	)		(42,528,197	)	(3,367,033	)		(66,987,307	)

Net change	(1,757,520	)	$	(34,024,260	)	142,923		$	2,510,145

Increase (decrease) from capital share transactions	(2,700,286	)	$	(46,030,427	)	(412,577	)	$	(7,286,538	)

(a)	From commencement of operations on May 1, 2017 through December 31, 2017 for Class N shares.

| 98

Notes to Financial Statements (continued)

June 30, 2018 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2018					Year Ended December 31, 2017
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	221,887		$	5,000,419		507,412		$	10,847,723
Issued in connection with the reinvestment of distributions	27,180			593,057		53,873			1,220,217
Redeemed	(459,716	)		(10,415,749	)	(1,855,342	)		(39,766,540	)

Net change	(210,649	)	$	(4,822,273	)	(1,294,057	)	$	(27,698,600	)

Class C
Issued from the sale of shares	36,177		$	769,675		126,549		$	2,575,468
Issued in connection with the reinvestment of distributions	24,125			498,179		32,929			708,304
Redeemed	(569,505	)		(12,115,536	)	(1,479,508	)		(29,990,166	)

Net change	(509,203	)	$	(10,847,682	)	(1,320,030	)	$	(26,706,394	)

Class N
Issued from the sale of shares	932,565		$	21,633,087		1,429,409		$	30,969,311
Issued in connection with the reinvestment of distributions	56,449			1,245,266		160,150			3,662,639
Redeemed	(2,560,358	)		(60,184,585	)	(2,872,239	)		(62,808,162	)

Net change	(1,571,344	)	$	(37,306,232	)	(1,282,680	)	$	(28,176,212	)

Class Y
Issued from the sale of shares	5,258,911		$	118,968,178		7,066,393		$	154,672,829
Issued in connection with the reinvestment of distributions	414,812			9,154,895		854,159			19,560,236
Redeemed	(6,308,737	)		(143,033,331	)	(17,603,866	)		(380,954,617	)

Net change	(635,014	)	$	(14,910,258	)	(9,683,314	)	$	(206,721,552	)

Increase (decrease) from capital share transactions	(2,926,210	)	$	(67,886,445	)	(13,580,081	)	$	(289,302,758	)

99 |

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.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13.

Exhibits.


(a)	(1)	Not applicable.

(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 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 21, 2018

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 21, 2018

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 21, 2018

Natixis Funds Trust II Oakmark Fund (NEFOX) N-CSRSCertified semi-annual shareholder report (management investment company)